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, 2007                       


Date of reporting period:

           April 30, 2007                             

 



Item 1. Reports to Shareholders.

The Registrant’s semi-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)

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT  |  APRIL 30, 2007 (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 Preferred and Equity Advantage Trust (BTZ)

 

 

 

 

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

10

 

 

     Statements of Assets and Liabilities

54

 

 

     Statements of Operations

56

 

 

     Statements of Cash Flows

58

 

 

     Statements of Changes in Net Assets

60

 

 

Financial Highlights

63

 

 

Notes to Financial Statements

71

 

 

Dividend Reinvestment Plans

86

 

 

Additional Information

87

 

 

Section 19 Notices

88


BlackRock Privacy Principles

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

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

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

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

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



LETTER TO SHAREHOLDERS

April 30, 2007

Dear Shareholder:

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

          The portfolio management team continuously monitors the fixed income markets and adjusts the Trusts’ investments in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credit ratings and coupon levels 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, 2007.

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Yield1

 

Market Price

 

NAV

 









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

 

 

5.94

%

 

$

15.15

 

 

$

13.65

 














BlackRock Core Bond Trust (BHK)

 

 

6.21

 

 

 

12.95

 

 

 

13.84

 














BlackRock High Yield Trust (BHY)

 

 

7.36

 

 

 

8.32

 

 

 

8.28

 














BlackRock Income Opportunity Trust (BNA)

 

 

6.17

 

 

 

10.70

 

 

 

11.17

 














BlackRock Income Trust Inc. (BKT)

 

 

5.99

 

 

 

6.21

 

 

 

6.49

 














BlackRock Limited Duration Income Trust (BLW)

 

 

7.66

 

 

 

19.57

 

 

 

19.32

 














BlackRock Preferred and Equity Advantage Trust (BTZ)

 

 

8.00

 

 

 

23.43

 

 

 

23.79

 














BlackRock Strategic Bond Trust (BHD)

 

 

7.01

 

 

 

13.19

 

 

 

14.16

 














 

 

1

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

          BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of March 31, 2007, BlackRock managed $468 billion in fixed income securities, including 32 open-end and 90 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.

          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, LLC

Ralph L. Schlosstein
President
BlackRock Advisors, LLC

1



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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

 


Trust Information

 

 

 

 

 

 

 








Symbol on American Stock Exchange:

 

 

BCT

 

 






Initial Offering Date:

 

June 17, 1993

 





Termination Date (on or about):

 

December 31, 2009

 





Closing Market Price as of 4/30/07:

 

 

$

15.15

 

 








Net Asset Value as of 4/30/07:

 

 

$

13.65

 

 








Yield on Closing Market Price as of 4/30/07 ($15.15):1

 

 

 

5.94

%

 








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. 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 


















Market Price

 

$

15.15

 

$

15.08

 

 

 0.46% 

 

$

15.65

 

$

14.86

 


















NAV

 

$

13.65

 

$

13.79

 

 

(1.02)%

 

$

13.81

 

$

13.63

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 


Composition

 

April 30, 2007

 

October 31, 2006

 


Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

37

%

 

 

 

28

%

 













U.S. Government and Agency Securities

 

 

 

19

 

 

 

 

30

 

 













Taxable Municipal Bonds

 

 

 

16

 

 

 

 

11

 

 













Inverse Floating Rate Mortgage Securities

 

 

 

11

 

 

 

 

8

 

 













Corporate Bond

 

 

 

8

 

 

 

 

14

 

 













Interest Only Mortgage-Backed Securities

 

 

 

6

 

 

 

 

7

 

 













Mortgage Pass-Through Securities

 

 

 

3

 

 

 

 

2

 

 













2



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

12.95

 

 








Net Asset Value as of 4/30/07:

 

 

$

13.84

 

 








Yield on Closing Market Price as of 4/30/07 ($12.95):1

 

 

 

6.21

%

 








Current Monthly Distribution per Share:2

 

 

$

0.067

 

 








Current Annualized Distribution per Share:2

 

 

$

0.804

 

 








Leverage as of 4/30/07:3

 

 

 

9

%

 








 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

4/30/07

 

10/31/06

 

Change

High

 

Low

 


Market Price

 

$

12.95

 

$

12.86

 

 

0.70

%

$

13.25

 

$

12.58

 


















NAV

 

$

13.84

 

$

13.82

 

 

0.14

%

$

14.01

 

$

13.59

 


















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, 2007

 

October 31, 2006

 


Corporate Bonds

 

 

 

55

%

 

 

 

58

%

 













Mortgage Pass-Through Securities

 

 

 

11

 

 

 

 

10

 

 













U.S. Government and Agency Securities

 

 

 

8

 

 

 

 

5

 

 













Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

7

 

 

 

 

8

 

 













Asset-Backed Securities

 

 

 

7

 

 

 

 

8

 

 













Commercial Mortgage-Backed Securities

 

 

 

6

 

 

 

 

6

 

 













Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

3

 

 

 

 

2

 

 













Foreign Government Bonds

 

 

 

2

 

 

 

 

1

 

 













Interest Only Mortgage-Backed Securities

 

 

 

1

 

 

 

 

1

 

 













Interest Only Asset-Backed Securities

 

 

 

 

 

 

 

1

 

 














Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 


Credit Rating

 

April 30, 2007

 

October 31, 2006

 


AAA/Aaa

 

 

 

6

%

 

 

 

7

%

 


AA/Aa

 

 

 

27

 

 

 

 

26

 

 













A

 

 

 

11

 

 

 

 

10

 

 













BBB/Baa

 

 

 

20

 

 

 

 

17

 

 













BB/Ba

 

 

 

8

 

 

 

 

12

 

 













B

 

 

 

22

 

 

 

 

23

 

 













CCC/Caa

 

 

 

6

 

 

 

 

5

 

 














 

 

4

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 58.2% and 58.3% of net assets on April 30, 2007 and October 31, 2006, respectively.

3



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

8.32

 

 








Net Asset Value as of 4/30/07:

 

 

$

8.28

 

 








Yield on Closing Market Price as of 4/30/07 ($8.32):1

 

 

 

7.36

%

 








Current Monthly Distribution per Share:2

 

 

$

0.051

 

 








Current Annualized Distribution per Share:2

 

 

$

0.612

 

 








Leverage as of 4/30/07:3

 

 

 

28

%

 








 

 

1

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

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

4/30/07

 

10/31/06

 

Change

High

 

Low

 


Market Price

 

$

8.32

 

$

7.77

 

 

7.08

%

$

8.60

 

$

7.66

 


















NAV

 

$

8.28

 

$

7.85

 

 

5.48

%

$

8.28

 

$

7.85

 


















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

Corporate Portfolio Composition4

 

 

 

 

 

 

 

 

 

 

 

 


Composition

 

April 30, 2007

 

October 31, 2006

 


Energy

 

 

 

15

%

 

 

 

16

%

 













Telecommunications

 

 

 

13

 

 

 

 

13

 

 













Media

 

 

 

13

 

 

 

 

11

 

 













Basic Materials

 

 

 

12

 

 

 

 

11

 

 













Financial Institutions

 

 

 

8

 

 

 

 

14

 

 













Consumer Products

 

 

 

7

 

 

 

 

6

 

 













Technology

 

 

 

6

 

 

 

 

5

 

 













Automotive

 

 

 

4

 

 

 

 

3

 

 













Entertainment & Leisure

 

 

 

4

 

 

 

 

4

 

 













Industrials

 

 

 

4

 

 

 

 

3

 

 













Health Care

 

 

 

3

 

 

 

 

3

 

 













Aerospace & Defense

 

 

 

2

 

 

 

 

3

 

 













Transportation

 

 

 

2

 

 

 

 

2

 

 













Containers & Packaging

 

 

 

2

 

 

 

 

3

 

 













Real Estate

 

 

 

2

 

 

 

 

 

 













Building & Development

 

 

 

2

 

 

 

 

3

 

 













Ecological Services & Equipment

 

 

 

1

 

 

 

 

 

 














Corporate Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 


Credit Rating

 

April 30, 2007

 

October 31, 2006

 


BBB/Baa

 

 

 

4

%

 

 

 

3

%

 













BB/Ba

 

 

 

20

 

 

 

 

26

 

 













B

 

 

 

58

 

 

 

 

55

 

 













CCC/Caa

 

 

 

15

 

 

 

 

12

 

 













C

 

 

 

 

 

 

 

2

 

 













Not Rated

 

 

 

3

 

 

 

 

2

 

 














 

 

4

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 123.2% and 128.9% of net assets on April 30, 2007 and October 31, 2006, respectively.

