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:     October 31, 2006                                                                


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




 

 

 

 

 

 

 

 

 

 

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS

 

EQUITIES

 

FIXED INCOME

 

LIQUIDITY

 

REAL ESTATE


 

 

 

 

 

 

 

BlackRock
Closed-End Funds

(BLACKROCK LOGO)

 

 

 

 

ANNUAL REPORT  |  OCTOBER 31, 2006

 

 

 

 

 

 

 

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



TABLE OF CONTENTS

 

 

Letter to Shareholders

1

 

 

Trusts’ Summaries

2

 

 

Financial Statements

 

 

 

Portfolios of Investments

9

 

 

Statements of Assets and Liabilities

67

 

 

Statements of Operations

69

 

 

Statements of Cash Flows

71

 

 

Statements of Changes in Net Assets

73

 

 

Financial Highlights

76

 

 

Notes to Financial Statements

83

 

 

Report of Independent Registered Public Accounting Firm

96

 

 

Directors/Trustees Information

97

 

 

Dividend Reinvestment Plans

100

 

 

Additional Information

101

 

 

Investment Management Agreements

103

 

 

Section 19 Notices

108


BlackRock Privacy Principles

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

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

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

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

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



LETTER TO SHAREHOLDERS

October 31, 2006

Dear Shareholder:

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

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

          The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of October 31, 2006.

 

 

 

 

 

 

 

 

 

 

 

 


Trust

 

 

Yield1

 

Market Price

 

NAV

 


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

 

 

5.97

%

 

$

15.08

 

$

13.79

 


BlackRock Core Bond Trust (BHK)

 

 

6.25

 

 

 

12.86

 

 

13.82

 


BlackRock High Yield Trust (BHY)

 

 

7.88

 

 

 

  7.77

 

 

  7.85

 


BlackRock Income Opportunity Trust (BNA)

 

 

6.24

 

 

 

10.58

 

 

11.17

 


BlackRock Income Trust Inc. (BKT)

 

 

6.13

 

 

 

  6.07

 

 

  6.48

 


BlackRock Limited Duration Income Trust (BLW)

 

 

7.96

 

 

 

18.85

 

 

19.01

 


BlackRock Strategic Bond Trust (BHD)

 

 

7.19

 

 

 

12.85

 

 

13.83

 


 

 

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.

          On September 29, 2006, BlackRock, Inc. (“BlackRock”) and Merrill Lynch Investment Managers united to form one of the largest asset management firms in the world. Now with more than $1 trillion in assets under management, over 4,500 employees in 18 countries and representation in key markets worldwide, BlackRock’s global presence means greater depth and scale to serve you.

          BlackRock, a world leader in asset management, has a proven commitment to managing fixed income securities. As of September 30, 2006, BlackRock managed $448 billion in fixed income securities, including 37 open-end and 94 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, LLC, and its affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are wholly owned subsidiaries of BlackRock, Inc.

          At a Meeting that occurred on November 21, 2006, the Board of Trustees of BNA approved an amendment to BNA’s Dividend Reinvestment Plan (the “Plan”). The amendment to the Plan is described under “Dividend Reinvestment Plans”.

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

Sincerely,

 

 

-s- Laurence D. Fink

-s- Ralph L. Schlosstein

 

 

Laurence D. Fink

Ralph L. Schlosstein

Chief Executive Officer

President

BlackRock Advisors, LLC

BlackRock Advisors, LLC

1


TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

$

15.08

 


Net Asset Value as of 10/31/06:

 

$

13.79

 


Yield on Closing Market Price as of 10/31/06 ($15.08):1

 

 

  5.97%

 


Current Monthly Distribution per Share:2

 

$

0.075

 


Current Annualized Distribution per Share:2

 

$

0.900

 


 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 


 

10/31/06

10/31/05

Change

High

Low


Market Price

$15.08

$15.86

(4.92)%

$15.86

$14.75


NAV

$13.79

$14.63

(5.74)%

$14.65

$13.77


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

Portfolio Composition

 

 

 

 

 

 

 

 


Composition

 

 

October 31, 2006

 

October 31, 2005


U.S. Government and Agency Securities

 

 

30

%

 

46

%


Agency Multiple Class Mortgage Pass-Through Securities

 

 

28

 

 

16

 


Corporate Bonds

 

 

14

 

 

18

 


Taxable Municipal Bonds

 

 

11

 

 

9

 


Inverse Floating Rate Mortgage Securities

 

 

8

 

 

4

 


Interest Only Mortgage-Backed Securities

 

 

7

 

 

6

 


Mortgage Pass-Through Securities

 

 

2

 

 

1

 


2



 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

12.86

 

 








Net Asset Value as of 10/31/06:

 

 

$

13.82

 

 








Yield on Closing Market Price as of 10/31/06 ($12.86):1

 

 

 

6.25

%

 








Current Monthly Distribution per Share:2

 

 

$

0.067

 

 








Current Annualized Distribution per Share:2

 

 

$

0.804

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$12.86

 

$13.69

 

(6.06

)%

 

$13.85

 

$11.94

 


















NAV

 

$13.82

 

$14.27

 

(3.15

)%

 

$14.36

 

$13.12

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 









Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

58

%

 

42

%

 









Mortgage Pass-Through Securities

 

10

 

 

15

 

 









Agency Multiple Class Mortgage
Pass-Through Securities

 

8

 

 

 

 









Asset-Backed Securities

 

8

 

 

1

 

 









Commercial Mortgage-Backed Securities

 

6

 

 

6

 

 









U.S. Government and Agency Securities

 

5

 

 

31

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

2

 

 

 

 









Interest Only Asset-Backed Securities

 

1

 

 

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Foreign Government Bonds

 

1

 

 

2

 

 









Collateralized Mortgage Obligation Securities

 

 

 

2

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 









Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

7

%

 

5

%

 









AA/Aa

 

26

 

 

25

 

 









A

 

10

 

 

13

 

 









BBB/Baa

 

17

 

 

13

 

 









BB/Ba

 

12

 

 

12

 

 









B

 

23

 

 

23

 

 









CCC/Caa

 

5

 

 

6

 

 









Not Rated

 

 

 

3

 

 










 

 


3

Using the highest of Standard & Poor’s (“S&P’s”), Moody’s Investors Service (“Moody’s”) or Fitch Rating (“Fitch’s”) ratings. Corporate bonds represented approximately 58.3% and 53.3% of net assets on October 31, 2006 and 2005, respectively.

3


 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

7.77

 

 








Net Asset Value as of 10/31/06:

 

 

$

7.85

 

 








Yield on Closing Market Price as of 10/31/06 ($7.77):1

 

 

 

7.88

%

 








Current Monthly Distribution per Share:2

 

 

$

0.051

 

 








Current Annualized Distribution per Share:2

 

 

$

0.612

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 


















Market Price

 

$7.77

 

$7.36

 

5.57

%

 

$8.89

 

$7.08

 


















NAV

 

$7.85

 

$7.48

 

4.95

%

 

$7.85

 

$7.33

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 









Composition

 

October 31, 2006

 

October 31, 2005

 







Energy

 

16

%

 

19

%

 









Financial Institutions

 

14

 

 

14

 

 









Telecommunications

 

13

 

 

8

 

 









Basic Materials

 

11

 

 

12

 

 









Media

 

11

 

 

7

 

 









Consumer Products

 

6

 

 

7

 

 









Technology

 

5

 

 

5

 

 









Entertainment & Leisure

 

4

 

 

3

 

 









Aerospace & Defense

 

3

 

 

3

 

 









Automotive

 

3

 

 

2

 

 









Building & Development

 

3

 

 

3

 

 









Containers & Packaging

 

3

 

 

2

 

 









Health Care

 

3

 

 

4

 

 









Industrials

 

3

 

 

6

 

 









Transportation

 

2

 

 

3

 

 









Ecological Services & Equipment

 

 

 

1

 

 









Real Estate

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 









Credit Rating

 

October 31, 2006

 

October 31, 2005

 







BBB/Baa

 

3

%

 

3

%

 









BB/Ba

 

26

 

 

32

 

 









B

 

55

 

 

51

 

 









CCC/Caa

 

12

 

 

14

 

 









C

 

2

 

 

 

 









Not Rated

 

2

 

 

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 128.9% and 133.8% of net assets on October 31, 2006 and 2005, respectively.

