c55258_ncsr.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-21349

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2008

Date of reporting period: 11/01/2007 – 08/31/2008

 



Item 1–      Report to Stockholders

 

 

 

 

 

 

 

 

 

 

 

 

EQUITIES

 

 FIXED INCOME

 

 REAL ESTATE

 

 LIQUIDITY

 

 ALTERNATIVES

 

 BLACKROCK SOLUTIONS


 

 

 

 

 


(BLACKROCK LOGO)

 

Annual Report

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AUGUST 31, 2008

 

 

 

 

 

 

 


 

BlackRock Core Bond Trust (BHK)

 

BlackRock High Income Shares (HIS)

 

BlackRock High Yield Trust (BHY)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

BlackRock Income Trust, Inc. (BKT)

 

BlackRock Limited Duration Income Trust (BLW)

 

BlackRock Strategic Bond Trust (BHD)


 

NOT FDIC INSURED

MAY LOSE VALUE

NO BANK GUARANTEE




 

 

 

 





 

 

 

Table of Contents

 

 

 

 

 

 

 

Page

A Letter to Shareholders

 

3

Annual Report:

 

 

Trust Summaries

 

4

The Benefits and Risks of Leveraging

 

11

Swap Agreements

 

11

Financial Statements:

 

 

Schedules of Investments

 

12

Statements of Assets and Liabilities

 

60

Statements of Operations

 

62

Statements of Changes in Net Assets

 

64

Statements of Cash Flows

 

67

Financial Highlights

 

68

Notes to Financial Statements

 

75

Report of Independent Registered Public Accounting Firm

 

84

Disclosure of Investment Advisory Agreement and Subadvisory Agreement

 

85

Dividend Reinvestment Plans

 

89

Important Tax Information

 

89

Officers and Directors/Trustees

 

90

Additional Information

 

94


 

 

 

 

 

 

 

 

2

ANNUAL REPORT

AUGUST 31, 2008

 



 


 

A Letter to Shareholders

Dear Shareholder

It has been a tumultuous year for investors, marked by almost daily headlines related to the beleaguered housing market, rising food and energy prices, and the escalating credit crisis. The news took an extraordinarily heavy tone shortly after the close of this reporting period as the credit crisis boiled over and triggered unprecedented failures and consolidation in the financial sector, stoking fears of a market and economic collapse and prompting the largest government rescue plan since the Great Depression.

Through it all, the Federal Reserve Board (the “Fed”) has been aggressive in its attempts to restore order in financial markets. Key moves included slashing the target federal funds rate 325 basis points (3.25%) between September 2007 and April 2008 and providing numerous cash injections and lending programs. As the credit crisis took an extreme turn for the worse in September, the Fed, in concert with five other global central banks, cut interest rates by 50 basis points in a rare move intended to stave off worldwide economic damage from the intensifying financial market turmoil. The U.S. economy managed to grow at a slow-but-positive pace through the second quarter of the year, though the recent events almost certainly portend a global economic recession.

Against this backdrop, U.S. stocks experienced intense volatility (steep declines and quick recoveries), generally posting losses for the current reporting period. Small-cap stocks fared significantly better than their larger counterparts. Non-U.S. markets followed the U.S. on the way down and, notably, decelerated at a faster pace than domestic equities — a stark reversal of recent years’ trends, when international stocks generally outpaced U.S. stocks.

Treasury securities also traded in a volatile fashion, but rallied overall (yields fell and prices correspondingly rose), as the broader flight-to-quality theme persisted. The yield on 10-year Treasury issues, which fell to 3.34% in March, climbed to the 4.20% range in mid-June as investors temporarily shifted out of Treasury issues in favor of riskier assets (such as stocks and other high-quality fixed income sectors), then declined again to 3.83% by period-end when credit fears resurfaced. Tax-exempt issues posted positive returns, but problems among municipal bond insurers and the collapse in the market for auction rate securities pressured the group throughout the course of the past year. Economic and financial market distress also dampened the performance of high yield issues, which were very volatile due to the macro factors noted above.

Overall, severe market instability resulted in mixed results for the major benchmark indexes:

 

 

 

 

 

 

 

 

Total returns as of August 31, 2008

 

6-month

 

12-month

 

           

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

 

(2.57

)%

 

(11.14

)%

 

               

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

 

8.53

 

 

(5.48

)

 

               

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

 

(10.18

)

 

(14.41

)

 

               

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

 

0.18

 

 

5.86

 

 

               

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

 

5.12

 

 

4.48

 

 

               

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

 

0.74

 

 

(0.66

)

 

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

Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For our most current views 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 investments, 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


 

 

 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

AUGUST 31, 2008

3



 

 



 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2008, the Trust returned (0.44)% based on market price and 1.87% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 0.76% on a NAV basis. All returns reflect reinvestment of dividends. The Trust’s allocation to mortgage-backed securities (MBS) which comprised 43% of net assets as of August 31, 2008, benefited performance as MBS outperformed corporate bonds. Conversely, allocations to high yield and preferred securities detracted from performance. The Trust’s lower leverage position versus its peers (about 24% of the portfolio as of August 31, 2008) also hurt performance.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BHK

