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, 2006__________________________________

Date of reporting period:__
April 30, 2006____________________________________


Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:


 

 

 

FIXED INCOME          LIQUIDITY          EQUITIES          ALTERNATIVES          BLACKROCK SOLUTIONS

 

 

 

 

 

BlackRock

 

 

Closed-End Funds

 

 

Semi-Annual Report

 

 

 

 

 

APRIL 30, 2006 (Unaudited)

 

 

 

 

 

 

 

 

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)

 

 

 

 

 

 

 

 

 

 

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE

(BLACKROCK LOGO)



TABLE OF CONTENTS

 

 

 

 

Letter to Shareholders

 

1

 

 

 

 

 

Trusts’ Summaries

 

2

 

 

 

 

 

Financial Statements

 

 

 

 

 

 

 

Portfolios of Investments

 

9

 

 

 

 

 

Statements of Assets and Liabilities

 

65

 

 

 

 

 

Statements of Operations

 

67

 

 

 

 

 

Statements of Cash Flows

 

69

 

 

 

 

 

Statements of Changes in Net Assets

 

71

 

 

 

 

 

Financial Highlights

 

74

 

 

 

 

 

Notes to Financial Statements

 

81

 

 

 

 

 

Dividend Reinvestment Plans

 

92

 

 

 

 

 

Additional Information

 

93

 

 

 

 

 

Section 19 Notices

 

94

 


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

April 30, 2006
Dear Shareholder:

          We are pleased to report that during the six month period, the Trusts provided the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ unaudited and 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 April 30, 2006.

 

 

 

 

 

 

 

 

 

 

 

 

 









Trust

 

Yield1

 

Market Price

 

NAV

 









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

 

5.92

%

 

 

$

15.20

 

 

$

14.44

 














BlackRock Core Bond Trust (BHK)

 

7.22

 

 

 

 

12.81

 

 

 

13.41

 














BlackRock High Yield Trust (BHY)

 

8.20

 

 

 

 

8.10

 

 

 

7.57

 














BlackRock Income Opportunity Trust (BNA)

 

7.18

 

 

 

 

10.34

 

 

 

10.80

 














BlackRock Income Trust Inc. (BKT)

 

7.13

 

 

 

 

6.19

 

 

 

6.45

 














BlackRock Limited Duration Income Trust (BLW)

 

8.17

 

 

 

 

17.89

 

 

 

19.08

 














BlackRock Strategic Bond Trust (BHD)

 

8.59

 

 

 

 

12.30

 

 

 

13.58

 















 

 

1

Yield is based on closing market price. Past performance does not guarantee future results. These yields may increase/decrease due to an increase/decrease in the monthly distribution per share.

          BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of March 31, 2006, BlackRock managed $309 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
Chief Executive Officer
BlackRock Advisors, Inc.

Ralph L. Schlosstein
President
BlackRock Advisors, Inc.

1


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

15.20





Net Asset Value as of 4/30/06:

 

$

14.44





Yield on Closing Market Price as of 4/30/06 ($15.20):1

 

 

5.92%





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:

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$15.20

$15.86

(4.16)%

$15.86

$14.85







NAV

$14.44

$14.63

(1.30)%

$14.65

$14.41







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

 

April 30, 2006

 

October 31, 2005

 







U.S. Government and Agency Securities

 

45

%

 

46

%

 









Corporate Bonds

 

20

 

 

18

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

16

 

 

16

 

 









Taxable Municipal Bonds

 

9

 

 

9

 

 









Interest Only Mortgage-Backed Securities

 

6

 

 

6

 

 









Inverse Floating Rate Mortgage Securities

 

3

 

 

4

 

 









Mortgage Pass-Through Securities

 

1

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2006

 

October 31, 2005

 







AAA/Aaa

 

7

%

 

7

%

 









AA/Aa

 

54

 

 

54

 

 









A

 

22

 

 

23

 

 









BBB/Baa

 

8

 

 

15

 

 









BB/Ba

 

7

 

 

 

 









CCC/Caa

 

2

 

 

1

 

 










 

 


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 15.6% and 15.5% of net assets on April 30, 2006 and October 31, 2005, respectively.

2


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

12.81





Net Asset Value as of 4/30/06:

 

$

13.41





Yield on Closing Market Price as of 4/30/06 ($12.81):1

 

 

7.22%





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

A change in the distribution rate was declared on June 2, 2006. The Monthly Distribution per Share was decreased to $0.0670. TheYield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$12.81

$13.69

(6.43)%

$13.85

$12.45







NAV

$13.41

$14.27

(6.03)%

$14.36

$13.36







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

 

April 30, 2006

 

October 31, 2005

 







Corporate Bonds

 

57

%

 

42

%

 









Mortgage Pass-Through Securities

 

11

 

 

15

 

 









Asset-Backed Securities

 

9

 

 

1

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

7

 

 

 

 









Commercial Mortgage-Backed Securities

 

7

 

 

6

 

 









Collateralized Mortgage Obligation Securities

 

4

 

 

2

 

 









U.S. Government and Agency Securities

 

2

 

 

31

 

 









Interest Only Asset-Backed Securities

 

1

 

 

 

 









Foreign Government Bonds

 

1

 

 

2

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2006

 

October 31, 2005

 







AAA/Aaa

 

7

%

 

5

%

 









AA/Aa

 

28

 

 

25

 

 









A

 

12

 

 

13

 

 









BBB/Baa

 

12

 

 

13

 

 









BB/Ba

 

10

 

 

12

 

 









B

 

24

 

 

23

 

 









CCC/Caa

 

4

 

 

6

 

 









Not Rated

 

3

 

 

3

 

 










 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 55.8% and 53.3% of net assets on April 30, 2006 and October 31, 2005, respectively.

3


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

8.10





Net Asset Value as of 4/30/06:

 

$

7.57





Yield on Closing Market Price as of 4/30/06 ($8.10):1

 

 

8.20%





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. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$8.10

$7.36

10.05%

$8.89

$7.08







NAV

$7.57

$7.48

  1.20%

$7.60

$7.38







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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2006

 

October 31, 2005

 







Energy

 

18

%

 

19

%

 









Financial Institutions

 

13

 

 

14

 

 









Basic Materials

 

11

 

 

12

 

 









Media

 

9

 

 

7

 

 









Telecommunications

 

9

 

 

8

 

 









Technology

 

6

 

 

5

 

 









Consumer Products

 

5

 

 

7

 

 









Aerospace & Defense

 

5

 

 

3

 

 









Industrials

 

5

 

 

6

 

 









Building & Development

 

4

 

 

3

 

 









Entertainment & Leisure

 

4

 

 

3

 

 









Containers & Packaging

 

3

 

 

2

 

 









Automotive

 

3

 

 

2

 

 









Health Care

 

2

 

 

4

 

 









Transportation

 

2

 

 

3

 

 









Ecological Services & Equipment

 

1

 

 

1

 

 









Real Estate

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2006

 

October 31, 2005

 







BBB/Baa

 

3

%

 

3

%

 









BB/Ba

 

30

 

 

32

 

 









B

 

54

 

 

51

 

 









CCC/Caa

 

10

 

 

14

 

 









C

 

1

 

 

 

 









Not Rated

 

2

 

 

 

 










 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 133.1% and 133.8% of net assets on April 30, 2006 and October 31, 2005, respectively.

4


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

10.34





Net Asset Value as of 4/30/06:

 

$

10.80





Yield on Closing Market Price as of 4/30/06 ($10.34):1

 

 

7.18%





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

A change in the distribution rate was declared on June 2, 2006. The Monthly Distribution per Share was decreased to $0.0550. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$10.34

$10.90

(5.14)%

$11.06

$10.07







NAV

$10.80

$11.56

(6.57)%

$11.63

$10.76







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

 

April 30, 2006

 

October 31, 2005

 







Corporate Bonds

 

45

%

 

35

%

 









U.S. Government and Agency Securities

 

13

 

 

37

 

 









Mortgage Pass-Through Securities

 

10

 

 

13

 

 









Asset-Backed Securities

 

9

 

 

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

9

 

 

5

 

 









Commercial Mortgaged-Backed Securities

 

4

 

 

4

 

 









Collateralized Mortgage Obligation Securities

 

4

 

 

1

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

2

 

 

1

 

 









Federal Housing Administration Securities

 

1

 

 

1

 

 









Interest Only Asset-Backed Securities

 

1

 

 

1

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Inverse Floating Rate Mortgage Securities

 

1

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 









Credit Rating

 

April 30, 2006

 

October 31, 2005

 









AAA/Aaa

 

10

%

 

8

%

 









AA/Aa

 

20

 

 

17

 

 









A

 

10

 

 

9

 

 









BBB/Baa

 

13

 

 

19

 

 









BB/Ba

 

14

 

 

15

 

 









B

 

25

 

 

24

 

 









CCC/Caa

 

5

 

 

6

 

 









Not Rated

 

3

 

 

2

 

 










 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 49.1% and 46.6% of net assets on April 30, 2006 and October 31, 2005, respectively.