4



 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

10.58

 

 








Net Asset Value as of 10/31/06:

 

 

$

11.17

 

 








Yield on Closing Market Price as of 10/31/06 ($10.58):1

 

 

 

6.24

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055

 

 








Current Annualized Distribution per Share:2

 

 

$

0.660

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

10.58

 

$

10.90

 

(2.94)%

 

$

11.06

 

$

9.63

 


















NAV

 

$

11.17

 

$

11.56

 

(3.37)%

 

$

11.63

 

$

10.58

 


















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

 

 

 

 

 

 

 

 

Portfolio Composition







Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

48

%

 

35

%

 









Asset-Backed Securities

 

13

 

 

 

 









Mortgage Pass-Through Securities

 

12

 

 

13

 

 









Agency Multiple Class Mortgage
Pass-Through Securities

 

7

 

 

5

 

 









U.S. Government and Agency Securities

 

7

 

 

37

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

6

 

 

1

 

 









Commercial Mortgage-Backed Securities

 

4

 

 

4

 

 









Federal Housing Administration Securities

 

1

 

 

1

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Inverse Floating Rate Mortgage Securities

 

1

 

 

1

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 









Collateralized Mortgage Obligation Securities

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

9

%

 

8

%

 









AA/Aa

 

17

 

 

17

 

 









A

 

10

 

 

9

 

 









BBB/Baa

 

19

 

 

19

 

 









BB/Ba

 

13

 

 

15

 

 









B

 

25

 

 

24

 

 









CCC/Caa

 

6

 

 

6

 

 









Not Rated

 

1

 

 

2

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 52.1% and 46.6% of net assets on October 31, 2006 and 2005, respectively.

5



 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

6.07

 

 








Net Asset Value as of 10/31/06:

 

 

$

6.48

 

 








Yield on Closing Market Price as of 10/31/06 ($6.07):1

 

 

 

6.13

%

 








Current Monthly Distribution per Share:2

 

 

$

0.031

 

 








Current Annualized Distribution per Share:2

 

 

$

0.372

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$ 6.07

 

$ 5.90

 

 2.88%

 

$ 6.52

 

$ 5.86

 


















NAV

 

$ 6.48

 

$ 6.54

 

(0.92)%

 

$ 6.57

 

$ 6.36

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Agency Multiple Class Mortgage Pass-Through Securities

 

28

%

 

14

%

 









Mortgage Pass-Through Securities

 

22

 

 

23

 

 









U.S. Government and Agency Securities

 

20

 

 

30

 

 









Interest Only Mortgage-Backed Securities

 

10

 

 

7

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

9

 

 

2

 

 









Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 









Inverse Floating Rate Mortgage Securities

 

3

 

 

1

 

 









Federal Housing Administration Securities

 

2

 

 

2

 

 









Corporate Bonds

 

1

 

 

 

 









Collateralized Mortgage Obligation Residual Securities

 

 

 

2

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 









Collateralized Mortgage Obligation Securities

 

 

 

13

 

 









6



 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

18.85

 

 








Net Asset Value as of 10/31/06:

 

 

$

19.01

 

 








Yield on Closing Market Price as of 10/31/06 ($18.85):1

 

 

 

7.96

%

 








Current Monthly Distribution per Share:2

 

 

$

0.125

 

 








Current Annualized Distribution per Share:2

 

 

$

1.500

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

18.85

 

$

17.48

 

7.84%

 

$

18.90

 

$

16.54

 


















NAV

 

$

19.01

 

$

19.17

 

(0.83)%

 

$

19.22

 

$

18.67

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

43

%

 

43

%

 









Bank Loans

 

36

 

 

32

 

 









Mortgage Pass-Through Securities

 

14

 

 

15

 

 









U.S. Government and Agency Securities

 

4

 

 

4

 

 









Foreign Government Bonds

 

2

 

 

2

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

1

 

 

1

 

 









Asset-Backed Securities

 

 

 

2

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AA/Aa

 

2

%

 

%

 









A

 

1

 

 

3

 

 









BBB/Baa

 

9

 

 

9

 

 









BB/Ba

 

24

 

 

33

 

 









B

 

51

 

 

43

 

 









CCC/Caa

 

11

 

 

8

 

 









Not Rated

 

2

 

 

4

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 64.3% and 59.8% of net assets on October 31, 2006 and 2005, respectively.

7



 

 

TRUST SUMMARIES
OCTOBER 31, 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 10/31/06:

 

 

$

12.85

 

 








Net Asset Value as of 10/31/06:

 

 

$

13.83

 

 








Yield on Closing Market Price as of 10/31/06 ($12.85):1

 

 

 

7.19

%

 








Current Monthly Distribution per Share:2

 

 

$

0.077

 

 








Current Annualized Distribution per Share:2

 

 

$

0.924

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

12.85

 

$

12.45

 

3.21%

 

$

13.23

 

$

11.56

 


















NAV

 

$

13.83

 

$

13.68

 

1.10%

$

13.85

 

$

13.23

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Financial Institutions

 

18

%

 

21

%

 









Media

 

14

 

 

10

 

 









Energy

 

13

 

 

12

 

 









Telecommunications

 

12

 

 

8

 

 









Consumer Products

 

7

 

 

9

 

 









Aerospace & Defense

 

6

 

 

5

 

 









Basic Materials

 

6

 

 

5

 

 









Technology

 

5

 

 

3

 

 









Health Care

 

4

 

 

7

 

 









Entertainment & Leisure

 

3

 

 

3

 

 









Industrials

 

3

 

 

4

 

 









Automotive

 

2

 

 

3

 

 









Building & Development

 

2

 

 

2

 

 









Ecological Services & Equipment

 

2

 

 

2

 

 









Containers & Packaging

 

1

 

 

1

 

 









Real Estate

 

1

 

 

2

 

 









Transportation

 

1

 

 

2

 

 









Conglomerates

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

3

%

 

3

%

 









AA/Aa

 

6

 

 

8

 

 









A

 

12

 

 

11

 

 









BBB/Baa

 

13

 

 

19

 

 









BB/Ba

 

16

 

 

11

 

 









B

 

40

 

 

36

 

 









CCC/Caa

 

9

 

 

9

 

 









Not Rated

 

1

 

 

3

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 107.6% and 122.7% of net assets on October 31, 2006 and 2005, respectively.