4



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

10.70

 

 








Net Asset Value as of 4/30/07:

 

 

$

11.17

 

 








Yield on Closing Market Price as of 4/30/07 ($10.70):1

 

 

 

6.17

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055

 

 








Current Annualized Distribution per Share:2

 

 

$

0.660

 

 








Leverage as of 4/30/07:3

 

 

 

14

%

 








 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











 

 

4/30/07

 

10/31/06

Change

 

High

 

Low

 













Market Price

 

 

$

10.70

 

 

 

$

10.58

 

 

1.13

%

 

 

$

10.76

 

 

 

$

10.27

 

 


























NAV

 

 

$

11.17

 

 

 

$

11.17

 

 

%

 

 

$

11.33

 

 

 

$

10.95

 

 


























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, 2007

 

October 31, 2006

 







Corporate Bonds

 

47

%

 

48

%

 









Mortgage Pass-Through Securities

 

12

 

 

12

 

 









Asset-Backed Securities

 

11

 

 

13

 

 









U.S. Government and Agency Securities

 

10

 

 

7

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

8

 

 

7

 

 









Commercial Mortgage-Backed Securities

 

4

 

 

4

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

6

 

 









Foreign Government Bonds

 

1

 

 

 

 









Federal Housing Administration Securities

 

1

 

 

1

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Trust Preferred Stocks

 

1

 

 

 

 









Inverse Floating Rate Mortgage Securities

 

 

 

1

 

 










Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 









Credit Rating

 

April 30, 2007

 

October 31, 2006

 









AAA/Aaa

 

8

%

 

9

%

 









AA/Aa

 

18

 

 

17

 

 









A

 

11

 

 

10

 

 









BBB/Baa

 

21

 

 

19

 

 









BB/Ba

 

11

 

 

13

 

 









B

 

25

 

 

25

 

 









CCC/Caa

 

6

 

 

6

 

 









Not Rated

 

 

 

1

 

 










 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 54.2% and 52.1% of net assets on April 30, 2007 and October 31, 2006, respectively.

5



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

6.21

 

 








Net Asset Value as of 4/30/07:

 

 

$

6.49

 

 








Yield on Closing Market Price as of 4/30/07 ($6.21):1

 

 

 

5.99

%

 








Current Monthly Distribution per Share:2

 

 

$

0.031

 

 








Current Annualized Distribution per Share:2

 

 

$

0.372

 

 








Leverage as of 4/30/07:3

 

 

 

8

%

 








 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 











 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low












Market Price

 

$6.21

 

$6.07

 

2.31%

 

$6.33

 

$6.03












NAV

 

$6.49

 

$6.48

 

0.15%

 

$6.52

 

$6.41












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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2007

 

October 31, 2006

 







Agency Multiple Class Mortgage Pass-Through Securities

 

27

%

 

28

%

 









Mortgage Pass-Through Securities

 

24

 

 

22

 

 









U.S. Government and Agency Securities

 

18

 

 

20

 

 









Interest Only Mortgage-Backed Securities

 

12

 

 

10

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

8

 

 

9

 

 









Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 









Inverse Floating Rate Mortgage Securities

 

3

 

 

3

 

 









Federal Housing Administration Securities

 

2

 

 

2

 

 









Corporate Bonds

 

1

 

 

1

 

 









6



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

19.57

 

 








Net Asset Value as of 4/30/07:

 

 

$

19.32

 

 








Yield on Closing Market Price as of 4/30/07 ($19.57):1

 

 

 

7.66

%

 








Current Monthly Distribution per Share:2

 

 

$

0.125

 

 








Current Annualized Distribution per Share:2

 

 

$

1.500

 

 








Leverage as of 4/30/07:3

 

 

 

20

%

 








 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 













Market Price

 

$19.57

 

$18.85

 

3.82%

 

$19.89

 

$18.42

 













NAV

 

$19.32

 

$19.01

 

1.63%

 

$19.32

 

$18.93

 













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, 2007

 

October 31, 2006

 







Corporate Bonds

 

 

42

%

 

 

 

43

%

 












Bank Loans

 

 

39

 

 

 

 

36

 

 












Mortgage Pass-Through Securities

 

 

14

 

 

 

 

14

 

 












U.S. Government and Agency Securities

 

 

3

 

 

 

 

4

 

 












Foreign Government Bonds

 

 

2

 

 

 

 

2

 

 












Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

 

 

 

1

 

 












Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2007

 

October 31, 2006

 







AA/Aa

 

 

1

%

 

 

 

2

%

 












A

 

 

1

 

 

 

 

1

 

 












BBB/Baa

 

 

10

 

 

 

 

9

 

 












BB/Ba

 

 

24

 

 

 

 

24

 

 












B

 

 

49

 

 

 

 

51

 

 












CCC/Caa

 

 

13

 

 

 

 

11

 

 












Not Rated

 

 

2

 

 

 

 

2

 

 













 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 59.0% and 64.3% of net assets on April 30, 2007 and October 31, 2006, respectively.

7


TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BTZ

 





Initial Offering Date:

 

December 27, 2006

 





Closing Market Price as of 4/30/07:

 

 

$

23.43

 

 





Net Asset Value as of 4/30/07:

 

 

$

23.79

 

 





Yield on Closing Market Price as of 4/30/07 ($23.43):1

 

 

 

8.00

%

 





Current Monthly Distribution per Share:2

 

 

$

0.15625

 

 





Current Annualized Distribution per Share:2

 

 

$

1.87500

 

 





Leverage as of 4/30/07:3

 

 

 

38

%

 





 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 







 

 

4/30/2007

 

High

 

Low








Market Price

 

 

$

23.43

 

 

 

$

25.25

 

 

 

$

22.90

 

















NAV

 

 

$

23.79

 

 

 

$

24.35

 

 

 

$

23.44

 

















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

Portfolio Composition4

 

 

 



Composition

April 30, 2007



Financial Institutions

64

%




Energy

8

 




Consumer Products

4

 




Technology

4

 




Real Estate

4

 




Health Care

4

 




Telecommunications

3

 




Industrials

3

 




Media

2

 




Automotive

1

 




Basic Materials

1

 




Building & Development

1

 




Entertainment & Leisure

1

 




Credit Quality Allocations5

 

 

 



Credit Rating

April 30, 2007



AA/Aa

18

%




A

27

 




BBB/Baa

31

 




BB/Ba

2

 




B

20

 




CCC/Caa

1

 




Not Rated

1

 




 

 


4

For Trust compliance purposes, the Trust’s sector and industry classification refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classification for reporting ease.

