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

FORM N-CSRS

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: 10/31/2008

Date of reporting period: 11/01/2007 – 04/30/2008


Item 1 – Report to Stockholders

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITIES

 

FIXED INCOME

 

REAL ESTATE

 

LIQUIDITY

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

 

 

 

Semi-Annual Report

(BLACKROCK LOGO)

 

 

 

 

 

 

 

 

 

 

 

APRIL 30, 2008 | (UNAUDITED)

 

 

 

 

 

 

 


 

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

 

BlackRock Core Bond Trust (BHK)

 

BlackRock High Yield Trust (BHY)

 

BlackRock Income Opportunity Trust (BNA)

 

BlackRock Income Trust Inc. (BKT)

 

BlackRock Limited Duration Income Trust (BLW)

 

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

BlackRock Strategic Bond Trust (BHD)

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE


 


Table of Contents


 

 

 

Page

A Letter to Shareholders

 

3

Semi-Annual Report:

 

 

Trust Summaries

 

4

The Benefits and Risks of Leveraging

 

12

Swap Agreements

 

12

Financial Statements:

 

 

Schedules of Investments

 

13

Statements of Assets and Liabilities

 

64

Statements of Operations

 

68

Statements of Cash Flows

 

70

Statements of Changes in Net Assets

 

72

Financial Highlights

 

74

Notes to Financial Statements

 

82

Officers and Directors or Trustees

 

90

Additional Information

 

91


 

 

 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 


A Letter to Shareholders

THIS PAGE NOT PART OF YOUR FUND REPORT

Dear Shareholder

Over the past several months, financial markets have been buffeted by the housing recession, the credit market unraveling and related liquidity freeze and steadily rising commodity prices. Counterbalancing these difficulties were booming export activity, a robust non-financial corporate sector and, notably, aggressive and timely monetary and fiscal policy actions.

Amid the market tumult, the Federal Reserve Board (the “Fed”) intervened with a series of moves to bolster liquidity and ensure financial market stability. Since September 2007, the central bank slashed the target federal funds rate 325 basis points (3.25%), bringing the rate to 2.0% as of period-end. Of greater magnitude, however, were the Fed’s other policy decisions, which included opening the discount window directly to broker dealers and investment banks and backstopping the unprecedented rescue of Bear Stearns.

The Fed’s response to the financial crisis helped to improve credit conditions and investor mood. After hitting a low point on March 17 (coinciding with the collapse of Bear Stearns), equity markets found a welcome respite in April, when the S&P 500 Index of U.S. stocks posted positive monthly performance for the first time since October 2007. International markets, which outpaced those of the U.S. for much of 2007, saw a reversal in that trend, as effects of the credit crisis and downward pressures on growth were far-reaching.

In contrast to equity markets, Treasury securities rallied (yields fell as prices correspondingly rose), as a broad “flight-to–quality” theme persisted. The yield on 10-year Treasury issues, which touched 5.30% in June 2007 (its highest level in five years), fell to 4.04% by year-end and to 3.77% by April 30. Treasury issues relinquished some of their gains in April, however, as investor appetite for risk returned and other high-quality fixed income sectors outperformed.

Problems within the monoline insurance industry and the failure of auctions for auction rate securities plagued the municipal bond market, driving yields higher and prices lower across the curve. However, in conjunction with the more recent shift in sentiment, the sector delivered strong performance in the final month of the reporting period.

Overall, the major benchmark indexes generated results that generally reflected heightened investor risk aversion:

 

 

 

 

 

 

 

 

 

 

Total Returns as of April 30, 2008

 

6-month

 

12-month

 

           

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

 

 

-9.64

%

 

 

-4.68

%

 

                   

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

 

 

-12.92

 

 

 

-10.96

 

 

                   

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

 

 

-9.21

 

 

 

-1.78

 

 

                   

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

 

 

+4.08

 

 

 

+6.87

 

 

                   

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

 

 

+1.47

 

 

 

+2.79

 

 

                   

High yield bonds
(Lehman Brothers U.S. Corporate High Yield 2% Issuer Capped Index)

 

 

-0.73

 

 

 

-0.80

 

 

                   

Past performance is no guarantee of future results. Index performance shown for illustrative purposes only.

You cannot invest directly in an index.

As you navigate today’s volatile markets, we encourage you to review your investment goals with your financial professional and to make portfolio changes, as needed. For more up-to-date commentary on the economy and financial markets, 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- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

 

 

 

 

 

 

 

 

 

 

 

3



 

 


 

Trust Summary as of April 30, 2008

BlackRock Broad Investment Grade 2009 Term Trust Inc.

 

 

   

Investment Objective

   

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (the “Trust”) seeks 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.

 

 

Performance

 

For the six months ended April 30, 2008, the Trust returned -8.39% based on market price, with dividends reinvested. The Trust’s return based on net asset value (“NAV”) was +2.97%, with dividends reinvested. For the same period, the Lipper U.S. Mortgage Funds category of closed-end funds posted an average return of -2.00% on a NAV basis. The Trust’s effective duration of 0.15 years was much shorter than its Lipper peers and thus, was beneficial to relative performance. The Trust’s market price premium versus its NAV narrowed substantially during the period.

 

Trust Information

 

 

 

 

 

 

Symbol on American Stock Exchange

 

BCT

 

Initial Offering Date

 

June 17, 1993

 

Yield on Closing Market Price as of April 30, 2008 ($13.58)1

 

4.33%

 

Current Monthly Distribution per Share2

 

$0.049

 

Current Annualized Distribution per Share2

 

$0.588

 

     

 

 

 

 

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

 

 

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

4/30/08

 

10/31/07

 

Change  

 

High

 

Low

 

 

                                   

 

Market Price

 

$

13.58

 

$

15.15

 

(10.36

%)

 

$

15.24

 

$

12.55

 

 

Net Asset Value

 

$

13.48

 

$

13.38

 

0.75

%

 

$

13.51

 

$

13.17

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Portfolio Composition

 

 


 

 

 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

 

               

 

Non-Government Agency Mortgage-Backed Securities

 

53

%

 

23

%

 

 

U.S. Government Agency
Mortgage-Backed Securities — Collateralized Mortgage Obligations

 

27

 

 

47

 

 

 

Municipal Bonds

 

11

 

 

18

 

 

 

Corporate Bonds

 

7

 

 

9

 

 

 

U.S. Government Agency Mortgage-Backed Securities

 

2

 

 

3

 

 

 

               

 

 

 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Trust Summary as of April 30, 2008

BlackRock Core Bond Trust

 

 

   

Investment Objective

 

   

BlackRock Core Bond Trust (BHK) (the “Trust”) seeks to provide high current income with the potential for capital appreciation.

 

 

 

Performance

 

For the six months ended April 30, 2008, the Trust returned +3.73% based on market price, with dividends reinvested. The Trust’s return based on NAV was +1.40%, with dividends reinvested. For the same period, the Lipper Corporate Debt Funds BBB-Rated category of closed-end funds posted an average return of -1.04% on a NAV basis. In an environment of credit market turmoil, the Trust’s high average credit quality enhanced performance relative to the Lipper peer group. More than 55% of the Trust’s net assets were invested in securities rated AA and above.

 

 

 

Trust Information

 

 

 

 

 

 

Symbol on New York Stock Exchange

 

BHK

 

Initial Offering Date

 

November 27, 2001

 

Yield on Closing Market Price as of April 30, 2008 ($12.30)1

 

6.05%

 

Current Monthly Distribution per Share2

 

$0.062

 

Current Annualized Distribution per Share2

 

$0.744

 

Leverage as of April 30, 20083

 

30%

 

     

 

 

 

 

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

 

3

As a percentage of managed assets, which is the total assets of the Trust minus the sum of accrued liabilities (other than debt representing financial leverage).

 

 

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

 

                                   

 

Market Price

 

$

12.30

 

$

12.23

 

0.57

%

 

$

12.68

 

$

11.26

 

 

 

Net Asset Value

 

$

13.40

 

$

13.63

 

(1.69

%)

 

$

13.77

 

$

13.12

 

 

                                   

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

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

 

               

 

Corporate Bonds

 

47

%

 

42

%

 

 

U.S. Government Agency Mortgage-Backed Securities

 

17

 

 

38

 

 

 

Non-Government Agency Mortgage-Backed Securities

 

13

 

 

9

 

 

 

U.S. Government Obligations

 

10

 

 

4

 

 

 

Asset-Backed Securities

 

6

 

 

4

 

 

 

U.S. Government Agency
Mortgage-Backed Securities — Collateralized Mortgage Obligations

 

3

 

 

1

 

 

 

Preferred Securities

 

3

 

 

2

 

 

 

Foreign Government Obligations

 

1

 

 

 

 

 

               

 

 

Corporate Bond Breakdown4

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

4/30/08

 

10/31/07

 

 

               

 

AAA/Aaa

 

51

%

 

6

%

 

 

AA/Aa

 

13

 

 

24

 

 

 

A/A

 

13

 

 

21

 

 

 

BBB/Baa

 

10

 

 

20

 

 

 

BB/Ba

 

2

 

 

7

 

 

 

B/B

 

6

 

 

16

 

 

 

CCC/Caa

 

2

 

 

6

 

 

 

Not Rated

 

3

 

 

 

 

 

               

 

 

 

 

4

Using the higher of Standard & Poor’s or Moody’s Investor Services ratings.


 

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

5



 

 


 

Trust Summary as of April 30, 2008

BlackRock High Yield Trust


 

 

Investment Objective

 

BlackRock High Yield Trust (BHY) (the “Trust”) seeks to provide high current income and, to a lesser extent, capital appreciation.

 

 

Performance

 

For the six months ended April 30, 2008, the Trust returned +3.40% based on market price, with dividends reinvested. The Trust’s return based on NAV was -4.11%, with dividends reinvested. For the same period, the Lipper High Current Yield Funds (Leveraged) category of closed-end funds posted an average return of -9.95% on a NAV basis. In a difficult market for high yield securities, the Trust maintained a low leverage position (averaging less than 20% of net assets) relative to its Lipper peer group, which aided performance. Conversely, a small allocation to bank loans, which underperformed high yield issues, detracted from the relative return.

 

 

Trust Information

 

 

 

 

 

 

Symbol on New York Stock Exchange

 

BHY

 

Initial Offering Date

 

December 23, 1998

 

Yield on Closing Market Price as of April 30, 2008 ($6.83)1

 

8.96%

 

Current Monthly Distribution per Share2

 

$.051

 

Current Annualized Distribution per Share2

 

$.612

 

Leverage as of April 30, 20083

 

10%

 

     

 

 

 

 

1

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

 

2

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

 

3

As a percentage of managed assets, which is the total assets of the Trust minus the sum of accrued liabilities (other than debt representing financial leverage).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

 

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

 

                       

 

Market Price

 

$

6.83

 

$

6.92

 

 

(1.30%

)

$

7.21

 

$

5.65

 

 

Net Asset Value

 

$

7.24

 

$

7.91

 

 

(8.47%

)

$

7.91

 

$

6.88

 

 

                                 

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

 

 

Corporate Portfolio Composition4

 

 

 

 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

 

           

 

Media

 

14

%

 

17

%

 

 

Oil, Gas & Consumable Fuels

 

9

 

 

8

 

 

 

Hotels, Restaurants & Leisure

 

7

 

 

6

 

 

 

Wireless Telecommunication Services

 

5

 

 

5

 

 

 

Diversified Telecommunication Services

 

5

 

 

4

 

 

 

Independent Power Producers & Energy Traders

 

4

 

 

6

 

 

 

Specialty Retail

 

4

 

 

4

 

 

 

Metals & Mining

 

4

 

 

3

 

 

 

Commercial Services & Supplies

 

4

 

 

4

 

 

 

Chemicals

 

4

 

 

5

 

 

 

               

 

 

 

 

4

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. 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

 

4/30/08

 

10/31/07

 

 

               

 

A/A

 

1

%

 

%

 

 

BBB/Baa

 

5

 

 

4

 

 

 

BB/Ba

 

22

 

 

21

 

 

 

B

 

51

 

 

51

 

 

 

CCC/Caa

 

17

 

 

21

 

 

 

Not Rated

 

4

 

 

3

 

 

 

               

 

 

5

Using the higher of Standard & Poor’s or Moody’s Investor Services ratings.


