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

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Limited Duration Income Trust,
                800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011

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

Date of fiscal year end: 10/31/2007

Date of reporting period: 11/01/2006 – 10/31/2007



Item 1 – Report to Stockholders



 

 

 

 

 

 

 

 

 

 

 

EQUITIES

 

FIXED INCOME

 

REAL ESTATE

 

LIQUIDITY

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

Closed-End Funds


(BLACKROCK LOGO)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT | OCTOBER 31, 2007

 

 

 

 

 

 

 


 

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

Page

 

 

A Letter to Shareholders

1

Annual Report:

 

Trust Summaries

2

Financial Statements:

 

Portfolio of Investments

10

Statements of Assets and Liabilities

47

Statements of Operations

49

Statements of Cash Flows

51

Statements of Changes in Net Assets

53

Financial Highlights

55

Notes to Financial Statements

63

Report of Independent Registered Public Accounting Firm

78

The Benefits and Risks of Leveraging

79

Dividend Reinvestment Plans

80

BlackRock Privacy Principles

80

Additional Information

81

Section 19 Notices

84

Directors/Trustees Information

85


 

 

 

 

 

 

 

 

 

 

 

 



 

 

A Letter to Shareholders


Dear Shareholder

The October reporting period was fairly tumultuous for financial markets, but culminated in positive performance for most major benchmarks:

Total returns as of October 31, 2007

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

           

U.S. equities (S&P 500 Index)

 

+5.49 %

 

+14.56

%

 

             

Small cap U.S. equities (Russell 2000 Index)

 

+2.25 %

 

+9.27

%

 

             

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

 

+8.19 %

 

+24.91

%

 

             

Fixed income (Lehman Brothers U.S. Aggregate Bond Index)

 

+2.68 %

 

+5.38

%

 

             

Tax-exempt fixed income (Lehman Brothers Municipal Bond Index)

 

+1.30 %

 

+2.91

%

 

             

High yield bonds

 

 

 

 

 

 

(Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index)

 

-0.07 %

 

+6.89

%

 

             

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

Subprime mortgage woes dominated headlines for much of 2007, but intensified in the summer and fall, spawning a widespread liquidity and credit crisis with ramifications across global markets. The Federal Reserve Board (Fed) and other countries’ central banks stepped in to inject liquidity into the markets and bolster investor confidence. The Fed cut the federal funds rate by 0.50% in September and another 0.25% on the final day of the reporting period, bringing its target rate to 4.50%. In taking action, the central bankers, who had long deemed themselves inflation fighters, were seeking to stem the fallout from the credit crunch and forestall a wider economic unraveling. By period-end, the Fed had cited the risks between slower economic growth and faster inflation as equally balanced.

Amid the volatility throughout the past year, equity markets have displayed surprising resilience. Most recently, the credit turmoil dampened corporate merger-and-acquisition (M&A) activity, a key source of strength for equity markets. Still, market fundamentals have held firm, dividend payouts and share buybacks have continued to grow, and valuations remain attractive. These tailwinds generally have prevailed over the headwinds created by the slowing U.S. economy, troubled housing market and, recently, a more difficult corporate earnings backdrop. International markets fared even better than U.S. equities, benefiting from robust M&A activity and generally stronger economies.

In fixed income markets, mixed economic signals and the credit woes resulted in a flight to quality. At the height of the uncertainty, investors shunned bonds associated with the housing and credit markets in favor of higher-quality Treasury issues. The yield on 10-year Treasury issues, which touched 5.30% in June (its highest level in five years), fell to 4.48% by period-end, while prices correspondingly rose. The tax-exempt bond market has been challenged by a combination of record-setting supply year-to-date, economic uncertainty and concerns around the credit worthiness of bond insurers. This has brought municipal bond prices to relatively attractive levels and, as such, demand generally has remained firm.

As you navigate market volatility, we encourage you to review your investment goals with your financial professional and to make portfolio changes, as needed. For more market insight and commentary from BlackRock investment professionals, we invite you to visit www.blackrock.com/funds. As always, we thank you for entrusting BlackRock with your investment assets, and we look forward to continuing to serve you in the months and years ahead.

 

Sincerely,

 

-s- Robert C. Doll

 


 

Robert C. Doll, Jr.

 

Vice Chairman, BlackRock, Inc.

THIS PAGE NOT PART OF YOUR TRUSTS REPORT

 

 

 

 

 

 

 

 

1

ANNUAL REPORT

OCTOBER 31, 2007

 




 

 


Trust Summary as of October 31, 2007


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


 

Investment Objective

 


 

 

 

The Trust’s investment objective is to manage a portfolio of fixed income securities that will return $15 per share (the initial public offering price per share) to investors on or about December 31, 2009 while providing high monthly income.


 

Trust Information

 


 

 

 

 

Symbol on American Stock Exchange:

 

BCT

 

Initial Offering Date:

 

June 17, 1993

 

Yield on Closing Market Price as of October 31, 2007 ($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

A change in the distribution rate was declared on November 1, 2007. The Monthly Distribution per Common Share was decreased to $0.049. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.


 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

10/31/07

 

10/31/06

 

 

Change  

High

 

Low

 

                       

Market Price

 

$

15.15

 

$

15.08

 

 

0.46

%

$

15.65

 

$

14.82

 

Net Asset Value

 

$

13.38

 

$

13.79

 

 

(2.97

)%

$

13.81

 

$

13.36

 

                                 

 

 

 

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


 

 

Portfolio Composition


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

           

Agency Multiple Class Mortgage Pass-Through Securities

 

31

%

 

28

%

 

Taxable Municipal Bonds

 

18

 

 

11

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

16

 

 

 

 

Inverse Floating Rate Mortgage Securities

 

15

 

 

8

 

 

Corporate Bonds

 

9

 

 

14

 

 

Interest Only Mortgage-Backed Securities

 

8

 

 

7

 

 

Mortgage Pass-Through Securities

 

3

 

 

2

 

 

U.S. Government and Agency Securities

 

 

 

30

 

 

               

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

2



 

 


 

Trust Summary as of October 31, 2007

BlackRock Core Bond Trust (BHK)


 

Investment Objective

 


 

 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

 

Symbol on New York Stock Exchange:

 

BHK

Initial Offering Date:

 

November 27, 2001

Yield on Closing Market Price as of October 31, 2007 ($12.23):1

 

6.57%

Current Monthly Distribution per Share:2

 

$0.067

Current Annualized Distribution per Share:2

 

$0.804

Leverage as of October 31, 2007:3

 

22%

       

 

 

1

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

2

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.062. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$12.23

 

 

$12.86

 

 

(4.90) %

 

 

$13.25

 

 

$11.32

 

Net Asset Value

 

 

$13.63

 

 

$13.82

 

 

(1.37) %

 

 

$14.01

 

 

$13.11

 

                                 

 

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

 

10/31/07

 

10/31/06

 

               

Corporate Bonds

 

42

%

 

58

%

 

Mortgage Pass-Through Securities

 

36

 

 

10

 

 

Asset-Backed Securities

 

4

 

 

8

 

 

Commercial Mortgage-Backed Securities

 

4

 

 

6

 

 

U.S. Government and Agency Securities

 

4

 

 

5

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

2

 

 

Agency Multiple Class Mortgage Pass-Through Securities

 

3

 

 

8

 

 

Trust Preferred Stocks

 

2

 

 

 

 

Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 

Interest Only Asset-Backed Securities

 

 

 

1

 

 

Foreign Government Bonds

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AAA/Aaa

 

6

%

 

7

%

 

AA/Aa

 

24

 

 

26

 

 

A

 

21

 

 

10

 

 

BBB/Baa

 

20

 

 

17

 

 

BB/Ba

 

7

 

 

12

 

 

B

 

16

 

 

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 66.2% and 58.3% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

3

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Trust Summary as of October 31, 2007

BlackRock High Yield Trust (BHY)


 

Investment Objective

 


 

The Trust’s investment objective is to generate high current income and, to a lesser extent, to seek capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BHY

Initial Offering Date:

December 23, 1998

Yield on Closing Market Price as of October 31, 2007 ($6.92):1

8.84%

Current Monthly Distribution per Share:2

$0.051

Current Annualized Distribution per Share:2

$0.612

Leverage as of October 31, 2007:3

15%

   

 

 

1

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

2

The distribution is not constant and is subject to change.

3

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$6.92

 

 

$7.77

 

 

(10.94

)%

 

$8.70

 

 

$5.83

 

Net Asset Value

 

 

$7.91

 

 

$7.85

 

 

0.76

%

 

$8.32

 

 

$7.63

 

                                 

 

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


 

 

Portfolio Composition4

 


 

 

 

 

 

 

 

 

Corporate Portfolio Composition

 

10/31/07

 

10/31/06

 

               

Telecommunications

 

15

%

 

13

%

 

Energy

 

14

 

 

16

 

 

Media

 

11

 

 

11

 

 

Basic Materials

 

10

 

 

11

 

 

Financial Institutions

 

10

 

 

14

 

 

Consumer Products

 

6

 

 

6

 

 

Technology

 

6

 

 

5

 

 

Automotive

 

4

 

 

3

 

 

Entertainment & Leisure

 

4

 

 

4

 

 

Industrials

 

4

 

 

3

 

 

Health Care

 

3

 

 

3

 

 

Containers & Packaging

 

3

 

 

3

 

 

Aerospace & Defense

 

3

 

 

3

 

 

Transportation

 

2

 

 

2

 

 

Building & Development

 

2

 

 

3

 

 

Real Estate

 

1

 

 

 

 

Ecological Services & Equipment

 

1

 

 

 

 

Commercial Services

 

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.