5


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

6.19




Net Asset Value as of 4/30/06:

 

$

6.45




Yield on Closing Market Price as of 4/30/06 ($6.19):1

 

 

7.13%




Current Monthly Distribution per Share:2

 

$

0.036787




Current Annualized Distribution per Share:2

 

$

0.441444





 

 

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. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$6.19

$5.90

4.92%

$6.52

$5.86







NAV

$6.45

$6.54

(1.22)%

$6.57

$6.44







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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2006

 

October 31, 2005

 







Mortgage Pass-Through Securities

 

23

%

 

23

%

 









U.S. Government and Agency Securities

 

22

 

 

30

 

 









Collateralized Mortgage Obligation Securities

 

19

 

 

13

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

16

 

 

14

 

 









Interest Only Mortgage-Backed Securities

 

7

 

 

7

 

 









Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 









Non Agency Multiple Class Mortgage Pass-Through Securities

 

3

 

 

2

 

 









Federal Housing Administration Securities

 

2

 

 

2

 

 









Inverse Floating Rate Mortgage Securities

 

1

 

 

1

 

 









Interest Only Asset-Backed Securities

 

1

 

 

1

 

 









Corporate Bonds

 

1

 

 

 

 









Collateralized Mortgage Obligation Residual Securities

 

 

 

2

 

 









6


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

17.89





Net Asset Value as of 4/30/06:

 

$

19.08





Yield on Closing Market Price as of 4/30/06 ($17.89):1

 

 

8.17%





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

A change in the distribution rate was declared on June 2, 2006. The Monthly Distribution per Share was increased to $0.1250. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$17.89

$17.48

2.35%

$18.68

$16.54







NAV

$19.08

$19.17

(0.47)%

$19.22

$18.97







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

 

April 30, 2006

 

October 31, 2005

 







Corporate Bonds

 

42

%

 

43

%

 









Bank Loans

 

35

 

 

32

 

 









Mortgage Pass-Through Securities

 

14

 

 

15

 

 









U.S. Government and Agency Securities

 

4

 

 

4

 

 









Foreign Government Bonds

 

2

 

 

2

 

 









Collateralized Mortgage Obligations

 

1

 

 

1

 

 









Asset-Backed Securities

 

1

 

 

2

 

 









Interest Only Asset-Backed Securities

 

1

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2006

 

October 31, 2005

 







A

 

3

%

 

3

%

 









AA/Aa

 

3

 

 

 

 









BBB/Baa

 

8

 

 

9

 

 









BB/Ba

 

26

 

 

33

 

 









B

 

48

 

 

43

 

 









CCC/Caa

 

9

 

 

8

 

 









Not Rated

 

3

 

 

4

 

 










 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 61.0% and 59.8% of net assets on April 30, 2006 and October 31, 2005, respectively.

7


TRUST SUMMARIES (unaudited)
APRIL 30, 2006

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 4/30/06:

 

$

12.30




Net Asset Value as of 4/30/06:

 

$

13.58




Yield on Closing Market Price as of 4/30/06 ($12.30):1

 

 

8.59%




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. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

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

 

 

 

 

 

 

 






 

4/30/06

10/31/05

Change

High

Low







Market Price

$12.30

$12.45

(1.20)%

$13.23

$11.56







NAV

$13.58

$13.68

(0.73)%

$13.85

$13.52







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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2006

 

October 31, 2005

 







Financial Institutions

 

21

%

 

21

%

 









Energy

 

12

 

 

12

 

 









Media

 

11

 

 

10

 

 









Telecommunications

 

8

 

 

8

 

 









Consumer Products

 

7

 

 

9

 

 









Aerospace & Defense

 

7

 

 

5

 

 









Basic Materials

 

6

 

 

5

 

 









Health Care

 

5

 

 

7

 

 









Entertainment & Leisure

 

4

 

 

3

 

 









Technology

 

4

 

 

3

 

 









Automotive

 

3

 

 

3

 

 









Building & Development

 

3

 

 

2

 

 









Industrials

 

2

 

 

4

 

 









Real Estate

 

2

 

 

2

 

 









Ecological Services & Equipment

 

2

 

 

2

 

 









Transportation

 

2

 

 

2

 

 









Containers & Packaging

 

1

 

 

1

 

 









Conglomerates

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2006

 

October 31, 2005

 







AAA/Aaa

 

4

%

 

3

%

 









AA/Aa

 

8

 

 

8

 

 









A

 

13

 

 

11

 

 









BBB/Baa

 

12

 

 

19

 

 









BB/Ba

 

13

 

 

11

 

 









B

 

39

 

 

36

 

 









CCC/Caa

 

8

 

 

9

 

 









Not Rated

 

3

 

 

3

 

 










 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 114.7% and 122.7% of net assets on April 30, 2006 and October 31, 2005, respectively.

8


CONSOLIDATED PORTFOLIO OF INVESTMENTS (unaudited)
APRIL 30, 2006

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

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

LONG-TERM INVESTMENTS—80.0%

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—1.0%

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

$

411

 

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

 

$

408,649

 

 

 

 

15

 

6.50%, 7/01/29

 

 

15,776

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

424,425

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—13.0%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

2,168

 

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

 

 

2,193,772

 

 

 

 

2,000

 

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

 

 

2,017,719

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

39

2

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

 

 

38,906

 

 

 

 

1,000

 

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

 

 

1,020,140

 

 

 

 

165

2

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

 

 

170,458

 

 

 

 

100

2

Government National Mortgage Assoc., REMIC Trust 2000, 5.731%, 12/16/27

 

 

99,953

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

5,540,948

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—2.3%

 

 

 

 

AAA

 

 

185

2

Citicorp Mortgage Securities, Inc., 5.932%, 11/25/23

 

 

184,625

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

162

2

Ser. 1425, Class SB, 9.258%, 12/15/07

 

 

163,227

 

 

 

 

30

2

Ser. 1506, Class S, 11.833%, 5/15/08

 

 

30,595

 

 

 

 

106

2

Ser. 1515, Class S, 11.291%, 5/15/08

 

 

107,365

 

 

 

 

68

2

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

 

 

67,810

 

 

 

 

32

2

Ser. 1661, Class SB, 11.297%, 1/15/09

 

 

32,833

 

 

 

 

121

2

Ser. 1688, Class S, 8.794%, 12/15/13

 

 

120,771

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

95

2

Ser. 187, Class SB, 14.266%, 10/25/07

 

 

97,319

 

 

 

 

85

2

Ser. 191, Class SD, 8.807%, 10/25/08

 

 

84,152

 

 

 

 

118

2

Ser. 214, Class SH, 5.345%, 12/25/08

 

 

114,495

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,003,192

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—4.4%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

110

 

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

 

 

1,394

 

 

 

 

27

 

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

 

 

360

 

 

 

 

 

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

 

 

119

 

 

 

 

234

 

Ser. 1645, Class IB, 5.50%, 9/15/08

 

 

6,457

 

 

 

 

1,970

 

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

 

 

158,909

 

 

 

 

281

 

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

 

 

1,869

 

 

 

 

1,399

 

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

 

 

39,335

 

 

 

 

841

 

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

 

 

6,417

 

 

 

 

5,605

 

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

 

 

434,652

 

 

 

 

1,920

 

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

 

 

65,532

 

 

 

 

2,568

 

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

 

 

275,917

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

1

 

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

 

 

10,416

 

 

 

 

2,016

 

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

 

 

120,404

 

 

 

 

149

2

Ser. 20, Class SL, 12.666%, 9/25/08

 

 

15,044

 

 

 

 

4

 

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

 

 

38,508

 

 

 

 

2

 

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

 

 

9,063

 

 

 

 

12,992

 

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

 

 

654,938

 

 

 

 

 

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

 

 

73

 

 

 

 

296

 

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

 

 

3,737

 

 

 

 

4

2

Ser. 174, Class S, 111.644%, 9/25/22

 

 

10,982

 

 

 

 

42

2

Ser. 208, Class S, 2.531%, 2/25/23

 

 

158

 

 

 

 

 

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

 

 

6,597

 

 

 

 

15,981

 

Vendee Mortgage Trust, 0.04%, 10/15/31

 

 

30,828

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

1,891,709

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

9


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

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Principal Only Mortgage-Backed Security—0.1%

 

 

 

 

Aaa

 

$

25

3

Salomon Brothers Mortgage Securities, Inc. VI, 12.50%, 10/23/17

 

$

21,808

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

NR

 

 

235

2,4,5,6

Global Rated Eligible Asset Trust, 7.33%, 9/15/07

 

 

23

 

 

 

 

 

 

Structured Mortgage Asset Residential Trust,

 

 

 

 

NR

 

 

568

2,5,6

Ser. 2, 8.24%, 12/15/06

 

 

57

 

NR

 

 

629

2,5,6

Ser. 3, 8.724%, 4/15/07

 

 

63

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Asset-Backed Securities

 

 

143

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Corporate Bonds—15.6%

 

 

 

 

 

 

 

 

 

Energy—2.4%

 

 

 

 

A1

 

 

500

 

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

 

 

500,382

 

BBB+

 

 

500

4

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

 

 

504,109

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Energy

 

 

1,004,491

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Financial Institutions—13.0%

 

 

 

 

Aa2

 

 

500

 

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

 

 

499,221

 

AAA

 

 

500

 

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

 

 

495,367

 

BB

 

 

500

 

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

 

 

497,595

 

AA-

 

 

500

 

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

 

 

494,025

 

A+

 

 

500

 

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

 

 

503,338

 

AA-

 

 

1,000

 

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

 

 

1,092,327

 

A+

 

 

500

 

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

 

 

496,987

 

Aa3

 

 

500

 

SunTrust Bank, 7.25%, 9/15/06

 

 

503,320

 

Aa1

 

 

500

 

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

 

 

493,117

 

AA-

 

 

500

 

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

 

 