 

Initial Offering Date:

 

November 27, 2001

 

Yield on Closing Market Price as of August 31, 2008 ($11.51):1

 

6.46%

 

Current Monthly Distribution per Share:2

 

$0.062

 

Current Annualized Distribution per Share:2

 

$0.744

 

Leverage as of August 31, 2008:3

 

24%

 

       

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                       

Market Price

 

$

11.51

 

$

12.23

 

(5.89

)%

 

$

12.68

 

$

11.06

 

Net Asset Value

 

$

12.81

 

$

13.63

 

(6.02

)%

 

$

13.77

 

$

12.67

 

                                 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

               

Corporate Bonds

 

47

%

 

42

%

 

U.S. Government Agency Mortgage-Backed Securities

 

18

 

 

38

 

 

Non-Government Agency Mortgage-Backed Securities

 

13

 

 

9

 

 

Asset-Backed Securities

 

9

 

 

4

 

 

U.S. Government Obligations

 

8

 

 

4

 

 

Preferred Securities

 

2

 

 

2

 

 

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

 

2

 

 

1

 

 

Foreign Government Obligations

 

1

 

 

 

 

               

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

10/31/07

 

           

AAA/Aaa

 

7

%

 

6

%

 

AA/Aa

 

18

 

 

24

 

 

A/A

 

26

 

 

21

 

 

BBB/Baa

 

26

 

 

20

 

 

BB/Ba

 

5

 

 

7

 

 

B/B

 

13

 

 

16

 

 

CCC/Caa

 

4

 

 

6

 

 

Not Rated

 

1

 

 

 

 

           

 

 

4

Using the higher of Standard & Poor’s (S&P’s) or Moody’s Investors Service (Moody’s) ratings.


 

 

 

 

 

 

 

 

4

ANNUAL REPORT

AUGUST 31, 2008

 



 

 



 

 

Trust Summary as of August 31, 2008

BlackRock High Income Shares


 

 

Investment Objective

 

 

 

BlackRock High Income Shares (HIS) (the “Trust”) seeks to provide the highest current income and to a lesser extent capital appreciation, by investing in a diversified portfolio of below investment grade securities.

 

 

Performance

 

 

 

 

For the 12 months ended August 31, 2008, the Trust returned (11.04)% based on market price and (3.17)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (14.03)% on a NAV basis. All returns reflect reinvestment of dividends. Amid considerable volatility in credit markets, the Trust’s relative performance was aided by conservative positioning, with higher-than-normal credit quality, defensive sector positioning, an allocation to bank loans, and higher-than-normal cash balances. The Trust had much lower leverage (18% as of August 31, 2008) than most of its peers, which also aided relative performance. The Trust’s discount to NAV, which widened from 13.4% to 15.7% during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

HIS

 

Initial Offering Date:

 

August 10, 1988

 

Yield on Closing Market Price as of August 31, 2008 ($1.88):1

 

11.62%

 

Current Monthly Distribution per Share:2

 

$0.0182

 

Current Annualized Distribution per Share:2

 

$0.2184

 

Leverage as of August 31, 2008:3

 

18%

 

       

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

8/31/08

 

12/31/07

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

1.88

 

$

2.14

 

(12.15

)%

 

$

2.28

 

$

1.84

 

Net Asset Value

 

$

2.23

 

$

2.47

 

(9.72

)%

 

$

2.47

 

$

2.22

 

                       

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

8/31/08

 

12/31/07

 

               

Corporate Bonds

 

86

%

 

93

%

 

Floating Rate Loan Interests

 

11

 

 

5

 

 

Preferred Securities

 

3

 

 

2

 

 

               

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

12/31/07

 

           

BBB/Baa

 

4

%

 

1

%

 

BB/Ba

 

23

 

 

21

 

 

B/B

 

52

 

 

54

 

 

CCC/Caa

 

16

 

 

21

 

 

Not Rated

 

5

 

 

3

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

5



 

 



 

 

Trust Summary as of August 31, 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 to seek capital appreciation by investing in a diversified portfolio of below investment grade securities.

 

 

Performance

 

 

 

 

For the 12 months ended August 31, 2008, the Trust returned (11.03)% based on market price and (3.16)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (14.03)% on a NAV basis. All returns reflect reinvestment of dividends. Amid considerable volatility in credit markets, the Trust’s relative performance was aided by conservative positioning, with higher-than-normal credit quality, defensive sector positioning, an allocation to bank loans, and higher-than-normal cash balances. The Trust had much lower leverage (12% as of August 31, 2008) than most of its peers, which also aided relative performance. The Trust’s discount to NAV, which widened from 12.5% to 12.9% during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BHY

 

Initial Offering Date:

 

December 23, 1998

 

Yield on Closing Market Price as of August 31, 2008 ($5.96):1

 

10.27%

 

Current Monthly Distribution per Share:2

 

$0.051

 

Current Annualized Distribution per Share:2

 

$0.612

 

Leverage as of August 31, 2008:3

 

12%

 

       

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) 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:

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                       

Market Price

 

$

5.96

 

$

6.92

 

(13.87

)%

 