 

 

Corporate Bond Breakdown5

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

BBB/Baa

 

4

%

 

3

%

 

BB/Ba

 

21

 

 

26

 

 

B

 

51

 

 

55

 

 

CCC/Caa

 

21

 

 

12

 

 

C

 

 

 

2

 

 

Not Rated

 

3

 

 

2

 

 

               

 

 

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 110.4% and 128.9% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

4



 

 


 

Trust Summary as of October 31, 2007

BlackRock Income Opportunity Trust (BNA)


 

Investment Objective

 


 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BNA

Initial Offering Date:

December 20, 1991

Yield on Closing Market Price as of October 31, 2007 ($10.19):1

6.48%

Current Monthly Distribution per Share:2

$0.055

Current Annualized Distribution per Share:2

$0.660

Leverage as of October 31, 2007:3

22%

   

 

 

1

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

2

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.051. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$10.19

 

 

$10.58

 

 

(3.69)%

 

 

$10.88

 

$

9.13

 

Net Asset Value

 

 

$11.02

 

 

$11.17

 

 

(1.34)%

 

 

$11.33

 

$

10.53

 

                                 

 

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

 

10/31/07

 

10/31/06

 

               

Corporate Bonds

 

38

%

 

48

%

 

Mortgage Pass-Through Securities

 

36

 

 

12

 

 

Asset-Backed Securities

 

7

 

 

13

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

5

 

 

6

 

 

Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

7

 

 

U.S. Government and Agency Securities

 

3

 

 

7

 

 

Commercial Mortgage-Backed Securities

 

3

 

 

4

 

 

Trust Preferred Stocks

 

2

 

 

 

 

Federal Housing Administration Securities

 

1

 

 

1

 

 

Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 

Inverse Floating Rate Mortgage Securities

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AAA/Aaa

 

8

%

 

9

%

 

AA/Aa

 

21

 

 

17

 

 

A

 

20

 

 

10

 

 

BBB/Baa

 

22

 

 

19

 

 

BB/Ba

 

6

 

 

13

 

 

B

 

17

 

 

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 64.0% and 52.1% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

5

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Trust Summary as of October 31, 2007

BlackRock Income Trust Inc. (BKT)


 

Investment Objective

 


 

The Trust’s investment objective is to manage a portfolio of high quality securities to achieve high monthly income consistent with the preservation of capital.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BKT

Initial Offering Date:

July 22, 1988

Yield on Closing Market Price as of October 31, 2007 ($5.81):1

6.40%

Current Monthly Distribution per Share:2

$0.031

Current Annualized Distribution per Share:2

$0.372

Leverage as of October 31, 2007:3

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

A change in the distribution rate was declared on December 5, 2007. The Monthly Distribution per Common Share was decreased to $0.024. The Yield on Closing Market Price, Current Monthly Distribution and Current Annualized Distribution do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$5.81

 

 

$6.07

 

(4.28

)%

 

 

$6.33

 

 

$5.49

 

Net Asset Value

 

 

$6.53

 

 

$6.48

 

0.77

%

 

 

$6.61

 

 

$6.25

 

                                 

 

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


 

 

Portfolio Composition

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

               

Mortgage Pass-Through Securities

 

27

%

 

22

%

 

Agency Multiple Class Mortgage Pass-Through Securities

 

26

 

 

28

 

 

Interest Only Mortgage-Backed Securities

 

13

 

 

10

 

 

U.S. Government and Agency Securities

 

10

 

 

20

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

9

 

 

9

 

 

Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 

Inverse Floating Rate Mortgage Securities

 

4

 

 

3

 

 

Federal Housing Administration Securities

 

2

 

 

2

 

 

Asset-Backed Securities

 

2

 

 

 

 

Commercial Mortgage-Backed Securities

 

1

 

 

 

 

Corporate Bonds

 

1

 

 

1

 

 

               

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

6



 

 


 

Trust Summary as of October 31, 2007

BlackRock Limited Duration Income Trust (BLW)


 

Investment Objective

 


 

The Trust’s investment objective is to provide current income and capital appreciation.


 

Trust Information

 


 

 

Symbol on New York Stock Exchange:

BLW

Initial Offering Date:

July 30, 2003

Yield on Closing Market Price as of October 31, 2007 ($16.68):1

8.99%

Current Monthly Distribution per Share:2

$0.125

Current Annualized Distribution per Share:2

$1.500

Leverage as of October 31, 2007:3

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.

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

10/31/07

 

10/31/06

 

Change

 

High

 

Low

 

                                 

Market Price

 

 

$16.68

 

 

$18.85

 

(11.51

) %

 

 

$19.89

 

 

$14.20

 

Net Asset Value

 

 

$18.52

 

 

$19.01

 

(2.58

) %

 

 

$19.38

 

 

$18.08

 

                                 

 

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

 

10/31/07

 

10/31/06

 

               

Bank Loans

 

42

%

 

36

%

 

Corporate Bonds

 

37

 

 

43

 

 

Mortgage Pass-Through Securities

 

16

 

 

14

 

 

U.S. Government and Agency Securities

 

3

 

 

4

 

 

Foreign Government Bonds

 

2

 

 

2

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

1

 

 

               

 

 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

               

AA/Aa

 

1

%

 

2

%

 

A

 

4

 

 

1

 

 

BBB/Baa

 

8

 

 

9

 

 

BB/Ba

 

23

 

 

24

 

 

B

 

43

 

 

51

 

 

CCC/Caa

 

18

 

 

11

 

 

Not Rated

 

3

 

 

2

 

 

               

 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 49.1% and 64.3% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

7

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

 

Trust Summary as of October 31, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

 

Investment Objective

 


 

 

 

The Trust’s investment objective is to seek current income, current gains and capital appreciation.


 

Trust Information


 

 

 

Symbol on New York Stock Exchange:

 

BTZ

Initial Offering Date:

 

December 27, 2006

Yield on Closing Market Price as of October 31, 2007 ($18.65):1

 

10.05%

Current Monthly Distribution per Share:2

 

$0.15625

Current Annualized Distribution per Share:2

 

$1.87500

Leverage as of October 31, 2007:3

 

33%

 

 

 

1

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

2

The distribution is not constant and is subject to change.

3

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 net asset value per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10/31/2007

 

 

High

 

 

Low

 

 

Market Price

 

 

$18.65

 

 

$25.25

 

 

$15.63

 

Net Asset Value

 

 

$21.37

 

 

$24.35

 

 

$20.87

 

 

 

The following unaudited 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

 

10/31/07

 

 

Financial Institutions

 

65

%

 

Energy

 

8

 

 

Technology

 

5

 

 

Consumer Products

 

4

 

 

Health Care

 

4

 

 

Telecommunications

 

3

 

 

Real Estate

 

3

 

 

Media

 

2

 

 

Industrials

 

2

 

 

Basic Materials

 

1

 

 

Entertainment & Leisure

 

1

 

 

Automotive

 

1

 

 

Transportation

 

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.


 

Preferred, Trust Preferred and Corporate Bond Breakdown5

 


 

 

 

 

 

Credit Rating

 

10/31/07

 

 

AA/Aa

 

20

%

 

A

 

42

 

 

BBB/Baa

 

29

 

 

BB/Ba

 

1

 

 

B

 

6

 

 

CCC/Caa

 

1

 

 

Not Rated

 

1

 

 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

8



 

 


 

 

Trust Summary as of October 31, 2007

BlackRock Strategic Bond Trust (BHD)

 

 

Investment Objective

 


 

 

 

The Trust’s investment objective is to seek total return through high current income and capital appreciation.


 

Trust Information


 

 

 

Symbol on New York Stock Exchange:

 

BHD

Initial Offering Date:

 

February 26, 2002

Yield on Closing Market Price as of October 31, 2007 ($11.88):1

 

7.78%

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 net asset value per share:

 

 

 

 

 

10/31/07

 

 

10/31/06

 

 

Change

 

 

High

 

 

Low

 

 

Market Price

 

 

$11.88

 

 

$12.85

 

 

(7.55)%

 

 

$13.29

 

 

$10.40

 

Net Asset Value

 

 

$13.80

 

 

$13.83

 

 

(0.22)%

 

 

$14.19

 

 

$13.47

 

 

 

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


 

Corporate Portfolio Composition3

 


 

 

 

 

 

 

 

 

Composition

 

10/31/07

 

10/31/06

 

 

Media

 

17

%

 

14

%

 

Telecommunications

 

14

 

 

12

 

 

Energy

 

13

 

 

13

 

 

Financial Institutions

 

12

 

 

18

 

 

Aerospace & Defense

 

8

 

 

6

 

 

Basic Materials

 

6

 

 

6

 

 

Consumer Products

 

5

 

 

7

 

 

Technology

 

4

 

 

5

 

 

Automotive

 

4

 

 

2

 

 

Health Care

 

4

 

 

4

 

 

Transportation

 

3

 

 

1

 

 

Ecological Services & Equipment

 

3

 

 

2

 

 

Industrials

 

2

 

 

3

 

 

Containers & Packaging

 

2

 

 

1

 

 

Entertainment & Leisure

 

1

 

 

3

 

 

Building & Development

 

1

 

 

2

 

 

Real Estate

 

1

 

 

1

 

 

 

 

 

3

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.


 

Corporate Bond Breakdown4

 


 

 

 

 

 

 

 

 

Credit Rating

 

10/31/07

 

10/31/06

 

 

AAA/Aaa

 

1

%

 

3

%

 

AA/Aa

 

4

 

 

6

 

 

A

 

17

 

 

12

 

 

BBB/Baa

 

15

 

 

13

 

 

BB/Ba

 

12

 

 

16

 

 

B

 

37

 

 

40

 

 

CCC/Caa

 

12

 

 

9

 

 

Not Rated

 

2

 

 

1

 

 

 

 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 84.5% and 107.6% of net assets on October 31, 2007 and 2006, respectively.


 

 

 

 

 

 

 

 

9

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

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

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—29.2%

 

 

 

Mortgage Pass-Through Securities—0.9%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

314

 

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

 

$

316,169

 

 

14

 

6.50%, 7/01/29

 

 

14,777

 

 

 

 

 

 

   

 

 

 

Total Mortgage Pass-Through Securities

 

 

330,946

 

 

Agency Multiple Class Mortgage Pass-Through Securities—9.1%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,745

 

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

 

 

1,753,683

 

 

1,098

 

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

 

 

1,095,825

 

 

81

 

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

 

 

69,195

 

 

668

 

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

 

 

689,837

 

 

 

 

 

 

   

 

 

 

Total Agency Multiple Class Mortgage
Pass-Through Securities

 

 

3,608,540

 

 

Inverse Floating Rate Mortgage Securities—4.3%

 

 

 

 

132

1

Citicorp Mortgage Securities, Inc.,
Ser. 14, Class A-4, 6.352%, 11/25/23

 

 

131,701

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

5

1

Ser. 1425, Class SB, 11.886%, 12/15/07

 

 

4,876

 

 

4

1

Ser. 1506, Class S, 9.708%, 5/15/08

 

 

4,468

 

 

152

1

Ser. 1515, Class S, 8.753%, 5/15/08

 

 

152,069

 

 

10

1

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

 

 

9,853

 

 

144

1

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

 

 

144,815

 

 

7

1

Ser. 1661, Class SB, 8.83%, 1/15/09

 

 

7,035

 

 

21

1

Ser. 1688, Class S, 9.566%, 12/15/13

 

 

21,408

 

 

105

1

Ser. 2412, Class SE, 5.519%, 2/15/09

 

 

106,281

 

 

275

1

Ser. 2517, Class SE, 3.522%, 10/15/09

 

 

264,534

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

7

1

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

 

 

7,505

 

 

3

1

Ser. 174, Class S, 97.223%, 9/25/22

 

 

9,514

 

 

118

1

Ser. 192, Class SC, 6.84%, 10/25/08

 

 

117,971

 

 

37

1

Ser. 214, Class SH, 5.592%, 12/25/08

 

 

36,653

 

 

51

1

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

 

 

52,172

 

 

618

1

Residential Accredit Loans, Inc.,
Ser. QS16, Class A3, 6.435%, 10/25/17

 

 

620,297

 

 

 

 

 

 

   

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,691,152

 

 

Interest Only Mortgage-Backed Securities—2.3%

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1

 