 

 

 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Trust Summary as of April 30, 2008

BlackRock Income Opportunity Trust


 

 

Investment Objective

 

BlackRock Income Opportunity Trust (BNA) (the “Trust”) seeks to provide current income and capital appreciation.

 

 

Performance

 

For the six months ended April 30, 2008, the Trust returned +2.07% based on market price, with dividends reinvested. The Trust’s return based on NAV was +0.74%, with dividends reinvested. For the same period, the Lipper Corporate Debt Funds BBB-Rated category of closed-end funds posted an average return of -1.04% on a NAV basis. The Trust’s comparative performance benefited from its relatively high credit quality and a significant allocation to mortgages, which outperformed corporate issues during the period. By the end of March 2008, management had reduced the allocation to mortgages in favor of corporates, which subsequently outperformed mortgages in the final weeks of the period.

 

 

Trust Information

 

 

 

 

 

 

Symbol on New York Stock Exchange

 

BNA

 

Initial Offering Date

 

December 20, 1991

 

Yield on Closing Market Price as of April 30, 2008 ($10.08)1

 

6.07%

 

Current Monthly Distribution per Share2

 

$0.051

 

Current Annualized Distribution per Share2

 

$0.612

 

Leverage as of April 30, 20083

 

30%

       

 

 

 

 

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

 

3

As a percentage of managed assets, which is the total assets of the Trust minus the sum of the accrued liabilities (other than debt representing financial leverage).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

 

                       

 

Market Price

 

$

10.08

 

$

10.19

 

(1.08%)

$

10.25

 

$

9.20

 

 

Net Asset Value

 

$

10.76

 

$

11.02

 

(2.36%)

$

11.16

 

$

10.55

 

 

                                 

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

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

 

           

 

Corporate Bonds

 

46

%

 

38

%

 

 

Non-Government Agency Mortgage-Backed Securities

 

14

 

 

9

 

 

 

U.S. Government Agency Mortgage-Backed Securities

 

12

 

 

34

 

 

 

U.S. Government Obligations

 

12

 

 

4

 

 

 

Asset-Backed Securities

 

8

 

 

7

 

 

 

U.S. Government Agency
Mortgage-Backed Securities – Collateralized Mortgage Obligations

 

5

 

 

5

 

 

 

Capital Trusts

 

2

 

 

 

 

 

Preferred Stocks

 

1

 

 

 

 

 

Trust Preferreds

 

 

 

2

 

 

 

Municipal Bonds

 

 

 

1

 

 

 

               

 

 

Corporate Bond Breakdown4

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

4/30/08

 

10/31/07

 

 

               

 

AAA/Aaa

 

53

%

 

8

%

 

 

AA/Aa

 

12

 

 

21

 

 

 

A

 

13

 

 

20

 

 

 

BBB/Baa

 

10

 

 

22

 

 

 

BB/Ba

 

2

 

 

6

 

 

 

B

 

5

 

 

17

 

 

 

CCC/Caa

 

1

 

 

6

 

 

 

Not Rated

 

4

 

 

 

 

 

               

 

 

 

 

4

Using the higher of Standard & Poor’s or Moody’s Investor Services ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

7



 

 


 

Trust Summary as of April 30, 2008

BlackRock Income Trust Inc.

 

 

Investment Objective

 

BlackRock Income Trust Inc. (BKT) (the “Trust”) seeks to provide high monthly income while preserving capital.

 

Performance

For the six months ended April 30, 2008, the Trust returned +6.85% based on market price, with dividends reinvested. The Trust’s return based on NAV was +6.86%, with dividends reinvested. For the same period, the Lipper U.S. Mortgage Funds (closed-end) category posted an average return of -2.00% on a NAV basis. During the six months, the Trust was generally more than 80% invested in government and AAA-rated mortgages, which fared relatively well in a difficult market environment. The Trust maintained a fairly low leverage position (averaging 20% or less of net assets), which also aided performance for the period.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BKT

 

Initial Offering Date

 

July 22, 1988

 

Yield on Closing Market Price as of April 30, 2008 ($6.05)1

 

4.76%

 

Current Monthly Distribution per Share2

 

$0.024

 

Current Annualized Distribution per Share2

 

$0.288

 

Leverage as of April 30, 20083

 

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

3

As a percentage of managed assets, which is the total assets of the Trust minus the sum of the accrued liabilities (other than debt representing financial leverage).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

6.05

 

$

5.81

 

 

4.13%

 

$

6.20

 

$

5.23

 

Net Asset Value

 

$

6.80

 

$

6.53

 

 

4.13%

 

$

7.05

 

$

6.35

 

                                 

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

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

           

U.S. Government Agency Mortgage-Backed Securities

 

47

%

 

51

%

 

U.S. Government Agency
Mortgage-Backed Securities — Collateralized Mortgage Obligations

 

29

 

 

25

 

 

Non U.S. Government Agency Mortgage Backed Securities

 

16

 

 

12

 

 

U.S. Government and Agency Obligations

 

5

 

 

9

 

 

Asset-Backed Securities

 

2

 

 

2

 

 

Corporate Bonds

 

1

 

 

1

 

 

               

 

 

 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Trust Summary as of April 30, 2008

BlackRock Limited Duration Income Trust

 

 

Investment Objective

 


BlackRock Limited Duration Income Trust (BLW) (the “Trust”) seeks to provide current income and capital appreciation.

 

Performance

For the six months ended April 30, 2008, the Trust returned -1.11% based on market price, with dividends reinvested. The Trust’s return based on NAV was -2.62%, with dividends reinvested. For the same period, the Lipper High Current Yield Funds (Leveraged) category of closed-end funds posted an average return of -9.95% on a NAV basis. The Trust’s allocation to investment-grade bonds (more than 20% of net assets) and relatively low leverage position (less than 20% of net assets) enhanced the comparative performance. In contrast, the Trust’s allocation to bank loans (greater than 40% of net assets), which underperformed high yield issues during the period, detracted from the relative return.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BLW

 

Initial Offering Date

 

July 30, 2003

 

Yield on Closing Market Price as of April 30, 2008 ($15.73)1

 

9.54%

 

Current Monthly Distribution per Share2

 

$0.125

 

Current Annualized Distribution per Share2

 

$1.50

 

Leverage as of April 30, 20083

 

17%

 

       

 

 

1

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

2

A change in the distribution rate was declared on June 2, 2008. The Monthly Distribution per Common Share was decreased to $0.105. 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. A portion of the distribution may be deemed a tax return of capital or net realized gain.

3

As a percentage of managed assets, which is the total assets of the Trust minus the sum of the accrued liabilities (other than debt representing financial leverage).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

15.73

 

$

16.68

 

 

(5.70%)

 

$

16.99

 

$

13.98

 

Net Asset Value

 

$

17.20

 

$

18.52

 

 

(7.13%)

 

$

18.52

 

$

16.59

 

                                 

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

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

               

Floating Rate Loan Interests

 

47

%

 

42

%

 

Corporate Bonds

 

31

 

 

37

 

 

U.S. Government Agency Mortgage Backed Securities

 

15

 

 

16

 

 

U.S. Government and Agency Obligations

 

5

 

 

3

 

 

Foreign Government Obligations

 

2

 

 

2

 

 

               

 

Corporate Bond Breakdown4


 

 

 

 

 

 

 

 

Credit Rating

 

4/30/08

 

10/31/07

 

               

AAA/Aaa

 

20

%

 

1

%

 

A/A

 

1

 

 

4

 

 

BBB/Baa

 

5

 

 

8

 

 

BB/Ba

 

28

 

 

23

 

 

B/B

 

27

 

 

43

 

 

CCC/Caa

 

6

 

 

18

 

 

Not Rated

 

13

 

 

3

 

 

               

 

 

4

Using the higher of Standard & Poor’s or Moody’s Investor Services ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

9



 

 


 

Trust Summary as of April 30, 2008

BlackRock Preferred and Equity Advantage Trust

 

 

Investment Objective

 


BlackRock Preferred and Equity Advantage Trust (BTZ) (the “Trust”) seeks high current income, current gains and capital appreciation.

 

Performance

For the six months ended April 30, 2008, the Trust returned -7.43% based on market price, with dividends reinvested. The Trust’s return based on NAV was -11.98%, with dividends reinvested. For the same period, the Lipper Income & Preferred Stock Funds (closed-end) category posted an average return of -10.71% on a NAV basis. The Trust’s Lipper category contains both preferred bond and equity funds, which came under pressure as a result of adverse financial market conditions and concerns about credit quality. Financial issuers, which constitute a majority of the preferred market, were especially affected.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BTZ

 

Initial Offering Date

 

December 27, 2006

 

Yield on Closing Market Price as of April 30, 2008 ($16.34)1

 

11.47%

 

Current Monthly Distribution per Share2

 

$0.15625

 

Current Annualized Distribution per Share2

 

$1.875

 

Leverage as of April 30, 20083

 

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

A change in the distribution rate was declared on June 2, 2008. The Monthly Distribution per Common Share was decreased to $0.130. 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. A portion of the distribution may be deemed a tax return of capital or net realized gain.

3

As a percentage of managed assets, which is the total assets of the Fund (including any assets attributable to Auction Market Preferred Shares (“Preferred Shares”)) minus the sum of accrued liabilities (other than debt representing financial leverage).

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

 

4/30/08

 

 

10/31/2007

 

 

Change

 

 

High

 

 

Low

 

                                 

Market Price

 

$

16.34

 

 

$ 18.65

 

 

(12.39%)

 

$

 18.65

 

$

 14.71

 

Net Asset Value

 

$

17.82

 

 

$ 21.39

 

 

(16.69%)

 

$

21.39

 

$

17.38

 

                                 

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

 

Portfolio Composition4


 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

               

Financials

 

66

%

 

66

%

 

Energy

 

6

 

 

4

 

 

Information Technology

 

5

 

 

6

 

 

Utilities

 

5

 

 

4

 

 

Consumer Discretionary

 

4

 

 

5

 

 

Health Care

 

4

 

 

4

 

 

Industrials

 

4

 

 

4

 

 

Consumer Staples

 

3

 

 

3

 

 

Telecommunication Services

 

2

 

 

2

 

 

Materials

 

1

 

 

2

 

 

               

 

 

4

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. 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

 

4/30/08

 

10/31/07

 

               

AA/Aa

 

20

%

 

20

%

 

A

 

44

 

 

42

 

 

BBB/Baa

 

27

 

 

29

 

 

BB/Ba

 

2

 

 

1

 

 

B

 

7

 

 

6

 

 

CCC/Caa

 

 

 

1

 

 

Not Rated

 

 

 

1

 

 

               

 

 

5

Using the higher of Standard and Poor’s,Moody’s or Fitch ratings.


 

 

 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Trust Summary as of April 30, 2008

BlackRock Strategic Bond Trust


 

 

Investment Objective

 

 

 

BlackRock Strategic Bond Trust (BHD) (the “Trust”) seeks total return through high current income and capital appreciation.