499,110

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Financial Institutions

 

 

5,574,407

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Transportation—0.2%

 

 

 

 

Caa2

 

 

100

 

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

 

 

102,000

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Corporate Bonds

 

 

6,680,898

 

 

 

 

 

 

 

 



 

 

 

 

 

 

U.S. Government and Agency Securities—36.3%

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

3,200

 

3.50%, 11/15/06

 

 

3,175,001

 

 

 

 

2,000

 

6.00%, 8/15/09

 

 

2,066,718

 

 

 

 

385

 

6.625%, 5/15/07

 

 

391,527

 

 

 

 

10,000

 

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

 

 

9,871,875

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

15,505,121

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Taxable Municipal Bonds—7.3%

 

 

 

 

AAA

 

 

500

 

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

 

 

552,350

 

AAA

 

 

500

 

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

 

 

524,340

 

 

 

 

 

 

Los Angeles County California Pension Oblig.,

 

 

 

 

AAA

 

 

1,000

 

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

 

 

1,005,110

 

AAA

 

 

500

 

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

 

 

516,360

 

AAA

 

 

500

 

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

 

 

509,475

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Taxable Municipal Bonds

 

 

3,107,635

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Long-Term Investments (cost $34,801,147)

 

 

34,175,879

 

 

 

 

 

 

 

 



 

 

 

 

 

 

SHORT-TERM INVESTMENT—19.4%

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bond—19.4%

 

 

 

 

 

 

 

8,300

7

Federal Home Loan Bank Discount Notes, 4.71%, 5/01/06 (cost $8,300,000)

 

 

8,300,000

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Investments—99.4% (cost $43,101,1478)

 

$

42,475,879

 

 

 

 

 

 

Other assets in excess of liabilities—0.6%

 

 

239,030

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Net Assets—100%

 

$

42,714,909

 

 

 

 

 

 

 

 



 


 

 


1

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

2

Variable rate security. Rate shown is interest rate as of April 30, 2006.

3

Rate shown is interest rate or effective yield as of April 30, 2006 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 April 30, 2006, the Trust held 1.2% of its net assets, with a current market value of $504,132, in securities restricted as to resale.

5

Security is fair valued.

6

Illiquid security. As of April 30, 2006, the Trust held less than 0.1% of its net assets, with a current market value of $143 in these securities.

7

Rate shown is the yield to maturity as of April 30, 2006.

8

Cost for Federal income tax purposes is $43,101,147. The net unrealized depreciation on a tax basis is $625,268, consisting of $365,558 gross unrealized appreciation and $990,826 gross unrealized depreciation.


 


KEY TO ABBREVIATIONS

REMIC – Real Estate Mortgage Investment Conduit

See Notes to Financial Statements.

10


PORTFOLIO OF INVESTMENTS (unaudited)
APRIL 30, 2006

BlackRock Core Bond Trust (BHK)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

 

Value

 










 

 

 

 

 

LONG-TERM INVESTMENTS—98.9%

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—11.0%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

$

1,875

 

3.01%, 4/19/07

 

$

1,836,600

 

 

 

 

88

 

5.00%, 8/01/33

 

 

83,307

 

 

 

 

8,052

 

5.50%, 11/01/18-2/01/36

 

 

7,871,483

 

 

 

 

3,294

 

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

 

 

3,331,696

 

 

 

 

194

2

6.013%, 5/01/32

 

 

196,296

 

 

 

 

31

 

7.00%, 9/01/31

 

 

32,120

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

870

 

1.75%, 6/16/06

 

 

866,246

 

 

 

 

3,675

3

2.35%, 4/05/07

 

 

3,582,072

 

 

 

 

52

 

4.50%, 2/01/20

 

 

49,949

 

 

 

 

12,165

 

5.00%, 11/01/17-7/01/35

 

 

11,829,691

 

 

 

 

4,262

 

5.50%, 1/01/18-1/01/36

 

 

4,156,375

 

 

 

 

1,025

 

6.00%, 8/01/29-3/01/36

 

 

1,019,787

 

 

 

 

382

 

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

 

 

392,674

 

 

 

 

1,400

 

TBA, 5.00%, 5/16/21

 

 

1,362,813

 

 

 

 

314

 

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

 

 

308,634

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

908

 

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

 

 

856,938

 

 

 

 

2,029

 

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

 

 

1,974,778

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

39,751,459

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

 

 

1,062

 

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

 

 

1,088,338

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—7.0%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

2,553

 

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

 

 

2,518,808

 

 

 

 

1,504

 

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

 

 

1,491,332

 

 

 

 

1,300

 

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

 

 

1,200,368

 

 

 

 

3,557

 

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

 

 

3,502,995

 

 

 

 

1,910

 

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

 

 

1,885,104

 

 

 

 

1,847

 

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

 

 

1,828,325

 

 

 

 

1,600

 

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

 

 

1,578,522

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

1,635

 

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

 

 

1,625,448

 

 

 

 

3,472

 

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

 

 

3,387,800

 

 

 

 

2,136

 

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

 

 

2,101,560

 

 

 

 

2,129

 

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

 

 

2,084,354

 

 

 

 

1,974

2

Ser. 118, Class FD, 5.359%, 12/25/33

 

 

1,985,652

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

25,190,268

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Asset-Backed Securities—8.8%

 

 

 

 

AAA

 

 

2,825

 

Citibank Credit Card Issuance Trust, 4.85%, 2/10/11

 

 

2,797,112

 

 

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

AAA

 

 

2,572

2

Ser. 15, Class 2AV1, 5.059%, 4/25/36

 

 

2,572,692

 

AAA

 

 

2,702

2

Ser. 16, Class 4AV1, 5.059%, 1/25/35

 

 

2,702,945

 

AAA

 

 

2,825

 

DaimlerChrysler Auto Trust, 5.00%, 5/08/10

 

 

2,813,432

 

AAA

 

 

2,850

 

Ford Credit Auto Owner Trust, 5.07%, 12/15/10

 

 

2,835,422

 

AAA

 

 

2,825

 

MBNA Credit Card Master Note Trust, 4.90%, 7/15/11

 

 

2,802,534

 

AAA

 

 

2,207

2

Merrill Lynch Mortgage Investors, Inc., 5.069%, 9/25/36

 

 

2,207,649

 

AAA

 

 

2,630

2

New Century Home Equity Loan Trust, 5.039%, 1/25/36

 

 

2,630,585

 

 

 

 

 

 

SLM Student Loan Trust,

 

 

 

 

AAA

 

 

2,179

2

Ser. 5, Class A1, 5.10%, 1/25/18

 

 

2,179,334

 

AAA

 

 

812

2

Ser. 9, Class A2, 5.12%, 10/25/12

 

 

812,235

 

AAA

 

 

2,293

2

Ser. 10, Class A1, 5.07%, 4/25/12

 

 

2,291,548

 

AAA

 

 

2,648

2

Structured Asset Investment Loan Trust, 5.039%, 1/25/36

 

 

2,649,966

 

AAA

 

 

2,725

 

USAA Auto Owner Trust, 5.04%, 12/15/11

 

 

2,705,887

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Asset-Backed Securities

 

 

32,001,341

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

11


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Interest Only Asset-Backed Securities—1.1%

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

 

$

28,253

 

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

 

$

1,977,731

 

 

 

 

30,350

 

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

 

 

2,124,500

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

4,102,231

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—0.9%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

2,923

 

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

 

 

406,453

 

 

 

 

7,231

 

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

 

 

1,331,487

 

 

 

 

32,031

2

Federal National Mortgage Assoc., 1.741%, 11/25/34

 

 

1,410,164

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,148,104

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Commercial Mortgage-Backed Securities—6.9%

 

 

 

 

AAA

 

 

2,180

2

Banc of America Commerical Mortgage, Inc., 4.894%, 11/10/42

 

 

2,123,455

 

AAA

 

 

1,808

 

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

 

 

1,813,353

 

AAA

 

 

2,720

 

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

 

 

2,620,591

 

AAA

 

 

1,648

 

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., 7.179%, 8/15/36

 

 

1,711,936

 

AAA

 

 

2,683

 

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

 

 

2,700,471

 

AAA

 

 

1,677

 

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

 

 

1,714,263

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

2,140

 

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

 

 

2,163,647

 

AAA

 

 

2,180

 

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

 

 

2,071,680

 

AAA

 

 

1,770

 

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

 

 

1,861,937

 

AAA

 

 

2,622

 

Morgan Stanley Capital Trust I, 6.48%, 11/15/30

 

 

2,670,614

 

AAA

 

 

3,500

 

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

 

 

3,717,713

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

25,169,660

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Collateralized Mortgage Obligation Securities—4.1%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

1,200

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

1,148,654

 

 

 

 

372

 

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

 

 

370,317

 

 

 

 

3,197

 

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

 

 

3,184,040

 

 

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

AAA

 

 

3,150

 

Ser. C3, Class A3, 6.423%, 8/15/33

 

 

3,237,475

 

AAA

 

 

2,265

 

Ser. C4, Class A2, 6.223%, 12/12/33

 

 

2,327,197

 

AAA

 

 

2,350

 

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., 4.93%, 7/10/39

 

 

2,261,508

 

AAA

 

 

2,741

 

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

 

 

2,459,530

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Collateralized Mortgage Obligation Securities

 

 

14,988,721

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Corporate Bonds—55.8%

 

 

 

 

 

 

 

 

 

Aerospace & Defense—2.2%

 

 

 

 