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

 

 

1,058

 

 

 

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

 

 

220

 

 

1,444

 

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

 

 

73,865

 

 

149

 

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

 

 

781

 

 

3,531

 

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

 

 

94,580

 

 

1,467

 

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

 

 

191,597

 

 

1,664

 

Ser. 3189, Class KI, 6.00%, 1/15/35

 

 

174,439

 

 

2,615

 

Ser. 3207, Class QI, 6.00%, 2/15/35

 

 

234,558

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

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

 

 

105

 

 

899

 

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

 

 

21,655

 

 

35

1

Ser. 20, Class SL, 10.12%, 9/25/08

 

 

1,260

 

 

2

 

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

 

 

16,790

 

 

4,343

 

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

 

 

61,437

 

 

 

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

 

 

7,410

 

 

12,042

1

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

 

 

26,627

 

 

 

 

 

 

   

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

906,382

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

$

14

2

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

 

$

13,246

 

 

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

 

 

1,029,161

 

 

Taxable Municipal Bonds—5.2%

 

 

 

 

 

500

 

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

 

 

544,725

 

 

500

 

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

 

 

518,005

 

 

500

 

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

 

 

506,585

 

 

500

 

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

 

 

501,925

 

 

 

 

 

 

   

 

 

 

Total Taxable Municipal Bonds

 

 

2,071,240

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—4.8%

 

 

 

 

 

1,914

1

JPMorgan Mortgage Trust,
Ser. A7, Class 2A2, 5.83%, 1/25/37

 

 

1,910,904

 

 

 

 

 

 

   

 

 

 

Total Long-Term Investments
(cost $11,827,713)

 

 

11,561,651

 

 

SHORT-TERM INVESTMENT—70.3%

 

 

 

 

U.S. Government and Agency Discount Notes—70.3%

 

 

 

 

 

27,800

6

Federal Home Loan Bank Disc. Notes,
4.351%, 11/01/07 (cost $27,800,000)

 

 

27,800,000

 

 

Total Investments—99.5% (cost $39,627,7137)

 

$

39,361,651

 

Other assets in excess of liabilities—0.5%

 

 

207,328

 

 

 

   

Net Assets—100%

 

$

39,568,979

 

 

 

   

 

 

 

 

 

 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

2

Rate shown is effective yield of the underlying collateral as of October 31, 2007.

3

Illiquid security. As of October 31, 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 October 31, 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 $39,627,713. The net unrealized depreciation on a tax basis is $266,062, consisting of $321,614 gross unrealized appreciation and $587,676 gross unrealized depreciation.


 

Portfolio Abbreviations


 

 

 

 

 

 

 

ADR

 

American Depositary Receipt

 

 

 

 

EUR

 

Euro

 

 

 

 

GBP

 

British Pound

 

 

 

 

LIBOR

 

London Interbank Offered Rate

 

 

 

 

PRIME

 

Prime Rate

 

 

 

 

REIT

 

Real Estate Investment Trust

 

 

 

 

TBA

 

To Be Announced

 

 

 

 

TBD

 

To Be Determined

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

10



 

 

 


 

Portfolio of Investments as of October 31, 2007

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—158.7%

 

 

 

 

Mortgage Pass-Through Securities—58.2%

 

 

 

 

$

757

1

Citigroup Mortgage Loan Trust, Inc.,
Ser. 4, Class A, 5.345%, 8/25/35

 

$

738,529

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

75

 

5.00%, 8/01/33

 

 

71,842

 

 

1,428

2

5.50%, 11/01/18

 

 

1,434,281

 

 

5,183

 

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

 

 

5,112,866

 

 

2,498

 

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

 

 

2,545,922

 

 

23

 

7.00%, 9/01/31

 

 

23,749

 

 

59

1

7.379%, 5/01/32

 

 

60,118

 

 

4,000

 

TBA, 5.50%, 12/12/37

 

 

3,935,000

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

44

 

4.50%, 2/01/20

 

 

42,798

 

 

10,051

 

5.00%, 11/01/17-6/01/37

 

 

9,870,125

 

 

12,498

2

5.00%, 1/01/18-5/01/37

 

 

12,026,793

 

 

2,747

 

5.50%, 1/01/18-7/01/34

 

 

2,719,784

 

 

43,246

2

5.50%, 12/01/35-4/01/36

 

 

42,661,096

 

 

6,658

2

6.00%, 2/01/36-10/01/36

 

 

6,708,610

 

 

3,159

 

6.00%, 8/01/29-11/01/36

 

 

3,182,236

 

 

289

 

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

 

 

302,834

 

 

400

 

TBA, 5.00%, 11/19/22

 

 

393,750

 

 

85,500

 

TBA, 5.50%, 11/19/22-11/13/37

 

 

84,249,051

 

 

18,900

 

TBA, 6.00%, 11/13/37-12/12/37

 

 

19,019,812

 

 

15,600

 

TBA, 6.50%, 12/12/37

 

 

15,946,133

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

205

 

5.50%, 8/15/33

 

 

204,241

 

 

200

 

TBA, 6.50%, 11/20/37

 

 

205,312

 

 

760

1

GSR Mortgage Loan Trust,
Ser. AR4, Class 6A1, 5.25%, 7/25/35

 

 

739,031

 

 

 

 

Small Business Administration,

 

 

 

 

 

767

 

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

 

 

751,230

 

 

1,351

 

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

 

 

1,352,827

 

 

 

 

 

 

   

 

 

 

Total Mortgage Pass-Through Securities

 

 

214,297,970

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

1,028

 

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

 

 

1,038,331

 

 

Agency Multiple Class Mortgage Pass-Through Securities—4.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,200

 

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

 

 

1,185,166

 

 

2,170

 

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

 

 

2,056,897

 

 

2,959

 

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

 

 

3,008,150

 

 

1,306

 

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

 

 

1,322,326

 

 

1,300

 

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

 

 

1,257,396

 

 

1,600

 

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

 

 

1,622,310

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

2,691

 

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

 

 

2,684,529

 

 

1,663

1

Ser. 118, Class FD, 5.273%, 12/25/33

 

 

1,651,013

 

 

 

 

 

 

   

 

 

 

Total Agency Multiple Class Mortgage
Pass-Through Securities

 

 

14,787,787

 

 

Asset-Backed Securities—6.7%

 

 

 

 

 

2,300

 

Chase Issuance Trust,
Ser. A17, Class A, 5.12%, 10/15/14

 

 

2,315,364

 

 

2,800

 

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

 

 

2,801,647

 

 

2,825

 

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

 

 

2,826,461

 

 

229

1

Countrywide Asset-Backed Certificates,
Ser. 16, Class 4AV1, 4.973%, 1/25/35

 

 

228,876

 

 

2,406

 

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

 

 

2,406,171

 

 

2,850

 

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

 

 

2,860,611

 

 

2,300

 

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

 

 

2,283,930

 

 

2,500

 

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

 

 

2,371,875

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Asset Backed Securities—(cont’d)

 

 

 

 

$

2,825

 

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

 

$

2,830,207

 

 

59

1

New Century Home Equity Loan Trust,
Ser. C, Class A2A, 4.953%, 1/25/36

 

 

59,262

 

 

564

1

SLM Student Loan Trust,
Ser. 5, Class A1, 5.084%, 1/25/18

 

 

564,436

 

 

471

1

Structured Asset Investment Loan Trust,
Ser. 1, Class A1, 4.953%, 1/25/36

 

 

469,358

 

 

2,725

 

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

 

 

2,738,565

 

 

 

 

 

 

   

 

 

 

Total Asset-Backed Securities

 

 

24,756,763

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

12,656

 

Ser. 1, 2.365%, 4/15/29

 

 

561,620

 

 

10,125

3

Ser. 2, 2.081%, 3/30/30

 

 

272,114

 

 

 

 

 

 

   

 

 

 

Total Interest Only Asset-Backed Securities

 

 

833,734

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,104

 

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

 

 

242,617

 

 

5,772

 

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

 

 

1,047,320

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

23,975

1

Ser. 90, Class JH, 1.828%, 11/25/34

 

 

1,341,116

 

 

4,030

 

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

 

 

980,948

 

 

 

 

 

 

   

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,612,001

 

 

Commercial Mortgage-Backed Securities—6.4%

 

 

 

 

 

2,180

1

Banc of America Commerical Mortgage, Inc.,
Ser. 1, Class A4, 4.871%, 11/10/42

 

 

2,163,105

 

 

2,720

 

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

 

 

2,667,298

 

 

2,170

1

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

 

 

2,147,296

 

 

1,463

1

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

 

 

1,504,810

 

 

1,973

 

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

 

 

1,977,721

 

 

1,435

1

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

 

 

1,453,914

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

2,140

 

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

 

 

2,185,265

 

 

2,180

 

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

 

 

2,131,593

 

 

1,652

1

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

 

 

1,717,907

 

 

2,082

1

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

 

 

2,089,181

 

 

3,489

1

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

 

 

3,619,954

 

 

 

 

 

 

   

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

23,658,044

 

 

Corporate Bonds—66.2%

 

 

 

 

Aerospace & Defense—1.1%

 

 

 

 

 

150

3

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

 

 

156,000

 

 

1,195

 

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

 

 

1,269,688

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

70

 

6.875%, 11/01/13

 

 

70,000

 

 

80

 

7.625%, 2/01/18

 

 

81,800

 

 

960

 

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

 

 

1,147,117

 

 

15

 

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

 

 

16,088

 

 

120

 

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

 

 

122,100

 

 

1,125

 

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

 

 

1,088,382

 

 

 

 

 

 

   

 

 

 

Total Aerospace & Defense

 

 

3,951,175

 

 

Automotive—1.0%

 

 

 

 

 

265

 

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

 

 

249,100

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

150

 

7.00%, 4/15/14

 

 

145,125

 

 

150

1

7.243%, 4/15/13

 

 

146,625

 

 

600

 

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

 

 

604,500

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

11

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Automotive—(cont’d)

 

 

 

 

$

360

 

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

 

$

345,600

 

 

250

 

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

 

 

232,500

 

 

2,100

 

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

 

 

2,121,000

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

3,844,450

 

 

Basic Materials—3.3%

 

 

 

 

 

500

 

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

 

 

367,500

 

 

995

 

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

 

 

1,014,900

 

 

250

 

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

 

 

256,250

 

 

80

1

Bowater, Inc., 8.694%, 3/15/10

 

 

73,200

 

 

30

 

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

 

 

28,650

 

 

200

 

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

 

 

200,000

 

 

60

 

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

 

 

59,400

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

1,020

 

8.375%, 4/01/17

 

 

1,116,900

 

 

330

1

8.394%, 4/01/15

 

 

340,725

 

 

66

 

Huntsman LLC, 12.00%, 7/15/12

 

 

71,775

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

285

 

7.875%, 2/07/16 (EUR)

 

 

379,810

 

 

1,330

3

8.50%, 2/15/16

 