$

7.21

 

$

5.65

 

Net Asset Value

 

$

6.84

 

$

7.91

 

(13.53

)%

 

$

7.91

 

$

6.82

 

                                 

 

 

 

 

 

 

 

 

 

The following unaudited charts show the ten largest industries and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Ten Largest Industries4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

           

Media

 

13

%

 

17

%

 

Oil, Gas & Consumable Fuels

 

11

 

 

8

 

 

Wireless Telecommunications Services

 

6

 

 

5

 

 

Hotels, Restaurants & Leisure

 

6

 

 

6

 

 

Diversified Telecommunications Services

 

6

 

 

4

 

 

Independent Power Producers & Energy Traders

 

5

 

 

6

 

 

Metals & Mining

 

4

 

 

3

 

 

Diversified Financial Services

 

4

 

 

 

 

Specialty Retail

 

3

 

 

4

 

 

Chemicals

 

3

 

 

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 rating 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.


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

10/31/07

 

           

BBB/Baa

 

6

%

 

4

%

 

BB/Ba

 

24

 

 

21

 

 

B

 

52

 

 

51

 

 

CCC/Caa

 

15

 

 

21

 

 

Not Rated

 

3

 

 

3

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

6

ANNUAL REPORT

AUGUST 31, 2008

 



 

 



 

 

Trust Summary as of August 31, 2008

BlackRock Income Opportunity Trust


 

 

Investment Objective

 

 

 

BlackRock Income Opportunity Trust (BNA) (the “Trust”) seeks to provide current income and capital appreciation in a portfolio of primarily U.S. dollar-denominated securities.

 

 

Performance

 

 

 

For the 12 months ended August 31, 2008, the Trust returned 4.76% based on market price and 1.94% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 0.76% on a NAV basis. All returns reflect reinvestment of dividends. The Trust’s relative performance was aided by holdings in U.S. government agency mortgage-backed securities. Conversely, holdings in investment-grade financials, non-agency mortgage securities, high yield bonds and preferred securities detracted from results. The Trust had much lower leverage (22% as of August 31, 2008) than its peers, which also hurt performance. The Trust’s discount to NAV, which narrowed modestly during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BNA

 

Initial Offering Date:

 

December 20, 1991

 

Yield on Closing Market Price as of August 31, 2008 ($9.82):1

 

6.23%

 

Current Monthly Distribution per Share:2

 

$0.051

 

Current Annualized Distribution per Share:2

 

$0.612

 

Leverage as of August 31, 2008:3

 

22%

 

       

 

 

1

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

2

The distribution rate is not constant and is subject to change.

3

As a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) 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:

 

                       

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                       

Market Price

 

$

9.82

 

$

10.19

 

(3.63

)%

 

$

10.50

 

$

9.06

 

Net Asset Value

 

$

10.35

 

$

11.02

 

(6.08

)%

 

$

11.16

 

$

10.20

 

                                 

 

 

 

 

 

 

 

 

 

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

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

           

Corporate Bonds

 

42

%

 

38

%

 

U.S. Government Agency Mortgage Backed Securities

 

15

 

 

34

 

 

Non-U.S. Government Agency Mortgage Backed Securities

 

14

 

 

9

 

 

U.S. Government Obligations

 

11

 

 

4

 

 

Asset-Backed Securities

 

10

 

 

7

 

 

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

 

3

 

 

5

 

 

Capital Trusts

 

4

 

 

 

 

Foreign Government Obligations

 

1

 

 

 

 

Trust Preferred

 

 

 

2

 

 

Municipal Bonds

 

 

 

1

 

 

               

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

10/31/07

 

               

AAA/Aaa

 

8

%

 

8

%

 

AA/Aa

 

18

 

 

21

 

 

A/A

 

28

 

 

20

 

 

BBB/Baa

 

26

 

 

22

 

 

BB/Ba

 

5

 

 

6

 

 

B/B

 

12

 

 

17

 

 

CCC/Caa

 

3

 

 

6

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

7



 

 



 

 

Trust Summary as of August 31, 2008

BlackRock Income Trust Inc.


 

 

Investment Objective

 

 

 

BlackRock Income Trust Inc. (BKT) (the “Trust”) seeks to provide high monthly income while preserving capital by investing in a portfolio of mortgage-backed securities.

 

 

Performance

 

 

 

 

For the 12 months ended August 31, 2008, the Trust returned 6.59% based on market price and 11.98% based on NAV. For the same period, the closed-end Lipper U.S. Mortgage Funds category posted an average return of 1.41% on a NAV basis. All returns reflect reinvestment of dividends. The primary driver behind the Trust’s relative outperformance was its large allocation to U.S. government agency mortgage-backed securities (MBS). Meanwhile, small allocations to non-agency MBS and other structured securities detracted from results. The Trust had much lower leverage during the period than its peers, which also hurt performance. The Trust’s discount to NAV, which widened modestly during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BKT

 

Initial Offering Date:

 

July 22, 1988

 

Yield on Closing Market Price as of August 31, 2008 ($6.07):1

 

4.74%

 

Current Monthly Distribution per Share:2

 