 

 

5

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

8


TRUST SUMMARIES (unaudited)
APRIL 30, 2007

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 4/30/07:

 

 

$

13.19

 

 








Net Asset Value as of 4/30/07:

 

 

$

14.16

 

 








Yield on Closing Market Price as of 4/30/07 ($13.19):1

 

 

 

7.01

%

 








Current Monthly Distribution per Share:2

 

 

$

0.077

 

 








Current Annualized Distribution per Share:2

 

 

$

0.924

 

 








Leverage as of 4/30/07:3

 

 

 

9

%

 








 

 

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.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 













Market Price

 

 

$

13.19

 

 

 

$

12.85

 

 

 

2.65%

 

 

$

13.29

 

 

 

$

12.66

 

 


























NAV

 

 

$

14.16

 

 

 

$

13.83

 

 

 

2.39%

 

 

$

14.17

 

 

 

$

13.83

 

 


























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

Corporate Portfolio Composition4

 

 

 

 

 

 

 

 









Composition

 

April 30, 2007

 

October 31, 2006

 









Financial Institutions

 

 

16

%

 

 

18

%

 











Media

 

 

16

 

 

 

14

 

 











Telecommunications

 

 

13

 

 

 

12

 

 











Energy

 

 

13

 

 

 

13

 

 











Basic Materials

 

 

7

 

 

 

6

 

 











Aerospace & Defense

 

 

7

 

 

 

6

 

 











Technology

 

 

6

 

 

 

5

 

 











Consumer Products

 

 

5

 

 

 

7

 

 











Automotive

 

 

4

 

 

 

2

 

 











Health Care

 

 

4

 

 

 

4

 

 











Ecological Services & Equipment

 

 

2

 

 

 

2

 

 











Industrials

 

 

2

 

 

 

3

 

 











Transportation

 

 

2

 

 

 

1

 

 











Entertainment & Leisure

 

 

1

 

 

 

3

 

 











Containers & Packaging

 

 

1

 

 

 

1

 

 











Building & Development

 

 

1

 

 

 

2

 

 











Real Estate

 

 

 

 

 

1

 

 











Corporate Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 











Credit Rating

 

April 30, 2007

 

October 31, 2006

 











AAA/Aaa

 

 

3

%

 

 

3

%

 











AA/Aa

 

 

5

 

 

 

6

 

 











A

 

 

13

 

 

 

12

 

 











BBB/Baa

 

 

14

 

 

 

13

 

 











BB/Ba

 

 

14

 

 

 

16

 

 











B

 

 

39

 

 

 

40

 

 











CCC/Caa

 

 

10

 

 

 

9

 

 











Not Rated

 

 

2

 

 

 

1

 

 











 

 


4

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 97.7% and 107.6% of net assets on April 30, 2007 and October 31, 2006, respectively.

9



 

PORTFOLIO OF INVESTMENTS

APRIL 30, 2007 (unaudited)

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

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—32.5%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—0.9%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

345

 

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

 

$

346,937

 

 

15

 

6.50%, 7/01/29

 

 

15,174

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

362,111

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—12.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,945

 

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

 

 

1,955,819

 

 

2,000

 

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

 

 

1,994,320

 

 

81

 

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

 

 

77,065

 

 

792

 

Federal National Mortgage Assoc., Ser. 49, Class H, 7.00%, 4/25/13

 

 

812,832

 

 

26

1

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

 

 

25,698

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

4,865,734

 

 

 

 

 

 



 

 

 

 

Inverse Floating Rate Mortgage Securities—3.6%

 

 

 

 

 

144

1

Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 4.19%, 11/25/23

 

 

143,754

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

45

1

Ser. 1425, Class SB, 8.155%, 12/15/07

 

 

44,518

 

 

11

1

Ser. 1506, Class S, 9.727%, 5/15/08

 

 

11,209

 

 

59

1

Ser. 1515, Class S, 8.776%, 5/15/08

 

 

59,324

 

 

44

1

Ser. 1600, Class SC, 8.60%, 10/15/08

 

 

43,656

 

 

181

1

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

 

 

183,323

 

 

14

1

Ser. 1661, Class SB, 8.853%, 1/15/09

 

 

13,743

 

 

51

1

Ser. 1688, Class S, 9.549%, 12/15/13

 

 

51,769

 

 

123

1

Ser. 2412, Class SE, 5.016%, 2/15/09

 

 

121,941

 

 

310

1

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

 

 

298,543

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

15

1

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

 

 

15,486

 

 

102

1

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

 

 

102,314

 

 

21

1

Ser. 187, Class SB, 11.814%, 10/25/07

 

 

21,322

 

 

183

1

Ser. 192, Class SC, 6.844%, 10/25/08

 

 

183,906

 

 

61

1

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

 

 

60,707

 

 

84

1

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

 

 

85,909

 

 

 

 

 

 



 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,441,424

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—2.1%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1

 

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

 

 

1,199

 

 

 

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

 

 

248

 

 

1,787

 

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

 

 

109,362

 

 

378

 

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

 

 

5,384

 

 

4,909

 

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

 

 

195,428

 

 

587

 

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

 

 

5,669

 

 

1,893

 

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

 

 

228,906

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

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

 

 

1,434

 

 

1,218

 

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

 

 

47,200

 

 

66

1

Ser. 20, Class SL, 10.143%, 9/25/08

 

 

3,732

 

 

3

 

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

 

 

21,828

 

 

7,391

 

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

 

 

195,935

 

 

3

1

Ser. 174, Class S, 97.356%, 9/25/22

 

 

11,019

 

 

 

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

 

 

8,549

 

 

13,546

1

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

 

 

30,160

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

866,053

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

$

17

2

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

 

$

16,202

 

 

 

 

 

 



 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

 

234

1,3,4,5

Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07

 

 

23

 

 

568

1,3,5

Structured Mortgage Asset Residential Trust, Ser. 2, 8.24%, 12/15/07

 

 

57

 

 

 

 

 

 



 

 

 

 

Total Asset-Backed Securities

 

 

80

 

 

 

 

 

 



 

 

 

 

Corporate Bond—2.6%

 

 

 

 

 

1,000

 

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

 

 

1,050,311

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—6.1%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

2,000

 

6.00%, 8/15/09

 

 

2,061,172

 

 

385

 

6.625%, 5/15/07

 

 

385,211

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

2,446,383

 

 

 

 

 

 



 

 

 

 

Taxable Municipal Bonds—5.2%

 

 

 

 

 

500

 

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

 

 

547,130

 

 

500

 

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

 

 

521,830

 

 

500

 

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

 

 

510,735

 

 

500

 

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

 

 

505,430

 

 

 

 

 

 



 

 

 

 

Total Taxable Municipal Bonds

 

 

2,085,125

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $13,313,002)

 

 

13,133,423

 

 

 

 

 

 



 

 

 

 

SHORT-TERM INVESTMENT—66.7%

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—66.7%

 

 

 

 

 

26,900

6

Federal Home Loan Bank Disc. Notes, 5.061%, 5/01/07 (cost $26,900,000)

 

 

26,900,000

 

 

 

 

 

 



 

 

 

 

Total Investments—99.2%
(cost $40,213,0027)

 

$

40,033,423

 

 

 

 

Other assets in excess of liabilities—0.8%

 

 

316,243

 

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

40,349,666

 

 

 

 

 

 



 


 

 

1

Variable rate security. Rate shown is interest rate as of April 30, 2007.

2

Rate shown is effective yield of the underlying collateral as of April 30, 2007.

3

Illiquid security. As of April 30, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $80, in these securities.

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, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $23, in securities restricted as to resale.

5

Security is fair valued.

6

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

7

Cost for federal income tax purposes is $40,213,002. The net unrealized depreciation on a tax basis is $179,579, consisting of $2,365,325 gross unrealized appreciation and $2,544,904 gross unrealized depreciation.


 

 

 

 

 

 

KEY TO ABBREVIATIONS

REMIC

Real Estate Mortgage Investment Conduit   

 

 

 

See Notes to Financial Statements.