 

Performance

 

 

 

For the six months ended April 30, 2008, the Trust returned +2.25% based on market price, with dividends reinvested. The Trust’s return based on NAV was +0.31%, with dividends reinvested. For the same period, the Lipper General Bond Funds (closed-end) category posted an average return of +1.06% on a NAV basis. The Trust’s relatively low credit quality (allocations to high yield and corporate issues exceeded 60% and 30% of net assets, respectively) hindered the comparative performance for most of the period. However, this positioning aided performance in April 2008, as corporate securities rebounded and the high yield market recorded one of the best monthly performances in its history.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BHD

 

Initial Offering Date

 

February 26, 2002

 

Yield on Closing Market Price as of April 30, 2008 ($11.68)1

 

7.91%

 

Current Monthly Distribution per Share2

 

$0.077

 

Current Annualized Distribution per Share2

 

$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. A portion of the distribution may be deemed a tax return of capital or net realized gain.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

4/30/08

 

10/31/07

 

Change

 

High

 

Low

 

                       

Market Price

 

$

11.68

 

$

11.88

 

 

(1.68%)

 

$

12.10

 

$

10.81

 

Net Asset Value

 

$

13.31

 

$

13.80

 

 

(3.55%)

 

$

13.82

 

$

12.97

 

                                 

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

 

 

 

Corporate Portfolio Composition3


 

 

 

 

 

 

 

 

 

 

4/30/08

 

10/31/07

 

           

Media

 

17

%

 

22

%

 

Diversified Telecommunications Services

 

10

 

 

8

 

 

Aerospace & Defense

 

8

 

 

8

 

 

Oil, Gas & Consumable Fuels

 

6

 

 

6

 

 

Diversified Financial Services

 

5

 

 

2

 

 

Commercial Services & Supplies

 

5

 

 

5

 

 

Specialty Retail

 

4

 

 

4

 

 

Electric Utilities

 

4

 

 

4

 

 

Wireless Telecommunications Services

 

3

 

 

3

 

 

Hotels, Restaurants & Leisure

 

3

 

 

2

 

 

               

 

 

3

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. 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

 

4/30/08

 

10/31/07

 

               

AAA/Aaa

 

5

%

 

1

%

 

AA/Aa

 

4

 

 

4

 

 

A

 

19

 

 

17

 

 

BBB/Baa

 

18

 

 

15

 

 

BB/Ba

 

12

 

 

12

 

 

B

 

32

 

 

37

 

 

CCC/Caa

 

8

 

 

12

 

 

Not Rated

 

2

 

 

2

 

 

               

 

 

4

Using the higher of Standard & Poor’s or Moody’s Investor Services ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

11



 


 

The Benefits and Risks of Leveraging

The Trusts may utilize leverage through borrowings or issuance of short-term debt securities or Preferred Shares. The concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates on borrowings or dividend rates on the Preferred Shares, which normally will be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s Common Shareholders will be the beneficiaries of the incremental yield.

As of April 30, 2008, the Trusts had the following leverage amounts of managed assets:

 

 

 

 

 

       

 

 

Percent of
Leverage

 

       

Core Bond

 

30

%

 

High Yield

 

10

%

 

Income Opportunity

 

30

%

 

Income Trust

 

15

%

 

Limited Duration

 

17

%

 

Preferred and Equity

 

33

%

 

         

Leverage creates risks for holders of Common Shares including the likelihood of greater net asset value and market price volatility. In addition, there is the risk that fluctuations in interest rates on borrowings or in the dividend rates on any Preferred Shares may reduce the Common Shares’ yield and negatively impact its net asset value and market price. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced.

 

Swap Agreements

The Trusts may invest in swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified bond, basket of bonds or index in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different bond, basket of bonds or index. Swap agreements may be used to obtain exposure to a bond or market without owning or taking physical custody of securities. Swap agreements involve the risk that the party with whom the Trust has entered into the swap will default on its obligation to pay the Trust and the risk that the Trust will not be able to meet its obligations to pay the other party to the agreement.

 

 

 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 



 

Schedule of Investments April 30, 2008 (Unaudited)

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

           

Global Rated Eligible Asset Trust Series 1998-A
Class 1, 7.45%, 9/15/07 (a)(b)(i)

 

$

234

 

$

23

 

Structured Mortgage Asset Residential Trust
Series 2, 8.24%, 11/07/07 (a)(i)

 

 

567

 

 

57

 

               

Total Asset-Backed Securities—0.0%

 

 

 

 

 

80

 

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Fannie Mae Guaranteed Pass-Through Certificates:

 

 

 

 

 

 

 

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

 

 

287

 

 

293,589

 

6.50%, 7/01/29

 

 

14

 

 

14,759

 

               

Total U.S. Government Agency Mortgage-Backed
Securities—0.8%

 

 

 

 

 

308,348

 

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae Trust:

 

 

 

 

 

 

 

Series G-21 Class L, 0.95%, 7/25/21 (c)

 

 

245

 

 

5,221

 

Series 1992-174 Class S, 0.098%, 9/25/22 (c)

 

 

2,488

 

 

9,163

 

Series 1993-49 Class H, 7%, 4/25/13

 

 

584

 

 

611,030

 

Series 1993-49 Class L, 0.445%, 4/25/13 (c)

 

 

1,887

 

 

11,963

 

Series 1993-192 Class SC, 7.334%, 10/25/08 (d)

 

 

45

 

 

44,805

 

Series 1993-214 Class SH, 10.773%, 12/25/08 (d)

 

 

17

 

 

17,832

 

Series 1993-214 Class SK, 10%, 12/25/08 (d)

 

 

24

 

 

24,762

 

Series 1994-13 Class SJ, 8.75%, 2/25/09

 

 

2

 

 

1,781

 

Series 1996-20 Class SL, 10.475%, 9/25/08 (c)(d)

 

 

10

 

 

161

 

Series 2003-70 Class ID, 5%, 4/25/22 (c)

 

 

1,739

 

 

12,798

 

Series 2004-13 Class IG, 5%, 10/25/22 (c)

 

 

665

 

 

14,036

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 65 Class I, 0.50%, 8/15/20 (c)

 

 

730

 

 

15,052

 

Series 141 Class H, 1.06%, 5/15/21 (c)

 

 

145

 

 

3,683

 

Series 1506 Class S, 12.012%, 5/15/08 (d)

 

 

0

 

 

253

 

Series 1510 Class G, 7.05%, 5/15/13

 

 

1,443

 

 

1,512,949

 

Series 1515 Class S, 11.505%, 5/15/08 (d)

 

 

11

 

 

11,028

 

Series 1598 Class J, 6.50%, 10/15/08 (e)

 

 

399

 

 

398,920

 

Series 1618 Class SA, 8.25%, 11/15/08 (d)

 

 

64

 

 

65,816

 

Series 1661 Class SB, 12.415%, 1/15/09 (d)

 

 

3

 

 

3,004

 

Series 2412 Class SE, 10.745%, 2/15/09 (d)

 

 

87

 

 

87,394

 

Series 2517 Class SE, 9.46%, 10/15/09 (d)

 

 

238

 

 

253,599

 

Series 2523 Class EH, 5.50%, 4/15/20 (c)

 

 

1,080

 

 

43,179

 

Series 2564 Class NC, 5%, 2/15/33

 

 

81

 

 

75,262

 

Series 2739 Class PI, 5%, 3/15/22 (c)

 

 

2,368

 

 

44,149

 

Series 2976 Class KI, 5.50%, 11/15/34 (c)

 

 

1,226

 

 

152,409

 

Series 3189 Class KI, 6%, 1/15/35 (c)

 

 

1,496

 

 

185,678

 

Series 3207 Class QI, 6%, 2/15/35 (c)

 

 

2,385

 

 

225,052

 

               

Total U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations—9.6%

 

 

 

 

 

3,830,979

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Capital Markets—2.8%

 

 

 

 

 

 

 

Morgan Stanley Group, Inc., 10%, 6/15/08

 

$

1,000

 

$

1,005,188

 

               

Total Corporate Bonds—2.5%

 

 

 

 

 

1,005,188

 

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Municipal Bonds

 

 

 

 

 

 

 

Fresno, California, Taxable Pension Obligation
Revenue Bonds, 7.80%, 6/01/14 (f)

 

 

500

 

 

560,075

 

Kern County, California, Taxable Pension Obligation
Revenue Bonds, 6.98%, 8/15/09 (g)

 

 

500

 

 

518,700

 

Los Angeles County, California, Taxable Pension
Obligation Revenue Bonds, Series D, 6.97%, 6/30/08 (g)

 

 

500

 

 

503,165

 

               

Total Municipal Bonds—4.0%

 

 

 

 

 

1,581,940

 

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-Government Agency Mortgage Backed-Securities

 

 

 

 

 

 

 

Citicorp Mortgage Securities, Inc. Series 1993-14
Class A-4, 15.904%, 11/25/23 (d)

 

 

121

 

 

136,635

 

JPMorgan Alternative Loan Trust
Series 2006-S1 Class 3A1A, 5.35%, 3/25/36 (d)

 

 

2,266

 

 

2,275,016

 

JPMorgan Mortgage Trust
Series 2006-A7 Class 2A2, 5.816%, 1/25/37 (d)

 

 

1,619

 

 

1,596,228

 

Nomura Asset Acceptance Corp.
Series 2004-AR4 Class 2A3, 3.23%, 12/25/34 (d)

 

 

94

 

 

79,494

 

Residential Accredit Loans, Inc.
Series 2002-QS16 Class A3, 10.569%, 10/23/17 (d)

 

 

549

 

 

597,748

 

Salomon Brothers Mortgage Securities VI, Inc.
Series 1987-3 Class A, 12.50%, 10/23/17 (h)

 

 

11

 

 

10,889

 

Structured Adjustable Rate Mortgage Loan Trust
Series 2004-11 Class A, 6.571%, 8/25/34 (d)

 

 

458

 

 

459,349

 

Vendee Mortgage Trust
Series 2002-1 Class 1IO, 0.043%, 10/15/31 (c)(d)

 

 

11,059

 

 

24,294

 

WaMu Mortgage Pass-Through Certificates (d):

 

 

 

 

 

 

 

Series 2003-AR10 Class A6, 4.054%, 10/25/33

 

 

1,000

 

 

998,896

 

Series 2005-AR4 Class A3, 4.585%, 4/25/35

 

 

1,000

 

 

999,133

 

Wells Fargo Mortgage Backed Securities Trust
Series 2004-N Class A6, 4%, 8/25/34 (d)

 

 

500

 

 

482,950

 

               

Total Non-Government Agency Mortgage-Backed
Securities—19.2%

 

 

 

 

 

7,660,632

 

               

Total Long-Term Investments
(Cost—$14,190,237)—36.1%

 

 

 

 

 

14,387,167

 

               

 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

               

U.S. Government Agency Obligations

 

 

 

 

 

 

 

Federal Home Loan Bank, 1.75%, 5/01/08

 

 

25,200

 

 

25,200,000

 

               

Total Short-Term Securities (Cost—$25,200,000)—63.2%

 

 

 

 

 

25,200,000

 

               

Total Investments (Cost—$39,390,237*)—99.3%

 

 

 

 

 

39,587,167

 

Liabilities in Excess of Other Assets—(10.9%)

 

 

 

 

 

280,349

 

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

39,867,516

 

 

 

 

 

 

     

 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Schedules of Investments, we have abbreviated the names and descriptions of many of the securities according to the list on the right.


 

 

ADR

American Depositary Receipt

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.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

13



 

 

 


 

Schedule of Investments (concluded)

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


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of April 30, 2008, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

39,390,282

 

 

 

     

Gross unrealized appreciation

 

$

612,508

 

Gross unrealized depreciation

 

 

(415,623

)

 

 

     

Net unrealized appreciation

 

$

196,885

 

 

 

     

 

 

(a)

Non-income producing security.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are not considered to be illiquid.

(c)

Represents the interest-only portion of a mortgage-backed security and has either a nominal or notional amount of principal.

(d)

Variable rate security. Rate shown is as of report date. Maturity shown is the final maturity date.