B-

 

 

384

 

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

 

 

501,517

 

B+

 

 

30

 

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

 

 

32,025

 

 

 

 

 

 

BE Aerospace, Inc.,

 

 

 

 

BB-

 

 

1,310

 

8.50%, 10/01/10

 

 

1,396,787

 

B

 

 

475

 

8.875%, 5/01/11

 

 

495,781

 

B-

 

 

1,430

 

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

 

 

1,494,350

 

B

 

 

80

 

DRS Technologies, Inc., 7.625%, 2/01/18

 

 

81,600

 

 

 

 

 

 

Northrop Grumman Corp.,

 

 

 

 

BBB+

 

 

615

 

4.079%, 11/16/06

 

 

611,058

 

BBB+

 

 

960

 

7.875%, 3/01/26

 

 

1,128,825

 

NR

 

 

1,190

 

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

 

 

1,204,975

 

BB

 

 

90

 

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

 

 

94,050

 

A+

 

 

1,125

 

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

 

 

1,059,080

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Aerospace & Defense

 

 

8,100,048

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Automotive—0.8%

 

 

 

 

BB+

 

 

25

 

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

 

 

25,563

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

150

4

7.00%, 4/15/14

 

 

150,750

 

BB+

 

 

150

2,4

7.045%, 4/15/13

 

 

152,625

 

 

 

 

 

 

Avis Budget Car Rental LLC,

 

 

 

 

BB-

 

 

30

2,4

7.576%, 5/15/14

 

 

30,862

 

BB-

 

 

65

4

7.75%, 5/15/16

 

 

66,300

 

See Notes to Financial Statements.

12


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 











 

 

 

 

 

Automotive—(cont’d)

 

 

 

 

A3

 

$

660

 

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

 

$

681,184

 

CCC

 

 

90

 

Dura Operating Corp., 8.625%, 4/15/12

 

 

76,500

 

B

 

 

700

 

General Motors Corp., 8.25%, 7/15/23

 

 

507,500

 

B-

 

 

25

 

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

 

 

24,625

 

B+

 

 

300

 

Lear Corp., 8.11%, 5/15/09

 

 

294,750

 

CCC+

 

 

450

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

434,250

 

B

 

 

100

 

Tenneco, Inc., 8.625%, 11/15/14

 

 

101,250

 

BB-

 

 

517

 

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

 

 

555,775

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Automotive

 

 

3,101,934

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Basic Materials—3.4%

 

 

 

 

B+

 

 

40

 

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

 

 

40,400

 

B+

 

 

850

 

AK Steel Corp., 7.75%, 6/15/12

 

 

860,625

 

B

 

 

80

2,4

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 10.577%, 7/15/10

 

 

81,800

 

BB-

 

 

80

2

Bowater, Inc., 7.91%, 3/15/10

 

 

80,800

 

NR

 

 

4,330

 

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

 

 

4,557,325

 

BB+

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

29,925

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B+

 

 

60

 

7.125%, 8/15/15 (Canada)

 

 

54,450

 

B+

 

 

180

 

7.875%, 10/15/11 (Canada)

 

 

174,600

 

B+

 

 

150

 

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

 

 

151,313

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

B2

 

 

66

 

11.50%, 7/15/12

 

 

75,570

 

B2

 

 

225

2

12.318%, 7/15/11

 

 

235,688

 

BB

 

 

70

 

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

 

 

75,425

 

 

 

 

 

 

Ineos Group Holdings PLC,

 

 

 

 

B2

 

 

285

 

7.875%, 2/07/16 (United Kingdom) (EUR)

 

 

346,522

 

B-

 

 

730

4

8.50%, 2/15/16 (United Kingdom)

 

 

690,762

 

CCC+

 

 

1,045

 

Innophos, Inc., 8.875%, 8/15/14

 

 

1,076,350

 

BBB+

 

 

130

 

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

 

 

145,925

 

BB+

 

 

2,120

 

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

 

 

2,204,800

 

B3

 

 

255

 

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

 

 

273,487

 

BB+

 

 

480

2

Nova Chemicals Corp., 8.405%, 11/15/13 (Canada)

 

 

483,000

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

CCC+

 

 

204

 

8.875%, 6/01/11 (France)

 

 

211,650

 

B3

 

 

16

 

10.25%, 6/01/10 (France)

 

 

17,880

 

BBB

 

 

380

 

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

 

 

351,559

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Basic Materials

 

 

12,219,856

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Building & Development—1.4%

 

 

 

 

B-

 

 

75

 

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

 

 

78,187

 

B2

 

 

200

4

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

 

 

205,000

 

B-

 

 

635

 

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

 

 

654,050

 

B-

 

 

640

 

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

 

 

641,600

 

BB+

 

 

3,000

 

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

 

 

3,176,250

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

55

 

8.75%, 12/01/11 (Canada)

 

 

53,763

 

B

 

 

175

 

9.00%, 6/01/10 (Canada)

 

 

185,500

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Building & Development

 

 

4,994,350

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Consumer Products—2.2%

 

 

 

 

B3

 

 

90

 

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

 

 

88,200

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

B-

 

 

250

 

7.875%, 12/01/13

 

 

243,750

 

B+

 

 

500

 

9.625%, 3/15/12

 

 

535,000

 

BBB+

 

 

530

 

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

 

 

526,934

 

B-

 

 

280

 

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

 

 

245,700

 

B

 

 

80

 

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

 

 

84,400

 

B-

 

 

800

4

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

 

 

766,000

 

B-

 

 

330

 

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

 

 

330,413

 

B

 

 

385

2

Levi Strauss & Co., 9.74%, 4/01/12

 

 

401,362

 

See Notes to Financial Statements.

13


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Consumer Products—(cont’d)

 

 

 

 

 

 

 

 

 

May Department Stores Co.,

 

 

 

 

BBB+

 

$

30

 

6.65%, 7/15/24

 

$

29,837

 

BBB+

 

 

230

 

7.875%, 3/01/30

 

 

254,255

 

CCC-

 

 

170

 

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

 

 

89,250

 

B3

 

 

50

2,4

Nutro Products, Inc., 9.23%, 10/15/13

 

 

51,000

 

B

 

 

1,000

 

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

 

 

1,015,000

 

BB-

 

 

200

 

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

 

 

193,000

 

B-

 

 

925

4

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

 

 

908,812

 

B

 

 

2,100

 

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

 

 

2,163,000

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Consumer Products

 

 

7,925,913

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

B3

 

 

240

4

Covalence Specialty Materials Corp., 10.25%, 3/01/16

 

 

248,400

 

B1

 

 

250

4

Crown Americas LLC and Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

255,625

 

CCC+

 

 

75

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

76,687

 

B

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,537,500

 

B-

 

 

75

4

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

 

 

76,500

 

CCC+

 

 

445

4

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

 

 

466,694

 

B+

 

 

250

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

256,875

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Containers & Packaging

 

 

2,918,281

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

BB-

 

 

230

 

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

 

 

219,650

 

CCC

 

 

590

 

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

 

 

612,125

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

831,775

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Energy—6.4%

 

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

B

 

 

260

 

7.375%, 2/15/24

 

 

267,150

 

B

 

 

810

 

9.625%, 11/01/21

 

 

970,987

 

B2

 

 

270

 

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

 

 

279,450

 

B

 

 

170

4

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

175,100

 

BB

 

 

20

4

Chesapeake Energy Corp., 6.875%, 11/15/20

 

 

19,700

 

B-

 

 

250

 

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

 

 

235,625

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

30

 

7.50%, 1/15/09

 

 

30,825

 

BB-

 

 

95

 

8.50%, 4/15/11

 

 

101,888

 

BB-

 

 

30

 

9.875%, 10/15/07

 

 

31,763

 

BB-

 

 

160

 

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

 

 

165,200

 

 

 

 

 

 

Compton Petroleum Finance Corp.,

 

 

 

 

B

 

 

100

 

7.625%, 12/01/13

 

 

99,125

 

B

 

 

255

4

7.625%, 12/01/13 (Canada)

 

 

252,769

 

A1

 

 

375

 

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

 

 

414,531

 

BBB

 

 

1,980

 

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

 

 

2,329,839

 

B2

 

 

690

 

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

 

 

723,638

 

B

 

 

180

 

Dynegy Danskammer LLC, 7.27%, 11/08/10

 

 

183,600

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B-

 

 

100

 

7.80%, 8/01/31

 

 

99,500

 

B-

 

 

65

4

9.625%, 5/15/12

 

 

71,825

 

B-

 

 

150

4

10.75%, 10/01/10

 

 

167,625

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

B

 

 

850

 

7.625%, 8/01/10

 

 

877,625

 

B

 

 

225

 

8.375%, 6/15/32

 

 

249,188

 

B

 

 

265

 

8.625%, 1/15/22

 

 

296,469

 

Ba2

 

 

175

 

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

 

 

184,385

 

A-

 

 

1,000

 

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

 

 

1,018,028

 

B-

 

 

60

 

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

 

 

59,250

 

AA-

 

 

950

 

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

 

 

792,993

 

BB

 

 

80

 

Grant Prideco, Inc., 6.125%, 8/15/15

 

 

76,800

 

BBB+

 

 

175

 

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

 

 

188,309

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

250

4

7.75%, 11/01/15

 

 

246,250

 

B

 

 

49

4

10.50%, 9/01/10

 

 

53,410

 

See Notes to Financial Statements.