8



 

CONSOLIDATED PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2006

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

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 










 

 

 

 

 

 

LONG-TERM INVESTMENTS—46.3%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—1.0%

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

$

375

 

 

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

 

$

376,888

 

 

 

 

 

15

 

 

6.50%, 7/01/29

 

 

15,499

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

392,387

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—13.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,168

 

 

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

 

 

2,188,610

 

 

 

 

 

2,000

 

 

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

 

 

2,002,862

 

 

 

 

 

81

 

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

76,072

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

23

 

 

Ser. 17, Class JA, 4.00%, 4/25/34

 

 

23,165

 

 

 

 

 

966

 

 

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

 

 

991,795

 

 

 

 

 

57

2

Government National Mortgage Assoc., REMIC Trust 2000, Ser. 16, Class FD, 5.97%, 12/16/27

 

 

57,524

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

5,340,028

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—3.5%

 

 

 

 

AAA

 

 

 

166

2

Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 4.192%, 11/25/23

 

 

165,379

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

97

2

 

Ser. 1425, Class SB, 7.966%, 12/15/07

 

 

97,272

 

 

 

 

 

20

2

 

Ser. 1506, Class S, 9.71%, 5/15/08

 

 

19,650

 

 

 

 

 

102

2

 

Ser. 1515, Class S, 8.756%, 5/15/08

 

 

103,024

 

 

 

 

 

181

2

 

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

 

 

187,548

 

 

 

 

 

22

2

 

Ser. 1661, Class SB, 8.834%, 1/15/09

 

 

22,752

 

 

 

 

 

84

2

 

Ser. 1688, Class S, 9.206%, 12/15/13

 

 

85,598

 

 

 

 

 

172

2

 

Ser. 2517, Class SE, 2.95%, 10/15/09

 

 

162,563

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

26

2

 

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

 

 

26,883

 

 

 

 

 

252

2

 

Ser. 179, Class SB, 7.437%, 10/25/07

 

 

254,487

 

 

 

 

 

53

2

 

Ser. 187, Class SB, 11.795%, 10/25/07

 

 

54,461

 

 

 

 

 

37

2

 

Ser. 191, Class SD, 6.83%, 10/25/08

 

 

36,968

 

 

 

 

 

87

2

 

Ser. 214, Class SH, 4.359%, 12/25/08

 

 

87,256

 

 

 

 

 

121

2

 

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

 

 

126,866

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,430,707

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—3.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1

 

 

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

 

 

1,242

 

 

 

 

 

 

 

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

 

 

249

 

 

 

 

 

104

 

 

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

 

 

1,151

 

 

 

 

 

1,970

 

 

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

 

 

167,571

 

 

 

 

 

673

 

 

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

 

 

15,876

 

 

 

 

 

5,605

 

 

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

 

 

314,814

 

 

 

 

 

1,243

 

 

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

 

 

26,360

 

 

 

 

 

2,255

 

 

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

 

 

179,326

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1

 

 

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

 

 

4,830

 

 

 

 

 

1,607

 

 

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

 

 

77,528

 

 

 

 

 

103

2

 

Ser. 20, Class SL, 10.123%, 9/25/08

 

 

7,963

 

 

 

 

 

3

 

 

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

 

 

29,462

 

 

 

 

 

1

 

 

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

 

 

1,755

 

 

 

 

 

10,408

 

 

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

 

 

394,743

 

 

 

 

 

3

2

 

Ser. 174, Class S, 97.242%, 9/25/22

 

 

12,318

 

 

 

 

 

 

 

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

 

 

9,447

 

NR

 

 

 

14,857

2

Vendee Mortgage Trust, Ser. 1, 0.043%, 10/15/31

 

 

28,532

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

1,273,167

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

9


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

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 










 

 

 

 

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

Aaa

 

 

$

21

3

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

 

$

18,787

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

NR

 

 

 

235

2,4,5,6

Global Rated Eligible Asset Trust, Ser. A, Class 1, 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—6.6%

 

 

 

 

Caa2

 

 

 

100

 

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

 

 

101,250

 

BBB+

 

 

 

500

4

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

 

 

500,665

 

AA-

 

 

 

1,000

 

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

 

 

1,073,919

 

Aa1

 

 

 

500

 

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

 

 

499,570

 

AA-

 

 

 

500

 

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

 

 

500,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

2,675,404

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—13.9%

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

3,200

 

 

3.50%, 11/15/06

 

 

3,197,751

 

 

 

 

 

2,000

 

 

6.00%, 8/15/09

 

 

2,070,860

 

 

 

 

 

385

 

 

6.625%, 5/15/07

 

 

388,128

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

5,656,739

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Taxable Municipal Bonds—5.1%

 

 

 

 

AAA

 

 

 

500

 

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

 

 

551,920

 

AAA

 

 

 

500

 

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

 

 

524,580

 

AAA

 

 

 

500

 

Los Angeles County California Pension Oblig., Ser. D, 6.97%, 6/30/08

 

 

514,320

 

AAA

 

 

 

500

 

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

 

 

508,340

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Taxable Municipal Bonds

 

 

2,099,160

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $19,176,252)

 

 

18,886,522

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—53.1%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—53.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Bank Discount Notes,

 

 

 

 

 

 

 

 

1,400

7

 

4.981%, 11/01/06

 

 

1,400,000

 

 

 

 

 

20,300

7

 

5.105%, 11/15/06

 

 

20,259,857

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Short-Term Investments (cost $21,659,857)

 

 

21,659,857

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments—99.4% (cost $40,836,1098)

 

$

40,546,379

 

 

 

 

 

 

 

Other assets in excess of liabilities—0.6%

 

 

234,939

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

40,781,318

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Variable rate security. Rate shown is interest rate as of October 31, 2006.

3

Rate shown is effective yield as of October 31, 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 October 31, 2006, the Trust held 1.2% of its net assets, with a current market value of $500,688, in securities restricted as to resale.

5

Security is fair valued.

6

Illiquid security. As of October 31, 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 the date of purchase.

8

Cost for federal income tax purposes is $40,836,108. The net unrealized depreciation on a tax basis is $289,729, consisting of $402,723 gross unrealized appreciation and $692,452 gross unrealized depreciation.


 

KEY TO ABBREVIATION

REMIC – Real Estate Mortgage Investment Conduit

 

See Notes to Financial Statements.

10


 

PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2006

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

LONG-TERM INVESTMENTS—101.0%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—10.0%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,875

2

 

3.01%, 4/19/07

 

$

1,855,324

 

 

 

 

 

83

 

 

5.00%, 8/01/33

 

 

79,991

 

 

 

 

 

5,884

 

 

5.50%, 11/01/18-5/01/36

 

 

5,827,530

 

 

 

 

 

1,747

2

 

5.50%, 11/01/18

 

 

1,751,440

 

 

 

 

 

3,008

 

 

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

 

 

3,053,783

 

 

 

 

 

115

3

 

6.276%, 5/01/32

 

 

118,233

 

 

 

 

 

28

 

 

7.00%, 9/01/31

 

 

28,550

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

3,675

2

 

2.35%, 4/05/07

 

 

3,628,886

 

 

 

 

 

47

 

 

4.50%, 2/01/20

 

 

45,515

 

 

 

 

 

12,612

 

 

5.00%, 11/01/17-6/01/36

 

 

12,417,281

 

 

 

 

 

4,138

 

 

5.50%, 1/01/18-4/01/36

 

 

4,128,134

 

 

 

 

 

977

 

 

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

 

 

983,099

 

 

 

 

 

332

 

 

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

 

 

348,043

 

 

 

 

 

271

 

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

 

 

270,157

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

877

 

 

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

 

 

855,457

 

 

 

 

 

1,831

 

 

Ser. P10B, Class 1, 5.136%, 8/10/13

 

 

1,831,785

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

37,223,208

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

 

 

 

1,051

 

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

 

 

1,077,172

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—7.7%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,416

 

 

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

 

 

2,419,852

 

 

 

 

 

1,200

 

 

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

 

 

1,181,088

 

 

 

 

 

3,120

 

 

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

 

 

3,195,004

 

 

 

 

 

1,440

 

 

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

 

 

1,454,425

 

 

 

 

 

1,300

 

 

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

 

 

1,269,858

 

 

 

 

 

3,392

 

 

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

 

 

3,416,276

 

 

 

 

 

1,821

 

 

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

 

 

1,835,232

 

 

 

 

 

1,754

 

 

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

 

 

1,769,474

 

 

 

 

 

1,600

 

 

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

 

 

1,636,881

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,552

 

 

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

 

 

1,565,014

 

 

 

 

 

3,234

 

 

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

 

 

3,207,705

 

 

 

 

 

2,040

 

 

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

 

 

2,050,707

 

 

 

 

 

2,011

 

 

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

 

 

2,023,175

 

 

 

 

 

1,828

3

 

Ser. 118, Class FD, 5.72%, 12/25/33

 

 

1,833,587

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

28,858,278

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—2.8%

 

 

 

 

 

 