$0.024

 

Current Annualized Distribution per Share:2

 

$0.288

 

       

 

 

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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

                                 

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

6.07

 

$

5.81

 

4.48

%

 

$

6.20

 

$

5.23

 

Net Asset Value

 

$

6.94

 

$

6.53

 

6.28

%

 

$

7.05

 

$

6.35

 

                                 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

               

U.S. Government Agency Mortgage-Backed Securities

 

46

%

 

51

%

 

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

 

28

 

 

25

 

 

Non U.S. Government Agency Mortgage Backed Securities

 

18

 

 

12

 

 

U.S. Government and Agency Obligations

 

6

 

 

9

 

 

Asset-Backed Securities

 

2

 

 

2

 

 

Corporate Bonds

 

 

 

1

 

 

               

 

 

 

 

 

 

 

 

8

ANNUAL REPORT

AUGUST 31, 2008

 



 

 



 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2008, the Trust returned (7.37)% based on market price and 0.58% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (14.03)% on a NAV basis. All returns reflect reinvestment of dividends. The Trust’s allocations to high yield loans (58% of net assets as of August 31, 2008) and mortgage securities (21% as of August 31, 2008) benefited relative performance, as those sectors outperformed high yield bonds. The Trust was modestly leveraged (9% as of August 31, 2008) relative to its peers, which also aided relative performance. The Trust’s discount to NAV, which widened from 9.9% to 12.8% during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BLW

 

Initial Offering Date:

 

July 30, 2003

 

Yield on Closing Market Price as of August 31, 2008 ($14.57):1

 

8.65%

 

Current Monthly Distribution per Share:2

 

$0.105

 

Current Annualized Distribution per Share:2

 

$1.260

 

Leverage as of August 31, 2008:3

 

9%

 

       

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

                       

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                       

Market Price

 

$

14.57

 

$

16.68

 

(12.65

)%

 

$

16.99

 

$

13.60

 

Net Asset Value

 

$

16.71

 

$

18.52

 

(9.77

)%

 

$

18.52

 

$

16.59

 

                                 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

               

Floating Rate Loan Interests

 

46

%

 

42

%

 

Corporate Bonds

 

32

 

 

37

 

 

U.S. Government Agency Mortgage Backed Securities

 

16

 

 

16

 

 

U.S. Government and Agency Obligations

 

4

 

 

3

 

 

Foreign Government Obligations

 

2

 

 

2

 

 

               

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

10/31/07

 

               

AAA/Aaa

 

7

%

 

1

%

 

A/A

 

 

 

4

 

 

BBB/Baa

 

14

 

 

8

 

 

BB/Ba

 

17

 

 

23

 

 

B/B

 

44

 

 

43

 

 

CCC/Caa

 

13

 

 

18

 

 

Not Rated

 

5

 

 

3

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

9



 

 



 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2008, the Trust returned (2.53)% based on market price and 1.49% based on NAV. For the same period, the closed-end Lipper General Bond Funds category posted an average return of 2.15% on a NAV basis. All returns reflect reinvestment of dividends. The Trust’s allocation to high yield loans (5% of net assets as of August 31, 2008) hurt relative performance as the Trust is in a general bond fund category and high yield bonds underperformed investment-grade bonds. The Trust’s discount to NAV, which widened modestly during the period, accounts for the difference between performance based on price and performance based on NAV.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange:

 

BHD

 

Initial Offering Date:

 

February 26, 2002

 

Yield on Closing Market Price as of August 31, 2008 ($10.85):1

 

8.52%

 

Current Monthly Distribution per Share:2

 

$0.077

 

Current Annualized Distribution per Share:2

 

$0.924

 

Leverage as of August 31, 2008:3

 

2%

 

       

 

 

1

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

2

The distribution is not constant and is subject to change.

3

As a percentage of total management assets, which is the total assets of the Trust (including any assets attributable to any borrowing that maybe outstanding) 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:

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

8/31/08

 

10/31/07

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

10.85

 

$

11.88

 

(8.67

)%

 

$

12.12

 

$

10.48

 

Net Asset Value

 

$

12.76

 

$

13.80

 

(7.54

)%

 

$

13.82

 

$

12.72

 

                                 

 

 

 

 

 

 

 

 

 

The following unaudited charts show the ten largest industries and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Ten Largest Industries3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/08

 

10/31/07

 

               

Media

 

15

%

 

22

%

 

Diversified Telecommunications Services

 

10

 

 

8

 

 

Aerospace & Defense

 

7

 

 

8

 

 

Oil, Gas & Consumable Fuels

 

7

 

 

6

 

 

Wireless Telecommunications Services

 

5

 

 

3

 

 

Commercial Services & Supplies

 

4

 

 

5

 

 

Diversified Financial Services

 

4

 

 

2

 

 

Electric Utilities

 

3

 

 

4

 

 

Independent Power Producers & Energy Traders

 

3

 

 

 

 

Specialty Retail

 

3

 

 

4

 

 

Hotels, Restaurants & Leisure

 

 

 

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.