10



 

PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—106.3%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—11.2%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

$

79

 

5.00%, 8/01/33

 

$

76,310

 

 

5,544

 

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

 

 

5,489,162

 

 

1,580

1

5.50%, 11/01/18

 

 

1,585,578

 

 

2,757

 

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

 

 

2,807,575

 

 

25

 

7.00%, 9/01/31

 

 

25,998

 

 

69

2

7.436%, 5/01/32

 

 

70,009

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

46

 

4.50%, 2/01/20

 

 

44,209

 

 

10,575

 

5.00%, 11/01/17-5/01/21

 

 

10,442,466

 

 

3,910

 

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

 

 

3,877,511

 

 

2,825

 

5.97%, 8/01/16

 

 

2,977,098

 

 

5,670

1

6.00%, 2/01/36-11/01/36

 

 

5,715,486

 

 

4,786

 

6.00%, 8/01/29-10/01/36

 

 

4,823,571

 

 

329

 

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

 

 

344,660

 

 

1,200

 

Federal National Mortgage Assoc. TBA, 5.00%, 5/14/37

 

 

1,159,126

 

 

231

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

5.50%, 8/15/33

 

 

230,117

 

 

 

 

Small Business Administration,

 

 

 

 

 

833

 

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

 

 

813,910

 

 

1,505

 

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

 

 

1,509,870

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

41,992,656

 

 

 

 

 

 



 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

1,040

 

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

 

 

1,082,458

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—7.9%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,258

 

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

 

 

2,267,746

 

 

1,200

 

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

 

 

1,185,404

 

 

2,170

 

Ser. 2775, Class OE, 4.50%, 4/15/19

 

 

2,064,232

 

 

3,041

 

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

 

 

3,125,052

 

 

1,374

 

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

 

 

1,388,885

 

 

1,300

 

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

 

 

1,266,923

 

 

3,196

 

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

 

 

3,221,500

 

 

1,713

 

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

 

 

1,727,801

 

 

1,641

 

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

 

 

1,657,248

 

 

1,600

 

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

 

 

1,640,371

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1,453

 

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

 

 

1,465,862

 

 

2,962

 

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

 

 

2,942,087

 

 

1,923

 

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

 

 

1,934,803

 

 

1,883

 

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

 

 

1,898,632

 

 

1,716

2

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

 

 

1,728,631

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

29,515,177

 

 

 

 

 

 



 

 

 

 

Asset-Backed Securities—6.9%

 

 

 

 

 

2,800

 

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

 

 

2,791,693

 

 

2,825

 

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

 

 

2,816,390

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

 

181

2

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

 

 

181,273

 

 

852

2

Ser. 16, Class 4AV1, 5.42%, 1/25/35

 

 

852,368

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

$

2,825

 

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

 

$

2,819,264

 

 

2,850

 

Ford Credit Auto Owner Trust, Ser. A, Class A4, 5.08%, 12/15/10

 

 

2,850,324

 

 

2,300

 

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

 

 

2,268,627

 

 

2,495

 

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

 

 

2,473,645

 

 

2,825

 

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

 

 

2,821,463

 

 

891

2,3

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

 

 

890,858

 

 

634

2

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

 

 

633,687

 

 

867

2

SLM Student Loan Trust, Ser. 5, Class A1, 5.355%, 1/25/18

 

 

867,287

 

 

932

2

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

 

 

931,858

 

 

2,725

 

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

 

 

2,729,118

 

 

 

 

 

 



 

 

 

 

Total Asset-Backed Securities

 

 

25,927,855

 

 

 

 

 

 



 

 

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

16,255

 

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

 

 

487,653

 

 

13,677

 

Ser. 2, 2.126%, 3/30/30

 

 

376,119

 

 

 

 

 

 



 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

863,772

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,358

 

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

 

 

289,344

 

 

6,219

 

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

 

 

1,090,195

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

26,413

2

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,295,928

 

 

4,240

 

Ser. 378, Class 5, 5.00%, 7/01/36

 

 

952,774

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,628,241

 

 

 

 

 

 



 

 

 

 

Commercial Mortgage-Backed Securities—6.8%

 

 

 

 

 

2,180

2

Banc of America Commerical Mortgage, Inc., Ser. 1, Class A4, 5.039%, 11/10/42

 

 

2,170,815

 

 

984

 

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

 

 

985,698

 

 

2,720

 

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

 

 

2,676,114

 

 

2,170

2

Credit Suisse Mortgage Capital Certificates, Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,190,598

 

 

1,551

 

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

 

 

1,602,182

 

 

2,116

 

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

 

 

2,126,466

 

 

1,541

 

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

 

 

1,568,008

 

See Notes to Financial Statements.

11



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Commercial Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

$

2,140

 

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

 

$

2,190,955

 

 

2,180

 

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

 

 

2,126,379

 

 

1,673

 

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

 

 

1,750,259

 

 

2,216

 

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

 

 

2,232,582

 

 

3,500

 

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

 

 

3,660,970

 

 

 

 

 

 



 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

25,281,026

 

 

 

 

 

 



 

 

 

 

Corporate Bonds—58.2%

 

 

 

 

 

 

 

Aerospace & Defense—1.1%

 

 

 

 

 

150

4

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

157,687

 

 

1,305

 

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

 

 

1,402,875

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

70

 

6.875%, 11/01/13

 

 

70,700

 

 

80

 

7.625%, 2/01/18

 

 

83,800

 

 

960

 

Northrop Grumman Corp., 7.875%, 3/01/26

 

 

1,178,892

 

 

15

 

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

 

 

15,863

 

 

120

4

TransDigm, Inc., 7.75%, 7/15/14

 

 

124,500

 

 

1,125

 

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

 

 

1,093,454

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

4,127,771

 

 

 

 

 

 



 

 

 

 

Automotive—1.3%

 

 

 

 

 

265

 

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

 

 

273,612

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

150

 

7.00%, 4/15/14

 

 

150,750

 

 

150

2

7.356%, 4/15/13

 

 

151,313

 

 

30

2,4

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

30,825

 

 

660

 

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

 

 

756,624

 

 

600

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

603,000

 

 

485

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

472,269

 

 

250

 

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

 

 

257,500

 

 

2,100

 

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

 

 

2,189,250

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

4,885,143

 

 

 

 

 

 



 

 

 

 

Basic Materials—4.6%

 

 

 

 

 

625

 

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

 

 

540,625

 

 

995

 

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

 

 

1,027,337

 

 

250

4

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

 

 

251,250

 

 

80

2

Bowater, Inc., 8.355%, 3/15/10

 

 

80,400

 

 

30

 

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

 

 

29,550

 

 

200

 

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

 

 

210,000

 

 

60

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

61,125

 

 

150

 

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

 

 

150,000

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

920

 

8.375%, 4/01/17

 

 

1,006,250

 

 

330

2

8.564%, 4/01/15

 

 

347,738

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

66

 

Huntsman LLC, 12.00%, 7/15/12

 

$

73,590

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

1,330

4

8.50%, 2/15/16

 

 

1,286,775

 

 

285

 

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

 

 

367,534

 

 

885

 

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

 

 

927,037

 

 

130

 

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

 

 

144,774

 

 

515

4

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

520,150

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

240

 

8.00%, 9/15/14

 

 

251,400

 

 

385

 

8.25%, 9/15/16

 

 

411,950

 

 

1,705

 

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

 

 

1,884,025

 

 

 

 

Noranda, Inc. (Canada)

 

 

 

 

 

825

 

6.00%, 10/15/15

 

 

853,678

 

 

1,250

 

6.20%, 6/15/35

 

 

1,257,539

 

 

610

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

620,675

 

 

545

4

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

 

 

599,500

 

 

1,430

 

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

 

 

1,394,416

 

 

430

4

Terra Capital, Inc., 7.00%, 2/01/17

 

 

421,400

 

 

2,150

 

Vale Overseas Ltd., 6.875%, 11/21/36 (Cayman Islands)

 

 

2,273,625

 

 

304

 

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

 

 

32,100

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

17,024,443

 

 

 

 

 

 



 

 

 

 

Building & Development—0.2%

 

 

 

 

 

440

 

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

 

 

443,300

 

 

190

 

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

 

 

188,100

 

 

85

 

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

 

 

87,550

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

718,950

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.1%

 

 

 

 

 

100

 

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

 

 

104,375

 

 

200

4

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

211,000

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

315,375

 

 

 

 

 

 



 

 

 

 

Consumer Products—2.1%

 

 

 

 

 

650

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

663,000

 

 

530

 

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

 

 

524,762

 

 

1,125

 

Federated Retail Holdings, Inc., 5.90%, 12/01/16

 

 

1,126,713

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

4

9.796%, 3/15/14

 

 

489,375

 

 

400

4

10.75%, 3/15/15

 

 

399,000

 

 

320

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

331,200

 

 

30

 

May Deptartment Stores Co., 6.65%, 7/15/24

 

 

29,784

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

470

4

10.00%, 11/01/14

 

 

515,825

 

 

600

4

11.375%, 11/01/16

 

 

661,500

 

 

50

2,4

Nutro Products, Inc., 9.37%, 10/15/13

 

 

51,125

 

 

1,000

 

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

 

 

1,007,500

 

 

200

 

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

 

 

195,000

 

 

250

 

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

 

 

273,523

 

 

710

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

708,225

 

 

390

4

Sally Holdings LLC, 10.50%, 11/15/16

 

 

405,600

 

See Notes to Financial Statements.