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

AAA

 

 

 

3,150

 

 

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

 

 

3,302,827

 

AAA

 

 

 

2,265

 

 

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

 

 

2,363,523

 

AAA

 

 

 

2,350

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,321,153

 

AAA

 

 

 

2,584

 

Structured Asset Securities Corp., Ser. AL1, Class A2, 3.45%, 2/25/32

 

 

2,317,368

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Non Agency Multiple Class Mortgage Pass-Through Securities

 

 

10,304,871

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Asset-Backed Securities—8.2%

 

 

 

 

AAA

 

 

 

2,800

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4, 4.88%, 6/15/12

 

 

2,792,323

 

AAA

 

 

 

2,825

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2, 4.85%, 2/10/11

 

 

2,815,182

 

 

 

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

AAA

 

 

 

1,242

3

 

Ser. 15, Class 2AV1, 5.42%, 4/25/36

 

 

1,242,234

 

AAA

 

 

 

1,870

3

 

Ser. 16, Class 4AV1, 5.42%, 5/25/36

 

 

1,870,245

 

AAA

 

 

 

2,825

 

DaimlerChrysler Auto Trust, Ser. A, Class A3, 5.00%, 5/08/10

 

 

2,820,494

 

AAA

 

 

 

2,850

 

Ford Credit Auto Owner Trust, Ser. A, Class A4, 5.07%, 12/15/10

 

 

2,850,545

 

AAA

 

 

 

2,300

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,260,300

 

See Notes to Financial Statements.

11



BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

A1

 

 

$

2,500

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

$

2,485,937

 

AAA

 

 

 

2,825

 

MBNA Credit Card Master Note Trust, Ser. A1, Class A, 4.90%, 7/15/11

 

 

2,821,472

 

AAA

 

 

 

1,510

3,4

Merrill Lynch Mortgage Investors, Inc., Ser. HE2, Class A2A, 5.43%, 9/25/36

 

 

1,509,838

 

AAA

 

 

 

1,541

3

New Century Home Equity Loan Trust, Ser. C, Class A2A, 5.40%, 1/25/36

 

 

1,541,455

 

AAA

 

 

 

1,160

3

SLM Student Loan Trust, Ser. 5, Class A1, 5.377%, 1/25/18

 

 

1,160,762

 

AAA

 

 

 

1,741

3

Structured Asset Investment Loan Trust, Ser. 1, Class A1, 5.40%, 1/25/36

 

 

1,740,806

 

AAA

 

 

 

2,725

 

USAA Auto Owner Trust, Ser. 1 Class A4, 5.04%, 12/15/11

 

 

2,730,162

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

30,641,755

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—0.5%

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

NR

 

 

 

21,411

 

 

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

 

 

963,503

 

AAA

 

 

 

17,972

3

 

Ser. 2, 2.418%, 3/30/30

 

 

786,260

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,749,763

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—0.8%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,611

 

 

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

 

 

337,982

 

 

 

 

 

6,656

 

 

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

 

 

1,239,324

 

 

 

 

 

29,152

3

Federal National Mortgage Assoc., Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,453,055

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,030,361

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—6.5%

 

 

 

 

AAA

 

 

 

2,180

3

Banc of America Commerical Mortgage, Inc., Ser. 1, Class A4, 4.885%, 11/10/42

 

 

2,170,441

 

AAA

 

 

 

1,366

 

Commercial Mortgage Acceptance Corp., Ser. C2, Class A2, 6.03%, 9/15/30

 

 

1,373,856

 

AAA

 

 

 

2,720

 

Credit Suisse First Boston Mortgage Securities Corp., Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,679,590

 

AAA

 

 

 

1,573

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C3, Class A2, 7.179%, 8/15/36

 

 

1,638,821

 

AAA

 

 

 

2,584

 

Goldman Sachs Mortgage Securities Corp. II, Ser. C1, Class A3, 6.135%, 10/18/30

 

 

2,612,055

 

AAA

 

 

 

1,615

 

Heller Financial Commercial Mortgage Asset Co., Ser. PH1, Class A2, 6.847%, 5/15/31

 

 

1,659,716

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

 

2,140

 

 

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

 

 

2,199,539

 

AAA

 

 

 

2,180

 

 

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

 

 

2,122,052

 

AAA

 

 

 

1,691

 

JP Morgan Commercial Mortgage Finance Corp., Ser. C10, Class A2, 7.371%, 8/15/32

 

 

1,788,462

 

AAA

 

 

 

2,387

 

Morgan Stanley Capital Trust I, Ser. HF2, Class A2, 6.48%, 11/15/30

 

 

2,423,872

 

AAA

 

 

 

3,500

 

Salomon Brothers Mortgage Securities VII, Ser. C1, Class A2, 7.52%, 12/18/09

 

 

3,709,492

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

24,377,896

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Corporate Bonds—58.3%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—1.2%

 

 

 

 

B

 

 

 

100

 

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

 

 

103,750

 

B

 

 

 

1,305

 

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

 

 

1,357,200

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

70

 

 

6.875%, 11/01/13

 

 

70,000

 

B

 

 

 

80

 

 

7.625%, 2/01/18

 

 

81,800

 

 

 

 

 

 

 

Northrop Grumman Corp.,

 

 

 

 

BBB+

 

 

 

615

 

 

4.079%, 11/16/06

 

 

614,683

 

BBB+

 

 

 

960

 

 

7.875%, 3/01/26

 

 

1,192,609

 

BB

 

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

15,825

 

A+

 

 

 

1,125

 

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

 

 

1,094,504

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

4,530,371

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—0.6%

 

 

 

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

150

 

 

7.00%, 4/15/14

 

 

149,250

 

BB+

 

 

 

150

3

 

7.374%, 4/15/13

 

 

151,125

 

BB-

 

 

 

30

3,5

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

29,325

 

BBB+

 

 

 

660

 

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

 

 

709,073

 

B

 

 

 

300

 

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

 

 

304,125

 

CCC+

 

 

 

250

 

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

 

 

256,250

 

BB-

 

 

 

517

 

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

 

 

553,836

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

2,152,984

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—3.5%

 

 

 

 

B+

 

 

 

750

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

596,250

 

B+

 

 

 

995

 

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

 

 

995,000

 

B-

 

 

 

80

3,5

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

81,600

 

See Notes to Financial Statements.

12


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

BB-

 

 

$

80

3

Bowater, Inc., 8.39%, 3/15/10

 

$

80,800

 

BB+

 

 

 

30

 

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

 

 

29,325

 

B-

 

 

 

200

 

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

 

 

204,000

 

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B2

 

 

 

60

 

 

7.125%, 8/15/15

 

 

57,300

 

B2

 

 

 

180

 

 

7.875%, 10/15/11

 

 

183,825

 

B+

 

 

 

150

 

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

 

 

150,000

 

B2

 

 

 

66

 

Huntsman LLC, 11.50%, 7/15/12

 

 

74,745

 

BB

 

 

 

70

 

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

 

 

75,513

 

 

 

 

 

 

 

Ineos Group Holdings PLC, (United Kingdom)

 

 

 

 

B2

 

 

 

285

 

 

7.875%, 2/07/16 (EUR)

 

 

348,741

 

B2

 

 

 

730

5

 

8.50%, 2/15/16

 

 

702,625

 

B3

 

 

 

1,045

 

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

 

 

1,042,387

 

BBB

 

 

 

130

 

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

 

 

145,600

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

240

 

 

8.00%, 9/15/14

 

 

245,400

 

BB-

 

 

 

385

 

 

8.25%, 9/15/16

 

 

396,550

 

BB+

 

 

 

2,120

 

 

9.50%, 12/15/08

 

 

2,175,650

 

BB

 

 

 

190

 

Millennium America, Inc., 9.25%, 6/15/08

 

 

195,700

 

B3

 

 

 

510

 

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

 

 

534,225

 

 

 

 

 

 

 