 

1,263,500

 

 

885

 

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

 

 

891,638

 

 

515

3

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

 

 

437,750

 

 

1,705

 

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

 

 

1,803,037

 

 

 

 

Noranda, Inc. (Canada)

 

 

 

 

 

825

 

6.00%, 10/15/15

 

 

830,709

 

 

1,250

 

6.20%, 6/15/35

 

 

1,200,827

 

 

1,430

 

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

 

 

1,354,563

 

 

430

 

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

 

 

430,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

12,121,134

 

 

Building & Development—0.2%

 

 

 

 

 

440

 

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

 

 

459,800

 

 

140

 

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

 

 

123,900

 

 

85

 

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

 

 

85,850

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

669,550

 

 

Commercial Services—0.1%

 

 

 

 

 

100

 

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

 

 

104,500

 

 

200

3

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

 

 

195,000

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

299,500

 

 

Consumer Products—2.5%

 

 

 

 

 

650

1

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

624,000

 

 

30

1

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
8.058%, 5/15/14

 

 

29,625

 

 

775

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

770,626

 

 

695

 

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

 

 

663,511

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

1

10.009%, 3/15/14

 

 

481,250

 

 

400

 

10.75%, 3/15/15

 

 

389,000

 

 

850

 

Kimberly-Clark Corp., 6.625%, 8/01/37

 

 

935,813

 

 

1,515

 

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

 

 

1,644,963

 

 

314

 

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

 

 

282,600

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

470

 

10.00%, 11/01/14

 

 

473,525

 

 

600

2

11.375%, 11/01/16

 

 

598,500

 

 

1,000

 

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

 

 

975,000

 

 

175

 

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

 

 

163,188

 

 

250

 

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

 

 

270,479

 

 

775

 

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

 

 

720,750

 

 

390

 

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

 

 

388,050

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

9,410,880

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

$

270

 

8.875%, 9/15/14

 

$

276,750

 

 

180

1

9.569%, 9/15/14

 

 

180,450

 

 

150

 

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

 

 

154,500

 

 

75

 

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

 

 

74,438

 

 

300

1,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

298,426

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,560,000

 

 

545

 

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

 

 

594,050

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

3,138,614

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

 

590

 

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

 

 

590,000

 

 

Energy—9.7%

 

 

 

 

 

425

 

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

 

 

469,065

 

 

2,350

 

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

 

 

2,377,558

 

 

140

 

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

 

 

142,800

 

 

875

 

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

 

 

1,031,161

 

 

375

 

Canadian Natural Resources Ltd.,
6.25%, 3/15/38 (Canada)

 

 

370,540

 

 

320

 

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

 

 

298,400

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

150

 

6.375%, 6/15/15

 

 

145,500

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

500

 

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

 

 

463,733

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

55

 

7.50%, 5/15/15

 

 

56,100

 

 

90

 

7.75%, 5/15/17

 

 

92,700

 

 

235

 

Compton Petroleum Finance Corp.,

 

 

 

 

 

 

 

7.625%, 12/01/13 (Canada)

 

 

225,013

 

 

125

 

Conoco Funding Co., 7.25%, 10/15/31 (Canada)

 

 

145,774

 

 

535

 

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

 

 

548,451

 

 

650

 

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

 

 

740,160

 

 

100

 

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

 

 

122,312

 

 

725

 

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

 

 

750,656

 

 

115

 

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

 

 

116,581

 

 

1,125

3

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

 

 

1,122,493

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

 

265

 

8.625%, 1/15/22

 

 

308,335

 

 

225

 

8.875%, 6/15/32

 

 

262,282

 

 

124

 

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

 

 

127,055

 

 

 

 

EnCana Corp., (Canada)

 

 

 

 

 

1,000

 

6.50%, 8/15/34

 

 

1,045,819

 

 

700

 

6.625%, 8/15/37

 

 

739,318

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,200

 

 

60

 

7.25%, 12/01/17

 

 

57,450

 

 

1,500

 

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

 

 

1,546,705

 

 

130

 

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

 

 

128,375

 

 

950

 

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

 

 

824,533

 

 

675

 

Florida Power Corp., 6.35%, 9/15/37

 

 

708,736

 

 

80

 

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

 

 

80,400

 

 

210

 

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

 

 

206,850

 

 

700

 

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

 

 

680,105

 

 

 

 

Midamerican Energy Holdings Co.,

 

 

 

 

 

800

 

5.95%, 5/15/37

 

 

766,990

 

 

1,525

3

6.50%, 9/15/37

 

 

1,563,997

 

 

75

 

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

 

 

80,767

 

 

155

 

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

 

 

156,744

 

 

1,050

3

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

 

 

995,715

 

 

550

 

Nexen, Inc., 6.40%, 5/15/37 (Canada)

 

 

547,239

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

50,000

 

 

285

 

7.375%, 2/01/16

 

 

284,288

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

12



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Energy—(cont’d)

 

 

 

 

$

1,000

 

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

 

$

1,047,284

 

 

425

 

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

 

 

432,782

 

 

450

3

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

 

 

451,125

 

 

130

 

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

 

 

143,650

 

 

575

 

Pacificorp, 6.25%, 10/15/37

 

 

590,146

 

 

1,650

 

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

 

 

1,725,900

 

 

1,200

 

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

 

 

1,245,049

 

 

330

 

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

 

 

323,400

 

 

700

 

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

 

 

689,766

 

 

315

3

SemGroup LP, 8.75%, 11/15/15

 

 

302,400

 

 

 

 

Southern California Edison Co.,

 

 

 

 

 

625

 

5.625%, 2/01/36

 

 

596,659

 

 

125

 

Ser. 05-E, 5.35%, 7/15/35

 

 

113,955

 

 

645

 

Suncor Energy, Inc., 6.50%, 6/15/38 (Canada)

 

 

675,171

 

 

320

3

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

 

 

323,200

 

 

550

 

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

 

 

527,368

 

 

950

 

Valero Energy Corp., 6.625%, 6/15/37

 

 

978,133

 

 

2,000

 

Virginia Electric & Power Co., Ser. A, 6.00%, 5/15/37

 

 

1,965,206

 

 

625

3

Weatherford Int’l., Inc., 6.80%, 6/15/37

 

 

655,387

 

 

375

 

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

 

 

368,638

 

 

1,925

 

XTO Energy, Inc., 6.75%, 8/01/37

 

 

2,064,924

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

35,656,593

 

 

Entertainment & Leisure—0.6%

 

 

 

 

 

185

 

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

 

 

200,263

 

 

1,000

 

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

 

 

1,040,000

 

 

150

 

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

 

 

145,500

 

 

335

3

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

 

 

333,325

 

 

375

 

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

 

 

276,562

 

 

260

 

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

 

 

261,950

 

 

40

 

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

 

 

39,300

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,296,900

 

 

Financial Institutions—23.6%

 

 

 

 

 

 

 

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

 

 

 

 

 

320

 

7.125%, 2/15/13

 

 

312,000

 

 

3,165

 

8.125%, 6/01/11

 

 

3,188,737

 

 

2,575

 

Bank of America Corp., 6.00%, 9/01/17

 

 

2,625,030

 

 

1,975

 

Bank of America NA, Ser. BKNT, 6.10%, 6/15/17

 

 

2,021,363

 

 

325

 

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

 

 

324,161

 

 

1,400

 

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

 

 

1,406,364

 

 

1,270

 

Bear Stearns Cos., Inc. (The), Ser. MTN,
6.95%, 8/10/12

 

 

1,321,679

 

 

350

3

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

 

 

310,765

 

 

1,075

 

Berkshire Hathaway Finance Corp., 4.75%, 5/15/12

 

 

1,059,247

 

 

181

1,3

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

 

 

173,374

 

 

1,100

 

Chubb Corp., 6.00%, 5/11/37

 

 

1,070,352

 

 

600

 

CitiFinancial, 6.25%, 1/01/08

 

 

600,878

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,950

4

3.625%, 2/09/09

 

 

3,891,149

 

 

4,790

4

4.125%, 2/22/10

 

 

4,709,978

 

 

1,020

 

4.25%, 7/29/09

 

 

1,007,887

 

 

1,005

 

5.875%, 2/22/33-5/29/37

 

 

955,122

 

 

525

 

6.875%, 2/15/98

 

 

534,624

 

 

3,775

3

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

 

 

3,570,723

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

340

 

7.80%, 6/01/12

 

 

319,456

 

 

200

1

7.993%, 1/13/12

 

 

185,155

 

 

525

3

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

 

 

495,254

 

 

6,855

2

General Electric Capital Corp., Ser. GMTN,
6.15%, 8/07/37

 

 

7,103,041

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

 

 

Goldman Sachs Group, Inc. (The),

 

 

 

 

$

1,415

 

5.35%, 1/15/16

 

$

1,377,548

 

 

4,885

 

5.45%, 11/01/12

 

 

4,914,139

 

 

135

 

6.25%, 9/01/17

 

 

140,028

 

 

925

1

Hartford Life Global Funding Trusts,
Ser. MTN, 5.864%, 9/15/09

 

 

924,002

 

 

825

3

HBOS Treasury Services Plc,
3.75%, 9/30/08 (United Kingdom)

 

 

812,767

 

 

775

 

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

 

 

716,502

 

 

300

 

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

 

 

296,167

 

 

799

3

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

 

 

822,779

 

 

240

 

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

 

 

230,400

 

 

1,500

3

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

 

 

1,378,395

 

 

3,950

 

JPMorgan Chase Capital XXV, Ser. Y, 6.80%, 10/01/37

 

 

3,945,643

 

 

 

 

Lehman Brothers Holdings, Inc.,

 

 

 

 

 

1,875

 

6.50%, 7/19/17

 

 

1,888,348

 

 

525

1

Ser. MTN, 7.394%, 9/15/22

 

 

536,446

 

 

1,525

 

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

 

 

1,413,587

 

 

1,150

3

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

 

 

1,136,666

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

40

3

9.75%, 12/01/14

 

 

39,000

 

 

405

3

11.50%, 12/01/16

 

 

390,825

 

 

1,810

1,3

Monumental Global Funding Ltd.,
Ser. MTN, 5.24%, 6/16/10 (Cayman Islands)

 

 

1,793,710

 

 

 

 

Morgan Stanley,

 

 

 

 

 

3,300

1

5.493%, 1/09/12

 

 

3,246,860

 

 

525

 

6.25%, 8/09/26

 

 

517,443

 

 

1,700

 

Ser. MTN, 6.25%, 8/28/17

 

 

1,740,576

 

 

1,375

 

Ser. MTN, 5.55%, 4/27/17

 

 

1,338,083

 

 

850

3

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

 

 

843,505

 

 

350

 

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

 

 

357,088

 

 

 

 

Prudential Financial, Inc.,

 

 

 

 

 

500

 

5.90%, 3/17/36

 

 

471,162

 

 

675

 

Ser. MTN, 5.70%, 12/14/36

 

 