12



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Consumer Products—(cont’d)

 

 

 

 

$

120

 

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

 

$

95,100

 

 

555

 

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

 

 

566,100

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

8,043,332

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

270

 

8.875%, 9/15/14

 

 

278,100

 

 

180

2

9.23%, 9/15/14

 

 

184,050

 

 

150

 

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

 

 

158,625

 

 

75

 

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

 

 

76,500

 

 

300

2,4

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

307,117

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,582,500

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

2,586,892

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

 

590

 

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

 

 

622,450

 

 

 

 

 

 



 

 

 

 

Energy—6.0%

 

 

 

 

 

425

 

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

 

 

466,528

 

 

2,350

 

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

 

 

2,355,936

 

 

140

 

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

 

 

140,525

 

 

320

 

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

 

 

324,800

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

150

 

6.375%, 6/15/15

 

 

150,188

 

 

20

 

6.875%, 11/15/20

 

 

20,150

 

 

500

 

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

 

 

482,185

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

55

 

7.50%, 5/15/15

 

 

57,750

 

 

90

 

7.75%, 5/15/17

 

 

95,400

 

 

235

 

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

 

 

233,237

 

 

360

 

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

 

 

367,624

 

 

725

 

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

 

 

757,474

 

 

115

 

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

 

 

119,600

 

 

100

 

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

 

 

111,500

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

 

265

 

8.625%, 1/15/22

 

 

325,373

 

 

225

 

8.875%, 6/15/32

 

 

281,000

 

 

126

 

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

 

 

133,242

 

 

1,000

 

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

 

 

1,048,070

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,600

 

 

60

 

7.25%, 12/01/17

 

 

58,050

 

 

1,500

 

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

 

 

1,596,973

 

 

130

 

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

 

 

130,325

 

 

950

 

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

 

 

845,414

 

 

80

 

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

 

 

79,400

 

 

175

4

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

 

 

202,018

 

 

210

 

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

 

 

207,900

 

 

700

 

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

 

 

693,727

 

 

75

 

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

 

 

82,833

 

 

155

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

163,913

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Energy—(cont’d)

 

 

 

 

$

590

 

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

 

$

644,575

 

 

1,050

4

Nakilat, Inc., 6.067%, 12/31/33 (Qatar)

 

 

1,034,878

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

51,750

 

 

285

 

7.375%, 2/01/16

 

 

296,044

 

 

1,000

 

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

 

 

1,095,628

 

 

425

 

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

 

 

442,201

 

 

450

4

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

475,875

 

 

130

 

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

 

 

150,150

 

 

1,650

 

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

 

 

1,749,000

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

210

 

6.75%, 12/15/14

 

 

219,975

 

 

50

 

9.25%, 7/15/10

 

 

52,438

 

 

330

4

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

 

 

339,075

 

 

700

 

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

 

 

698,841

 

 

315

4

SemGroup LP, 8.75%, 11/15/15

 

 

325,237

 

 

460

2,4

Stone Energy Corp., 8.106%, 7/15/10

 

 

460,000

 

 

295

 

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

 

 

297,624

 

 

320

4

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

 

 

329,600

 

 

1,050

 

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

 

 

1,393,841

 

 

550

 

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

 

 

539,883

 

 

375

 

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

 

 

367,600

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

22,531,950

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—0.8%

 

 

 

 

 

185

 

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

 

 

212,288

 

 

80

 

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

 

 

73,600

 

 

1,000

 

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

 

 

1,050,000

 

 

150

 

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

 

 

148,875

 

 

335

4

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

 

 

359,287

 

 

500

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

415,000

 

 

110

 

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

 

 

114,400

 

 

260

 

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

 

 

264,550

 

 

215

4

TDS Investor, 9.875%, 9/01/14

 

 

230,050

 

 

40

 

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

 

 

40,100

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

2,908,150

 

 

 

 

 

 



 

 

 

 

Financial Institutions—20.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

320

 

7.125%, 2/15/13

 

 

314,800

 

 

3,165

 

8.125%, 6/01/11

 

 

3,228,300

 

 

325

 

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

 

 

321,553

 

 

1,400

 

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

 

 

1,412,490

 

 

4,970

2

Barclays Bank Plc NY, 5.35%, 3/13/09

 

 

4,973,534

 

 

350

4

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

 

 

326,182

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

 

1,200

 

3.40%, 7/02/07

 

 

1,196,389

 

 

1,075

 

4.75%, 5/15/12

 

 

1,061,293

 

 

170

2,4

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

170,425

 

 

110

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

111,100

 

See Notes to Financial Statements.

13



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

600

 

CitiFinancial, 6.25%, 1/01/08

 

$

602,827

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,950

5

3.625%, 2/09/09

 

 

3,857,977

 

 

5,470

5

4.125%, 2/22/10

 

 

5,349,879

 

 

1,020

 

4.25%, 7/29/09

 

 

1,004,338

 

 

525

 

6.875%, 2/15/98

 

 

571,773

 

 

1,075

4

Depfa ACS Bank, 5.125%, 3/16/37 (Ireland)

 

 

1,029,181

 

 

1,700

 

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

 

 

1,758,764

 

 

200

2

Ford Motor Credit Co., 8.105%, 1/13/12

 

 

197,263

 

 

525

4

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

 

 

495,316

 

 

1,415

 

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

 

 

1,396,660

 

 

 

 

HBOS Treasury Services Plc (United Kingdom)

 

 

 

 

 

855

4

3.60%, 8/15/07

 

 

851,217

 

 

825

4

3.75%, 9/30/08

 

 

808,325

 

 

775

 

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

 

 

772,377

 

 

 

 

HSBC Finance Corp.,

 

 

 

 

 

1,820

 

4.75%, 5/15/09

 

 

1,806,978

 

 

635

 

6.375%, 8/01/10

 

 

657,939

 

 

300

 

HSBC Holdings Plc, 6.50%, 5/02/36 (United Kingdom)

 

 

321,408

 

 

751

4

iPayment Investors LP, 11.625%, 7/15/14

 

 

780,980

 

 

240

 

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

 

 

249,900

 

 

1,500

4

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

 

 

1,414,425

 

 

255

 

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

 

 

272,850

 

 

1,525

 

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

 

 

1,478,166

 

 

1,150

4

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

 

 

1,132,443

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

40

4

9.75%, 12/01/14

 

 

42,300

 

 

770

4

10.125%, 12/01/14

 

 

816,200

 

 

355

4

11.50%, 12/01/16

 

 

379,850

 

 

 

 

Morgan Stanley,

 

 

 

 

 

3,300

2

5.60%, 1/09/12

 

 

3,299,822

 

 

1,900

 

6.25%, 8/09/26

 

 

1,964,383

 

 

2,125

4

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

 

 

2,115,457

 

 

850

4

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

 

 

832,445

 

 

350

 

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

 

 

370,069

 

 

500

 

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

 

 

499,270

 

 

1,000

4

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

 

 

1,008,150

 

 

5,550

2,4

Rabobank Nederland Global, 5.35%, 4/06/09 (Netherlands)

 

 

5,552,181

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

200

4

8.75%, 9/01/12

 

 

213,500

 

 

1,455

4

10.375%, 9/01/14

 

 

1,638,694

 

 

485

 

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

 

 

525,012

 

 

2,533

6

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

2,530,944

 

 

 

 

SunTrust Bank,

 

 

 

 

 

1,635

 

3.625%, 10/15/07

 

 

1,621,752

 

 

995

 

4.00%, 10/15/08

 

 

977,398

 

 

1,265

 