(e)

All or a portion of the security has been pledged as collateral in connection with open financial futures contracts.

(f)

Security is collateralized by municipal or U.S. Treasury obligations.

(g)

MBIA Insured.

(h)

Represents the principal only portion of a mortgage-backed security.

(i)

Issuer filed for bankruptcy or is in default of interest payments.

Swaps outstanding as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

           

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

           

Receive (pay) a variable return based on
the change in the since inception return of
the Bank of America CMBS AAA 10 year Index
and pay a fixed rate of 1.8613%
Broker, Barclays Bank, PLC
Expires July 2008

 

$

5,000

 

 

 

           

 

 

Financial futures contracts sold as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

Issue

Expiration
Date

Face
Value

Unrealized
Appreciation

 

 

2-Year

 

 

 

       87

U.S. Treasury Bond

June 2008

$

18,677,345

$

173,533

 

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

14

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

 

 

 

Schedule of Investments April 30, 2008 (Unaudited)

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

Value

 

           

Chase Issuance Trust Series 2007-A17 Class A, 5.12%,
10/15/14

 

USD

2,300

 

$

2,316,231

 

Chase Manhattan Auto Owner Trust Series 2005-B
Class A4, 4.88%, 6/15/12

 

 

2,800

 

 

2,820,042

 

Citibank Credit Card Issuance Trust Series 2006-A2 Class A2,
4.85%, 2/10/11

 

 

2,825

 

 

2,853,039

 

Citibank Omni Master Trust Series 2007-A9A Class A9,
3.90%, 12/23/13 (a)

 

 

2,720

 

 

2,698,219

 

Daimler Chrysler Auto Trust Series 2006-A Class A3,
5%, 5/08/10

 

 

1,439

 

 

1,448,467

 

Ford Credit Auto Owner Trust Series 2006-A Class A4,
5.07%, 12/15/10

 

 

2,850

 

 

2,880,359

 

Harley-Davidson Motorcycle Trust Series 2005-2 Class A2,
4.07%, 2/15/12

 

 

1,885

 

 

1,889,210

 

Home Equity Asset Trust Series 2007-2 Class 2A1,
3.005%, 7/25/37 (a)

 

 

1,014

 

 

958,048

 

MBNA Credit Card Master Note Trust Series 2006-A1
Class A1, 4.90%, 7/15/11

 

 

2,825

 

 

2,855,490

 

SLM Student Loan Trust (a):

 

 

 

 

 

 

 

Series 2005-5 Class A1, 2.92%, 1/25/18

 

 

384

 

 

382,849

 

Series 2008-5 Class A2, 3.973%, 10/25/16

 

 

3,200

 

 

3,200,000

 

Series 2008-5 Class A3, 4.173%, 1/25/18

 

 

810

 

 

810,000

 

Series 2008-5 Class A4, 4.573%, 7/25/23

 

 

2,180

 

 

2,180,000

 

Small Business Administration Class 1:

 

 

 

 

 

 

 

Series 2003-P10B, 5.136%, 8/10/13

 

 

1,128

 

 

1,138,078

 

Series 2004-P10B, 4.754%, 8/10/14

 

 

629

 

 

624,763

 

Sterling Bank Trust Series 2004-2 Class Note, 2.081%,
3/30/30 (b)

 

 

8,108

 

 

263,517

 

Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (b)

 

 

10,445

 

 

473,309

 

USAA Auto Owner Trust Series 2006-1 Class A4,
5.04%, 12/15/11

 

 

2,725

 

 

2,757,297

 

               

Total Asset-Backed Securities—9.0%

 

 

 

 

 

32,548,918

 

               

 

 



 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 

               

Aerospace & Defense—1.1%

 

 

 

 

 

 

 

CHC Helicopter Corp., 7.375%, 5/01/14

 

 

405

 

 

409,050

 

DRS Technologies, Inc.:

 

 

 

 

 

 

 

6.875%, 11/01/13

 

 

70

 

 

69,475

 

7.625%, 2/01/18

 

 

80

 

 

81,600

 

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

 

 

140

 

 

139,125

 

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

 

 

975

 

 

946,725

 

Northrop-Grumman Corporation, 7.875%, 3/01/26

 

 

960

 

 

1,151,904

 

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

 

 

120

 

 

122,700

 

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

 

 

1,125

 

 

1,133,894

 

 

 

 

 

 

     

 

 

 

 

 

 

4,054,473

 

               

Air Freight & Logistics—0.5%

 

 

 

 

 

 

 

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

 

 

120

 

 

103,350

 

United Parcel Service, Inc., 6.20%, 1/15/38 (c)

 

 

1,650

 

 

1,735,534

 

 

 

 

 

 

     

 

 

 

 

 

 

1,838,884

 

               

Airlines—0.0%

 

 

 

 

 

 

 

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

 

 

115

 

 

110,331

 

               

Auto Components—0.1%

 

 

 

 

 

 

 

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

 

 

360

 

 

338,400

 

Metaldyne Corp., 10%, 11/01/13

 

 

250

 

 

160,625

 

 

 

 

 

 

     

 

 

 

 

 

 

499,025

 

               

Automobiles—0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

600

 

 

568,500

 

               

Biotechnology—0.3%

 

 

 

 

 

 

 

Amgen, Inc. Series WI, 3.17%, 11/28/08 (a)

 

 

1,205

 

 

1,200,285

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

           

Building Products—0.1%

 

 

 

 

 

 

 

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

 

USD

200

 

$

171,000

 

Momentive Performance Materials, Inc., 11.50%, 12/01/16

 

 

405

 

 

355,388

 

 

 

 

 

 

     

 

 

 

 

 

 

526,388

 

               

Capital Markets—5.4%

 

 

 

 

 

 

 

The Bear Stearns Cos., Inc., 6.95%, 8/10/12

 

 

1,270

 

 

1,331,956

 

Credit Suisse Guernsey Ltd., 5.86% (a)(d)

 

 

1,550

 

 

1,311,936

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.45%, 11/01/12 (c)

 

 

4,885

 

 

4,940,025

 

6.75%, 10/01/37

 

 

975

 

 

955,402

 

Lehman Brothers Holdings, Inc.:

 

 

 

 

 

 

 

4.50%, 9/15/22 (a)

 

 

525

 

 

509,427

 

Series MTN, 7%, 9/27/27

 

 

1,250

 

 

1,224,890

 

Morgan Stanley:

 

 

 

 

 

 

 

2.96%, 1/09/12 (a)(c)

 

 

3,300

 

 

3,096,502

 

6.25%, 8/28/17

 

 

1,700

 

 

1,703,444

 

6.25%, 8/09/26

 

 

525

 

 

500,205

 

Series F, 5.55%, 4/27/17

 

 

1,375

 

 

1,312,389

 

UBS AG Series DPNT, 5.875%, 12/20/17

 

 

2,575

 

 

2,625,563

 

 

 

 

 

 

     

 

 

 

 

 

 

19,511,739

 

               

Chemicals—0.7%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

250

 

 

246,250

 

Ames True Temper, Inc., 6.713%, 1/15/12 (a)

 

 

650

 

 

535,438

 

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

 

 

30

 

 

26,700

 

Huntsman LLC, 11.50%, 7/15/12

 

 

66

 

 

70,595

 

Ineos Group Holdings Plc, 7.875%, 2/15/16 (e)

 

EUR

285

 

 

332,648

 

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

 

USD

885

 

 

880,575

 

Key Plastics LLC, 11.75%, 3/15/13 (e)

 

 

515

 

 

206,000

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

80

 

 

79,600

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,377,806

 

               

Commercial Banks—4.9%

 

 

 

 

 

 

 

Barclays Bank Plc, 7.434%, (a)(d)(e)

 

 

1,975

 

 

1,893,000

 

Credit Agricole SA, 6.637% (a)(d)(e)

 

 

250

 

 

204,994

 

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

 

 

3,775

 

 

3,650,048

 

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

 

 

825

 

 

827,856

 

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

 

 

775

 

 

710,060

 

HSBC Finance Corp., 6.50%, 5/02/36

 

 

300

 

 

295,063

 

Royal Bank of Scotland Group Plc Series MTN, 7.64% (a)(d)

 

 

2,200

 

 

2,070,783

 

SunTrust Bank Inc.:

 

 

 

 

 

 

 

4%, 10/15/08

 

 

995

 

 

996,838

 

Series CD, 4.415%, 6/15/09

 

 

1,265

 

 

1,272,278

 

Wachovia Bank NA, 6.60%, 1/15/38

 

 

1,925

 

 

1,861,458

 

Wells Fargo & Co.:

 

 

 

 

 

 

 

3.12%, 8/15/08

 

 

1,031

 

 

1,027,745

 

4.20%, 1/15/10

 

 

355

 

 

357,986

 

4.625%, 8/09/10

 

 

1,665

 

 

1,690,809

 

4.875%, 1/12/11

 

 

435

 

 

441,151

 

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

 

 

540

 

 

529,340

 

 

 

 

 

 

     

 

 

 

 

 

 

17,829,409

 

               

Commercial Services & Supplies—0.7%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

768

 

 

792,000

 

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

 

 

100

 

 

104,000

 

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

 

 

281

 

 

279,595

 

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

 

 

590

 

 

578,200

 

West Corp.,11%, 10/15/16

 

 

1,100

 

 

977,625

 

 

 

 

 

 

     

 

 

 

 

 

 

2,731,420

 

               

Communications Equipment—0.3%

 

 

 

 

 

 

 

Nortel Networks Ltd., 6.963%, 7/15/11 (a)

 

 

1,120

 

 

1,055,600

 

               

Computers & Peripherals—0.9%

 

 

 

 

 

 

 

International Business Machines Corp., 5.70%, 9/14/17 (c)

 

 

3,125

 

 

3,255,850

 

               

Consumer Finance—0.1%

 

 

 

 

 

 

 

SLM Corp. Series A, 3.631%, 1/27/14 (a)

 

 

550

 

 

448,342

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

15



 

 


 

 

 

 

Schedule of Investments (continued)

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

           

Containers & Packaging—0.8%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.:

 

 

 

 

 

 

 

6.675%, 9/15/14 (a)

 

USD

180

 

$

153,000

 

8.875%, 9/15/14

 

 

270

 

 

252,450

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

150

 

 

158,250

 

Impress Holdings BV, 5.838%, 9/15/13 (a)(e)

 

 

300

 

 

250,875

 

Owens-Brockway Glass Container, Inc., 8.25%, 5/15/13

 

 

1,500

 

 

1,560,000

 

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

 

 

545

 

 

528,650

 

 

 

 

 

 

     

 

 

 

 

 

 

2,903,225

 

               

Diversified Financial Services—9.7%

 

 

 

 

 

 

 

Bank of America Corp.:

 

 

 

 

 

 

 

6%, 9/01/17

 

 

1,590

 

 

1,655,774

 

5.75%, 12/01/17 (c)

 

 

2,355

 

 

2,399,604

 

Series K, 8%, 12/29/49 (a)

 

 

1,360

 

 

1,383,634

 

Bank of America NA, 6.10%, 6/15/17 (c)

 

 

1,975

 

 

2,072,233

 

Citigroup, Inc.:

 

 

 

 

 

 

 

3.625%, 2/09/09 (f)

 

 

3,950

 

 

3,945,845

 

4.25%, 7/29/09

 

 

1,020

 

 

1,016,360

 

4.125%, 2/22/10 (f)

 

 

4,790

 

 

4,702,319

 

5.875%, 2/22/33

 

 

425

 

 

378,614

 

5.875%, 5/29/37

 

 

580

 

 

521,103

 

8.30%, 12/21/77 (a)

 

 

2,225

 

 

2,271,580

 

6.875%, 2/15/98

 

 

525

 

 