626,303

 

 

1,000

3

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

 

 

1,006,033

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

200

3

8.75%, 9/01/12

 

 

208,000

 

 

943

3

10.375%, 9/01/14

 

 

1,037,300

 

 

550

1

SLM Corp., 5.384%, 1/27/14

 

 

486,399

 

 

2,170

5

Structured Asset Receivable Trust, 5.68%, 1/21/10

 

 

2,148,367

 

 

 

 

SunTrust Bank,

 

 

 

 

 

995

 

4.00%, 10/15/08

 

 

985,997

 

 

1,265

 

4.415%, 6/15/09

 

 

1,249,858

 

 

235

3

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

 

 

234,326

 

 

975

 

Travelers Cos., Inc., Ser. MTN, 6.25%, 6/15/37

 

 

961,956

 

 

50

1

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

51,125

 

 

2,790

2

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

 

 

2,794,765

 

 

495

3

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

 

 

494,478

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

 

1,031

 

3.12%, 8/15/08

 

 

1,013,318

 

 

355

 

4.20%, 1/15/10

 

 

349,594

 

 

1,665

 

4.625%, 8/09/10

 

 

1,648,918

 

 

435

 

4.875%, 1/12/11

 

 

432,628

 

 

540

 

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

 

 

532,155

 

 

605

3

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

 

 

453,750

 

 

1,775

3

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

 

 

1,760,351

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

86,933,629

 

 

Health Care—3.5%

 

 

 

 

 

1,205

1,3

Amgen, Inc., 5.585%, 11/28/08

 

 

1,202,827

 

 

1,625

 

AstraZeneca Plc, 6.45%, 9/15/37 (United Kingdom)

 

 

1,712,300

 

 

340

 

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

 

 

333,724

 

 

2,275

2

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

 

 

2,172,348

 

 

1,125

 

Johnson & Johnson, 5.95%, 8/15/37

 

 

1,176,591

 

 

1,125

 

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

 

 

1,165,932

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

13

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Health Care—(cont’d)

 

 

 

 

$

1,020

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

$

864,450

 

 

995

 

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

 

 

979,429

 

 

870

 

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

 

 

837,188

 

 

 

 

WellPoint, Inc.,

 

 

 

 

 

955

 

5.85%, 1/15/36

 

 

897,356

 

 

85

 

5.95%, 12/15/34

 

 

82,113

 

 

 

 

Wyeth,

 

 

 

 

 

925

 

5.95%, 4/01/37

 

 

914,805

 

 

675

 

6.00%, 2/15/36

 

 

668,576

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

13,007,639

 

 

Industrials—1.4%

 

 

 

 

 

1,575

 

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

 

 

1,579,348

 

 

360

3

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

 

 

354,600

 

 

140

 

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

 

 

137,550

 

 

975

 

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

 

 

947,863

 

 

120

 

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

 

 

111,900

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

480

 

9.50%, 8/01/14

 

 

495,600

 

 

505

 

11.75%, 8/01/16

 

 

535,300

 

 

950

3

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

 

 

912,000

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

5,074,161

 

 

Media—6.2%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

515

 

10.125%, 10/15/13

 

 

536,887

 

 

180

 

11.50%, 10/15/15

 

 

187,650

 

 

100

 

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

 

 

95,750

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

90

 

6.625%, 5/15/29

 

 

90,172

 

 

3,040

 

7.57%, 2/01/24

 

 

3,331,311

 

 

205

 

7.625%, 4/15/31

 

 

228,088

 

 

85

 

7.70%, 5/01/32

 

 

95,515

 

 

180

1

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

184,950

 

 

110

 

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

 

 

107,250

 

 

430

 

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

 

 

417,100

 

 

 

 

Charter Communications Holdings II LLC/Charter

 

 

 

 

 

 

 

Communications Holdings II Capital Corp.,

 

 

 

 

 

1,545

 

10.25%, 9/15/10

 

 

1,575,900

 

 

130

 

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

 

 

132,275

 

 

645

 

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

 

 

592,594

 

 

 

 

Comcast Corp.,

 

 

 

 

 

790

 

6.45%, 3/15/37

 

 

796,377

 

 

2,375

 

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

 

 

2,464,004

 

 

25

 

6.95%, 8/15/37

 

 

26,753

 

 

75

 

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

 

 

79,969

 

 

125

 

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

 

 

130,625

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

175

 

5.75%, 10/01/08

 

 

174,563

 

 

290

 

7.00%, 10/01/13

 

 

301,962

 

 

75

 

7.125%, 2/01/16

 

 

78,375

 

 

620

 

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

 

 

621,550

 

 

600

1,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

601,500

 

 

485

 

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

 

 

488,031

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

985

 

7.625%, 11/30/28

 

 

1,092,925

 

 

825

 

7.70%, 10/30/25

 

 

917,857

 

 

625

 

8.45%, 8/01/34

 

 

755,622

 

 

560

 

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

 

 

537,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

300

6

9.115%, 8/01/16

 

 

216,750

 

 

965

 

10.00%, 8/01/14

 

 

1,015,662

 

 

865

 

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

 

 

865,000

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Media—(cont’d)

 

 

 

 

$

70

 

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

 

$

69,563

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

 

200

 

7.125%, 2/15/28

 

 

212,777

 

 

620

 

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

 

 

705,603

 

 

70

 

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

 

 

72,559

 

 

1,000

3

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

995,000

 

 

350

3

Univision Communications, Inc., 9.75%, 3/15/15

 

 

343,000

 

 

645

 

Vertis, Inc., 9.75%, 4/01/09

 

 

645,000

 

 

1,205

 

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

 

 

1,132,700

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

22,916,769

 

 

Real Estate—0.9%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

 

350

 

6.625%, 9/15/11

 

 

364,056

 

 

775

 

8.25%, 7/15/08

 

 

792,236

 

 

 

 

Rouse Co.,

 

 

 

 

 

895

 

3.625%, 3/15/09

 

 

853,281

 

 

1,650

 

5.375%, 11/26/13

 

 

1,495,190

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

3,504,763

 

 

Technology—1.9%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

80

 

7.75%, 5/15/13

 

 

77,400

 

 

145

 

9.25%, 6/01/16

 

 

148,263

 

 

250

 

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

 

 

240,000

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

655

 

9.125%, 12/15/14

 

 

592,775

 

 

140

1

9.569%, 12/15/14

 

 

128,625

 

 

3,125

2

Intl. Business Machines Corp., 5.70%, 9/14/17

 

 

3,171,831

 

 

440

 

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

 

 

415,800

 

 

630

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

552,825

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

105

 

9.125%, 8/15/13

 

 

107,100

 

 

610

 

10.25%, 8/15/15

 

 

635,925

 

 

945

 

Superior Essex Communications LLC/Essex Group, Inc.,

 

 

 

 

 

 

 

9.00%, 4/15/12

 

 

933,187

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

7,003,731

 

 

Telecommunications—8.7%

 

 

 

 

 

2,875

2

AT&T, Inc., 6.50%, 9/01/37

 

 

3,032,607

 

 

1,700

6

BellSouth Telecommunications, 6.402%, 12/15/95

 

 

902,807

 

 

210

 

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

 

 

210,525

 

 

225

 

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

 

 

223,313

 

 

3,000

2

Deutsche Telekom Intl. Finance BV,

 

 

 

 

 

 

 

5.75%, 3/23/16 (Netherlands)

 

 

3,007,887

 

 

 

 

Digicel Group Ltd., (Bermuda)

 

 

 

 

 

240

3

8.875%, 1/15/15

 

 

224,112

 

 

560

3

9.125%, 1/15/15

 

 

523,340

 

 

190

1

Hawaiian Telcom Communications, Inc.,
Ser. B, 10.318%, 5/01/13

 

 

192,375

 

 

475

 

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

 

 

485,687

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

95

1

8.886%, 1/15/15

 

 

96,425

 

 

500

 

9.25%, 6/15/16

 

 

518,750

 

 

200

 

11.25%, 6/15/16

 

 

215,000

 

 

870

1

11.409%, 6/15/13

 

 

906,975

 

 

295

 

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

 

 

299,425

 

 

120

3

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

 

 

119,100

 

 

770

3

Nordic Telephone Co. Holdings A.p.S.,
8.875%, 5/01/16 (Denmark)

 

 

814,275

 

 

1,120

1,3

Nortel Networks Ltd., 9.493%, 7/15/11 (Canada)

 

 

1,106,000

 

 

155

 

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

 

 

158,100

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

211,000

 

 

470

1

8.944%, 6/15/13

 

 

501,137

 

 

780

 

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

 

 

810,601

 

 

1,715

 

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

 

 

1,642,877

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

14



 

 


 

Portfolio of Investments as of October 31, 2007

BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Telecom Italia Capital S.A. (Luxembourg)

 

 

 

 

$

1,075

 

4.95%, 9/30/14

 

$

1,028,927

 

 

1,550

 

6.00%, 9/30/34

 

 

1,484,579

 

 

1,975

 

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

 

 

2,169,348

 

 

725

 

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

 

 

776,297

 

 

70

 

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

 

 

82,465

 

 

125

 

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

 

 

104,256

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

 

230

 

7.85%, 11/15/29

 

 

261,440

 

 

335

 

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

 

 

342,618

 

 

3,150

2

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

 

 

3,024,873

 

 

 

 

Vodafone Group Plc, (United Kingdom)

 

 

 

 

 

1,465

1

5.288%, 12/28/07

 

 

1,465,296

 

 

2,504

 

7.75%, 2/15/10

 

 

2,648,073

 

 

1,100

 

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

 

 

1,152,250

 

 

350

3

Wind Acquisition Finance S.A.,
10.75%, 12/01/15 (Luxembourg)

 

 

389,375

 

 

 

 

Windstream Corp.,

 

 

 

 

 

500

 

8.125%, 8/01/13

 

 

528,750

 

 

230

 

8.625%, 8/01/16

 

 

246,100

 

 

 

 

 

 

     

 

 

 

Total Telecommunications

 

 

31,906,965

 

 

Transportation—0.5%

 

 

 

 

 

115

 

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

 

 

113,563

 

 

110

 

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

 

 

115,500

 

 

350

 

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

 

 

352,778

 

 

405

 

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

 

 

391,837

 

 

500

 

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

 

 

528,750

 

 

360

3

St. Acquisition Corp., 12.50%, 5/15/17

 

 

229,500

 

 

 

 

 

 

     

 

 

 

Total Transportation

 

 

1,731,928

 

 

 

 

 

 

     

 

 

 

Total Corporate Bonds

 

 

244,058,381

 

 

U.S. Government and Agency Securities—5.8%

 

 

 

 

 

1,670

 

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

 

 

1,753,313

 

 

1,050

 

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

 

 

623,776

 

 

1,655

 

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

 

 

1,829,397

 

 

330

 

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

 

 

329,820

 

 

5,832

2

U.S. Treasury Inflation Protected Bond, 2.375%, 1/15/27

 