14


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Energy—(cont’d)

 

 

 

 

B-

 

$

170

 

KCS Energy, Inc., 7.125%, 4/01/12

 

$

171,275

 

BBB

 

 

1,025

 

Kinder Morgan Fin. Corp., 6.40%, 1/05/36

 

 

981,506

 

B+

 

 

94

 

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

 

 

100,718

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

B

 

 

40

 

8.30%, 5/01/11

 

 

41,300

 

B

 

 

50

 

8.50%, 10/01/21

 

 

50,375

 

B

 

 

220

 

9.125%, 5/01/31

 

 

231,000

 

B2

 

 

590

 

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

 

 

671,125

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B1

 

 

50

 

7.25%, 2/01/14

 

 

50,250

 

B1

 

 

285

 

7.375%, 2/01/16

 

 

287,138

 

A-

 

 

360

 

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

 

 

399,563

 

B-

 

 

130

 

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

 

 

147,713

 

BBB+

 

 

790

 

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

 

 

682,197

 

BBB

 

 

1,650

 

Pemex Project Funding Master Trust, 9.375%, 12/02/08

 

 

1,786,125

 

BBB

 

 

395

 

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

 

 

366,258

 

Baa2

 

 

850

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

967,209

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

210

 

6.75%, 12/15/14

 

 

191,100

 

BB-

 

 

50

 

9.25%, 7/15/10

 

 

50,875

 

A-

 

 

700

 

Scottish Power PLC, 5.375%, 3/15/15 (United Kingdom)

 

 

669,862

 

Aa1

 

 

290

4

SP PowerAssets Ltd., 5.00%, 10/22/13 (Singapore)

 

 

276,982

 

A-

 

 

295

 

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

 

 

284,211

 

BBB+

 

 

310

 

Talisman Energy, Inc., 5.85%, 2/01/37 (Canada)

 

 

282,884

 

B-

 

 

320

4

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

 

 

324,800

 

AA

 

 

1,050

 

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

 

 

1,368,792

 

A2

 

 

550

 

Transcanada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

519,594

 

BBB-

 

 

20

 

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

 

 

20,500

 

B2

 

 

45

 

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

 

 

44,550

 

BB+

 

 

515

 

Williams Cos., Inc., 8.75%, 3/15/32

 

 

592,250

 

BBB-

 

 

950

 

XTO Energy, Inc., 6.10%, 4/01/36

 

 

896,422

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Energy

 

 

23,119,421

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Entertainment & Leisure—0.9%

 

 

 

 

B3

 

 

185

4

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

197,950

 

B

 

 

1,000

 

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

 

 

1,070,000

 

B-

 

 

150

 

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

 

 

143,625

 

B3

 

 

360

4

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

377,100

 

B

 

 

110

 

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

 

 

116,050

 

B

 

 

1,000

 

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

 

 

1,095,000

 

B+

 

 

100

4

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

 

 

101,000

 

BB-

 

 

260

 

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

 

 

260,000

 

B+

 

 

40

 

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

 

 

38,800

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Entertainment & Leisure

 

 

3,399,525

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Financial Institutions—20.9%

 

 

 

 

AA

 

 

550

4,5

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

 

 

542,507

 

BB

 

 

320

 

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

 

 

318,400

 

Aa2

 

 

1,645

 

Bank of America Corp., 4.50%, 8/01/10

 

 

1,592,244

 

Aa2

 

 

325

 

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

 

 

317,023

 

Aa2

 

 

1,400

 

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

 

 

1,427,886

 

AA+

 

 

4,970

2

Barclays Bank PLC NY, 4.90%, 3/13/09

 

 

4,970,000

 

B

 

 

40

 

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

 

 

44,000

 

AA

 

 

350

4

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

 

 

305,812

 

 

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

AAA

 

 

1,200

 

3.40%, 7/02/07

 

 

1,172,628

 

AAA

 

 

1,075

 

4.75%, 5/15/12

 

 

1,027,534

 

AA+

 

 

600

 

CitiFinancial, 6.25%, 1/01/08

 

 

609,240

 

See Notes to Financial Statements.

15


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

$

3,010

 

3.625%, 2/09/09

 

$

2,883,980

 

AA+

 

 

5,470

 

4.125%, 2/22/10

 

 

5,232,262

 

AA+

 

 

1,960

 

4.25%, 7/29/09

 

 

1,897,721

 

AA+

 

 

525

 

6.875%, 2/15/98

 

 

546,676

 

BB

 

 

1,080

 

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

 

 

1,123,200

 

AAA

 

 

1,100

4

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

 

 

1,053,869

 

AA-

 

 

900

2

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

 

 

885,600

 

B+

 

 

100

 

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

 

 

101,750

 

BB

 

 

180

 

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

 

 

171,000

 

Aaa

 

 

525

4

Fort Irwin Land LLC, 5.03%, 12/15/25

 

 

469,639

 

AAA

 

 

3,625

2

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

 

 

3,611,770

 

BB

 

 

460

 

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

425,393

 

AA-

 

 

1,415

 

Goldman Sachs Group, Inc., 5.35%, 1/15/16

 

 

1,358,285

 

 

 

 

 

 

HBOS Treasury Services PLC,

 

 

 

 

AA+

 

 

855

4

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

 

 

838,088

 

AA+

 

 

825

4

3.75%, 9/30/08 (United Kingdom)

 

 

794,992

 

AA-

 

 

775

 

HSBC Bank USA, Inc., 5.875%, 11/01/34

 

 

734,495

 

 

 

 

 

 

HSBC Finance Corp.,

 

 

 

 

AA-

 

 

1,820

 

4.75%, 5/15/09

 

 

1,787,331

 

AA-

 

 

635

 

6.375%, 8/01/10

 

 

653,183

 

AA

 

 

1,500

4

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

 

 

1,315,388

 

Aa3

 

 

600

 

JP Morgan Chase & Co., 5.35%, 3/01/07

 

 

598,903

 

B-

 

 

255

 

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

 

 

260,738

 

AA

 

 

1,150

4

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

 

 

1,110,778

 

AA-

 

 

4,405

2

Morgan Stanley Group, Inc., 4.91%, 3/07/08

 

 

4,403,681

 

AA

 

 

2,125

4

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

 

 

2,080,216

 

B2

 

 

645

4

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

 

 

638,550

 

AAA

 

 

850

4

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

 

 

819,045

 

AA

 

 

350

 

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

 

 

353,027

 

A

 

 

500

 

Prudential Financial, Inc., 5.90%, 3/17/36

 

 

468,690

 

AA-

 

 

1,000

4

Prudential Funding LLC, 6.60%, 5/15/08

 

 

1,023,099

 

AAA

 

 

5,550

2,4

Rabobank Nederland Global, 5.01%, 4/06/09

 

 

5,548,638

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

200

4

8.75%, 9/01/12

 

 

213,500

 

B+

 

 

1,455

4

10.375%, 9/01/14

 

 

1,633,237

 

Caa1

 

 

685

 

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

 

 

606,225

 

AA+

 

 

3,255

7

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

 

 

3,254,801

 

Aa2

 

 

1,265

 

SunTrust Bank, 4.415%, 6/15/09

 

 

1,227,683

 

 

 

 

 

 

SunTrust Banks, Inc.,

 

 

 

 

Aa3

 

 

1,635

 

3.625%, 10/15/07

 

 

1,598,465

 

Aa3

 

 

995

 

4.00%, 10/15/08

 

 

965,869

 

AAA

 

 

235

4

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

 

 

229,686

 

Aa2

 

 

375

 

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

 

 

368,977

 

B-

 

 

50

2

Universal City Florida Holding Co. I/II, 9.899%, 5/01/10

 

 

51,875

 

 

 

 

 

 

US Bank NA,

 

 

 

 

Aa1

 

 

1,380

 

2.87%, 2/01/07

 

 

1,354,117

 

Aa2

 

 

2,790

 

6.50%, 2/01/08

 

 

2,846,938

 

AAA

 

 

495

4

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

 

 

485,215

 

A+

 

 

1,985

2

Wachovia Capital Trust III, 5.80%, 3/15/42

 

 

1,948,402

 

 

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

Aa1

 

 

1,031

 

3.12%, 8/15/08

 

 

983,444

 

Aa1

 

 

355

 

4.20%, 1/15/10

 

 

341,219

 

Aa1

 

 

1,665

 

4.625%, 8/09/10

 

 

1,615,496

 

Aa1

 

 

435

 

4.875%, 1/12/11

 

 

425,037

 

Aa3

 

 

50

 

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

 

 

55,500

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Financial Institutions

 

 

75,722,947

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

16


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Health Care—1.3%

 

 

 

 

B

$

 

440

4

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

$

442,200

 

NR

 

 

20

6

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

 

 

12,500

 

CCC

 

 

250

 

MedQuest, Inc., 11.875%, 8/15/12

 

 

208,750

 

B3

 

 

170

 

Select Medical Corp., 7.625%, 2/01/15

 

 

155,125

 

B

 

 

445

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

366,012

 

B

 

 

2,000

 

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

 

 

2,130,000

 

A

 

 

325

 

UnitedHealth Group, Inc., 5.80%, 3/15/36

 

 

297,088

 

B-

 

 

410

 

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

 

 

426,912

 

A-

 

 

85

 

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

 

 

79,361

 

A

 

 

675

 

Wyeth, 6.00%, 2/15/36

 

 

641,699

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Health Care

 

 

4,759,647

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Industrials—1.2%

 

 

 

 