497,811

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

5.46%, 1/13/12 (a)

 

 

125

 

 

105,113

 

7.80%, 6/01/12

 

 

340

 

 

304,033

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37 (c)

 

 

6,855

 

 

6,753,580

 

5.875%, 1/14/38

 

 

1,525

 

 

1,453,975

 

JPMorgan Chase & Co., 6%, 1/15/18

 

 

125

 

 

129,563

 

JPMorgan Chase Capital XXV, 6.80%, 10/01/37 (c)

 

 

3,950

 

 

3,743,356

 

Structured Asset Repackaged Trust, 4.394%, 1/21/10

 

 

1,749

 

 

1,722,940

 

 

 

 

 

 

     

 

 

 

 

 

 

35,057,437

 

               

Diversified Telecommunication Services—5.9%

 

 

 

 

 

 

 

AT&T, Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

 

780

 

 

772,063

 

6.50%, 9/01/37 (c)

 

 

2,875

 

 

2,927,475

 

6.30%, 1/15/38

 

 

600

 

 

599,050

 

Bellsouth Telecommunications, Inc., 6.027%, 12/15/95 (g)

 

 

1,700

 

 

882,507

 

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

 

 

210

 

 

211,050

 

Comcast Cable Holdings LLC, 7.875%, 8/01/13

 

 

10

 

 

10,871

 

Deutsche Telekom International Finance BV,
5.75%, 3/23/16 (c)

 

 

3,000

 

 

3,026,061

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

120

 

 

117,900

 

7.50%, 2/15/14

 

 

60

 

 

58,950

 

Qwest Corp., 6.05%, 6/15/13 (a)

 

 

470

 

 

450,025

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14 (c)

 

 

1,075

 

 

1,001,524

 

6%, 9/30/34

 

 

1,550

 

 

1,384,685

 

Telefonica Emisiones SAU, 7.045%, 6/20/36

 

 

1,975

 

 

2,158,944

 

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

 

 

725

 

 

777,599

 

Verizon Communications, Inc., 6.40%, 2/15/38 (c)

 

 

2,125

 

 

2,164,395

 

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

 

 

70

 

 

79,546

 

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

 

 

125

 

 

102,119

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.875%, 1/17/12

 

 

335

 

 

342,606

 

7.85%, 11/15/29

 

 

230

 

 

260,458

 

Verizon Virginia, Inc. Series A, 4.625%, 3/15/13 (c)

 

 

3,150

 

 

3,047,949

 

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

 

 

350

 

 

377,125

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

500

 

 

517,500

 

8.625%, 8/01/16

 

 

230

 

 

240,925

 

 

 

 

 

 

     

 

 

 

 

 

 

21,511,327

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

           

Electric Utilities—4.0%

 

 

 

 

 

 

 

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

 

USD

725

 

$

740,496

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

311,557

 

6%, 1/15/38

 

 

825

 

 

827,079

 

E .On International Finance B.V., 6.65%, 4/30/38 (e)

 

 

1,525

 

 

1,569,127

 

EDP Finance BV, 6%, 2/02/18 (e)

 

 

1,125

 

 

1,144,713

 

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

 

 

115

 

 

119,600

 

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

 

 

118

 

 

113,662

 

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

 

 

1,500

 

 

1,448,387

 

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

 

 

950

 

 

835,536

 

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

 

 

75

 

 

81,143

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

588,215

 

Progress Energy Florida, Inc., 6.35%, 9/15/37

 

 

1,325

 

 

1,397,835

 

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

 

 

1,200

 

 

1,244,257

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.625%, 2/01/36

 

 

625

 

 

603,181

 

Series 05-E, 5.35%, 7/15/35

 

 

125

 

 

116,036

 

Series 08-A, 5.95%, 2/01/38

 

 

1,075

 

 

1,085,247

 

The Toledo Edison Co., 6.15%, 5/15/37

 

 

350

 

 

312,429

 

Virginia Electric and Power Co. Series A, 6%, 5/15/37 (c)

 

 

2,000

 

 

1,948,760

 

 

 

 

 

 

     

 

 

 

 

 

 

14,487,260

 

               

Electrical Equipment—0.3%

 

 

 

 

 

 

 

Superior Essex Communications LLC, 9%, 4/15/12

 

 

945

 

 

933,188

 

               

Electronic Equipment & Instruments—0.3%

 

 

 

 

 

 

 

Sanmina-SCI Corp.:

 

 

 

 

 

 

 

6.75%, 3/01/13

 

 

130

 

 

117,650

 

8.125%, 3/01/16

 

 

1,060

 

 

975,200

 

 

 

 

 

 

     

 

 

 

 

 

 

1,092,850

 

               

Energy Equipment & Services—0.7%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

55

 

 

56,788

 

7.75%, 5/15/17

 

 

90

 

 

92,925

 

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

 

 

80

 

 

81,200

 

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

 

 

85

 

 

85,425

 

SemGroup LP, 8.75%, 11/15/15 (e)

 

 

315

 

 

298,463

 

Transocean, Inc., 6.80%, 3/15/38

 

 

1,100

 

 

1,170,243

 

Weatherford International, Inc., 6.80%, 6/15/37

 

 

625

 

 

658,618

 

 

 

 

 

 

     

 

 

 

 

 

 

2,443,662

 

               

Food & Staples Retailing—1.4%

 

 

 

 

 

 

 

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

 

 

775

 

 

768,143

 

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

 

 

1,000

 

 

750,000

 

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

 

 

775

 

 

718,813

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37 (c)

 

 

1,900

 

 

2,016,415

 

6.20%, 4/15/38

 

 

850

 

 

865,128

 

 

 

 

 

 

     

 

 

 

 

 

 

5,118,499

 

               

Food Products—0.4%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7%, 8/11/37

 

 

1,455

 

 

1,531,745

 

               

Gas Utilities—0.2%

 

 

 

 

 

 

 

El Paso Natural Gas Co.:

 

 

 

 

 

 

 

8.625%, 1/15/22

 

 

265

 

 

299,204

 

8.375%, 6/15/32

 

 

225

 

 

259,854

 

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

 

 

320

 

 

305,600

 

 

 

 

 

 

     

 

 

 

 

 

 

864,658

 

           

Health Care Equipment & Supplies—0.4%

 

 

 

 

 

 

 

ReAble Therapeutics Finance LLC, 10.875%, 11/15/14 (e)

 

 

1,380

 

 

1,386,900

 

               

Health Care Providers & Services—0.5%

 

 

 

 

 

 

 

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

 

 

1,020

 

 

946,050

 

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

 

 

870

 

 

729,758

 

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

 

 

85

 

 

72,837

 

 

 

 

 

 

     

 

 

 

 

 

 

1,748,645

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

16

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

 

 

 

Schedule of Investments (continued)

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Hotels, Restaurants & Leisure—1.6%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.125%, 6/01/12

 

USD

3,165

 

$

3,093,788

 

7.125%, 2/15/13

 

 

320

 

 

298,400

 

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

 

 

1,000

 

 

1,007,500

 

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

 

 

150

 

 

133,125

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (e)

 

 

315

 

 

289,800

 

Harrah’s Operating Co., Inc., 10.75%, 2/01/18 (e)(h)

 

 

880

 

 

674,005

 

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

 

 

260

 

 

251,225

 

Universal City Florida Holding Co. I, 7.623%, 5/01/10 (a)

 

 

25

 

 

24,719

 

Wynn Las Vegas LLC, 6.625%, 12/01/14

 

 

40

 

 

39,000

 

 

 

 

 

 

     

 

 

 

 

 

 

5,811,562

 

               

Household Durables—0.6%

 

 

 

 

 

 

 

Belvoir Land LLC Series A-1, 5.27%, 12/15/47

 

 

350

 

 

284,004

 

Irwin Land LLC:

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

525

 

 

461,018

 

Series A-2, 5.40%, 12/15/47

 

 

1,500

 

 

1,226,235

 

Ohana Military Communities LLC Series 04I (d)

 

 

350

 

 

325,973

 

 

 

 

 

 

     

 

 

 

 

 

 

2,297,230

 

               

Household Products—0.3%

 

 

 

 

 

 

 

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

 

 

850

 

 

926,456

 

               

IT Services—0.3%

 

 

 

 

 

 

 

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

 

 

240

 

 

206,400

 

iPayment Investors LP, 12.75%, 7/15/14 (e)(h)

 

 

850

 

 

851,885

 

SunGard Data Systems, Inc., 9.125%, 8/15/13

 

 

205

 

 

214,225

 

 

 

 

 

 

     

 

 

 

 

 

 

1,272,510

 

               

Independent Power Producers & Energy Traders—0.1%

 

 

 

 

 

 

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

51,375

 

7.375%, 2/01/16

 

 

285

 

 

293,550

 

 

 

 

 

 

     

 

 

 

 

 

 

344,925

 

               

Insurance—4.0%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/57 (a)

 

 

1,950

 

 

1,788,872

 

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

 

 

1,075

 

 

1,097,223

 

Chubb Corp., 6%, 5/11/37

 

 

1,100

 

 

1,029,948

 

Hartford Life Global Funding Trusts, 2.97%, 9/15/09 (a)

 

 

925

 

 

923,926

 

Lincoln National Corp., 6.05%, 4/20/67 (a)

 

 

675

 

 

579,876

 

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

 

 

1,525

 

 

1,382,208

 

Metropolitan Life Global Funding I, 4.25%, 7/30/09 (e)

 

 

1,150

 

 

1,150,429

 

Monument Global Funding Ltd., 2.685%, 6/16/10 (a)

 

 

1,810

 

 

1,742,650

 

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

 

 

850

 

 

853,001

 

Progressive Corp., 6.70%, 6/15/37 (a)

 

 

605

 

 

541,014

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

603,598

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

442,910

 

Prudential Funding LLC, 6.60%, 5/15/08 (e)

 

 

1,000

 

 

1,000,727

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (a)

 

 

675

 

 

590,795

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(e)

 

 

675

 

 

594,622

 

 

 

 

 

 

     

 

 

 

 

 

 

14,321,799

 

               

Leisure Equipment & Products—0.0%

 

 

 

 

 

 

 

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

 

 

175

 

 

145,250

 

               

Machinery—0.4%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14 (e)

 

 

360

 

 

325,800

 

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

 

 

265

 

 

235,850

 

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

 

 

950

 

 

798,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,359,650

 

               

Marine—0.3%

 

 

 

 

 

 

 

Nakilat, Inc. Series A, 6.067%, 12/31/33 (e)

 

 

1,050

 

 

909,867

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

141

 

 

145,230

 

 

 

 

 

 

     

 

 

 

 

 

 

1,055,097

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Media—5.8%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.125%, 10/15/13

 

USD

515

 

$

520,150

 

11.50%, 10/15/15

 

 

180

 

 

176,625

 

American Media Operations, Inc., Series B:

 

 

 

 

 

 

 

10.25%, 5/01/09

 

 

100

 

 

74,604

 

10.25%, 5/01/09 (e)

 

 

4

 

 

2,713

 

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

 

 

645

 

 

461,175

 

Cablevision Systems Corp. Series B, 7.133%, 4/01/09 (a)

 

 

180

 

 

181,350

 

Charter Communications Holdings, LLC I, 11%, 10/01/15

 

 

650

 

 

505,375

 

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

 

 

1,450

 

 

1,395,300

 

Comcast Cable Holdings LLC, 7.125%, 2/15/28

 

 

200

 

 

203,486

 

Comcast Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/17

 

 

1,750

 

 

1,825,138

 

6.50%, 11/15/35

 

 

625

 

 

624,108

 

6.45%, 3/15/37

 

 

790

 

 

785,718

 

6.95%, 8/15/37

 

 

25

 

 

26,424

 

Dex Media West LLC, 9.875%, 8/15/13

 

 

75

 

 