 

5,982,762

 

 

10,450

2

U.S. Treasury Notes, 4.75%, 8/15/17

 

 

10,680,242

 

 

 

 

 

 

     

 

 

 

Total U.S. Government and Agency Securities

 

 

21,199,310

 

 

Foreign Government Bond—0.4%

 

 

 

 

 

1,100

 

France, 3.75%, 4/25/17

 

 

1,522,816

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—5.5%

 

 

 

 

 

1,600

 

Countrywide Alternative Loan Trust,
Ser. 64CB, Class 1A15, 5.50%, 12/25/35

 

 

1,504,462

 

 

2,755

1

CW Capital Cobalt Ltd., Ser. C3, Class A4, 5.82%, 5/15/46

 

 

2,830,870

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

 

3,044

 

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

 

 

3,151,030

 

 

2,265

 

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

 

 

2,340,547

 

 

2,350

 

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

 

 

2,308,750

 

 

960

 

JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. LDP9, Class A3, 5.336%, 5/15/47

 

 

936,591

 

 

2,275

1

LB-UBS Commercial Mortgage Trust, Ser. C6, Class A4,
5.858%, 7/15/40

 

 

2,304,488

 

 

925

1,7

Merrill Lynch Mortgage Trust, Ser. C1, Class AM,
5.83%, 6/12/50

 

 

933,463

 

 

995

1

Morgan Stanley Capital I, Ser. T27, Class A4,
5.651%, 6/11/42

 

 

999,692

 

 

2,305

 

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

 

 

1,977,073

 

 

995

1

Wachovia Bank Commercial Mortgage Trust, Ser. C33,
Class A4, 5.903%, 2/15/51

 

 

1,017,710

 

 

 

 

 

 

     

 

 

 

Total Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

 

20,304,676

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Taxable Municipal Bond—0.3%

 

 

 

 

$

1,000

 

Illinois St. Pension, 5.10%, 6/01/33

 

$

948,570

 

 

Trust Preferred Stocks—3.3%

 

 

 

 

 

1,950

1

Allstate Corp., 6.50%, 5/15/57

 

 

1,890,800

 

 

545

 

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

 

 

553,198

 

 

850

1,3,8

Barclays Bank Plc, 7.434% (United Kingdom)

 

 

901,035

 

 

915

1,3,8

Credit Agricole S.A., 6.637% (France)

 

 

869,590

 

 

1,550

1,8

Credit Suisse Ltd., 5.86% (Guernsey)

 

 

1,443,920

 

 

675

1

Lincoln National Corp., 6.05%, 4/20/67

 

 

646,921

 

 

790

 

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

 

 

672,418

 

 

605

1

Progressive Corp., 6.70%, 6/15/37

 

 

593,676

 

 

2,200

1,8

Royal Bank of Scotland Group Plc, Ser. MTN,

 

 

 

 

 

 

 

7.64% (United Kingdom)

 

 

2,280,326

 

 

1,000

1,3,8

Societe Generale, 5.922% (France)

 

 

951,690

 

 

675

1

Travelers Cos., Inc., 6.25%, 3/15/67

 

 

655,470

 

 

675

1,3

ZFS Finance Trust I, 6.50%, 5/09/37

 

 

649,622

 

 

 

 

 

 

     

 

 

 

Total Trust Preferred Stocks

 

 

12,108,666

 

 



 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

1,895

9,10

Critical Care Systems Intl., Inc.

 

 

11,826

 

 

Preferred Stocks—0.4%

 

 

 

 

 

55,000

 

Deutsche Bank Contingent Capital Trust II, 6.55%

 

 

1,317,250

 

 

45,000

10

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

 

 

27,900

 

 

 

 

 

 

     

 

 

 

Total Preferred Stocks

 

 

1,345,150

 

 

 

 

 

Total Long-Term Investments
(cost $586,479,015)

 

 

584,484,025

 

 



 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

BORROWED BOND AGREEMENTS—21.8%

 

 

 

 

 

 

 

Lehman Brothers Inc.,

 

 

 

 

$

50,927

12

4.47%, 11/08/07

 

$

50,927,000

 

 

29,563

12

4.45%, 11/08/07

 

 

29,563,000

 

 

 

 

 

 

     

 

 

 

Total Borrowed Bond Agreements

 

 

 

 

 

 

 

(cost $80,490,000)

 

 

80,490,000

 

 



 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—1.0%

 

 

 

 

3,880

 

EUR Put Option, strike price $1.40, expires 1/10/08

 

 

16,186

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

6,600

 

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

 

 

267,762

 

 

4,900

 

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

 

 

289,016

 

 

7,600

 

Trust pays 3-month LIBOR, Trust receives 5.79%,
expires 8/16/10

 

 

392,551

 

 

7,675

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

471,859

 

 

7,675

 

Trust pays 3-month LIBOR, Trust receives 6.025%,
expires 6/08/12

 

 

242,300

 

 

6,600

 

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

 

 

322,872

 

 

11,200

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

480,480

 

 

11,200

 

Trust pays 5.47%, Trust receives 3-month LIBOR,
expires 5/08/12

 

 

523,600

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

15

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock Core Bond Trust (BHK) (concluded)

 

             (Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 

 

OUTSTANDING OPTIONS PURCHASED—(cont’d)

 

 

 

 

 

4,900

 

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

 

$

332,459

 

 

7,600

 

Trust pays 5.79%, Trust receives 3-month LIBOR,
expires 8/16/10

 

 

204,273

 

 

 

 

 

 

     

 

 

 

Total Outstanding Options Purchased
(cost $3,247,804)

 

 

3,543,358

 

 

 

 

 

Total Investments before borrowed bonds,
TBA sale commitments, and outstanding
options written (cost $670,216,81911)

 

 

668,517,383

 

 

 

 

 

 

 

 

 

 



Principal
Amount
(000)

 

 

 

 

 

 

 

BORROWED BONDS—(21.8)%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

$

(50,800

)

4.00%, 8/31/09

 

 

(50,835,712

)

 

(29,600

)

4.125%, 8/31/12

 

 

(29,569,927

)

 

 

 

 

 

     

 

 

 

Total Borrowed Bonds

 

 

 

 

 

 

 

(proceeds $80,372,938)

 

 

(80,405,639

)

 

TBA SALE COMMITMENTS—(1.3)%

 

 

 

 

 

(4,400

)

Federal National Mortgage Assoc., 6.00%, 11/13/37

 

 

(4,431,627

)

 

(200

)

Government National Mortgage Assoc.,
5.50%, 11/20/37

 

 

(198,750

)

 

 

 

 

 

     

 

 

 

Total TBA Sale Commitments
(proceeds $4,627,832)

 

 

(4,630,377

)

 

 

 

 

 

 

 

 

 



Notional
Amount
(000)

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,300

)

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

 

 

(90,551

)

 

(6,600

)

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

 

 

(107,646

)

 

(4,500

)

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

 

 

(132,205

)

 

(11,500

)

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

 

 

(292,905

)

 

(6,600

)

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

 

 

(107,316

)

 

(5,300

)

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

 

 

(90,551

)

 

(4,500

)

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

 

 

(176,797

)

 

(11,500

)

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

 

 

(556,370

)

 

 

     

 

 

 

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

 

 

(1,554,341

)

 

Total Investments net of borrowed bonds, TBA sale
commitments and outstanding options written—158.0%

 

 

581,927,026

 

Liabilities in excess of other assets—(58.0)%

 

 

(213,591,799

)

 

 

     

Net Assets—100%

 

$

368,335,227

 

 

 

     

 

 

 

1

Variable rate security. Rate shown is interest rate as of October 31, 2007.

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

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, 2007, the Trust held 9.9% of its net assets, with a current market value of $36,518,999, in securities restricted as to resale.

4

Security, or a portion thereof, pledged as collateral with a value of $4,615,550 on 134 long Eurodollar futures contracts expiring December 2007 to March 2008, 198 long U.S. Treasury Note futures contracts expiring December 2007, 1,153 long U.S. Treasury Bond futures contracts expiring December 2007, 163 short Eurodollar futures contracts expiring December 2007, 3,130 short U.S. Treasury Note futures contracts expiring December 2007 and 224 short U.S. Treasury Note futures contracts expiring December 2007. The notional value of such contracts on October 31, 2007 was $243,902,499, with an unrealized loss of $519,568.

5

Illiquid security. As of October 31, 2007, the Trust held 0.6% of its net assets, with a current market value of $2,148,367, in these securities.

6

Represents a step up bond; the interest rate shown reflects the effective yield at the time of purchase.

7

Represents an investment in an affiliate.

8

The security is a perpetual bond and has no stated maturity date.

9

Non-income producing security.

10

Security is fair valued.

11

Cost for federal income tax purposes is $671,388,702. The net unrealized depreciation on a tax basis is $2,871,319, consisting of $6,742,797 gross unrealized appreciation and $9,614,116 gross unrealized depreciation.

12

See Note 1 in the Notes to Financial Statements for details of borrowed bond agreements.

 

 

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.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

16



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

LONG-TERM INVESTMENTS—116.2%

 

 

 

 

Corporate Bonds—110.2%

 

 

 

 

Aerospace & Defense—3.0%

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

$

330

 

6.875%, 12/15/07

 

$

330,000

 

 

350

1

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

 

 

353,500

 

 

100

2

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

 

 

104,000

 

 

410

 

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

 

 

435,625

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

40

 

6.875%, 11/01/13

 

 

40,000

 

 

100

 

7.625%, 2/01/18

 

 

102,250

 

 

20

 

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

 

 

19,500

 

 

40

 

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

 

 

42,900

 

 

100

 

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

 

 

101,750

 

 

 

 

 

 

     

 

 

 

Total Aerospace & Defense

 

 

1,529,525

 

 

Automotive—5.0%

 

 

 

 

 

85

 

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

 

 

79,900

 

 

185

2

Allison Transmission, 11.25%, 11/01/15

 

 

182,456

 

 

60

 

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

 

 

56,100

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

90

 

7.00%, 4/15/14

 

 

87,075

 

 

80

3

7.243%, 4/15/13

 

 

78,200

 

 

520

 

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

 

 

523,900

 

 

125

 

Ford Motor Co., 8.90%, 1/15/32

 

 

110,313

 

 

 

 

Goodyear Tire & Rubber Co. (The),

 

 

 

 

 

40

 

7.857%, 8/15/11

 

 

41,400

 

 

156

 

8.625%, 12/01/11

 

 

166,140

 

 

195

 

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

 

 

187,200

 

 

255

 

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

 

 

237,150

 

 

180

 

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

 

 

175,050

 

 

250

 

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

 

 

238,750

 

 

350

 

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

 

 

355,250

 

 

 

 

 

 

     

 

 

 

Total Automotive

 

 

2,518,884

 

 

Basic Materials—11.1%

 

 

 

 

 

185

 

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

 

 

188,700

 

 

 

 

Abitibi-Consolidated, Inc., (Canada)

 

 