B-

 

 

390

 

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

 

 

422,175

 

CCC+

 

 

420

 

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

 

 

396,900

 

B3

 

 

480

4

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

 

 

508,800

 

B

 

 

2,000

 

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

 

 

2,130,000

 

CCC+

 

 

210

 

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

 

 

198,450

 

Caa1

 

 

655

 

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

 

 

630,438

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Industrials

 

 

4,286,763

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Media—4.9%

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

365

4

10.125%, 10/15/13

 

 

377,499

 

B-

 

 

200

4

11.50%, 10/15/15

 

 

205,000

 

B-

 

 

430

 

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

 

 

432,150

 

CCC

 

 

295

 

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

 

 

278,406

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

90

 

6.625%, 5/15/29

 

 

87,254

 

BBB+

 

 

3,040

 

7.57%, 2/01/24

 

 

3,216,946

 

BBB+

 

 

205

5

7.625%, 4/15/31

 

 

221,256

 

BBB+

 

 

85

 

7.70%, 5/01/32

 

 

92,718

 

BBB

 

 

55

4

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

 

 

51,323

 

B+

 

 

180

2

Cablevision Systems Corp., 9.62%, 4/01/09

 

 

190,800

 

 

 

 

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

Caa1

 

 

130

4

10.25%, 9/15/10

 

 

130,488

 

Caa1

 

 

710

 

10.25%, 9/15/10

 

 

718,875

 

 

 

 

 

 

Comcast Corp.,

 

 

 

 

BBB+

 

 

1,840

 

6.45%, 3/15/37

 

 

1,756,825

 

BBB+

 

 

625

 

6.50%, 11/15/35

 

 

601,166

 

BB-

 

 

270

 

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

275,400

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

175

 

5.75%, 10/01/08

 

 

172,375

 

BB-

 

 

75

4

7.125%, 2/01/16

 

 

73,125

 

BB-

 

 

125

2

8.24%, 10/01/08

 

 

127,500

 

B

 

 

250

 

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

 

 

269,375

 

B+

 

 

180

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

163,800

 

B2

 

 

170

4

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

 

 

174,675

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

985

 

7.625%, 11/30/28

 

 

1,043,725

 

BBB

 

 

825

 

7.70%, 10/30/25

 

 

877,470

 

BBB

 

 

625

 

8.45%, 8/01/34

 

 

716,088

 

B3

 

 

260

 

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

 

 

244,400

 

B2

 

 

600

2,4

Paxson Communications Corp., 8.318%, 1/15/12

 

 

615,750

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

80

 

8.00%, 5/15/13

 

 

73,000

 

B2

 

 

440

2

10.545%, 5/15/10

 

 

451,000

 

BB-

 

 

250

4

Quebecor World, Inc., 8.75%, 3/15/16 (Canada)

 

 

242,470

 

B

 

 

800

4

RH Donnelley Corp., 8.875%, 1/15/16

 

 

823,000

 

Caa1

 

 

190

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

185,725

 

See Notes to Financial Statements.

17


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

BBB+

 

$

200

 

7.125%, 2/15/28

 

$

200,943

 

BBB+

 

 

610

 

7.875%, 2/15/26

 

 

654,259

 

BBB+

 

 

10

 

7.875%, 8/01/13

 

 

10,893

 

BBB+

 

 

70

 

Time Warner Cos., Inc., 6.95%, 1/15/28

 

 

69,750

 

CCC+

 

 

100

4

Unity Media GmbH, 10.375%, 2/15/15 (Germany)

 

 

99,000

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B3

 

 

645

 

9.75%, 4/01/09

 

 

657,900

 

CCC

 

 

225

 

10.875%, 6/15/09

 

 

216,000

 

Caa2

 

 

905

 

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

 

 

830,337

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Media

 

 

17,628,666

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Real Estate—1.9%

 

 

 

 

BB

 

 

3,165

 

American Real Estate Partners, 8.125%, 6/01/12

 

 

3,267,863

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

BBB+

 

 

350

 

6.625%, 9/15/11

 

 

365,205

 

BBB+

 

 

775

 

8.25%, 7/15/08

 

 

817,531

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

895

 

3.625%, 3/15/09

 

 

832,630

 

BB+

 

 

1,650

 

5.375%, 11/26/13

 

 

1,526,692

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Real Estate

 

 

6,809,921

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Technology—1.4%

 

 

 

 

CCC+

 

 

410

 

Amkor Technology, Inc., 9.25%, 2/15/08

 

 

432,550

 

B+

 

 

250

 

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

 

 

250,000

 

 

 

 

 

 

MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.,

 

 

 

 

B2

 

 

20

 

8.00%, 12/15/14 (Luxembourg)

 

 

18,600

 

Ba3

 

 

170

2

8.16%, 12/15/11 (Luxembourg)

 

 

170,850

 

A-

 

 

1,230

4

Oracle Corp. and Ozark Holding, Inc., 5.25%, 1/15/16

 

 

1,163,018

 

B2

 

 

190

4

Sensata Technologies BV, 8.00%, 5/01/14

 

 

191,900

 

CCC+

 

 

280

4

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

298,900

 

BB

 

 

40

 

STATS ChipPAC Ltd., 7.50%, 7/19/10 (Singapore)

 

 

40,500

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

120

4

9.125%, 8/15/13

 

 

128,400

 

B-

 

 

340

2,4

9.431%, 8/15/13

 

 

362,100

 

B-

 

 

560

4

10.25%, 8/15/15

 

 

599,200

 

B

 

 

895

 

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

 

 

901,712

 

B-

 

 

330

 

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

 

 

361,350

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Technology

 

 

4,919,080

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Telecommunications—5.6%

 

 

 

 

A

 

 

1,700

 

Bellsouth Telecommunications, 6.65%, 12/15/95

 

 

775,450

 

BB-

 

 

210

 

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

 

 

214,200

 

 

 

 

 

 

Deutsche Telekom Intl. Finance BV,

 

 

 

 

A-

 

 

3,000

 

5.75%, 3/23/16

 

 

2,897,368

 

A-

 

 

25

 

8.25%, 6/15/30 (Netherlands)

 

 

29,904

 

B3

 

 

190

4

Hawaiian Telcom Communications, Inc., 10.789%, 5/01/13

 

 

195,700

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

B2

 

 

65

 

8.25%, 1/15/13 (Bermuda)

 

 

66,300

 

B2

 

 

295

 

8.625%, 1/15/15 (Bermuda)

 

 

307,169

 

B2

 

 

325

2

9.614%, 1/15/12 (Bermuda)

 

 

330,688

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

155

 

6.45%, 3/15/29

 

 

137,175

 

B1

 

 

805

 

6.50%, 1/15/28

 

 

706,387

 

B+

 

 

770

4

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16

 

 

800,800

 

B2

 

 

70

 

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

 

 

65,363

 

B1

 

 

155

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

163,138

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

200

 

7.875%, 9/01/11

 

 

209,500

 

BB+

 

 

470

2

8.16%, 6/15/13

 

 

512,300

 

BB+

 

 

155

 

Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)

 

 

160,038

 

A

 

 

780

 

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

 

 

759,147

 

See Notes to Financial Statements.

18


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

A-

 

$

1,715

 

Sprint Capital Corp., 6.875%, 11/15/28

 

$

1,763,566

 

BBB+

 

 

1,550

 

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

 

 

1,384,016

 

BBB+

 

 

725

 

Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)

 

 

778,408

 

A+

 

 

70

 

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

 

 

77,337

 

A+

 

 

125

 

Verizon Maryland, Inc., 5.125%, 6/15/33

 

 

95,940

 

 

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

A+

 

 

230

 

7.85%, 11/15/29

 

 

239,324

 

A+

 

 

335

 

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

 

 

330,314

 

A+

 

 

3,150

 

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

 

 

2,832,066

 

 

 

 

 

 

Vodafone Group PLC,

 

 

 

 

A+

 

 

1,465

2

5.05%, 12/28/07 (United Kingdom)

 

 

1,465,486

 

A+

 

 

2,504

 

7.75%, 2/15/10 (United Kingdom)

 

 

2,678,560

 

B+

 

 

350

4

Wind Acquisition Finance SA, 10.75%, 12/01/15 (Luxembourg)

 

 

384,125

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Telecommunications

 

 

20,359,769

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Transportation—0.3%

 

 

 

 

Ba3

 

 

115

 

American Airlines, Inc., 7.324%, 4/15/11

 

 

111,550

 

A-

 

 

350

 

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

 

 

356,473

 

B

 

 

405

 

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

 

 

412,087

 

BB-

 

 

60

4

Hertz Corp., 8.875%, 1/01/14

 

 

63,825

 

B3

 

 

47

 

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

 

 

48,939

 

B+

 

 

50

 

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

 

 

51,375

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Transportation

 

 

1,044,249

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Corporate Bonds

 

 

202,142,145

 

 

 

 

 

 

 

 



 

 

 

 

 

 

U.S. Government and Agency Securities—2.0%

 

 

 

 

 

 

 

1,670

 

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

 

 

1,606,483

 

 

 

 

1,050

 

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

 

 

543,346

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

 

 

 

1,655

 

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

 

 

1,710,257

 

 

 

 

2,650

3

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

 

 

2,614,809

 

 

 

 

1,725

 

U.S. Treasury Strip Principal, Zero Coupon, 11/15/21

 

 

755,765

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

7,230,660

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Foreign Government Bonds—1.0%

 

 

 

 

 