4.415%, 6/15/09

 

 

1,250,824

 

 

235

4

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

 

 

232,177

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

375

 

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

 

$

373,341

 

 

50

2

Universal City Florida Holding Co. I/II, 10.106%, 5/01/10

 

 

51,312

 

 

2,790

 

US Bank NA, 6.50%, 2/01/08

 

 

2,804,536

 

 

495

4

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

 

 

490,610

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

 

1,031

 

3.12%, 8/15/08

 

 

1,001,356

 

 

355

 

4.20%, 1/15/10

 

 

348,340

 

 

1,665

 

4.625%, 8/09/10

 

 

1,647,313

 

 

435

 

4.875%, 1/12/11

 

 

432,985

 

 

1,150

 

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

 

 

1,169,734

 

 

630

4

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

639,450

 

 

1,775

4

Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)

 

 

1,797,220

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

76,553,677

 

 

 

 

 

 



 

 

 

 

Health Care—2.2%

 

 

 

 

 

1,030

 

Bristol-Myers Squibb Co., 5.875%, 11/15/36

 

 

1,019,442

 

 

2,275

 

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,207,430

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

120

4

10.75%, 6/15/16

 

 

130,800

 

 

260

2,4

11.354%, 6/15/14

 

 

282,750

 

 

52,000

 

Pfizer, Inc. (JPY), 0.80%, 3/18/08

 

 

434,907

 

 

410

 

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

 

 

328,000

 

 

995

 

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

 

 

969,507

 

 

870

 

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

 

 

839,261

 

 

410

 

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

 

 

439,252

 

 

 

 

WellPoint, Inc.,

 

 

 

 

 

955

 

5.85%, 1/15/36

 

 

922,736

 

 

85

 

5.95%, 12/15/34

 

 

84,310

 

 

675

 

Wyeth, 6.00%, 2/15/36

 

 

680,481

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

8,338,876

 

 

 

 

 

 



 

 

 

 

Industrials—1.2%

 

 

 

 

 

1,575

 

3M Co., Ser. MTN, 5.70%, 3/15/37

 

 

1,570,462

 

 

360

4

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

 

 

378,450

 

 

140

 

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

 

 

140,350

 

 

120

 

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

 

 

118,800

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

480

 

9.50%, 8/01/14

 

 

513,600

 

 

505

 

11.75%, 8/01/16

 

 

560,550

 

 

950

4

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

 

 

1,016,500

 

 

200

 

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

 

 

207,500

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

4,506,212

 

 

 

 

 

 



 

 

 

 

Media—6.3%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

515

 

10.125%, 10/15/13

 

 

561,350

 

 

180

 

11.50%, 10/15/15

 

 

198,000

 

 

100

 

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

 

 

94,250

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

90

 

6.625%, 5/15/29

 

 

91,687

 

 

3,040

 

7.57%, 2/01/24

 

 

3,387,071

 

 

205

5

7.625%, 4/15/31

 

 

231,879

 

 

85

 

7.70%, 5/01/32

 

 

97,127

 

See Notes to Financial Statements.

14



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Media—(cont’d)

 

 

 

 

$

55

4

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

 

$

55,111

 

 

180

2

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

190,800

 

 

110

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

114,125

 

 

200

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

212,500

 

 

 

 

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

 

 

 

 

 

1,210

 

10.25%, 9/15/10

 

 

1,288,650

 

 

130

 

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

 

 

138,125

 

 

645

4

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

 

 

657,900

 

 

 

 

Comcast Corp.,

 

 

 

 

 

790

 

6.45%, 3/15/37

 

 

798,955

 

 

2,375

 

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

 

 

2,494,489

 

 

75

 

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

 

 

81,656

 

 

125

 

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

 

 

131,875

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

175

 

5.75%, 10/01/08

 

 

175,219

 

 

290

 

7.00%, 10/01/13

 

 

301,237

 

 

75

 

7.125%, 2/01/16

 

 

78,094

 

 

620

4

Idearc, Inc., 8.00%, 11/15/16

 

 

647,125

 

 

100

4

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

 

 

105,750

 

 

450

 

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

 

 

443,250

 

 

180

 

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

 

 

163,800

 

 

485

 

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

 

 

497,125

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

985

 

7.625%, 11/30/28

 

 

1,111,140

 

 

825

 

7.70%, 10/30/25

 

 

942,745

 

 

625

 

8.45%, 8/01/34

 

 

786,476

 

 

560

 

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

 

 

544,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

300

4

Zero Coupon, 8/01/16

 

 

216,750

 

 

965

4

10.00%, 8/01/14

 

 

1,054,262

 

 

600

2,4

Paxson Communications Corp., 8.606%, 1/15/12

 

 

612,000

 

 

400

 

Primedia, Inc., 8.00%, 5/15/13

 

 

416,000

 

 

865

 

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

 

 

938,525

 

 

70

 

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

 

 

70,000

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

 

200

 

7.125%, 2/15/28

 

 

215,068

 

 

620

 

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

 

 

716,455

 

 

70

 

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

 

 

73,679

 

 

500

4

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

503,750

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

645

 

9.75%, 4/01/09

 

 

659,512

 

 

225

 

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

 

 

223,031

 

 

1,230

 

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

 

 

1,251,525

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

23,572,668

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Real Estate—1.0%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

$

350

 

6.625%, 9/15/11

 

$

369,570

 

 

775

 

8.25%, 7/15/08

 

 

798,961

 

 

 

 

Rouse Co.,

 

 

 

 

 

895

 

3.625%, 3/15/09

 

 

862,139

 

 

1,650

 

5.375%, 11/26/13

 

 

1,555,368

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

3,586,038

 

 

 

 

 

 



 

 

 

 

Technology—1.6%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

80

 

7.75%, 5/15/13

 

 

79,200

 

 

145

 

9.25%, 6/01/16

 

 

153,700

 

 

250

 

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

 

 

238,125

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

1,175

4

9.125%, 12/15/14

 

 

1,169,125

 

 

140

2,4

9.23%, 12/15/14

 

 

140,000

 

 

740

4

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

777,000

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

65

 

6.75%, 3/01/13

 

 

61,750

 

 

565

 

8.125%, 3/01/16

 

 

552,994

 

 

450

 

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

 

 

451,125

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

105

 

9.125%, 8/15/13

 

 

112,613

 

 

610

 

10.25%, 8/15/15

 

 

671,000

 

 

945

 

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

 

 

982,800

 

 

189

4

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

 

 

194,754

 

 

410

 

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

 

 

446,900

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

6,031,086

 

 

 

 

 

 



 

 

 

 

Telecommunications—7.9%

 

 

 

 

 

1,700

 

BellSouth Telecommunications, Zero Coupon, 12/15/95

 

 

896,113

 

 

210

 

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

 

 

218,400

 

 

415

4

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

 

 

443,531

 

 

 

 

Deutsche Telekom Intl. Finance BV (Netherlands)

 

 

 

 

 

3,000

 

5.75%, 3/23/16

 

 

3,012,213

 

 

25

 

8.75%, 6/15/30

 

 

31,378

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

240

1,4

8.875%, 1/15/15

 

 

235,500

 

 

540

4

9.125%, 1/15/15

 

 

523,800

 

 

190

2

Hawaiian Telcom Communications, Inc., Ser. B, 10.86%, 5/01/13

 

 

194,275

 

 

475

 

Intelsat Corp., 9.00%, 6/15/16

 

 

520,719

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

95

2

8.872%, 1/15/15

 

 

97,193

 

 

500

 

9.25%, 6/15/16

 

 

550,000

 

 

200

 

11.25%, 6/15/16

 

 

228,250

 

 

870

2

11.354%, 6/15/13

 

 

930,900

 

 

295

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 (Bermuda)

 

 

315,281

 

 

770

4

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

 

 

827,750

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

 

530

2,4

9.606%, 7/15/11

 

 

567,100

 

 

185

4

10.125%, 7/15/13

 

 

203,963

 

See Notes to Financial Statements.