Noranda, Inc.,

 

 

 

 

BBB+

 

 

 

825

 

 

6.00%, 10/15/15

 

 

829,616

 

BBB+

 

 

 

1,250

 

 

6.20%, 6/15/35

 

 

1,218,867

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

50

 

 

6.50%, 1/15/12

 

 

47,000

 

BB

 

 

 

610

3

 

8.405%, 11/15/13

 

 

620,675

 

CCC+

 

 

 

545

5

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

 

 

577,700

 

B+

 

 

 

16

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

18,120

 

BBB

 

 

 

1,430

 

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

 

 

1,394,932

 

B-

 

 

 

80

5

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

81,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

13,103,346

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—1.2%

 

 

 

 

B

 

 

 

635

 

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

 

 

661,987

 

B-

 

 

 

440

 

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

 

 

422,400

 

BB+

 

 

 

3,000

 

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

 

 

3,112,500

 

B3

 

 

 

190

 

Nortek, Inc., 8.50%, 9/01/14

 

 

181,450

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

85

 

 

8.75%, 12/01/11

 

 

84,150

 

B1

 

 

 

175

 

 

9.00%, 6/01/10

 

 

190,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

4,653,237

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Business Equipment & Services—0.0%

 

 

 

 

Ba2

 

 

 

100

5

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

 

 

102,250

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—2.4%

 

 

 

 

B3

 

 

 

90

 

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

 

 

89,325

 

CCC+

 

 

 

650

3

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

656,500

 

B2

 

 

 

165

5

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

169,125

 

BBB+

 

 

 

530

 

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

 

 

534,044

 

B-

 

 

 

205

 

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

 

 

184,500

 

B

 

 

 

80

 

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

 

 

91,800

 

B2

 

 

 

605

5

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

 

 

573,237

 

B-

 

 

 

320

 

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

 

 

310,400

 

B

 

 

 

385

3

Levi Strauss & Co., 10.122%, 4/01/12

 

 

397,031

 

 

 

 

 

 

 

May Deptartment Stores Co.,

 

 

 

 

BBB+

 

 

 

30

 

 

6.65%, 7/15/24

 

 

29,934

 

BBB+

 

 

 

230

 

 

7.875%, 3/01/30

 

 

260,152

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

470

5

 

10.00%, 11/01/14

 

 

470,588

 

Caa1

 

 

 

600

5

 

11.375%, 11/01/16

 

 

606,750

 

B3

 

 

 

50

3,5

Nutro Products, Inc., 9.40%, 10/15/13

 

 

51,375

 

B

 

 

 

1,000

 

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

 

 

1,012,500

 

BB-

 

 

 

200

 

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

 

 

192,500

 

See Notes to Financial Statements.

13


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Consumer Products—(cont’d)

 

 

 

 

BB+

 

 

$

250

5

Reynolds American, Inc., 7.625%, 6/01/16

 

$

265,444

 

B1

 

 

 

2,100

 

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

 

 

2,136,750

 

CCC

 

 

 

370

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

299,700

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

780

 

 

7.00%, 2/15/14

 

 

746,850

 

B

 

 

 

25

 

 

7.75%, 11/15/13

 

 

24,938

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

9,103,443

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

270

5

 

8.875%, 9/15/14

 

 

272,700

 

B2

 

 

 

180

3,5

 

9.265%, 9/15/14

 

 

182,025

 

B+

 

 

 

250

 

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

 

 

256,563

 

CCC+

 

 

 

75

 

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

 

 

74,625

 

B1

 

 

 

190

3,5

Impress Holdings BV, 8.512%, 9/15/13

 

 

191,499

 

B

 

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,545,000

 

B+

 

 

 

421

 

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

 

 

434,156

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

2,956,568

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

Caa1

 

 

 

590

 

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

 

 

604,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—6.5%

 

 

 

 

BBB-

 

 

 

425

 

Amerada Hess Corp., 7.125%, 3/15/33

 

 

473,304

 

BBB

 

 

 

2,350

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,435,810

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

Ba1

 

 

 

260

 

 

7.375%, 2/15/24

 

 

271,780

 

Ba1

 

 

 

810

 

 

9.625%, 11/01/21

 

 

1,008,088

 

B

 

 

 

140

 

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

 

 

139,650

 

CCC+

 

 

 

320

 

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

 

 

319,200

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

150

 

 

6.375%, 6/15/15

 

 

144,750

 

BB

 

 

 

20

 

 

6.875%, 11/15/20

 

 

19,000

 

BB-

 

 

 

30

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

30,825

 

BB-

 

 

 

160

 

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

 

 

158,000

 

B

 

 

 

415

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

393,212

 

A1

 

 

 

375

 

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

 

 

432,888

 

BBB

 

 

 

725

 

DTE Energy Co., 6.35%, 6/01/16

 

 

754,054

 

BB-

 

 

 

165

5

Edison Mission Energy, 7.50%, 6/15/13

 

 

169,538

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

100

 

 

7.80%, 8/01/31

 

 

104,250

 

B

 

 

 

65

 

 

9.625%, 5/15/12

 

 

72,150

 

B

 

 

 

150

 

 

10.75%, 10/01/10

 

 

167,250

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

Ba1

 

 

 

850

 

 

7.625%, 8/01/10

 

 

877,625

 

Ba1

 

 

 

225

 

 

8.375%, 6/15/32

 

 

260,388

 

Ba1

 

 

 

265

 

 

8.625%, 1/15/22

 

 

305,667

 

Ba1

 

 

 

131

 

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

 

 

139,115

 

A-

 

 

 

1,000

 

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

 

 

1,047,586

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

40

 

 

6.00%, 7/15/15

 

 

36,500

 

B1

 

 

 

60

 

 

7.25%, 12/01/17

 

 

57,750

 

BBB

 

 

 

1,500

 

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

 

 

1,602,643

 

B-

 

 

 

130

 

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

 

 

125,125

 

AA-

 

 

 

950

 

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

 

 

857,447

 

BB+

 

 

 

80

 

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

 

 

76,500

 

BBB+

 

 

 

175

 

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

 

 

203,870

 

B

 

 

 

49

5

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

52,553

 

B-

 

 

 

170

 

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

 

 

163,200

 

Ba2

 

 

 

75

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

81,143

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

155

 

 

8.30%, 5/01/11

 

 

156,938

 

Caa1

 

 

 

50

 

 

8.50%, 10/01/21

 

 

49,250

 

Caa1

 

 

 

75

 

 

9.125%, 5/01/31

 

 

77,625

 

See Notes to Financial Statements.

14



 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

BB-

 

 

$

590

 

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

 

$

657,850

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

50

 

 

7.25%, 2/01/14

 

 

50,563

 

B+

 

 

 

285

 

 

7.375%, 2/01/16

 

 

288,206

 

A-

 

 

 

360

 

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

 

 

420,832

 

BBB

 

 

 

1,000

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

1,111,528

 

BBB

 

 

 

425

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

437,319

 

B2

 

 

 

130

 

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

 

 

147,550

 

BBB+

 

 

 

790

 

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

 

 

706,258

 

BBB

 

 

 

1,650

 

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

 

 

1,773,750

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

210

 

 

6.75%, 12/15/14

 

 

200,288

 

BB-

 

 

 

50

 

 

9.25%, 7/15/10

 

 

51,750

 

A-

 

 

 

700

 

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

 

 

687,345

 

B+

 

 

 

315

5

SemGroup LP, 8.75%, 11/15/15

 

 

317,363

 

B

 

 

 

360

3,5

Stone Energy Corp., 8.124%, 7/15/10

 

 

357,750

 

A-

 

 

 

295

 

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

 

 

302,323

 

B3

 

 

 

320

5

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

 

 

319,200

 

AA

 

 

 

1,050

 

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

 

 

1,401,672

 

A2

 

 

 

550

 

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

 

 

548,423

 

BBB-

 

 

 

20

 