 

 

 

 

United Mexican States,

 

 

 

 

Baa1

 

 

400

 

6.75%, 9/27/34

 

 

403,000

 

Baa1

 

 

2,255

 

8.00%, 9/24/22

 

 

2,587,613

 

Baa1

 

 

500

 

8.125%, 12/30/19

 

 

576,250

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Foreign Government Bonds

 

 

3,566,863

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Long-Term Investments (cost $368,360,495)

 

 

358,379,790

 

 

 

 

 

 

 

 



 

 

 

 

 

 

SHORT-TERM INVESTMENTS—1.5%

 

 

 

 

 

 

 

 

 

Foreign Government Bond—1.1%

 

 

 

 

 

 

 

 

 

France Treasury Bill,

 

 

 

 

 

 

 

545

8

2.565%, 7/13/06

 

 

684,038

 

 

 

 

2,632

8

2.52%, 7/13/06

 

 

3,303,406

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Foreign Government Bond

 

 

3,987,444

 

 

 

 

 

 

 

 



 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Bonds—0.4%

 

 

 

 

 

 

 

300

8

Federal National Mortgage Assoc. Disc. Notes, 4.71%, 5/10/06

 

 

299,648

 

 

 

 

700

5,8

U.S. Treasury Bills, 4.494%, 5/04/06

 

 

699,738

 

 

 

 

200

5,8

U.S. Treasury Bills, 4.542%, 5/18/06

 

 

199,573

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total U.S. Government and Agency Zero Coupon Bonds

 

 

1,198,959

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Short-Term Investments (cost $5,186,403)

 

 

5,186,403

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

19


BlackRock Core Bond Trust (BHK) (continued)

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.3%

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

$

5,200

 

Trust pays 3-month LIBOR, Trust receives 5.26%, expires 3/02/16

 

$

147,680

 

 

 

 

5,200

 

Trust pays 5.26%, Trust receives 3-month LIBOR, expires 3/02/16

 

 

305,760

 

 

 

 

5,300

 

Trust pays 3-month LIBOR, Trust receives 5.50%, expires 12/11/15

 

 

235,850

 

 

 

 

5,300

 

Trust pays 5.50%, Trust receives 3-month LIBOR, expires 12/11/15

 

 

380,010

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Outstanding Options Purchased (cost $1,172,060)

 

 

1,069,300

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Investments before borrowed bond and outstanding options written—100.7% (cost $374,718,9589)

 

 

364,635,493

 

 

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

BORROWED BOND—1.0%

 

 

 

 

 

 

 

3,782

10

U.S. Treasury Bonds, 5.375%, 5/04/06 (cost $3,781,731)

 

 

3,781,731

 

 

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.7)%

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

(5,300

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(297,595

)

 

 

 

(5,300

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(92,061

)

 

 

 

(13,300

)

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

 

 

(934,857

)

 

 

 

(13,300

)

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

 

 

(60,648

)

 

 

 

(11,500

)

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

 

 

(419,750

)

 

 

 

(11,500

)

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

 

 

(518,650

)

 

 

 

(74

)

U.S. Treasury Notes Future, expiring 5/26/06

 

 

(56,078

)

 

 

 

(64

)

U.S. Treasury Notes Future, expiring 8/25/06

 

 

(43,500

)

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Outstanding Options Written (premium received $2,748,069)

 

 

(2,423,139

)

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Investments net of borrowed bond and outstanding options written—101.0%

 

$

365,994,085

 

 

 

 

 

 

Liabilities in excess of other assets—(1.0)%

 

 

(3,712,678

)

 

 

 

 

 

 

 



 

 

 

 

 

 

Net Assets—100%

 

$

362,281,407

 

 

 

 

 

 

 

 



 


 

 

1

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

2

Variable rate security. Rate shown is interest rate as of April 30, 2006.

3

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.

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 April 30, 2006, the Trust held 9.2% of its net assets, with a current market value of $33,449,198, in securities restricted as to resale.

5

Security, or a portion thereof, pledged as collateral with a value of $1,764,818 on 1,711 long U.S. Treasury Bond futures contracts expiring June 2006 to September 2006, 70 short Eurodollar futures contracts expiring June 2006 to September 2006 and 898 short U.S. Treasury Note futures contracts expiring September 2006. The notional value of such contracts on April 30, 2006 was $72,193,350, with an unrealized gain of $697,757.

6

Issuer is in default and/or bankruptcy.

7

Illiquid security. As of April 30, 2006, the Trust held 0.9% of its net assets, with a current market value of $3,254,801 in these securities.

8

Rate shown is the yield to maturity as of April 30, 2006.

9

Cost for Federal income tax purposes is $376,278,421. The net unrealized depreciation on a tax basis is $11,642,928, consisting of $1,835,307 gross unrealized appreciation and $13,478,235 gross unrealized depreciation.

10

The interest rate and maturity date shown represent the terms of the bond borrowed transaction, not the security borrowed (see Note 1).

A category in the Corporate 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.

20


PORTFOLIO OF INVESTMENTS (unaudited)
APRIL 30, 2006

BlackRock High Yield Trust (BHY)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

 

 

 

LONG-TERM INVESTMENTS—137.2%

 

 

 

 

 

 

 

 

 

Corporate Bonds—133.1%

 

 

 

 

 

 

 

 

 

Aerospace & Defense—6.4%

 

 

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

BB-

 

$

435

 

6.875%, 12/15/07

 

$

436,631

 

NR

 

 

350

 

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

 

 

353,500

 

B

 

 

375

 

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

 

 

395,625

 

B+

 

 

125

 

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

 

 

133,437

 

 

 

 

 

 

BE Aerospace, Inc.,

 

 

 

 

BB-

 

 

735

 

8.50%, 10/01/10

 

 

783,694

 

B

 

 

65

 

8.875%, 5/01/11

 

 

67,844

 

NR

 

 

1,500

2

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

 

 

 

B-

 

 

745

 

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

 

 

778,525

 

B

 

 

100

 

DRS Technologies, Inc., 7.625%, 2/01/18

 

 

102,000

 

 

 

 

 

 

Sequa Corp.,

 

 

 

 

BB

 

 

40

 

9.00%, 8/01/09

 

 

43,000

 

BB

 

 

19

 

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

 

 

19,855

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Aerospace & Defense

 

 

3,114,111

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Automotive—3.6%

 

 

 

 

BB+

 

 

65

 

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

 

 

66,463

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

90

3

7.00%, 4/15/14

 

 

90,450

 

BB+

 

 

80

3,4

7.045%, 4/15/13

 

 

81,400

 

 

 

 

 

 

Avis Budget Car Rental LLC,

 

 

 

 

BB-

 

 

20

3,4

7.576%, 5/15/14

 

 

20,575

 

BB-

 

 

20

3

7.75%, 5/15/16

 

 

20,400

 

Caa2

 

 

150

4

Delco Remy Intl., Inc., 9.068%, 4/15/09

 

 

143,250

 

CCC

 

 

50

 

Dura Operating Corp., 8.625%, 4/15/12

 

 

42,500

 

BB

 

 

60

 

General Motors Acceptance Corp., 6.875%, 9/15/11

 

 

56,244

 

B

 

 

390

 

General Motors Corp., 8.25%, 7/15/23

 

 

282,750

 

B-

 

 

10

 

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

 

 

9,850

 

B+

 

 

105

 

Lear Corp., 8.11%, 5/15/09

 

 

103,162

 

CCC+

 

 

455

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

439,075

 

CCC+

 

 

300

 

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

 

 

276,000

 

B

 

 

95

 

Tenneco, Inc., 8.625%, 11/15/14

 

 

96,187

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Automotive

 

 

1,728,306

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Basic Materials—15.2%

 

 

 

 

B+

 

 

60

 

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

 

 

60,600

 

B+

 

 

165

 

AK Steel Corp., 7.75%, 6/15/12

 

 

167,063

 

B-

 

 

205

 

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

 

 

224,987

 

BB-

 

 

150

 

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

 

 

148,500

 

B

 

 

70

3,4

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 10.577%, 7/15/10

 

 

71,575

 

BB-

 

 

130

4

Bowater, Inc., 7.91%, 3/15/10

 

 

131,300

 

NR

 

 

600

 

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

 

 

631,500

 

BB-

 

 

175

 

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

 

 

166,688

 

B+

 

 

170

 

Catalyst Paper Corp., 7.375%, 3/01/14 (Canada)

 

 

159,375

 

BB-

 

 

305

 

Century Alum Co., 7.50%, 8/15/14

 

 

316,437

 

BB+

 

 

50

 

Chemtura Corp., 6.875%, 6/01/16

 

 

49,875

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B+

 

 

40

 

7.125%, 8/15/15 (Canada)

 

 

36,300

 

B+

 

 

180

 

7.875%, 10/15/11 (Canada)

 

 

174,600

 

B+

 

 

90

 

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

 

 

90,788

 

 

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

BB-

 

 

50

 

8.75%, 2/15/09

 

 

52,250

 

BB-

 

 

115

 

10.125%, 9/01/08

 

 

123,338

 

BB-

 

 

100

 

10.625%, 5/01/11

 

 

108,750

 

See Notes to Financial Statements.