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

8/31/08

 

10/31/07

 

               

AAA/Aaa

 

%

 

1

%

 

AA/Aa

 

4

 

 

4

 

 

A

 

18

 

 

17

 

 

BBB/Baa

 

18

 

 

15

 

 

BB/Ba

 

14

 

 

12

 

 

B

 

36

 

 

37

 

 

CCC/Caa

 

8

 

 

12

 

 

Not Rated

 

2

 

 

2

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

10

ANNUAL REPORT

AUGUST 31, 2008

 



 


 

The Benefits and Risks of Leveraging

The Trusts may utilize leverage through borrowings or issuance of short-term debt securities. 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, 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 shareholders will benefit from the incremental yield.

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

Under the Investment Company Act of 1940, the Trusts are permitted to borrow through a credit facility and the issuance of short-term debt securities up to 331/3% of total managed assets. As of August 31, 2008, the Trusts had outstanding leverage from short-term debt securities or credit facility borrowings as a percentage of total managed assets as follows:

 

 

 

 

 

       

 

 

Percent of
Leverage

 

       

BlackRock Core Bond Trust

 

24

%

 

BlackRock High Income Shares

 

18

%

 

BlackRock High Yield Trust

 

12

%

 

BlackRock Income Opportunity Trust

 

22

%

 

BlackRock Limited Duration Income Trust, Inc.

 

9

%

 

BlackRock Strategic Bond Trust

 

2

%

 

         

 

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 Trusts have entered into a swap will default on its obligation to pay the Trusts and the risk that the Trusts will not be able to meet their obligations to pay the other party to the agreement.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

11



 

 


 

Schedule of Investments August 31, 2008

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


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

Value

 

             

American Express Issuance Trust Series 2008-2 Class A,
4.02%, 1/18/11

 

USD

2,580

 

$

2,584,864

 

Bank of America Credit Card Trust Series 2008-A9 Class A9,
4.07%, 7/16/12

 

 

2,485

 

 

2,492,806

 

Chase Issuance Trust:

 

 

 

 

 

 

 

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

 

 

2,300

 

 

2,294,002

 

Series 2008-A9 Class A9, 4.26%, 5/15/13

 

 

2,525

 

 

2,499,894

 

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

 

 

2,469

 

 

2,482,893

 

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

 

 

2,825

 

 

2,841,499

 

Citibank Omni Master Trust Series 2007-A9A Class A9,
3.571%, 12/23/13 (a)

 

 

2,720

 

 

2,720,638

 

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

 

 

878

 

 

883,046

 

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

 

 

2,850

 

 

2,839,728

 

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

 

 

1,524

 

 

1,526,441

 

Home Equity Asset Trust Series 2007-2 Class 2A1,
2.582%, 7/25/37 (a)

 

 

842

 

 

771,735

 

JPMorgan Mortgage Acquisition Corp.
Series 2007-CH5 Class A3, 2.582%, 6/25/37 (a)

 

 

3,635

 

 

3,118,721

 

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

 

 

2,825

 

 

2,842,981

 

SLM Student Loan Trust (a):

 

 

 

 

 

 

 

Series 2005-5 Class A1, 2.80%, 1/25/18

 

 

289

 

 

288,343

 

Series 2008-5 Class A2, 3.90%, 10/25/16

 

 

3,200

 

 

3,203,840

 

Series 2008-5 Class A3, 4.10%, 1/25/18

 

 

810

 

 

827,018

 

Series 2008-5 Class A4, 4.50%, 7/25/23

 

 

2,180

 

 

2,244,572

 

Small Business Administration Class 1:

 

 

 

 

 

 

 

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

 

 

888

 

 

882,117

 

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

 

 

519

 

 

500,854

 

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

 

 

7,226

 

 

270,967

 

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

 

 

9,987

 

 

808,315

 

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

 

 

2,725

 

 

2,751,427

 

               

Total Asset-Backed Securities—12.0%

 

 

 

 

 

41,676,701

 

               

 

 

 

 

 

 

 

 


Corporate Bonds

 

 

 

 

 

 

 

               

Aerospace & Defense—1.2%

 

 

 

 

 

 

 

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

 

 

405

 

 

421,200

 

DRS Technologies, Inc.:

 

 

 

 

 

 

 

6.875%, 11/01/13

 

 

70

 

 

70,875

 

7.625%, 2/01/18

 

 

80

 

 

84,200

 

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

 

 

140

 

 

135,800

 

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

 

 

975

 

 

907,664

 

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

 

 

960

 

 

1,122,810

 

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

 

 

120

 

 

116,700

 

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

 

 

1,125

 

 

1,129,653

 

 

 

 

 

 

     

 

 

 

 

 

 

3,988,902

 

               

Air Freight & Logistics—0.5%

 

 

 

 

 

 

 

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

 

 

120

 

 

99,000

 

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

 

 

1,650

 

 

1,660,996

 

 

 

 

 

 

     

 

 

 

 

 

 

1,759,996

 

               

Airlines—0.0%

 

 

 

 

 

 

 

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

 

 

115

 

 

104,650

 

               

Auto Components—0.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

188,125

 

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

 

 

250

 

 

67,500

 

 

 

 

 

 

     

 

 

 

 