 

 

 

165

 

6.00%, 6/20/13

 

 

121,275

 

 

35

 

8.85%, 8/01/30

 

 

25,900

 

 

205

 

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

 

 

218,325

 

 

140

 

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

 

 

143,500

 

 

115

 

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

 

 

98,613

 

 

130

3

Bowater, Inc., 8.694%, 3/15/10

 

 

118,950

 

 

150

 

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

 

 

150,000

 

 

175

 

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

 

 

169,750

 

 

120

 

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

 

 

87,900

 

 

50

 

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

 

 

47,750

 

 

40

 

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

 

 

39,600

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

 

66

 

10.125%, 9/01/08

 

 

68,145

 

 

57

 

10.625%, 5/01/11

 

 

59,565

 

 

 

 

FMG Finance Ltd. (Australia)

 

 

 

 

 

85

2

10.00%, 9/01/13

 

 

93,925

 

 

120

2

10.625%, 9/01/16

 

 

142,200

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

550

 

8.375%, 4/01/17

 

 

602,250

 

 

180

3

8.394%, 4/01/15

 

 

185,850

 

 

 

 

Huntsman LLC,

 

 

 

 

 

95

 

11.50%, 7/15/12

 

 

103,312

 

 

365

 

11.625%, 10/15/10

 

 

386,900

 

 

205

2

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

 

 

194,750

 

 

 

 

 

 

 

 

 

 

545

 

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

 

 

549,087

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Basic Materials—(cont’d)

 

 

 

 

$

70

2

Key Plastics LLC/Key Plastics Finance Corp.,

 

 

 

 

 

 

 

11.75%, 3/15/13

 

$

59,500

 

 

260

 

Lyondell Chemical Co., 10.50%, 6/01/13

 

 

280,150

 

 

265

2

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

 

 

253,075

 

 

 

 

NewPage Corp.,

 

 

 

 

 

450

 

10.00%, 5/01/12

 

 

475,875

 

 

210

 

12.00%, 5/01/13

 

 

226,800

 

 

105

3

NOVA Chemicals Corp., 8.484%, 11/15/13 (Canada)

 

 

103,163

 

 

125

 

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

 

 

118,750

 

 

 

 

Ryerson, Inc.,

 

 

 

 

 

100

2

12.00%, 11/01/15

 

 

102,750

 

 

60

2,3

12.574%, 11/01/14

 

 

61,200

 

 

80

2

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

80,000

 

 

85

 

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

 

 

85,000

 

 

 

 

 

 

     

 

 

 

Total Basic Materials

 

 

5,642,510

 

 

Building & Development—1.9%

 

 

 

 

 

40

3

Ainsworth Lumber Co. Ltd., 8.981%, 10/01/10 (Canada)

 

 

30,250

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

160

 

7.875%, 12/15/12

 

 

167,200

 

 

32

3

8.36%, 6/15/12

 

 

32,160

 

 

250

 

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

 

 

192,500

 

 

100

 

Masonite Intl. Corp., 11.00%, 4/06/15 (Canada)

 

 

84,500

 

 

110

 

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

 

 

97,350

 

 

335

 

North American Energy Partners, Inc.,

 

 

 

 

 

 

 

8.75%, 12/01/11 (Canada)

 

 

338,350

 

 

 

 

 

 

     

 

 

 

Total Building & Development

 

 

942,310

 

 

Commercial Services—0.7%

 

 

 

 

 

100

 

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

 

 

104,500

 

 

145

2

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

 

 

141,375

 

 

100

2

U.S. Investigations Services, Inc., 10.50%, 11/01/15

 

 

95,250

 

 

 

 

 

 

     

 

 

 

Total Commercial Services

 

 

341,125

 

 

Consumer Products—6.9%

 

 

 

 

 

265

3

Ames True Temper, Inc., 9.243%, 1/15/12

 

 

254,400

 

 

20

3

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

 

 

 

 

 

 

 

8.058%, 5/15/14

 

 

19,750

 

 

70

2

Bausch & Lomb, Inc., 9.875%, 11/01/15

 

 

72,100

 

 

50

2

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

 

 

51,500

 

 

130

 

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

 

 

84,175

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

280

3

10.009%, 3/15/14

 

 

269,500

 

 

250

 

10.75%, 3/15/15

 

 

243,125

 

 

150

 

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

 

 

142,500

 

 

475

 

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

 

 

427,500

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

260

 

10.00%, 11/01/14

 

 

261,950

 

 

330

 

11.375%, 11/01/16

 

 

329,175

 

 

20

 

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

 

 

21,100

 

 

265

 

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

 

 

258,375

 

 

100

 

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

 

 

93,250

 

 

120

 

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

 

 

129,830

 

 

 

 

Rite Aid Corp.,

 

 

 

 

 

400

 

7.50%, 3/01/17

 

 

372,000

 

 

80

2

9.375%, 12/15/15

 

 

73,800

 

 

 

 

Sally Holdings LLC,

 

 

 

 

 

35

 

9.25%, 11/15/14

 

 

35,175

 

 

270

 

10.50%, 11/15/16

 

 

268,650

 

 

110

 

Yankee Acquisition Corp., Ser. B, 9.75%, 2/15/17

 

 

101,750

 

 

 

 

 

 

     

 

 

 

Total Consumer Products

 

 

3,509,605

 

 

Containers & Packaging—3.3%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

340

 

8.875%, 9/15/14

 

 

348,500

 

 

100

3

9.569%, 9/15/14

 

 

100,250

 

 

85

 

Crown Americas LLC/Crown Americas Capital Corp.,

 

 

 

 

 

 

 

7.75%, 11/15/15

 

 

87,550

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

17

ANNUAL REPORT

OCTOBER 31, 2007

 



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

110

 

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

 

$

109,175

 

 

30

 

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

 

 

31,500

 

 

270

2,3

Impress Holdings BV, 8.368%, 9/15/13 (Netherlands)

 

 

268,584

 

 

310

 

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

 

 

337,900

 

 

375

 

Smurfit-Stone Container Enterprises, Inc.,

 

 

 

 

 

 

 

8.00%, 3/15/17

 

 

372,656

 

 

 

 

 

 

     

 

 

 

Total Containers & Packaging

 

 

1,656,115

 

 

Ecological Services & Equipment—0.8%

 

 

 

 

 

270

 

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

 

 

243,675

 

 

185

 

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

 

 

185,000

 

 

 

 

 

 

     

 

 

 

Total Ecological Services & Equipment

 

 

428,675

 

 

Energy—15.9%

 

 

 

 

 

 

130

 

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

 

 

139,162

 

 

80

 

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

 

 

81,600

 

 

100

 

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

 

 

93,250

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

90

 

6.375%, 6/15/15

 

 

87,300

 

 

250

 

6.625%, 1/15/16

 

 

245,000

 

 

20

 

6.875%, 11/15/20

 

 

19,550

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

50

 

7.50%, 5/15/15

 

 

51,000

 

 

80

 

7.75%, 5/15/17

 

 

82,400

 

 

115

 

Compton Petroleum Finance Corp.,

 

 

 

 

 

 

 

7.625%, 12/01/13 (Canada)

 

 

110,113

 

 

70

 

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

 

 

71,925

 

 

407

2,3

Corral Finans AB, 6.855%, 4/15/10 (Sweden)

 

 

384,865

 

 

30

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30,450

 

 

260

1

East Cameron Gas Co., 11.25%, 7/09/19
(Cayman Islands)

 

 

249,600

 

 

480

 

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

 

 

492,337

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,200

 

 

30

 

7.25%, 12/01/17

 

 

28,725

 

 

475

2

Energy Future Holdings, 11.25%, 11/01/17

 

 

480,937

 

 

370

 

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

 

 

365,375

 

 

190

2

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

 

 

190,000

 

 

65

 

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

 

 

64,675

 

 

50

 

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

 

 

50,250

 

 

97

 

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

 

 

107,670

 

 

5

 

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

 

 

4,763

 

 

440

 

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

 

 

433,400

 

 

96

 

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

 

 

103,203

 

 

350

 

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

 

 

353,937

 

 

30

 

Newfield Exploration Co., 6.625%, 9/01/14

 

 

29,475

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

130

 

7.25%, 2/01/14

 

 

130,000

 

 

385

 

7.375%, 2/01/16

 

 

384,037

 

 

440

2

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

 

 

441,100

 

 

345

 

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

 

 

381,225

 

 

185

 

Range Resources Corp., 7.375%, 7/15/13

 

 

188,237

 

 

130

 

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

 

 

127,400

 

 

210

2

SemGroup LP, 8.75%, 11/15/15

 

 

201,600

 

 

40

 

Sithe Independence Funding, Ser. A, 9.00%, 12/30/13

 

 

42,349

 

 

200

2

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

 

 

202,000

 

 

160

 

Tennessee Gas Pipeline Co., 8.375%, 6/15/32

 

 

186,512

 

 

450

2

Texas Competitive Electric Holdings Co. LLC,

 

 

 

 

 

 

 

10.25%, 11/01/15

 

 

452,250

 

 

400

 

Transcontinental Gas Pipe Line Corp., Ser. B,

 

 

 

 

 

 

 

8.875%, 7/15/12

 

 

449,000

 

 

495

 

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

 

 

486,963

 

 

 

 

 

 

     

 

 

 

Total Energy

 

 

8,059,835

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Entertainment & Leisure—4.8%

 

 

 

 

$

150

 

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

 

$

162,375

 

 

125

2

French Lick Resorts & Casino LLC/French Lick
Resorts & Casino Corp., 10.75%, 4/15/14

 

 

99,375

 

 

 

 

Gaylord Entertainment Co.,

 

 

 

 

 

280

 

6.75%, 11/15/14

 

 

271,600

 

 

40

 

8.00%, 11/15/13

 

 

40,700

 

 

320

2

Great Canadian Gaming Corp., 7.25%, 2/15/15 (Canada)

 

 

318,400

 

 

185

2

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

 

 

184,075

 

 

210

 

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

 

 

154,875

 

 

60

 

MGM Mirage, 6.75%, 9/01/12

 

 

59,100

 

 

200

2

Pinnacle Entertainment, Inc., 7.50%, 6/15/15

 

 

193,000

 

 

115

 

Riddell Bell Holdings, Inc., 8.375%, 10/01/12

 

 

110,400

 

 

140

 

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

 

 

141,050

 

 

140

2

Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15

 

 

140,700

 

 

50

 

Station Casinos, Inc., 6.625%, 3/15/18

 

 

39,625

 

 

60

3

Travelport LLC, 10.246%, 9/01/14

 

 

60,300

 

 

435

 

Virgin River Casino, 9.00%, 1/15/12

 

 

411,075

 

 

70

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

 

 

 

 

 

 

 

6.625%, 12/01/14

 

 

68,775

 

 

 

 

 

 

     

 

 

 

Total Entertainment & Leisure

 

 

2,455,425

 

 

Financial Institutions—10.6%

 

 

 

 