21


BlackRock High Yield Trust (BHY) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

B2

 

$

95

 

11.50%, 7/15/12

 

$

108,775

 

Ba3

 

 

365

 

11.625%, 10/15/10

 

 

411,537

 

B2

 

 

175

4

12.318%, 7/15/11

 

 

183,312

 

BB

 

 

35

 

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

 

 

37,713

 

B-

 

 

310

3

Ineos Group Holdings PLC, 8.50%, 2/15/16 (United Kingdom)

 

 

293,337

 

CCC+

 

 

645

 

Innophos, Inc., 8.875%, 8/15/14

 

 

664,350

 

Baa3

 

 

325

 

Ipsco, Inc., 8.75%, 6/01/13 (Canada)

 

 

351,812

 

BBB+

 

 

366

 

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

 

 

410,835

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB+

 

 

260

 

10.50%, 6/01/13

 

 

291,200

 

BB+

 

 

230

 

Ser. A, 9.625%, 5/01/07

 

 

237,475

 

B-

 

 

340

 

Nalco Co., 8.875%, 11/15/13

 

 

351,050

 

B3

 

 

375

 

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

 

 

402,187

 

BB+

 

 

400

4

Nova Chemicals Corp., 8.405%, 11/15/13 (Canada)

 

 

402,500

 

NR

 

 

2,000

2

Republic Technologies Intl. LLC, 13.75%, 7/15/09

 

 

 

 

 

 

 

 

Rhodia SA,

 

 

 

 

CCC+

 

 

169

 

8.875%, 6/01/11 (France)

 

 

175,338

 

B3

 

 

153

 

10.25%, 6/01/10 (France)

 

 

170,978

 

B-

 

 

50

 

Rockwood Specialties Group, Inc., 7.50%, 11/15/14

 

 

49,875

 

BB

 

 

125

 

Russel Metals, Inc., 6.375%, 3/01/14 (Canada)

 

 

122,500

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Basic Materials

 

 

7,378,700

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Building & Development—5.1%

 

 

 

 

B-

 

 

250

 

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

 

 

260,625

 

B+

 

 

40

4

Ainsworth Lumber Co. Ltd., 8.71%, 10/01/10 (Canada)

 

 

40,400

 

B2

 

 

150

3

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

 

 

153,750

 

B-

 

 

575

 

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

 

 

592,250

 

 

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

B2

 

 

45

4

7.491%, 6/15/12

 

 

45,844

 

B-

 

 

310

 

7.875%, 12/15/12

 

 

310,775

 

BB+

 

 

250

 

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

 

 

229,688

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

335

 

8.75%, 12/01/11 (Canada)

 

 

327,462

 

B

 

 

375

 

9.00%, 6/01/10 (Canada)

 

 

397,500

 

Ba3

 

 

125

 

WCI Communities, Inc., 7.875%, 10/01/13

 

 

118,906

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Building & Development

 

 

2,477,200

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Business Equipment & Services—0.1%

 

 

 

 

BB+

 

 

60

 

Xerox Corp., 6.875%, 8/15/11

 

 

61,125

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Consumer Products—6.9%

 

 

 

 

B3

 

 

50

 

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

 

 

49,000

 

B

 

 

175

 

B&G Foods, Inc., 8.00%, 10/01/11

 

 

179,156

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

B-

 

 

150

 

7.875%, 12/01/13

 

 

146,250

 

B+

 

 

200

 

9.625%, 3/15/12

 

 

214,000

 

B-

 

 

265

 

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

 

 

232,537

 

B

 

 

294

 

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

 

 

310,170

 

B-

 

 

380

3

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

 

 

363,850

 

B-

 

 

500

 

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

 

 

500,625

 

B

 

 

50

4

Levi Strauss & Co., 9.74%, 4/01/12

 

 

52,125

 

CCC-

 

 

380

 

Merisant Co., 9.50%, 7/15/13

 

 

251,750

 

CCC-

 

 

120

 

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

 

 

63,000

 

C

 

 

1,200

5

Nebco Evans Holding Co., 12.375%, 7/15/07

 

 

 

B2

 

 

95

3

Neiman-Marcus Group, Inc., 9.00%, 10/15/15

 

 

100,938

 

B3

 

 

30

3,4

Nutro Products, Inc., 9.23%, 10/15/13

 

 

30,600

 

B

 

 

265

 

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

 

 

268,975

 

BB-

 

 

100

 

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

 

 

96,500

 

B-

 

 

435

3

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

 

 

427,387

 

BB

 

 

75

 

Smithfield Foods, Inc., 7.00%, 8/01/11

 

 

74,063

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Consumer Products

 

 

3,360,926

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

22


BlackRock High Yield Trust (BHY) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

 

 

 

Containers & Packaging—3.7%

 

 

 

 

B3

 

$

150

3

Covalence Specialty Materials Corp., 10.25%, 3/01/16

 

$

155,250

 

B1

 

 

160

3

Crown Americas LLC and Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

163,600

 

B

 

 

540

 

Crown Cork & Seal, Inc., 8.00%, 4/15/23

 

 

522,450

 

B

 

 

115

 

Crown European Holdings SA, 7.375%, 12/15/26

 

 

106,663

 

CCC+

 

 

150

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

153,375

 

B-

 

 

85

3

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

 

 

86,700

 

CCC+

 

 

240

3

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

 

 

251,700

 

B+

 

 

350

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

359,625

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Containers & Packaging

 

 

1,799,363

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Ecological Services & Equipment—0.8%

 

 

 

 

 

 

 

 

 

Allied Waste NA, Inc.,

 

 

 

 

BB-

 

 

115

 

Ser. B, 5.75%, 2/15/11

 

 

109,825

 

BB-

 

 

80

 

Ser. B, 8.50%, 12/01/08

 

 

84,200

 

CCC

 

 

185

 

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

 

 

191,938

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

385,963

 

 

 

 

 

 

 

 



 

 

 

 

 

 

Energy—24.2%

 

 

 

 

B+

 

 

137

 

AES Red Oak LLC, 8.54%, 11/30/19

 

 

147,918

 

B

 

 

195

 

ANR Pipeline Co., 9.625%, 11/01/21

 

 

233,756

 

B2

 

 

115

 

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

 

 

119,025

 

Ba1

 

 

228

 

CE Generation LLC, 7.416%, 12/15/18

 

 

234,724

 

B

 

 

100

3

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

103,000

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

55

 

6.50%, 8/15/17

 

 

52,938

 

BB

 

 

20

3

6.875%, 11/15/20

 

 

19,700

 

BB

 

 

250

 

7.00%, 8/15/14

 

 

251,875

 

B-

 

 

200

 

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

 

 

188,500

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

10

 

7.50%, 1/15/09

 

 

10,275

 

BB-

 

 

45

 

8.50%, 4/15/11

 

 

48,263

 

BB-

 

 

10

 

9.875%, 10/15/07

 

 

10,588

 

B

 

 

40

3

Colorado Interstate Gas Co., 6.80%, 11/15/15

 

 

40,450

 

 

 

 

 

 

Compagnie Generale de Geophysique SA,

 

 

 

 

BB-

 

 

90

 

7.50%, 5/15/15 (France)

 

 

92,925

 

BB-

 

 

50

3

7.50%, 5/15/15 (France)

 

 

51,750

 

 

 

 

 

 

Compton Petroleum Finance Corp.,

 

 

 

 

B

 

 

150

 

7.625%, 12/01/13

 

 

148,687

 

B

 

 

175

3

7.625%, 12/01/13 (Canada)

 

 

173,469

 

B

 

 

100

3

Copano Energy LLC, 8.125%, 3/01/16

 

 

102,500

 

B2

 

 

60

 

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

 

 

62,925

 

B

 

 

435

 

Dynegy Danskammer LLC, 7.27%, 11/08/10

 

 

443,700

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B-

 

 

60

3

7.75%, 6/15/10

 

 

61,500

 

B-

 

 

250

3

9.625%, 5/15/12

 

 

276,250

 

B-

 

 

215

3

10.75%, 10/01/10

 

 

240,262

 

B

 

 

65

 

El Paso Natural Gas Co., 7.625%, 8/01/10

 

 

67,113

 

Ba2

 

 

770

 

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

 

 

812,172

 

B-

 

 

275

 

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

 

 

271,562

 

B1

 

 

200

 

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

 

 

201,500

 

BB-

 

 

65

 

Frontier Oil Corp., 6.625%, 10/01/11

 

 

64,594

 

BB

 

 

50

 

Grant Prideco, Inc., 6.125%, 8/15/15

 

 

48,000

 

B

 

 

195

 

Hanover Compressor Co., 8.625%, 12/15/10

 

 

203,287

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

115

3

7.75%, 11/01/15

 

 

113,275

 

B

 

 

170

3

10.50%, 9/01/10

 

 

185,300

 

BBB-

 

 

98

 

Homer City Funding LLC, 8.734%, 10/01/26

 

 

111,370

 

BB-

 

 

5

 

Hornbeck Offshore Services, Inc., 6.125%, 12/01/14

 

 

4,800

 

B-

 

 

400

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

403,000

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

B+

 

 

228

 

8.56%, 1/02/16

 

 

244,601

 

Ba3

 

 

95

 

8.75%, 5/01/34

 

 

102,600

 

See Notes to Financial Statements.

23


BlackRock High Yield Trust (BHY) (continued)

 

 

 

 

 

 

 

 

 

 

Rating1

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

B

 

$

215

 

8.30%, 5/01/11

 

$

221,987

 

B

 

 

135

 

8.50%, 10/01/21

 

 

136,013

 

B

 

 

325

 

9.125%, 5/01/31

 

 

341,250

 

B2

 

 

685

 

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

 

 

779,187