 

 

255,625

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Automobiles—0.2%

 

 

 

 

 

 

 

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

 

USD

600

 

$

499,500

 

               

Building Products—0.1%

 

 

 

 

 

 

 

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

 

 

200

 

 

154,000

 

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

 

 

405

 

 

315,900

 

 

 

 

 

 

     

 

 

 

 

 

 

469,900

 

               

Capital Markets—2.7%

 

 

 

 

 

 

 

The Goldman Sachs Group, Inc., 6.75%, 10/01/37

 

 

975

 

 

857,857

 

Lehman Brothers Holdings, Inc.:

 

 

 

 

 

 

 

4.476%, 9/15/22 (a)

 

 

525

 

 

485,881

 

Series MTN, 7%, 9/27/27

 

 

1,250

 

 

1,114,613

 

Morgan Stanley:

 

 

 

 

 

 

 

3.041%, 1/09/12 (a)

 

 

1,340

 

 

1,213,564

 

6.25%, 8/28/17

 

 

1,700

 

 

1,547,328

 

6.25%, 8/09/26

 

 

525

 

 

448,993

 

Series F, 5.55%, 4/27/17

 

 

1,375

 

 

1,207,063

 

UBS AG Series DPNT, 5.875%, 12/20/17 (d)

 

 

2,575

 

 

2,510,275

 

 

 

 

 

 

     

 

 

 

 

 

 

9,385,574

 

               

Chemicals—0.7%

 

 

 

 

 

 

 

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

 

 

250

 

 

242,500

 

Ames True Temper, Inc., 6.791%, 1/15/12 (a)

 

 

650

 

 

520,000

 

Huntsman LLC, 11.50%, 7/15/12

 

 

66

 

 

68,970

 

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

 

EUR

285

 

 

257,137

 

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

 

USD

885

 

 

907,125

 

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

 

 

515

 

 

180,250

 

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

 

 

80

 

 

77,800

 

 

 

 

 

 

     

 

 

 

 

 

 

2,253,782

 

               

Commercial Banks—2.8%

 

 

 

 

 

 

 

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

 

 

3,775

 

 

3,583,702

 

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

 

 

825

 

 

824,073

 

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

 

 

775

 

 

679,165

 

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

 

 

300

 

 

276,934

 

SunTrust Bank Series CD, 4.415%, 6/15/09

 

 

1,265

 

 

1,271,321

 

SunTrust Banks, Inc., 4%, 10/15/08

 

 

995

 

 

994,955

 

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

 

 

1,925

 

 

1,508,139

 

Wells Fargo & Co., 4.875%, 1/12/11

 

 

435

 

 

442,144

 

 

 

 

 

 

     

 

 

 

 

 

 

9,580,433

 

               

Commercial Services & Supplies—0.7%

 

 

 

 

 

 

 

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

 

 

598

 

 

593,515

 

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

 

 

281

 

 

282,405

 

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

 

 

590

 

 

595,900

 

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

 

 

1,100

 

 

860,750

 

 

 

 

 

 

     

 

 

 

 

 

 

2,332,570

 

               

Communications Equipment—0.2%

 

 

 

 

 

 

 

Nortel Networks Ltd., 7.041%, 7/15/11 (a)

 

 

670

 

 

621,425

 

               

Computers & Peripherals—0.9%

 

 

 

 

 

 

 

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

 

 

3,125

 

 

3,186,759

 

               

Consumer Finance—0.1%

 

 

 

 

 

 

 

SLM Corp. Series A, 3.10%, 1/27/14 (a)

 

 

550

 

 

436,128

 

               

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 8.875%, 9/15/14

 

 

95

 

 

78,850

 

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

 

 

150

 

 

153,750

 

Impress Holdings BV, 5.916%, 9/15/13 (a)(e)

 

 

300

 

 

270,000

 

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

 

 

1,500

 

 

1,545,000

 

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

 

 

545

 

 

520,475

 

 

 

 

 

 

     

 

 

 

 

 

 

2,568,075

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

12

ANNUAL REPORT

AUGUST 31, 2008

 



 

 


 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Diversified Financial Services—7.1%

 

 

 

 

 

 

 

Bank of America Corp.:

 

 

 

 

 

 

 

6%, 9/01/17

 

USD

1,590

 

$

1,513,550

 

5.75%, 12/01/17

 

 

1,355

 

 

1,264,028

 

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

 

 

1,975

 

 

1,894,600

 

Citigroup, Inc.:

 

 

 

 

 

 

 

3.625%, 2/09/09 (f)

 

 

3,950

 

 

3,943,348

 

4.25%, 7/29/09 (d)

 

 

1,020

 

 

1,019,253

 

4.125%, 2/22/10 (f)(h)

 

 

4,790

 

 

4,745,031

 

6.875%, 2/15/98

 

 

525

 

 

454,043

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

5.538%, 1/13/12 (a)

 

 

125

 

 

92,288

 

7.80%, 6/01/12

 

 

340

 

 

252,506

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37 (d)

 

 

6,855

 

 

6,500,836

 

5.875%, 1/14/38

 

 

1,525

 

 

1,373,163

 