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

 

 

20,700

 

B+

 

 

 

270

 

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

 

 

285,125

 

B1

 

 

 

375

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

370,412

 

BB+

 

 

 

415

 

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

 

 

460,650

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

24,181,531

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Entertainment & Leisure—1.0%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

 

170

 

 

9.50%, 2/01/11

 

 

170,638

 

B3

 

 

 

185

 

 

11.00%, 2/01/16

 

 

204,656

 

B3

 

 

 

80

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

65,100

 

B

 

 

 

1,000

 

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

 

 

1,050,000

 

B-

 

 

 

150

 

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

 

 

143,625

 

B3

 

 

 

335

5

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

 

 

354,263

 

B

 

 

 

140

5

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

150,150

 

B3

 

 

 

110

 

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

 

 

114,675

 

BB

 

 

 

260

 

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

 

 

261,625

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

510

5

 

9.875%, 9/01/14

 

 

502,987

 

B-

 

 

 

510

5

 

11.875%, 9/01/16

 

 

502,350

 

BB-

 

 

 

40

 

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

 

 

39,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

3,559,269

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Financial Institutions—22.0%

 

 

 

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

BB+

 

 

 

320

 

 

7.125%, 2/15/13

 

 

319,200

 

BB+

 

 

 

3,165

 

 

8.125%, 6/01/12

 

 

3,236,213

 

Aa3

 

 

 

545

 

BAC Capital Trust XI, 6.625%, 5/23/36

 

 

587,083

 

Aa2

 

 

 

325

 

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

 

 

318,680

 

Aa2

 

 

 

1,400

 

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

 

 

1,422,020

 

AA+

 

 

 

4,970

3

Barclays Bank PLC NY, 5.40%, 3/13/09

 

 

4,970,875

 

B

 

 

 

40

 

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

 

 

43,900

 

AA

 

 

 

350

5

Belvoir Land LLC, Ser. A1, 5.27%, 12/15/47

 

 

330,652

 

 

 

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

AAA

 

 

 

1,200

 

 

3.40%, 7/02/07

 

 

1,185,715

 

AAA

 

 

 

1,075

 

 

4.75%, 5/15/12

 

 

1,055,321

 

AA+

 

 

 

600

 

CitiFinancial, 6.25%, 1/01/08

 

 

605,668

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

 

 

3,950

6

 

3.625%, 2/09/09

 

 

3,828,087

 

AA+

 

 

 

5,470

 

 

4.125%, 2/22/10

 

 

5,317,907

 

AA+

 

 

 

1,020

 

 

4.25%, 7/29/09

 

 

999,198

 

AA+

 

 

 

525

 

 

6.875%, 2/15/98

 

 

588,480

 

BB

 

 

 

980

 

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

 

 

1,016,750

 

See Notes to Financial Statements.

15


 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

AAA

 

 

$

1,100

5

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

 

$

1,072,678

 

AA-

 

 

 

900

3

Deutsche Bank AG, 5.37%, 3/15/07

 

 

900,000

 

AAA

 

 

 

1,700

 

Eksportfinans A/S, 5.50%, 5/25/16 (Norway)

 

 

1,756,348

 

Aaa

 

 

 

525

5

Fort Irwin Land LLC, Ser. A-1, 5.03%, 12/15/25

 

 

492,135

 

AAA

 

 

 

3,625

3

General Electric Capital Corp., 5.424%, 1/15/08

 

 

3,628,368

 

BB

 

 

 

460

 

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

 

 

461,235

 

AA-

 

 

 

1,415

 

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

 

 

1,397,839

 

 

 

 

 

 

 

HBOS Treasury Services PLC,

 

 

 

 

AA+

 

 

 

855

5

 

3.60%, 8/15/07

 

 

843,542

 

AA+

 

 

 

825

5

 

3.75%, 9/30/08

 

 

803,342

 

AA-

 

 

 

775

 

HSBC Bank NA, 5.875%, 11/01/34

 

 

780,850

 

 

 

 

 

 

 

HSBC Finance Corp.,

 

 

 

 

AA-

 

 

 

1,820

 

 

4.75%, 5/15/09

 

 

1,806,783

 

AA-

 

 

 

635

 

 

6.375%, 8/01/10

 

 

660,357

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

240

5

 

9.75%, 5/15/14

 

 

246,600

 

NR

 

 

 

960

3,5,7

 

12.75%, 7/15/14

 

 

958,800

 

AA

 

 

 

1,500

5

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

 

 

1,394,865

 

Aa3

 

 

 

600

 

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

 

 

599,768

 

B-

 

 

 

255

 

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

 

 

258,188

 

BBB

 

 

 

630

5

Liberty Mutual Group, Inc., 7.50%, 8/15/36

 

 

700,726

 

A

 

 

 

1,525

 

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

 

 

1,504,852

 

AA

 

 

 

1,150

5

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

 

 

1,121,712

 

 

 

 

 

 

 

Morgan Stanley,

 

 

 

 

AA-

 

 

 

3,300

3

 

5.44%, 3/07/08

 

 

3,302,881

 

AA-

 

 

 

1,900

 

 

6.25%, 8/09/26

 

 

1,990,218

 

AA

 

 

 

2,125

5

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

 

 

2,096,478

 

B+

 

 

 

645

5

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

 

 

654,675

 

AAA

 

 

 

850

5

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

 

 

827,107

 

AA

 

 

 

350

 

Ohana Military Communities LLC, Ser. 04l, 6.193%, 4/01/49

 

 

375,743

 

A

 

 

 

500

 

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

 

 

506,264

 

AA-

 

 

 

1,000

5

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

 

 

1,019,865

 

AAA

 

 

 

5,550

3,5

Rabobank Nederland Global, 5.37%, 4/06/09 (Netherlands)

 

 

5,550,755

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

200

5

 

8.75%, 9/01/12

 

 

210,250

 

B+

 

 

 

1,455

5

 

10.375%, 9/01/14

 

 

1,618,688

 

B-

 

 

 

630

 

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

 

 

625,275

 

AA+

 

 

 

2,888

8

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

 

 

2,887,082

 

 

 

 

 

 

 

SunTrust Bank,

 

 

 

 

Aa3

 

 

 

1,635

 

 

3.625%, 10/15/07

 

 

1,608,014

 

Aa3

 

 

 

995

 

 

4.00%, 10/15/08

 

 

973,235

 

Aa2

 

 

 

1,265

 

 

4.415%, 6/15/09

 

 

1,243,353

 

AAA

 

 

 

235

5

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

 

 

230,970

 

Aa2

 

 

 

375

 

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

 

 

370,854

 

B-

 

 

 

50

3

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

51,438

 

 

 

 

 

 

 

US Bank NA,

 

 

 

 

Aa1

 

 

 

1,380

 

 

2.87%, 2/01/07

 

 

1,370,844

 

Aa2

 

 

 

2,790

 

 

6.50%, 2/01/08

 

 

2,824,459

 

AAA

 

 

 

495

5

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

 

 

487,197

 

 

 

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

Aa1

 

 

 

1,031

 

 

3.12%, 8/15/08

 

 

994,625

 

Aa1

 

 

 

355

 

 

4.20%, 1/15/10

 

 

345,263

 

Aa1

 

 

 

1,665

 

 

4.625%, 8/09/10

 

 

1,640,221

 

Aa1

 

 

 

435

 

 

4.875%, 1/12/11

 

 

431,835

 

Aa1

 

 

 

475

 

Wells Fargo Bank NA, 5.95%, 8/26/36

 

 

489,367

 

Aa3

 

 

 

50

 

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

 

 

55,097

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

81,996,790

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—1.6%

 

 

 

 

B

 

 

 

730

5

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

 

 

693,500

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

695

5

 

10.75%, 6/15/16

 

 

712,375

 

CCC+

 

 

 

360

3,5

 

11.418%, 6/15/14

 

 

368,100

 

See Notes to Financial Statements.