 

500

 

AES Red Oak LLC, Ser. B, 9.20%, 11/30/29

 

 

568,750

 

 

300

2

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

 

 

288,750

 

 

 

 

American Real Estate Partners LP/American Real Estate

 

 

 

 

 

 

 

Finance Corp.,

 

 

 

 

 

185

 

7.125%, 2/15/13

 

 

180,375

 

 

300

 

8.125%, 6/01/12

 

 

302,250

 

 

112

2,3

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

 

 

107,084

 

 

500

2

Dow Jones CDX HY, Ser. 6-T1, 8.625%, 6/29/11

 

 

528,050

 

 

 

 

Ford Motor Credit Co. LLC,

 

 

 

 

 

500

 

7.80%, 6/01/12

 

 

469,787

 

 

110

3

7.993%, 1/13/12

 

 

101,835

 

 

40

 

General Motors Acceptance Corp. LLC, 8.00%, 11/01/31

 

 

36,973

 

 

 

 

Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC,

 

 

 

 

 

75

 

9.75%, 11/15/14

 

 

82,312

 

 

100

3

10.058%, 11/15/14

 

 

103,500

 

 

442

2

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

 

 

455,155

 

 

120

 

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

 

 

115,200

 

 

 

 

LVB Acquisition Merger Sub, Inc.,

 

 

 

 

 

75

2

10.00%, 10/15/17

 

 

77,063

 

 

75

2

10.375%, 10/15/17

 

 

75,938

 

 

100

2

11.625%, 10/15/17

 

 

101,875

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

175

2

9.75%, 12/01/14

 

 

170,625

 

 

40

2

10.125%, 12/01/14

 

 

38,600

 

 

285

2

11.50%, 12/01/16

 

 

275,025

 

 

70

2

NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25

 

 

69,300

 

 

220

2,3

PNA Intermediate Holding Corp., 12.36%, 2/15/13

 

 

216,150

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

310

2

8.75%, 9/01/12

 

 

322,400

 

 

318

2

10.375%, 9/01/14

 

 

349,800

 

 

100

2,3

USI Holdings Corp., 9.433%, 11/15/14

 

 

93,000

 

 

30

3

Universal City Florida Holding Co. I/II, 9.661%, 5/01/10

 

 

30,675

 

 

300

2

Wimar Opco LLC/Wimar Opco Finance Corp.,

 

 

 

 

 

 

 

9.625%, 12/15/14

 

 

225,000

 

 

 

 

 

 

     

 

 

 

Total Financial Institutions

 

 

5,385,472

 

 

Health Care—3.7%

 

 

 

 

 

165

 

Accellent, Inc., 10.50%, 12/01/13

 

 

155,512

 

 

180

3

Angiotech Pharmaceuticals, Inc.,

 

 

 

 

 

 

 

9.371%, 12/01/13 (Canada)

 

 

178,200

 

 

140

2

Community Health Systems, Inc., 8.875%, 7/15/15

 

 

141,750

 

 

100

 

Cooper Cos., Inc. (The), 7.125%, 2/15/15

 

 

99,000

 

 

135

 

Norcross Safety Products LLC/Norcross Capital Corp.,

 

 

 

 

 

 

 

9.875%, 8/15/11

 

 

140,063

 

 

150

2

PTS Acquisition Corp., 9.50%, 4/15/15

 

 

144,750

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

OCTOBER 31, 2007

18



 

 


 

Portfolio of Investments as of October 31, 2007  

BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Health Care—(cont’d)

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

$

615

 

6.50%, 6/01/12

 

$

521,212

 

 

50

 

9.875%, 7/01/14

 

 

45,500

 

 

230

 

United Surgical Partners Intl., Inc., 8.875%, 5/01/17

 

 

234,600

 

 

 

 

Universal Hospital Services, Inc.,

 

 

 

 

 

50

2

8.50%, 6/01/15

 

 

50,875

 

 

50

2,3

8.759%, 6/01/15

 

 

50,125

 

 

115

2

Viant Holdings, Inc., 10.125%, 7/15/17

 

 

108,100

 

 

 

 

 

 

     

 

 

 

Total Health Care

 

 

1,869,687

 

 

Industrials—3.9%

 

 

 

 

 

 

200

2

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

 

 

197,000

 

 

30

2

Blaze Recycling & Metals LLC/Blaze Finance Corp.,

 

 

 

 

 

 

 

10.875%, 7/15/12

 

 

30,000

 

 

 

 

Harland Clarke Holdings Corp.,

 

 

 

 

 

60

 

9.50%, 5/15/15

 

 

54,600

 

 

50

3

10.308%, 5/15/15

 

 

45,000

 

 

80

 

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

 

 

78,600

 

 

200

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

201,750

 

 

85

 

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

 

 

79,263

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

85

 

8.875%, 9/01/16

 

 

86,062

 

 

340

 

9.50%, 8/01/14

 

 

351,050

 

 

280

 

11.75%, 8/01/16

 

 

296,800

 

 

510

2

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

 

 

489,600

 

 

55

 

Terex Corp., 7.375%, 1/15/14

 

 

55,275

 

 

 

 

 

 

     

 

 

 

Total Industrials

 

 

1,965,000

 

 

Media—12.1%

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

215

 

10.125%, 10/15/13

 

 

224,137

 

 

175

 

11.50%, 10/15/15

 

 

182,437

 

 

35

 

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

 

 

33,513

 

 

80

2

Bonten Media Acquisition Co., 9.00%, 6/01/15

 

 

73,500

 

 

290

 

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

 

 

266,437

 

 

45

 

CSC Holdings, Inc., Ser. B, 7.625%, 4/01/11

 

 

44,888

 

 

175

3

Cablevision Systems Corp., Ser. B, 9.644%, 4/01/09

 

 

179,812

 

 

60

 

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

 

 

58,500

 

 

270

 

Charter Communications Holdings I LLC/Charter

 

 

 

 

 

 

 

Communications Holdings I Capital Corp.,

 

 

 

 

 

 

 

11.00%, 10/01/15

 

 

261,575

 

 

 

 

Charter Communications Holdings II LLC/Charter

 

 

 

 

 

 

 

Communications Holdings II Capital Corp.,

 

 

 

 

 

810

 

10.25%, 9/15/10

 

 

826,200

 

 

75

 

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

 

 

76,313

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B,

 

 

 

 

 

 

 

9.875%, 8/15/13

 

 

53,313

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

 

130,625

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

200

 

7.00%, 10/01/13

 

 

208,250

 

 

260

 

7.125%, 2/01/16

 

 

271,700

 

 

125

2,3

ION Media Networks, Inc., 8.493%, 1/15/12

 

 

125,313

 

 

320

 

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

 

 

320,800

 

 

290

 

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

 

 

291,812

 

 

325

 

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

 

 

312,000

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

170

4

9.115%, 8/01/16

 

 

122,825

 

 

445

 

10.00%, 8/01/14

 

 

468,362

 

 

35

2

Quebecor Media, Inc., 7.75%, 3/15/16 (Canada)

 

 

33,775

 

 

 

 

RH Donnelley Corp.,

 

 

 

 

 

100

2

8.875%, 10/15/17

 

 

100,000

 

 

275

 

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

 

 

275,000

 

 

590

2

TL Acquisitions, Inc., 10.50%, 1/15/15

 

 

587,050

 

 

180

2

Univision Communications, Inc., 9.75%, 3/15/15

 

 

176,400

 

 

280

 

Vertis, Inc., 9.75%, 4/01/09

 

 

280,000

 

 

175

 

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

 

 

164,500

 

 

 

 

 

 

     

 

 

 

Total Media

 

 

6,149,037

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 

 

Real Estate—1.4%

 

 

 

 

 

 

 

 

 

Realogy Corp.,

 

 

 

 

$

240

2

10.50%, 4/15/14

 

$

199,500

 

 

380

2

11.00%, 4/15/14

 

 

309,700

 

 

265

2

12.375%, 4/15/15

 

 

193,450

 

 

 

 

 

 

     

 

 

 

Total Real Estate

 

 

702,650

 

 

Technology—6.3%

 

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

40

 

7.75%, 5/15/13

 

 

38,700

 

 

235

 

9.25%, 6/01/16

 

 

240,288

 

 

60

 

Belden, Inc., 7.00%, 3/15/17

 

 

60,900

 

 

350

 

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

 

 

336,000

 

 

180

 

Coleman Cable, Inc., 9.875%, 10/01/12

 

 

177,300

 

 

430

2

First Data Corp., 9.875%, 9/24/15

 

 

411,725

 

 

530

 

Freescale Semiconductor, Inc., 9.125%, 12/15/14

 

 

479,650

 

 

 

 

NXP BV/NXP Funding LLC (Netherlands)

 

 

 

 

 

125

3

7.993%, 10/15/13

 

 

118,438

 

 

150

 

9.50%, 10/15/15

 

 

141,750

 

 

190

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

166,725

 

 

190

2,3

Spansion, Inc., 8.746%, 6/01/13

 

 

180,025

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

85

 

9.125%, 8/15/13

 

 

86,700

 

 

465

 

10.25%, 8/15/15

 

 

484,762

 

 

305

 

Superior Essex Communications LLC/Essex Group, Inc.,

 

 

 

 

 

 

 

9.00%, 4/15/12

 

 

301,187

 

 

 

 

 

 

     

 

 

 

Total Technology

 

 

3,224,150

 

 

Telecommunications—16.6%

 

 

 

 

 

2,000

5

Asia Global Crossing Ltd., 13.375%, 10/15/10 (Bermuda)

 

 

180,000

 

 

 

 

Centennial Communications Corp.,

 

 

 

 

 

455

 

8.125%, 2/01/14

 

 

464,100

 

 

220

3

10.981%, 1/01/13

 

 

226,600

 

 

405

 

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

 

 

406,012

 

 

 

 

Cricket Communications, Inc.,

 

 

 

 

 

115

 

9.375%, 11/01/14

 

 

114,138

 

 

230

2

9.375%, 11/01/14

 

 

228,275

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

130

2

8.875%, 1/15/15

 

 

121,394

 

 

394

2

9.125%, 1/15/15

 

 

368,276

 

 

260

 

Dobson Cellular Systems, Inc., 8.375%, 11/01/11

 

 

275,600

 

 

100

3

Hawaiian Telcom Communications, Inc., Ser. B,

 

 

 

 

 

 

 

10.318%, 5/01/13

 

 

101,250

 

 

90

3

iPCS, Inc., 7.036%, 5/01/13

 

 

87,750

 

 

320

 

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

 

 

327,200

 

 

40

 

Intelsat Intermediate Holding Co. Ltd.,

 

 

 

 

 

 

 

9.25%, 2/01/15 (Bermuda)

 

 

32,900

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

295

3

8.886%, 1/15/15

 

 

299,425

 

 

150

 

9.25%, 6/15/16

 

 

155,625

 

 

70

 

11.25%, 6/15/16

 

 

75,250

 

 

320

3