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

 

 

125

 

 

121,048

 

Structured Asset Repackaged Trust, 3.761%, 1/21/10

 

 

1,510

 

 

1,462,908

 

 

 

 

 

 

     

 

 

 

 

 

 

24,636,602

 

               

Diversified Telecommunication Services—5.9%

 

 

 

 

 

 

 

AT&T, Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

 

780

 

 

745,271

 

6.50%, 9/01/37 (d)

 

 

2,875

 

 

2,767,090

 

6.30%, 1/15/38

 

 

600

 

 

565,778

 

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

 

 

1,700

 

 

844,274

 

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

 

 

210

 

 

201,863

 

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

 

 

10

 

 

10,882

 

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

 

 

3,000

 

 

2,882,088

 

Qwest Communications International, Inc. 7.50%, 2/15/14

 

 

180

 

 

163,800

 

Qwest Corp., 6.026%, 6/15/13 (a)

 

 

470

 

 

434,750

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

974,160

 

6%, 9/30/34

 

 

1,550

 

 

1,263,092

 

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

 

 

1,975

 

 

2,005,496

 

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

 

 

725

 

 

764,287

 

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

 

 

2,125

 

 

1,977,215

 

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

 

 

70

 

 

74,485

 

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

 

 

125

 

 

96,769

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.875%, 1/17/12

 

 

335

 

 

340,621

 

7.85%, 11/15/29

 

 

230

 

 

239,239

 

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

 

 

3,150

 

 

3,031,941

 

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

 

 

350

 

 

358,750

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

500

 

 

495,000

 

8.625%, 8/01/16

 

 

230

 

 

227,700

 

 

 

 

 

 

     

 

 

 

 

 

 

20,464,551

 

               

Electric Utilities—3.7%

 

 

 

 

 

 

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

299,916

 

6%, 1/15/38

 

 

825

 

 

798,632

 

E.ON International Finance BV, 6.65%, 4/30/38 (e)

 

 

1,525

 

 

1,547,073

 

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

 

 

1,125

 

 

1,115,850

 

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

 

 

115

 

 

115,288

 

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

 

 

116

 

 

109,396

 

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

 

 

950

 

 

816,975

 

Florida Power Corp., 6.40%, 6/15/38

 

 

875

 

 

890,389

 

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

 

 

75

 

 

77,574

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

558,607

 

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

 

 

1,325

 

 

1,339,408

 

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

 

 

1,200

 

 

1,205,120

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

               

Electric Utilities (concluded)

 

 

 

 

 

 

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.625%, 2/01/36

 

USD

625

 

$

592,984

 

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

 

 

125

 

 

114,091

 

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

 

 

1,075

 

 

1,066,372

 

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

 

 

350

 

 

303,055

 

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

 

 

2,000

 

 

1,890,772

 

 

 

 

 

 

     

 

 

 

 

 

 

12,841,502

 

               

Electrical Equipment—0.3%

 

 

 

 

 

 

 

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

 

 

945

 

 

987,525

 

               

Electronic Equipment & Instruments—0.3%

 

 

 

 

 

 

 

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

 

 

1,190

 

 

1,073,975

 

               

Energy Equipment & Services—0.6%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

55

 

 

54,725

 

7.75%, 5/15/17

 

 

90

 

 

89,550

 

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

 

 

80

 

 

77,755

 

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

 

 

85

 

 

84,575

 

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

 

 

1,100

 

 

1,097,461

 

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

 

 

625

 

 

619,455

 

 

 

 

 

 

     

 

 

 

 

 

 

2,023,521

 

               

Food & Staples Retailing—1.4%

 

 

 

 

 

 

 

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

 

 

775

 

 

736,402

 

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

 

 

1,000

 

 

835,000

 

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

 

 

695

 

 

576,850

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

1,945,089

 

6.20%, 4/15/38

 

 

850

 

 

840,835

 

 

 

 

 

 

     

 

 

 

 

 

 

4,934,176

 

               

Food Products—0.4%

 

 

 

 

 

 

 

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

 

 

1,455

 

 

1,447,751

 

               

Gas Utilities—0.2%

 

 

 

 

 

 

 

El Paso Natural Gas Co.:

 

 

 

 

 

 

 

8.625%, 1/15/22

 

 

265

 

 

291,788

 

8.375%, 6/15/32

 

 

225

 

 

248,850

 

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

 

 

320

 

 

304,000

 

 

 

 

 

 

     

 

 

 

 

 

 

844,638

 

               

Health Care Equipment & Supplies—0.6%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.375%, 10/15/17 (i)

 

 

340

 

 

358,700

 

11.625%, 10/15/17

 

 

340

 

 

357,425

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

1,380

 

 

1,383,450

 

 

 

 

 

 

     

 

 

 

 

 

 

2,099,575

 

               

Health Care Providers & Services—0.5%

 

 

 

 

 

 

 

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

 

 

1,020

 

 

986,850

 

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

 

 

870

 

 

705,586

 

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

 

 

85

 

 

73,243

 

 

 

 

 

 

     

 

 

 

 

 

 

1,765,679

 

               