15



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Telecommunications—(cont’d)

 

 

 

 

$

155

 

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

 

$

167,400

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

213,000

 

 

470

2

8.605%, 6/15/13

 

 

514,063

 

 

780

 

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

 

 

809,145

 

 

1,715

 

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

 

 

1,701,815

 

 

675

 

Sprint Nextel Corp., 6.00%, 12/01/16

 

 

663,491

 

 

 

 

Telecom Italia Capital S.A. (Luxembourg)

 

 

 

 

 

1,075

 

4.95%, 9/30/14

 

 

1,024,276

 

 

1,550

 

6.00%, 9/30/34

 

 

1,444,958

 

 

1,975

 

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

 

 

2,119,033

 

 

725

 

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

 

 

780,988

 

 

70

 

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

 

 

81,950

 

 

125

 

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

 

 

105,116

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

 

230

 

7.85%, 11/15/29

 

 

263,942

 

 

335

 

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

 

 

341,977

 

 

3,150

 

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

 

 

2,999,531

 

 

 

 

Vodafone Group Plc (United Kingdom)

 

 

 

 

 

1,465

2

5.44%, 12/28/07

 

 

1,465,674

 

 

2,504

 

7.75%, 2/15/10

 

 

2,668,923

 

 

1,100

4

West Corp., 11.00%, 10/15/16

 

 

1,201,750

 

 

350

4

Wind Acquisition Finance S.A.,

 

 

 

 

 

 

 

10.75%, 12/01/15 (Luxembourg)

 

 

404,250

 

 

 

 

Windstream Corp.,

 

 

 

 

 

500

 

8.125%, 8/01/13

 

 

542,500

 

 

280

 

8.625%, 8/01/16

 

 

307,300

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

29,617,448

 

 

 

 

 

 



 

 

 

 

Transportation—0.4%

 

 

 

 

 

115

 

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

 

 

116,725

 

 

350

 

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

 

 

363,841

 

 

405

 

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

 

 

395,888

 

 

47

 

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

 

 

49,468

 

 

500

4

Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (Marshall Islands)

 

 

526,250

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

1,452,172

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

217,422,633

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—8.9%

 

 

 

 

 

1,670

 

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

 

 

1,733,937

 

 

1,050

1

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

 

 

603,037

 

 

1,655

 

Tennessee Valley Authority, Ser. C, 5.88%, 4/01/36

 

 

1,813,270

 

 

9,285

1

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

9,184,898

 

 

5,126

1

U.S. Treasury Inflation Protected Bond, 2.00%, 1/15/26

 

 

4,866,805

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

3,125

1

4.50%, 3/31/12

 

 

3,122,438

 

 

11,965

1

4.625%, 2/15/17

 

 

11,959,388

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

33,283,773

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Foreign Government Bonds—1.9%

 

 

 

 

$

133,000

 

Kreditanstalt Fuer Wiederaufbau (JPY), 0.325%, 8/08/11

 

$

1,112,854

 

 

110,900

 

Republic of Finland (JPY), 0.30%, 10/18/07

 

 

925,412

 

 

 

 

United Mexican States,

 

 

 

 

 

2,000

 

5.625%, 1/15/17

 

 

2,031,000

 

 

2,647

 

6.75%, 9/27/34

 

 

2,951,405

 

 

 

 

 

 



 

 

 

 

Total Foreign Government Bonds

 

 

7,020,671

 

 

 

 

 

 



 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—2.7%

 

 

 

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

 

3,121

 

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

 

 

3,239,991

 

 

2,265

 

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

 

 

2,349,343

 

 

2,350

 

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

 

 

2,315,684

 

 

2,440

 

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

 

 

2,167,306

 

 

 

 

 

 



 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

10,072,324

 

 

 

 

 

 



 

 

 

 

Trust Preferred Stocks—0.3%

 

 

 

 

 

545

 

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

 

 

584,161

 

 

790

 

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

 

 

699,366

 

 

 

 

 

 



 

 

 

 

Total Trust Preferred Stocks

 

 

1,283,527

 

 

 

 

 

 



 


 

 

 

 

 

 

Shares

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

1,895

7

Critical Care Systems Intl., Inc.

 

 

11,844

 

 

 

 

 

 



 

 

 

 

Preferred Stock—0.0%

 

 

 

 

 

45,000

 

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

 

 

45,000

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $399,120,729)

 

 

397,430,957

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.3%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

6,600

 

Trust pays 3-month LIBOR, Trust receives 5.39%, expires 3/19/12

 

 

229,878

 

 

4,900

 

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

 

 

247,274

 

 

6,600

 

Trust pays 5.39%, Trust receives 3-month LIBOR, expires 3/19/12

 

 

283,800

 

 

7,300

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 7/27/07

 

 

23,130

 

 

4,900

 

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

 

 

286,068

 

 

55

 

U.S. Treasury Notes Future, expiring 6/16/07

 

 

859

 

 

 

 

 

 



 

 

 

 

Total Outstanding Options Purchased
(cost $1,193,525)

 

 

1,071,009

 

 

 

 

 

 



 

 

 

 

Total investments before outstanding options written
(cost $400,314,2548)

 

 

398,501,966

 

 

 

 

 

 



 

See Notes to Financial Statements.

16



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 







 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,300

)

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

 

$

(97,299

)

 

(6,600

)

Trust pays 3-month LIBOR, Trust receives 5.148%, expires 3/19/08

 

 

(146,322

)

 

(4,500

)

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

 

 

(117,354

)

 

(11,500

)

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

 

 

(256,622

)

 

(6,600

)

Trust pays 5.115%, Trust receives 3-month LIBOR, expires 3/19/08

 

 

(106,392

)

 

(5,300

)

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

 

 

(97,299

)

 

(4,500

)

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

 

 

(164,215

)

 

(11,500

)

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

 

 

(504,816

)

 

 

 

 

 



 

 

 

 

Total Outstanding Options Written
(premium received $2,261,545)

 

 

(1,490,319

)

 

 

 

 

 



 

 

 

 

Total investments net of outstanding options written—106.2%

 

$

397,011,647

 

 

 

 

Liabilities in excess of other assets—(6.2)%

 

 

(23,191,094

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

373,820,553

 

 

 

 

 

 



 


 

 


1

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.

2

Variable rate security. Rate shown is interest rate as of April 30, 2007.

3

Represents an investment in an affiliate.

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, 2007, the Trust held 12.3% of its net assets, with a current market value of $45,863,398, in securities restricted as to resale.

5

Security, or a portion thereof, pledged as collateral with a value of $4,629,048 on 32 long FGBS Euro Shatz futures contracts expiring June 2007, 1,753 long U.S. Treasury Bond futures contracts expiring June 2007, 727 short Eurodollar futures contracts expiring June to December 2007 and 888 short U.S. Treasury Note futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $66,371,197, with an unrealized loss of $1,070,573.

6

Illiquid security. As of April 30, 2007, the Trust held 0.7% of its net assets, with a current market value of $2,530,944, in these securities.

7

Non-income producing security.

8

Cost for federal income tax purposes is $401,491,028. The net unrealized depreciation on a tax basis is $2,989,062, consisting of $5,355,739 gross unrealized appreciation and $8,344,801 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

 

 

 

 

 

KEY TO ABBREVIATIONS

 

 

 

EUR    

Euro

JPY     

Japanese Yen

LIBOR

London Interbank Offered Rate

 TBA     

To Be Announced

 

 

 

See Notes to Financial Statements.