16



BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Health Care—(cont’d)

 

 

 

 

B-

 

 

$

460

 

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

 

$

356,500

 

BBB

 

 

 

995

 

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

 

 

973,753

 

A

 

 

 

870

 

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

 

 

867,494

 

B-

 

 

 

410

 

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

 

 

433,575

 

 

 

 

 

 

 

WellPoint, Inc.,

 

 

 

 

A-

 

 

 

955

 

 

5.85%, 1/15/36

 

 

939,151

 

A-

 

 

 

85

 

 

5.95%, 12/15/34

 

 

84,534

 

A

 

 

 

675

 

Wyeth, 6.00%, 2/15/36

 

 

693,842

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

6,122,824

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—1.4%

 

 

 

 

B2

 

 

 

360

5

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

 

 

359,550

 

B

 

 

 

140

 

Hexcel Corp., 6.75%, 2/01/15

 

 

135,800

 

B3

 

 

 

320

 

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

 

 

297,600

 

CCC+

 

 

 

300

 

Polypore, Inc., 8.75%, 5/15/12

 

 

293,250

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

480

5

 

9.50%, 8/01/14

 

 

496,800

 

CCC+

 

 

 

325

5

 

11.75%, 8/01/16

 

 

338,000

 

B3

 

 

 

950

5

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

 

 

992,750

 

B+

 

 

 

2,000

 

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

 

 

2,100,000

 

B3

 

 

 

210

 

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

 

 

197,925

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

5,211,675

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—5.9%

 

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

515

 

 

10.125%, 10/15/13

 

 

545,900

 

B-

 

 

 

100

 

 

11.50%, 10/15/15

 

 

104,250

 

Caa2

 

 

 

450

 

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

 

 

427,500

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

 

90

 

 

6.625%, 5/15/29

 

 

91,532

 

BBB+

 

 

 

3,040

 

 

7.57%, 2/01/24

 

 

3,340,507

 

BBB+

 

 

 

205

6

 

7.625%, 4/15/31

 

 

231,131

 

BBB+

 

 

 

85

 

 

7.70%, 5/01/32

 

 

96,806

 

BBB

 

 

 

55

5

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

 

 

54,926

 

B+

 

 

 

180

3

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

188,550

 

 

 

 

 

 

 

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

 

 

 

 

CCC

 

 

 

710

 

 

10.25%, 9/15/10

 

 

733,075

 

CCC

 

 

 

130

 

 

Ser. B, 10.25%, 9/15/10

 

 

133,900

 

B3

 

 

 

645

5

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

623,231

 

 

 

 

 

 

 

Comcast Corp.,

 

 

 

 

BBB+

 

 

 

790

 

 

6.45%, 3/15/37

 

 

800,499

 

BBB+

 

 

 

2,375

 

 

6.50%, 1/15/17-11/15/35

 

 

2,473,341

 

B+

 

 

 

270

 

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

 

 

273,713

 

B

 

 

 

75

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

81,469

 

BB

 

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

129,688

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

175

 

 

5.75%, 10/01/08

 

 

173,906

 

BB-

 

 

 

290

5

 

7.00%, 10/01/13

 

 

287,462

 

BB-

 

 

 

75

5

 

7.125%, 2/01/16

 

 

73,313

 

B

 

 

 

250

 

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

 

 

266,250

 

CCC+

 

 

 

100

5

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

94,500

 

Ba3

 

 

 

450

 

LIN Television Corp., 6.50%, 5/15/13

 

 

426,937

 

B

 

 

 

180

 

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

 

 

167,175

 

B2

 

 

 

485

 

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

 

 

488,031

 

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

 

985

 

 

7.625%, 11/30/28

 

 

1,105,441

 

BBB

 

 

 

825

 

 

7.70%, 10/30/25

 

 

927,237

 

BBB

 

 

 

625

 

 

8.45%, 8/01/34

 

 

759,851

 

B3

 

 

 

560

 

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

 

 

515,900

 

CCC+

 

 

 

965

5

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

 

 

1,006,012

 

B1

 

 

 

600

3,5

Paxson Communications Corp., 8.624%, 1/15/12

 

 

606,750

 

See Notes to Financial Statements.

17


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

$

260

 

 

8.00%, 5/15/13

 

$

242,450

 

B2

 

 

 

190

 

 

8.875%, 5/15/11

 

 

189,525

 

B2

 

 

 

250

3

 

10.78%, 5/15/10

 

 

258,750

 

B

 

 

 

865

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

892,031

 

Caa1

 

 

 

165

 

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

 

 

160,875

 

 

 

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

BBB+

 

 

 

200

 

 

7.125%, 2/15/28

 

 

213,723

 

BBB+

 

 

 

620

 

 

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

 

 

708,878

 

BBB+

 

 

 

70

 

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

 

 

73,423

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

 

645

 

 

9.75%, 4/01/09

 

 

658,706

 

Caa3

 

 

 

65

5

 

13.50%, 12/07/09

 

 

58,825

 

Caa1

 

 

 

225

 

 

Ser. B, 10.875%, 6/15/09

 

 

223,875

 

Caa1

 

 

 

1,155

 

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

 

 

1,091,475

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

22,001,319

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—1.0%

 

 

 

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

BBB+

 

 

 

350

 

 

6.625%, 9/15/11

 

 

369,260

 

BBB+

 

 

 

775

 

 

8.25%, 7/15/08

 

 

810,976

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

 

895

 

 

3.625%, 3/15/09

 

 

845,839

 

BB+

 

 

 

1,650

 

 

5.375%, 11/26/13

 

 

1,540,077

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Real Estate

 

 

3,566,152

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—1.2%

 

 

 

 

BB-

 

 

 

50

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

50,875

 

CCC+

 

 

 

825

 

Amkor Technology, Inc., 9.25%, 6/01/16

 

 

767,250

 

B+

 

 

 

250

 

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

 

 

250,625

 

B+

 

 

 

455

5

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

458,981

 

B-

 

 

 

175

5

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

168,875

 

CCC+

 

 

 

280

 

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

 

 

301,000

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

120

 

 

9.125%, 8/15/13

 

 

124,500

 

B-

 

 

 

340

3

 

9.973%, 8/15/13

 

 

353,600

 

B-

 

 

 

560

 

 

10.25%, 8/15/15

 

 

586,600

 

B

 

 

 

945

 

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

 

 

966,263

 

B-

 

 

 

180

3,5

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

185,850

 

B-

 

 

 

410

 

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

 

 

442,800

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

4,657,219

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—7.6%

 

 

 

 

A

 

 

 

1,700

 

Bellsouth Telecommunications, Zero Coupon, 12/15/95

 

 

899,528

 

BB-

 

 

 

210

 

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

 

 

216,300

 

CCC

 

 

 

415

5

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

424,337

 

 

 

 

 

 

 

Deutsche Telekom Intl. Finance BV,

 

 

 

 

A-

 

 

 

3,000

 

 

5.75%, 3/23/16

 

 

2,963,874

 

A-

 

 

 

25

 

 

8.25%, 6/15/30

 

 

31,055

 

B3

 

 

 

190

3

Hawaiian Telcom Communications, Inc., Ser. B, 10.889%, 5/01/13

 

 

194,750

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

 

295

 

 

8.625%, 1/15/15

 

 

306,062

 

BB-

 

 

 

500

5

 

9.25%, 6/15/16

 

 

533,750

 

BB-

 

 

 

105

3

 

10.484%, 1/15/12

 

 

106,444

 

B

 

 

 

200

5

 

11.25%, 6/15/16

 

 

217,750

 

B

 

 

 

800

3,5

 

11.64%, 6/15/13

 

 

848,000

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

155

 

 

6.45%, 3/15/29

 

 

138,725

 

B1

 

 

 

805

 

 

6.50%, 1/15/28

 

 

720,475

 

B+

 

 

 

770

5

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

 

 

806,575

 

B-

 

 

 

70

 

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

 

 

57,750

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

530

3,5

 

9.624%, 7/15/11

 

 

547,225

 

B-

 

 

 

185

5

 

10.125%, 7/15/13

 

 

196,100

 

See Notes to Financial Statements.