70,688

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

125

 

 

128,438

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

5.75%, 10/01/08

 

 

175

 

 

175,000

 

7%, 10/01/13

 

 

43

 

 

42,893

 

7.125%, 2/01/16

 

 

75

 

 

73,688

 

Historic TW, Inc., 6.95%, 1/15/28

 

 

70

 

 

70,132

 

Intelsat Bermuda Ltd., 9.25%, 6/15/16

 

 

500

 

 

504,375

 

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

 

 

155

 

 

115,669

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

905,178

 

8.45%, 8/01/34

 

 

625

 

 

737,317

 

News America, Inc., 7.625%, 11/30/28

 

 

985

 

 

1,069,359

 

Nielsen Finance LLC,10%, 8/01/14

 

 

965

 

 

1,003,600

 

Paxson Communications Corp., 5.963%, 1/15/12 (a)(e)

 

 

600

 

 

485,250

 

R.H. Donnelley Corp. Series A-3, 8.875%, 1/15/16

 

 

2,440

 

 

1,586,000

 

Rainbow National Services LLC (e):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

205,750

 

10.375%, 9/01/14

 

 

943

 

 

1,013,725

 

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

 

 

70

 

 

58,975

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

610

 

 

670,951

 

TL Acquisitions, Inc.,10.50%, 1/15/15 (e)

 

 

1,000

 

 

905,000

 

Time Warner Cos., Inc., 7.57%, 2/01/24 (c)

 

 

3,040

 

 

3,179,220

 

Time Warner Inc.:

 

 

 

 

 

 

 

6.625%, 5/15/29

 

 

90

 

 

86,972

 

7.625%, 4/15/31

 

 

205

 

 

219,981

 

7.70%, 5/01/32

 

 

85

 

 

92,065

 

Windstream Regatta Holdings, Inc.,11%, 12/01/17 (e)

 

 

823

 

 

551,410

 

Young Broadcasting, Inc.,10%, 3/01/11

 

 

635

 

 

412,750

 

 

 

 

 

 

     

 

 

 

 

 

 

21,146,552

 

               

Metals & Mining—2.0%

 

 

 

 

 

 

 

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

 

 

995

 

 

1,016,144

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6%, 10/15/15

 

 

825

 

 

806,087

 

6.20%, 6/15/35

 

 

1,250

 

 

1,093,641

 

Freeport-McMoRan Copper & Gold, Inc.:

 

 

 

 

 

 

 

5.883%, 4/01/15 (a)

 

 

490

 

 

494,900

 

8.375%, 4/01/17

 

 

815

 

 

900,575

 

Teck Cominco Ltd., 6.125%, 10/01/35

 

 

1,430

 

 

1,242,380

 

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

 

 

1,775

 

 

1,702,310

 

 

 

 

 

 

     

 

 

 

 

 

 

7,256,037

 

               

Oil, Gas & Consumable Fuels—5.5%

 

 

 

 

 

 

 

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

 

 

425

 

 

471,570

 

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

 

 

2,350

 

 

2,411,838

 

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

 

 

140

 

 

145,250

 

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

 

 

875

 

 

1,024,734

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

17



 

 


 

 

 

 

Schedule of Investments (continued)

 

BlackRock Core Bond Trust (BHK)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.25%, 3/15/38

 

USD

375

 

$

366,003

 

6.75%, 2/01/39

 

 

1,025

 

 

1,046,031

 

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

 

 

320

 

 

291,200

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.375%, 6/15/15

 

 

150

 

 

147,750

 

6.875%, 11/15/20

 

 

20

 

 

19,900

 

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

 

 

115

 

 

113,563

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

125

 

 

145,924

 

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

 

 

535

 

 

544,591

 

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

 

 

650

 

 

744,242

 

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

 

 

325

 

 

399,690

 

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

 

 

130

 

 

129,350

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

674,892

 

6.625%, 8/15/37

 

 

700

 

 

714,916

 

6.50%, 2/01/38

 

 

325

 

 

333,158

 

Encore Acquisition Co., 6%, 7/15/15

 

 

40

 

 

36,800

 

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

 

 

700

 

 

668,961

 

Midamerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

780,455

 

6.50%, 9/15/37

 

 

1,525

 

 

1,601,049

 

Nexen, Inc., 6.40%, 5/15/37

 

 

550

 

 

537,863

 

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

 

 

450

 

 

464,625

 

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

 

 

833

 

 

870,485

 

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

 

 

330

 

 

301,950

 

Suncor Energy, Inc., 6.50%, 6/15/38

 

 

645

 

 

642,322

 

TransCanada PipeLines Ltd., 5.85%, 3/15/36

 

 

550

 

 

505,457

 

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

 

 

495

 

 

482,198

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

40

 

 

40,100

 

7.25%, 5/01/13

 

 

335

 

 

335,838

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

1,925

 

 

2,037,154

 

6.375%, 6/15/38

 

 

900

 

 

907,901

 

 

 

 

 

 

     

 

 

 

 

 

 

19,937,760

 

               

Paper & Forest Products—0.6%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 6%, 6/20/13

 

 

430

 

 

178,450

 

Bowater, Inc., 5.80%, 3/15/10 (a)

 

 

80

 

 

54,000

 

Domtar Corp., 7.125%, 8/15/15

 

 

60

 

 

57,900

 

NewPage Corp., 10%, 5/01/12

 

 

1,625

 

 

1,734,688

 

 

 

 

 

 

     

 

 

 

 

 

 

2,025,038

 

               

Pharmaceuticals—2.2%

 

 

 

 

 

 

 

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

 

 

340

 

 

333,765

 

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

 

 

2,275

 

 

2,199,070

 

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

 

 

1,125

 

 

1,211,914

 

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

 

 

1,125

 

 

1,120,373

 

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

 

 

1,445

 

 

1,438,924

 

Wyeth:

 

 

 

 

 

 

 

6%, 2/15/36

 

 

675

 

 

655,404

 

5.95%, 4/01/37

 

 

925

 

 

916,118

 

 

 

 

 

 

     

 

 

 

 

 

 

7,875,568

 

               

Real Estate Investment Trusts (REITs)—0.8%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.:

 

 

 

 

 

 

 

8.25%, 7/15/08

 

 

775

 

 

780,109

 

6.625%, 9/15/11

 

 

350

 

 

359,603

 

Rouse Co. LP:

 

 

 

 

 

 

 

3.625%, 3/15/09

 

 

325

 

 

308,989

 

5.375%, 11/26/13

 

 

1,650

 

 

1,386,983

 

 

 

 

 

 

     

 

 

 

 

 

 

2,835,684

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Road & Rail—0.1%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 5.176%, 5/15/14 (a)

 

USD

30

 

$

25,950

 

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

 

 

350

 

 

349,465

 

 

 

 

 

 

     

 

 

 

 

 

 

375,415

 

               

Semiconductors & Semiconductor Equipment—0.2%

 

 

 

 

 

 

 

Amkor Technology, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/13

 

 

80

 

 

76,600

 

9.25%, 6/01/16

 

 

85

 

 

84,788

 

Freescale Semiconductor, Inc., 6.675%, 12/15/14 (h)

 

 

545

 

 

448,263

 

 

 

 

 

 

     

 

 

 

 

 

 

609,651

 

               

Software—0.7%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.954%, 2/15/12 (a)(e)(h)

 

 

192

 

 

119,397

 

Oracle Corp., 5.75%, 4/15/18

 

 

2,225

 

 

2,265,330

 

 

 

 

 

 

     

 

 

 

 

 

 

2,384,727

 

               

Specialty Retail—1.1%

 

 

 

 

 

 

 

AutoNation, Inc.:

 

 

 

 

 

 

 

4.713%, 4/15/13 (a)

 

 

150

 

 

129,563

 

7%, 4/15/14

 

 

150

 

 

140,625

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.199%, 3/15/14 (a)(h)

 

 

500

 

 

430,000

 

10.75%, 3/15/15

 

 

400

 

 

342,608

 

Lazy Days’ R.V. Center, Inc.,11.75%, 5/15/12

 

 

314

 

 

229,220

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

470

 

 

455,900

 

11.375%, 11/01/16

 

 

110

 

 

98,725

 

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

 

 

2,100

 

 

1,995,000

 

 

 

 

 

 

     

 

 

 

 

 

 

3,821,641

 

               

Tobacco—0.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

264,843

 

               

Wireless Telecommunication Services—1.5%

 

 

 

 

 

 

 

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

 

 

100

 

 

98,125

 

Digicel Group Ltd. (e):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

240

 

 

205,800

 

9.125%, 1/15/15 (h)

 

 

560

 

 

451,179

 

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

 

 

80

 

 

78,600

 

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

 

 

770

 

 

787,325

 

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

 

 

1,715

 

 

1,333,413

 

Vodafone Group Plc, 7.75%, 2/15/10 (c)

 

 

2,504

 

 

2,642,434

 

 

 

 

 

 

     

 

 

 

 

 

 

5,596,876

 

               

Total Corporate Bonds—68.1%

 

 

 

 

 

246,751,719

 

               

 

 

 

 

 

 

 

 

 


 

Foreign Government Obligations

 

 

 

 

 

 

 

               

Bundesrepublik Deutschland:

 

 

 

 

 

 

 

Series 05, 4%, 1/04/37

 

EUR

800

 

 

1,126,331

 

Series 07, 4.25%, 7/04/39

 

 

500

 

 

731,516

 

Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

USD

825

 

 

907,261

 

5.50%, 9/18/33

 

 

845

 

 

931,052

 

               

Total Foreign Government Obligations—1.0%

 

 

 

 

 

3,696,160

 

               

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

18

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-Government Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

           

Collateralized Mortgage Obligations—4.1%

 

 

 

 

 

 

 

American Home Mortgage Assets Series 2006-6 Class A1A,

 

 

 

 

 

 

 

3.085%, 12/25/46 (a)

 

USD

359

 

$

279,701

 

Citigroup Commercial Mortgage Trust Series 2008-C7

 

 

 

 

 

 

 

Class A4, 6.095%, 12/10/49 (a)

 

 

1,370

 

 

1,401,467

 

Citigroup Mortgage Loan Trust, Inc. Series 2005-4

 

 

 

 

 

 

 

Class A, 5.343%, 8/25/35 (a)

 

 

732

 

 

661,859

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB Class 1A15, 5.50%, 12/25/35

 

 

1,600

 

 

1,304,396

 

Series 2006-01A0 Class 1A1, 5.036%, 8/25/46 (a)

 

 

372

 

 

310,886

 

Series 2006-0A21 Class A1, 2.99%, 3/20/47 (a)

 

 

1,009

 

 

784,824

 

Countrywide Home Loans Series 2006-0A5 Class 2A1,

 

 

 

 

 

 

 

3.095%, 4/25/46 (a)

 

 

430

 

 

337,003

 

Deutsche Alt-A Securities, Inc. Series 2006-0A1 Class A1,

 

 

 

 

 

 

 

3.095%, 2/25/47 (a)

 

 

532

 

 

415,594

 

GSR Mortgage Loan Trust (a):

 

 

 

 

 

 

 

Series 2005-AR4 Class 6A1, 5.25%, 7/25/35

 

 

735

 

 

646,778

 

Series 2006-0A1 Class 2A1, 3.085%, 8/25/46

 

 

1,181

 

 

1,008,085

 

Harborview Mortgage Loan Trust Series 2006-9

 

 

 

 

 

 

 

Class 2A1A, 2.708%, 11/19/36 (a)

 

 

757

 

 

594,883

 

Maryland Insurance Backed Securities Trust

 

 

 

 

 

 

 

Series 2006-1A, 5.55%, 12/10/65

 

 

2,500

 

 

2,100,000

 

Residential Accredit Loans, Inc. Series 2007-Q02

 

 

 

 

 

 

 

Class A1, 3.045%, 2/25/47 (a)

 

 

648

 

 

453,452

 

Structured Asset Securities Corp. Series 2002-AL1

 

 

 

 

 

 

 

Class A2, 3.45%, 2/25/32

 

 

2,175

 

 

1,716,489

 

WaMu Mortgage Pass Through Certificates (a):

 

 

 

 

 

 

 

Series 2005-AR10 Class 1A3, 4.835%, 9/25/35

 

 

1,800

 

 

1,642,288

 

Series 2007-0A4 Class 1A, 4.846%, 5/25/47

 

 

522

 

 

360,959

 

Series 2007-0A5 Class 1A, 4.826%, 6/25/47

 

 

888

 

 

720,676

 

 

 

 

 

 

   

 

 

 

 

 

 

 

14,739,340

 

               

Commercial Mortgage-Backed Securities—13.9%

 

 

 

 

 

 

 

Banc of America Commercial Mortgage, Inc. Series 2005-1

 

 

 

 

 

 

 

Class 4A, 4.885%, 11/10/42 (a)

 

 

2,180

 

 

2,173,944

 

CS First Boston Mortgage Securities Corp.