17


PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—129.6%

 

 

 

 

 

 

 

Corporate Bonds—123.2%

 

 

 

 

 

 

 

Aerospace & Defense—3.0%

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

$

330

 

6.875%, 12/15/07

 

$

330,000

 

 

350

 

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

 

 

353,500

 

 

100

1

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

105,125

 

 

450

 

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

 

 

483,750

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

40

 

6.875%, 11/01/13

 

 

40,400

 

 

100

 

7.625%, 2/01/18

 

 

104,750

 

 

20

 

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

 

 

19,475

 

 

40

 

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

 

 

42,300

 

 

100

1

TransDigm, Inc., 7.75%, 7/15/14

 

 

103,750

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

1,583,050

 

 

 

 

 

 



 

 

 

 

Automotive—5.3%

 

 

 

 

 

85

 

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

 

 

87,762

 

 

60

1

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

60,300

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

90

 

7.00%, 4/15/14

 

 

90,450

 

 

80

2

7.356%, 4/15/13

 

 

80,700

 

 

20

1,2

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

20,550

 

 

520

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

522,600

 

 

 

 

Ford Motor Co.,

 

 

 

 

 

55

 

7.45%, 7/16/31

 

 

43,725

 

 

125

 

8.90%, 1/15/32

 

 

107,500

 

 

 

 

Goodyear Tire & Rubber Co.,

 

 

 

 

 

10

 

7.857%, 8/15/11

 

 

10,500

 

 

225

1

8.625%, 12/01/11

 

 

243,000

 

 

150

 

Keystone Automotive Operations, Inc., 9.75%, 11/01/13

 

 

142,500

 

 

345

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

335,944

 

 

255

 

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

 

 

262,650

 

 

250

 

Rent-A-Center, Inc., 7.50%, 5/01/10

 

 

252,500

 

 

350

 

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

 

 

374,500

 

 

180

1

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

 

 

182,700

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

2,817,881

 

 

 

 

 

 



 

 

 

 

Basic Materials—15.2%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc. (Canada)

 

 

 

 

 

215

 

6.00%, 6/20/13

 

 

185,975

 

 

35

 

8.85%, 8/01/30

 

 

30,975

 

 

185

 

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

 

 

191,013

 

 

205

 

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

 

 

221,400

 

 

140

1

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

 

 

140,700

 

 

190

 

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

 

 

186,200

 

 

130

2

Bowater, Inc., 8.355%, 3/15/10

 

 

130,650

 

 

175

 

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

 

 

177,625

 

 

170

 

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

 

 

161,925

 

 

50

 

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

 

 

49,250

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

150

 

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

 

$

157,500

 

 

40

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

40,750

 

 

90

 

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

 

 

90,000

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

 

50

 

8.75%, 2/15/09

 

 

52,188

 

 

115

 

10.125%, 9/01/08

 

 

121,325

 

 

100

 

10.625%, 5/01/11

 

 

105,500

 

 

 

 

FMG Finance Ltd. (Australia)

 

 

 

 

 

85

1

10.00%, 9/01/13

 

 

93,075

 

 

120

1

10.625%, 9/01/16

 

 

140,400

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

550

 

8.375%, 4/01/17

 

 

601,562

 

 

180

2

8.564%, 4/01/15

 

 

189,675

 

 

50

 

Hercules, Inc., 6.60%, 8/01/27

 

 

50,000

 

 

 

 

Hexion US Finance Corp./Hexion Nova Scotia Finance ULC,

 

 

 

 

 

75

1

9.75%, 11/15/14

 

 

81,000

 

 

100

1,2

9.86%, 11/15/14

 

 

103,500

 

 

 

 

Huntsman LLC,

 

 

 

 

 

365

 

11.625%, 10/15/10

 

 

393,287

 

 

95

 

12.00%, 7/15/12

 

 

105,925

 

 

205

1

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

 

 

198,338

 

 

100

1

Innophos Holdings, Inc., 9.50%, 4/15/12

 

 

101,500

 

 

545

 

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

 

 

570,887

 

 

366

 

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

 

 

407,595

 

 

70

1

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

70,700

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

130

 

8.00%, 9/15/14

 

 

136,175

 

 

225

 

8.25%, 9/15/16

 

 

240,750

 

 

260

 

10.50%, 6/01/13

 

 

285,025

 

 

265

1

MacDermid, Inc., 9.50%, 4/15/17

 

 

275,600

 

 

340

 

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

 

 

363,800

 

 

 

 

NewPage Corp.,

 

 

 

 

 

450

 

10.00%, 5/01/12

 

 

497,250

 

 

210

 

12.00%, 5/01/13

 

 

233,363

 

 

310

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

315,425

 

 

310

1

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

 

 

341,000

 

 

125

 

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

 

 

120,000

 

 

85

1

Terra Capital, Inc., 7.00%, 2/01/17

 

 

83,300

 

 

10

1

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

 

 

10,700

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

8,052,808

 

 

 

 

 

 



 

 

 

 

Building & Development—1.9%

 

 

 

 

 

40

2

Ainsworth Lumber Co. Ltd., 9.10%, 10/01/10 (Canada)

 

 

30,850

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

160

 

7.875%, 12/15/12

 

 

161,200

 

 

32

2

8.36%, 6/15/12

 

 

32,480

 

 

250

 

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

 

 

226,875

 

See Notes to Financial Statements.

18



BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Building & Development—(cont’d)

 

 

 

 

$

85

1

Masonite Corp., 11.00%, 4/06/15

 

$

78,200

 

 

135

 

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

 

 

133,650

 

 

335

 

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

 

 

345,050

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

1,008,305

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.5%

 

 

 

 

 

100

 

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

 

 

104,375

 

 

145

1

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

152,975

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

257,350

 

 

 

 

 

 



 

 

 

 

Consumer Products—9.0%

 

 

 

 

 

265

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

270,300

 

 

50

1

Beverages & More, Inc., 9.25%, 3/01/12

 

 

50,625

 

 

180

 

Buffets, Inc., 12.50%, 11/01/14

 

 

189,000

 

 

165

 

Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/14

 

 

175,725

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

280

1

9.797%, 3/15/14

 

 

274,050

 

 

250

1

10.75%, 3/15/15

 

 

249,375

 

 

270

 

Jarden Corp., 7.50%, 5/01/17

 

 

276,412

 

 

485

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

501,975

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

260

1

10.00%, 11/01/14

 

 

285,350

 

 

330

1

11.375%, 11/01/16

 

 

363,825

 

 

70

 

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

 

 

77,175

 

 

60

1,2

Nutro Products, Inc., 9.37%, 10/15/13

 

 

61,350

 

 

100

1,3

OSI Restaurant Partners, Inc., 9.625%, 5/15/15

 

 

102,875

 

 

265

 

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

 

 

266,987

 

 

100

 

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

 

 

97,500

 

 

500

1

Rare Restaurant Group LLC, 9.25%, 5/15/14

 

 

50,000

 

 

120

 

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

 

 

131,291

 

 

390

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

389,025

 

 

 

 

Sally Holdings LLC,

 

 

 

 

 

85

1

9.25%, 11/15/14

 

 

88,400

 

 

270

1

10.50%, 11/15/16

 

 

280,800

 

 

25

 

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

 

 

19,813

 

 

90

 

Swift & Co., 12.50%, 1/01/10

 

 

93,600

 

 

390

 

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

 

 

397,800

 

 

 

 

Yankee Acquisition Corp.,

 

 

 

 

 

20

1

8.50%, 2/15/15

 

 

20,500

 

 

85

1

9.75%, 12/15/17

 

 

87,125

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

4,800,878

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—2.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

340

 

8.875%, 9/15/14

 

 

350,200

 

 

100

2

9.23%, 9/15/14

 

 

102,250

 

 

85

 

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

 

 

89,888

 

 

110

 

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

 

 

112,200

 

 

30

 

Graphic Packaging Intl. Corp., 9.50%, 8/15/13

 

 

32,100

 

 

270

1,2

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

276,405

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

375

1

Smurfit-Stone Container Enterprises, Inc., 8.00%, 3/15/17

 

$

373,125

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

1,336,168

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.9%

 

 

 

 

 

270

1

Aleris Intl., Inc., 9.00%, 12/15/14

 

 

286,538

 

 

185

 

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

 

 

195,175

 

 

 

 

 

 



 

 

 

 

Total Ecological Services & Equipment

 

 

481,713

 

 

 

 

 

 



 

 

 

 

Energy—18.2%

 

 

 

 

 

132

 

AES Red Oak LLC, Ser. A, 8.54%, 11/30/19

 

 

143,331

 

 

80

 

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

 

 

80,300

 

 

100

 

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

 

 

101,500

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