18


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

B

 

 

$

155

 

 

9.00%, 8/15/14

 

$

161,975

 

B

 

 

 

475

5

 

9.00%, 6/15/16

 

 

496,375

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

211,750

 

BB+

 

 

 

470

3

 

8.64%, 6/15/13

 

 

506,425

 

BB+

 

 

 

155

 

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

 

 

162,750

 

A

 

 

 

780

 

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

 

 

806,610

 

BBB+

 

 

 

1,715

 

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

 

 

1,757,232

 

 

 

 

 

 

 

Telecom Italia Capital SA,

 

 

 

 

BBB+

 

 

 

1,075

 

 

4.95%, 9/30/14

 

 

997,138

 

BBB+

 

 

 

1,550

 

 

6.00%, 9/30/34

 

 

1,419,136

 

BBB+

 

 

 

1,975

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

2,126,451

 

BBB+

 

 

 

725

 

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

 

 

784,512

 

A+

 

 

 

70

 

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

 

 

81,809

 

A+

 

 

 

125

 

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

 

 

103,777

 

 

 

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

A+

 

 

 

230

 

 

7.85%, 11/15/29

 

 

258,765

 

A+

 

 

 

335

 

 

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

 

 

340,618

 

A+

 

 

 

3,150

 

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

 

 

2,953,812

 

 

 

 

 

 

 

Vodafone Group PLC,

 

 

 

 

A-

 

 

 

1,465

3

 

5.457%, 12/28/07

 

 

1,465,435

 

A-

 

 

 

2,504

 

 

7.75%, 2/15/10

 

 

2,687,290

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

65

5

 

9.50%, 10/15/14

 

 

64,675

 

B-

 

 

 

460

5

 

11.00%, 10/15/16

 

 

462,300

 

B+

 

 

 

350

5

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

 

 

388,937

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

500

5

 

8.125%, 8/01/13

 

 

533,750

 

BB+

 

 

 

280

5

 

8.625%, 8/01/16

 

 

302,050

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

28,282,272

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—0.2%

 

 

 

 

BB-

 

 

 

115

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

114,713

 

A-

 

 

 

350

 

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

 

 

380,246

 

B1

 

 

 

405

 

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

 

 

386,775

 

B3

 

 

 

47

 

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

 

 

49,115

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

930,849

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

217,716,849

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—4.5%

 

 

 

 

 

 

 

 

1,670

 

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

 

 

1,754,110

 

 

 

 

 

1,050

 

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

 

 

591,295

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

 

 

 

 

1,655

 

 

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

 

 

1,843,900

 

 

 

 

 

2,650

2

 

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

 

 

2,647,207

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

6,718

 

 

2.00%, 1/15/26

 

 

6,420,943

 

 

 

 

 

865

 

 

4.50%, 2/15/36

 

 

834,860

 

 

 

 

 

2,900

 

U.S. Treasury Notes, 4.875%, 8/15/16

 

 

2,960,719

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

17,053,034

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Foreign Government Bonds—1.4%

 

 

 

 

 

 

 

 

 

 

United Mexican States,

 

 

 

 

Baa1

 

 

 

2,000

 

 

5.625%, 1/15/17

 

 

1,999,000

 

Baa1

 

 

 

400

 

 

6.75%, 9/27/34

 

 

431,000

 

Baa1

 

 

 

2,255

 

 

8.00%, 9/24/22

 

 

2,734,188

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

5,164,188

 

 

 

 

 

 

 

 

 



 

 

 





 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

 

 

 

1,895

7,8

Critical Care Systems Intl., Inc.

 

 

15,160

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Preferred Security—0.0%

 

 

 

 

 

 

 

 

45,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

36,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $380,313,478)

 

 

377,248,535

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

19


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.2%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Note—0.2%

 

 

 

 

 

 

 

$

800

10

Federal Home Loan Bank Discount Note, 4.981%, 11/01/06 (cost $800,000)

 

$

800,000

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.2%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

4,900

 

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

334,056

 

 

 

 

 

4,900

 

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

288,565

 

 

 

 

 

43,600

 

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

18,870

 

 

 

 

 

43,600

 

 

Trust pays 5.90%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

1,024

 

 

 

 

 

74

 

U.S. Treasury Notes Future, expiring 2/23/07

 

 

17,344

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Purchased (cost $690,998)

 

 

659,859

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments before outstanding options written (cost $381,804,47611)

 

 

378,708,394

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.6)%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

(4,500

)

 

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(138,531

)

 

 

 

 

(4,500

)

 

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(208,665

)

 

 

 

 

(5,300

)

 

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

 

 

(140,057

)

 

 

 

 

(5,300

)

 

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

 

 

(140,057

)

 

 

 

 

(11,500

)

 

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

 

 

(315,813

)

 

 

 

 

(11,500

)

 

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

 

 

(617,520

)

 

 

 

 

(13,300

)

 

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

 

 

(476,406

)

 

 

 

 

(13,300

)

 

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

 

 

(77,805

)

 

 

 

 

(87,200

)

 

Trust pays 3-month LIBOR, Trust receives 5.65%, expires 3/14/08

 

 

(10,028

)

 

 

 

 

(37

)

U.S. Treasury Notes Future, expiring 11/21/06

 

 

(2,890

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $3,059,631)

 

 

(2,127,772

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments net of outstanding options written—100.8%

 

$

376,580,622

 

 

 

 

 

 

 

Liabilities in excess of other assets—(0.8)%

 

 

(3,062,498

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

373,518,124

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

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.

3

Variable rate security. Rate shown is interest rate as of October 31, 2006.

4

Represents an investment in an affiliate.

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 11.0% of its net assets, with a current market value of $41,146,258, in securities restricted as to resale.

6

Security, or a portion thereof, pledged as collateral with a value of $3,154,652 on 26 long U.S. Treasury Note futures contracts expiring March 2007, 1,495 long U.S. Treasury Bond futures contracts expiring December 2006, 163 short Eurodollar futures contracts expiring December 2007 and 1,558 short U.S. Treasury Note futures contracts expiring December 2006. The notional value of such contracts on October 31, 2006 was $32,137,119, with an unrealized gain of $2,423,434.

7

Security is fair valued.

8

Illiquid security. As of October 31, 2006, the Trust held 0.8% of its net assets, with a current market value of $2,887,082, in these securities.

9

Non-income producing security.

10

Rate shown is the yield to maturity as of the date of purchase.

11

Cost for federal income tax purposes is $382,268,326. The net unrealized depreciation on a tax basis is $3,559,932, consisting of $5,026,453 gross unrealized appreciation and $8,586,385 gross unrealized depreciation.

 

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

KEY TO ABBREVIATIONS

EUR – Euro
LIBOR – London Interbank Offered Rate

See Notes to Financial Statements.

20



 

 

PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

 

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

LONG-TERM INVESTMENTS—132.7%

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—128.9%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—3.7%

 

 

 

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

BB

 

 

$

370

 

 

6.875%, 12/15/07

 

$

370,000

 

NR

 

 

 

350

2

 

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

 

 

353,500

 

B

 

 

 

325

 

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

 

 

337,188

 

NR

 

 

 

1,500

3

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

 

 

 

B

 

 

 

565

 

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

 

 

587,600

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

40

 

 

6.875%, 11/01/13

 

 

40,000

 

B

 

 

 

100

 

 

7.625%, 2/01/18

 

 

102,250

 

BB+

 

 

 

20

 

L-3 Communications Corp., 5.875%, 1/15/15

 

 

19,350

 

BB

 

 

 

40

 

Sequa Corp., 9.00%, 8/01/09

 

 

42,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

1,852,088