 

 

 

 

 

 

 

Series 2002-CP5 Class A2, 4.94%, 12/15/35

 

 

2,720

 

 

2,671,611

 

CW Capital Cobalt Ltd. Series 2007-C3 Class A4,

 

 

 

 

 

 

 

5.82%, 5/15/46 (a)

 

 

1,375

 

 

1,373,593

 

Citigroup/Deutsche Bank Commercial Mortgage Trust

 

 

 

 

 

 

 

Series 2007-CD5 Class A4, 5.886%, 11/15/44 (a)

 

 

2,500

 

 

2,497,363

 

Commercial Mortgage Loan Trust Series 2008-LS1

 

 

 

 

 

 

 

Class A4B, 6.02%, 12/10/49 (a)

 

 

1,380

 

 

1,330,610

 

Credit Suisse Mortgage Capital Certificates Series 2007-C2

 

 

 

 

 

 

 

Class A3, 5.542%, 1/15/49 (a)

 

 

2,170

 

 

2,119,206

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

Series 2001-C3 Class A3, 6.423%, 8/15/33

 

 

2,972

 

 

3,072,298

 

Series 2001-C4 Class A2, 6.223%, 12/12/33

 

 

2,265

 

 

2,336,798

 

GMAC Commercial Mortgage Securities, Inc. Class A2:

 

 

 

 

 

 

 

Series 1999-C3, 7.179%, 8/15/36 (a)

 

 

1,341

 

 

1,374,783

 

Series 2002-C3, 4.93%, 7/10/39

 

 

2,350

 

 

2,335,548

 

GS Mortgage Securities Corp. II Series 1998-C1

 

 

 

 

 

 

 

Class A3, 6.135%, 10/18/30

 

 

1,314

 

 

1,314,048

 

Heller Financial Commercial Mortgage Asset

 

 

 

 

 

 

 

Series 1999-PH1 Class A2, 6.847%, 5/15/31 (a)

 

 

1,340

 

 

1,351,566

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1 Class A3, 5.857%, 10/12/35

 

 

2,140

 

 

2,203,270

 

Series 2004-CBX Class A4, 4.529%, 1/12/37

 

 

2,180

 

 

2,143,302

 

Series 2006-LDP9 Class A3, 5.336%, 5/15/47

 

 

960

 

 

930,697

 

JPMorgan Commercial Mortgage Finance Corp.

 

 

 

 

 

 

 

Series 2000-C10 Class A2, 7.371%, 8/15/32 (a)

 

 

1,634

 

 

1,690,745

 

LB-UBS Commercial Mortgage Trust (a):

 

 

 

 

 

 

 

Series 2007-C6 Class A4, 5.858%, 7/15/40

 

 

1,816

 

 

1,811,413

 

Series 2007-C7 Class A3, 5.866%, 9/15/45

 

 

5,000

 

 

4,904,000

 

Merrill Lynch Mortgage Trust Series 2007-C1 Class AM,

 

 

 

 

 

 

 

6.022%, 6/12/50 (a)(i)

 

 

925

 

 

861,491

 


 

 

 

 

 

 

 

 

Non-Government Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

               

Commercial Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 1998-HF2 Class A2, 6.48%, 11/15/30 (a)

 

USD

988

 

$

987,874

 

Series 2005-HQ6 Class A4A, 4.989%, 8/13/42

 

 

1,475

 

 

1,443,869

 

Series 2007-IQ16 Class A4, 5.809%, 12/12/49

 

 

1,235

 

 

1,225,221

 

Series 2007-T27 Class A4, 5.65%, 6/13/42 (a)

 

 

995

 

 

985,132

 

Series 2008-T29 Class A4, 6.28%, 1/11/43 (a)

 

 

1,370

 

 

1,414,251

 

Salomon Brothers Mortgage Securities VII, Inc.

 

 

 

 

 

 

 

Series 2000-C1 Class A2, 7.52%, 12/18/09 (a)

 

 

3,436

 

 

3,544,171

 

Wachovia Bank Commercial Mortgage Trust Class A-4 (a):

 

 

 

 

 

 

 

Series 2006-C25, 5.742%, 5/15/43

 

 

1,190

 

 

1,198,616

 

Series 2007-C33, 5.903%, 2/15/51

 

 

995

 

 

1,002,675

 

 

 

 

 

 

   

 

 

 

 

 

 

 

50,298,095

 

               

Total Non-Government Agency Mortgage-Backed

 

 

 

 

 

 

 

Securities—18.0%

 

 

 

 

 

65,037,435

 

               

 

 

 

 

 

 

 

 


 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

5.00%, 11/01/17—7/01/36 (c)(j)

 

 

7,597

 

 

7,510,112

 

5.50%, 5/15/23—5/15/38 (c)(j)

 

 

57,196

 

 

57,587,674

 

6.00%, 8/01/29—5/15/38 (c)(j)

 

 

17,408

 

 

17,805,708

 

7.00%, 1/01/31—7/01/32

 

 

229

 

 

243,612

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

5.00%, 8/01/33

 

 

72

 

 

70,895

 

5.50%, 11/01/34—5/01/36

 

 

4,670

 

 

4,707,546

 

6.00%, 2/01/13—12/01/18

 

 

2,243

 

 

2,316,386

 

6.886%, 5/01/32

 

 

59

 

 

59,249

 

7.00%, 9/01/31

 

 

21

 

 

22,133

 

Ginnie Mae MBS Certificate:

 

 

 

 

 

 

 

5.50%, 8/15/33

 

 

191

 

 

194,271

 

6.50%, 5/15/38 (j)

 

 

200

 

 

207,000

 

               

Total U.S. Government Agency Mortgage-Backed

 

 

 

 

 

 

 

Securities—25.1%

 

 

 

 

 

90,724,586

 

               

 

 

 

 

 

 

 

 


 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations

 

 

 

 

 

 

 

               

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 378 Class 5, 5%, 7/01/36 (b)

 

 

4,097

 

 

881,322

 

Series 2003-118 Class FD, 3.295%, 12/25/33 (a)

 

 

1,575

 

 

1,554,003

 

Series 2004-90 Class JH, 1.828%, 11/25/34 (a)(b)

 

 

21,921

 

 

1,861,321

 

Series 2005-5 Class PK, 5%, 12/25/34

 

 

2,424

 

 

2,443,018

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 2562 Class PG, 5%, 1/15/18

 

 

1,200

 

 

1,217,491

 

Series 2579 Class HI, 5%, 8/15/17 (b)

 

 

1,888

 

 

232,463

 

Series 2611 Class QI, 5.50%, 9/15/32

 

 

5,410

 

 

953,492

 

Series 2806 Class VC, 6%, 12/15/19

 

 

2,875

 

 

2,955,563

 

Series 2825 Class VP, 5.50%, 6/15/15

 

 

1,236

 

 

1,267,746

 

Series 2883 Class DR, 5%, 11/15/19

 

 

1,300

 

 

1,302,249

 

               

Total U.S. Government Agency Mortgage-Backed Securities—

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—4.1%

 

 

 

 

 

14,668,668

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

19



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Obligations

 

Par
(000)

 

Value

 

           

Federal Housing Administration, Hebre Home Hospital,

 

 

 

 

 

 

 

6.25%, 9/01/28

 

USD

1,016

 

$

1,036,393

 

Resolution Funding Corp. (g):

 

 

 

 

 

 

 

6.30%, 7/15/18

 

 

525

 

 

337,207

 

6.196%, 10/15/18

 

 

525

 

 

332,233

 

U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27

 

 

1,485

 

 

1,561,808

 

U.S. Treasury Notes (c):

 

 

 

 

 

 

 

2.75%, 2/28/13

 

 

2,075

 

 

2,048,415

 

2.50%, 3/31/13

 

 

44,870

 

 

43,790,317

 

3.50%, 2/15/18

 

 

2,140

 

 

2,094,525

 

               

Total U.S. Government Obligations—14.1%

 

 

 

 

 

51,200,898

 

               

 

 

 

 

 

 

 

 


 

Preferred Securities

 

 

 

 

 

 

 

               

Capital Trusts

 

 

 

 

 

 

 

               

Commercial Banks—1.3%

 

 

 

 

 

 

 

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

 

 

545

 

 

531,035

 

RBS Capital Trust IV, 3.496% (a)(c)(d)

 

 

475

 

 

368,212

 

Wachovia Corp., Series K, 7.98% (a)(c)(d)

 

 

3,850

 

 

3,787,784

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,687,031

 

               

Diversified Financial Services—0.8%

 

 

 

 

 

 

 

Bank of America Corp., Series M, 8.125% (a)(d)

 

 

1,050

 

 

1,073,079

 

JPMorgan Chase & Co. (a)(d)

 

 

1,925

 

 

1,960,998

 

 

 

 

 

 

   

 

 

 

 

 

 

 

3,034,077

 

               

Electric Utilities—0.2%

 

 

 

 

 

 

 

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

 

 

790

 

 

675,495

 

               

Total Capital Trusts—2.3%

 

 

 

 

 

8,396,603

 

               

 

 

 

 

 

 

 

 


 

Preferred Stocks

 

         Shares

 

 

 

 

               

Commercial Banks—0.6%

 

 

 

 

 

 

 

Wachovia Corp., Series J, 8%

 

 

85,000

 

 

2,138,600

 

               

Diversified Financial Services—0.2%

 

 

 

 

 

 

 

Citigroup, Inc., Series AA, 8.125%

 

 

25,500

 

 

646,425

 

               

Electrical Equipment—0.0%

 

 

 

 

 

 

 

Superior Essex Holding Corp. Series A, 9.50%

 

 

45,000

 

 

33,750

 

               

Thrifts & Mortgage Finance—0.8%

 

 

 

 

 

 

 

Fannie Mae, 8.25%

 

 

67,850

 

 

1,698,964

 

Freddie Mac Series Z, 8.375%

 

 

50,700

 

 

1,297,920

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,996,884

 

               

Total Preferred Stocks—1.6%

 

 

 

 

 

5,815,659

 

               

Total Preferred Securities—3.9%

 

 

 

 

 

14,212,262

 

               

 

 

 

 

 

 

 

 


 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

USD

1,895

 

 

637

 

               

Total Other Interests—0.0%

 

 

 

 

 

637

 

               

Total Long-Term Investments

 

 

 

 

 

 

 

(Cost—$526,887,246)—143.3%

 

 

 

 

 

518,841,283

 

               

 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

               

U.S. Government Agency Obligations—0.1%

 

 

 

 

 

 

 

Federal Home Loan Bank, 1.50%, 5/01/08

 

USD

600

 

$

600,000

 

               

Total Short-Term Securities
(Cost—$600,000)—0.1%

 

 

 

 

 

600,000

 

               

 

 

 

 

 

 

 

 


 

Options Purchased

 

Contracts

*

 

 

 

             

Interest Rate Swaps

 

 

 

 

 

 

 

Receive a fixed rate of 5.12% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month USD LIBOR, expiring November 2010,

 

 

 

 

 

 

 

Broker Lehman Brothers Special Financing (l)

 

 

11

 

 

414,942

 

Receive a fixed rate of 5.39% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring March 2012, Broker

 

 

 

 

 

 

 

Lehman Brothers Special Financing (l)

 

 

6

 

 

433,600

 

Receive a fixed rate of 5.47% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring May 2012, Broker

 

 

 

 

 

 

 

Bank of America NA (l)

 

 

11

 

 

722,299

 

Receive a fixed rate of 5.79% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring August 2010, Broker

 

 

 

 

 

 

 

Goldman Sachs Capital Markets, L.P. (l)

 

 

7

 

 

658,221

 

Receive a fixed rate of 6.025% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring June 2012, Broker

 

 

 

 

 

 

 

Lehman Brothers Special Financing (l)

 

 

7

 

 

643,342

 

Pay a fixed rate of 5.12% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month USD LIBOR, expiring November 2010,

 

 

 

 

 

 

 

Broker Lehman Brothers Special Financing (l)

 

 

11

 

 

248,325

 

Pay a fixed rate of 5.39% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring March 2012, Broker

 

 

 

 

 

 

 

Lehman Brothers Special Financing (l)

 

 

6

 

 

343,345

 

Pay a fixed rate of 5.47% and receive a floating rate

 

 

 

 

 

 

 

based 3-month LIBOR, expiring May 2012, Broker Bank of

 

 

 

 

 

 

 

America NA (l)

 

 

11

 

 

481,040

 

Pay a fixed rate of 5.79% and received a floating rate

 

 

 

 

 

 

 

based 3-month LIBOR, expiring August 2010, Broker

 

 

 

 

 

 

 

Goldman Sachs Capital Markets (l)

 

 

7

 

 

172,049

 

Pay a fixed rate of 6.025% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring June 2012, Broker

 

 

 

 

 

 

 

Lehman Brothers Special Financing (l)

 

 

7

 

 

237,173

 

               

Total Options Purchased

 

 

 

 

 

 

 

(Cost—$3,186,823)—1.2%

 

 

 

 

 

4,354,336

 

               

Total Investments Before TBA Sale Commitments and

 

 

 

 

 

 

 

Options Written (Cost—$530,674,069**)—144.6%

 

 

 

 

 

523,795,619

 

               

 

 

 

 

 

 

 

 


 

TBA Sale Commitments

 

Par
(000)

 

 

 

           

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

5.00%, 11/01/17—7/01/36

 

USD

(4,100)

 

 

(4,031,063)

 

5.50%, 5/15/23—5/15/38

 

 

(56,800)

 

 

(57,165,508)

 

6.00%, 8/01/29—5/15/38

 

 

(16,800)

 

 

(17,185,660)

 

Freddie Mac Mortgage Participation Certificates,

 

 

 

 

 

 

 

5.50%, 9/15/32

 

 

(4,600)

 

 

(4,633,907)

 

Ginnie Mae MBS Certificates, 5.50%, 8/15/33

 

 

(100)

 

 

(101,031)

 

               

Total TBA Sale Commitments

 

 

 

 

 

 

 

(Proceeds Received—$81,362,807)—(22.9%)

 

 

 

 

 

(83,117,169)

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

20

SEMI-ANNUAL REPORT

APRIL 30, 2008

 



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

           

Interest Rate Swaps

 

 

 

 

 

 

 

Pay a fixed rate of 5.01% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month USD LIBOR, expiring November 2008,

 

 

 

 

 

 

 

Broker Union Bank of Switzerland, A.G. (l)

 

4

*

 

$

(216,208

)

Pay a fixed rated of 5.485% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring October 2009.

 

 

 

 

 

 

 

Broker JPMorgan Chase Bank (l)

 

5

*

 

 

(336,344

)

Pay a fixed rated of 5.67% and receive a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring January 2010, Broker

 

 

 

 

 

 

 

Citibank NA (l)

 

11

*

 

 

(981,031

)

Receive a fixed rate of 3.10% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month USD LIBOR, expiring October 2008,

 

 

 

 

 

 

 

Broker Citibank NA (l)

 

20

*

 

 

(190,573

)

Receive a fixed rate of 5.01% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month USD LIBOR, expiring November 2008,

 

 

 

 

 

 

 

Broker Union Bank of Switzerland, A.G. (l)

 

4

*

 

 

(62,428

)


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

Value

 

             

Interest Rate Swaps (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 5.485% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring October 2009, Broker

 

 

 

 

 

 

 

JPMorgan Chase Bank (l)

 

5

*

 

$

(88,582

)

Receive a fixed rate of 5.67% and pay a floating rate

 

 

 

 

 

 

 

based on 3-month LIBOR, expiring January 2010, Broker

 

 

 

 

 

 

 

Citibank NA (l)

 

11

*

 

 

(204,171

)

 

 

 

 

 

     

 

 

 

 

 

 

(2,079,337

)

               

Put Options Written

 

 

 

 

 

 

 

               

10 Year U.S. Treasury Bonds, Expiring May 2008 at USD 112

 

6

 

 

 

(375

)

               

Total Options Written

 

 

 

 

 

 

 

(Premiums Received—$1,842,109)—(0.6%)

 

 

 

 

 

(2,079,712

)

               

Total Investments, Net of TBA Sale Commitments and

 

 

 

 

 

 

 

Options Written—121.1%

 

 

 

 

 

438,598,738

 

Liabilities in Excess of Other Assets—(21.1%)

 

 

 

 

 

(76,438,630

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

362,160,108

 

 

 

 

 

 

     

 

 

 

 

*

One contract represents a notional amount of $1,000,000.

**

The cost and unrealized appreciation (depreciation) of investments as of April 30, 2008, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

531,562,644

 

 

 

     

Gross unrealized appreciation

 

$

8,710,470

 

Gross unrealized depreciation

 

 

(16,477,495

)

 

 

     

Net unrealized depreciation

 

$

(7,767,025

)

 

 

     

 

 

(a)

Variable rate security. Rate shown is as of report date. Maturity shown is the final maturity date.

(b)

Represents the interest only portion of a mortgage-backed security and has either a nominal or a notional amount of principal.

(c)

All or a portion of the security has been pledged as collateral in connection with reverse repurchase agreements.

(d)

Security is perpetual in nature and has no stated maturity date. In certain instances, a final maturity date may be extended and/or the final payment may be deferred at the issuer’s option for a specified time without default.

(e)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are not considered to be illiquid.

(f)

All or a portion of the security has been pledged as collateral in connection with open financial futures contracts.

(g)

Represents a zero coupon bond. Rate shown reflects the effective yield at the time of purchase.

(h)

Represents a pay-in-kind security which may pay interest/dividends in additional face/shares.

(i)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

                     

Affiliate

 

Purchase
Cost

 

Sale
Cost

 

Realized
Gain

 

Interest
Income

 

                   

Merrill Lynch Mortgage Trust

 

 

 

 

 

 

 

 

 

 

Series 2007-C1 Class AM,

 

 

 

 

 

 

 

 

 

 

6.022%, 6/12/50

 

 

 

 

$

34,747

 

                     

 

 

(j)

Represents or includes a to-be-announced transaction. The Trust has committed to purchasing securities for which all specific information is not available at this time.

(k)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(l)

This European style swaption, which can be exercised only on the expiration date, represents a standby commitment whereby the writer of the option is obligated to enter into a predetermined interest rate swap contract upon exercise of the swaption.

Reverse repurchase agreements outstanding as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                             

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

                       

Credit Suisse Securities LLC

 

3.25

%

 

2/29/08

 

TBD

 

$

30,284,859

 

$

30,116,292

 

Credit Suisse Securities LLC

 

3.75

%

 

3/17/08

 

TBD

 

$

3,764,174

 

 

3,747,000

 

Credit Suisse Securities LLC

 

2.95

%

 

3/26/08

 

TBD

 

$

4,092,315

 

 

4,080,945

 

Lehman Brothers International

 

1.97

%

 

4/01/08

 

TBD

 

$

29,730,787

 

 

29,682,056

 

Lehman Brothers International

 

2.40

%

 

4/11/08

 

TBD

 

$

51,140,681

 

 

51,042,000

 

Lehman Brothers International

 

3.00

%

 

4/17/08

 

TBD

 

$

15,152,041

 

 

15,135,644

 

JPMorgan Securities Inc.

 

TBD

 

 

4/23/08

 

TBD

 

$

14,939,531

 

 

14,939,531

 

JPMorgan Securities Inc.

 

1.90

%

 

4/30/08

 

TBD

 

$

2,051,765

 

 

2,051,657

 

JPMorgan Securities Inc.

 

0.45

%

 

4/30/08

 

TBD

 

$

2,099,901

 

 

2,099,875

 

                             

Total

 

 

 

 

 

 

 

 

$

153,256,054

 

$

152,895,000

 

 

 

 

 

 

 

 

 

 

           

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

APRIL 30, 2008

21



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Forward foreign exchange contracts as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

                   

Currency
Purchased

 

Currency
Sold

 

Settlement
Date

 

 

Unrealized
Appreciation
(Depreciation)

 

                 

JPY 409,641,661

 

USD

4,017,706

 

7/11/08

 

$

(61,439

)

USD    2,220,408

 

EUR

1,411,040

 

7/23/08

 

 

25,828

 

                   

Total Unrealized Depreciation on Forward

 

 

 

 

 

 

 

 

 

Foreign Exchange Contracts—Net

 

 

 

 

 

 

$

(35,611

)

 

 

 

 

 

 

 

     

 

 

Financial futures contracts purchased as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

 

 

Expiration

 

 

Face

 

 

Appreciation

 

Contracts

 

Issue

 

Exchange

 

Date

 

 

Value

 

 

(Depreciation)

 

                           

190

 

10-Year U.S. Treasury Bond

 

Chicago

 

June 2008

 

$

22,214,334

 

$

(209,959

)

1,241

 

30-Year U.S. Treasury Bond

 

Chicago

 

June 2008

 

$

144,775,254

 

 

286,011

 

73

 

Euro-BOBL Future

 

Eurex

 

June 2008

 

$

12,670,243

 

 

(262,876

)

35

 

Euro-BUND Future

 

Eurex

 

June 2008

 

$

6,388,653

 

 

(154,638

)

59

 

Euro Dollar

 

Chicago

 

December 2008

 

$

14,405,106

 

 

(82,856

)

114

 

Euro Dollar

 

Chicago

 

June 2009

 

$

27,654,791

 

 

(58,241

)

                           

Total Unrealized Depreciation—Net

 

 

 

 

 

 

 

$

(482,559

)

 

 

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts sold as of April 30, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

 

 

 

 

 

 

Expiration

 

 

Face

 

 

Unrealized

 

Contracts

 

Issue

 

Exchange

 

Date

 

 

Value

 

 

Appreciation

 

                           

461

 

2-Year U.S. Treasury Bond

 

Chicago

 

June 2008

 

$

98,968,461

 

$

919,524

 

1,699

 

5-Year U.S. Treasury Bond

 

Chicago

 

June 2008

 

$

191,559,506

 

 

1,298,053

 

114

 

Euro-BOBL Future

 

Eurex

 

June 2008

 

$

27,464,129

 

 

59,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

Total Unrealized Appreciation—Net

 

 

 

 

 

 

 

$

2,277,531

 

 

 

 

 

 

 

 

 

     

 

 

Swaps outstanding as of April 30, 2008 were as follows:


 

 

 

</