Hotels, Restaurants & Leisure—1.5%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.125%, 6/01/12

 

 

3,165

 

 

2,947,406

 

7.125%, 2/15/13

 

 

320

 

 

279,600

 

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

 

 

1,000

 

 

915,000

 

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

 

 

150

 

 

130,875

 

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

 

 

315

 

 

237,825

 

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

 

 

880

 

 

519,774

 

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

 

 

260

 

 

232,050

 

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

 

 

40

 

 

36,450

 

 

 

 

 

 

     

 

 

 

 

 

 

5,298,980

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

13



 

 


 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

               

Household Durables—0.7%

 

 

 

 

 

 

 

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

 

USD

350

 

$

256,498

 

Irwin Land LLC:

 

 

 

 

 

 

 

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

 

 

525

 

 

457,044

 

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

 

 

1,500

 

 

1,211,730

 

Ohana Military Communities LLC Series 04I,

 

 

 

 

 

 

 

6.193%, 4/01/49

 

 

350

 

 

322,063

 

 

 

 

 

 

     

 

 

 

 

 

 

2,247,335

 

               

Household Products—0.3%

 

 

 

 

 

 

 

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

 

 

850

 

 

895,861

 

               

IT Services—0.4%

 

 

 

 

 

 

 

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

 

 

240

 

 

201,000

 

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

 

 

904

 

 

897,607

 

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

 

 

205

 

 

208,075

 

 

 

 

 

 

     

 

 

 

 

 

 

1,306,682

 

               

Independent Power Producers & Energy Traders—0.1%

 

 

 

 

 

 

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

49,312

 

7.375%, 2/01/16

 

 

285

 

 

281,437

 

 

 

 

 

 

     

 

 

 

 

 

 

330,749

 

               

Industrial Conglomerates—0.6%

 

 

 

 

 

 

 

Sequa Corp. (e):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

607,200

 

13.50%, 12/01/15 (i)

 

 

1,644

 

 

1,338,995

 

 

 

 

 

 

     

 

 

 

 

 

 

1,946,195

 

               

Insurance—2.6%

 

 

 

 

 

 

 

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

 

 

1,075

 

 

1,093,455

 

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

 

 

1,100

 

 

974,401

 

Hartford Life Global Funding Trusts, 2.946%, 9/15/09 (a)

 

 

925

 

 

921,618

 

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

 

 

1,525

 

 

1,315,315

 

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

 

 

1,150

 

 

1,140,706

 

Monument Global Funding Ltd., 2.646%, 6/16/10 (a)

 

 

1,810

 

 

1,795,071

 

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

 

 

850

 

 

851,380

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

548,496

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

420,500

 

 

 

 

 

 

     

 

 

 

 

 

 

9,060,942

 

               

Machinery—0.3%

 

 

 

 

 

 

 

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

 

 

360

 

 

334,800

 

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

 

 

265

 

 

170,925

 

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

 

 

950

 

 

693,500

 

 

 

 

 

 

     

 

 

 

 

 

 

1,199,225

 

               

Marine—0.3%

 

 

 

 

 

 

 

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

 

 

1,050

 

 

916,828

 

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

 

 

141

 

 

134,655

 

 

 

 

 

 

     

 

 

 

 

 

 

1,051,483

 

               

Media—6.0%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

695

 

 

684,575

 

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

 

 

645

 

 

403,125

 

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

 

 

180

 

 

180,900

 

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

 

 

175

 

 

134,313

 

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

 

 

1,450

 

 

1,391,350

 

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

 

 

200

 

 

194,967

 

Comcast Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/17

 

 

1,750

 

 

1,765,076

 

6.50%, 11/15/35

 

 

625

 

 

588,010

 

6.45%, 3/15/37

 

 

790

 

 

728,613

 

6.95%, 8/15/37

 

 

25

 

 

24,397

 

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

 

 

125

 

 

129,375

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

5.75%, 10/01/08

 

 

175

 

 

175,000

 

7%, 10/01/13

 

 

43

 

 

40,850

 

7.125%, 2/01/16

 

 

75

 

 

69,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

               

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

155

 

$

111,406

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

885,343

 

8.45%, 8/01/34

 

 

625

 

 

710,362

 

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

 

 

985

 

 

1,045,827

 

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

 

 

965

 

 

977,062

 

R.H. Donnelley Corp., 11.75%, 5/15/15 (e)

 

 

1,720

 

 

1,264,200

 

Rainbow National Services LLC (e):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

204,000

 

10.375%, 9/01/14

 

 

943

 

 

1,003,116

 

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

 

 

610

 

 

641,780

 

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

 

 

1,000

 

 

855,000

 

Time Warner Cable, Inc., 7.30%, 7/01/38

 

 

2,525

 

 

2,537,188

 

Time Warner Cos., Inc.:

 

 

 

 

 

 

 

7.57%, 2/01/24 (d)

 

 

3,040

 

 

3,078,912

 

6.95%, 1/15/28

 

 

70

 

 

66,515

 

6.625%, 5/15/29

 

 

90

 

 

82,319

 

Time Warner, Inc.:

 

 

 

 

 

 

 

7.625%, 4/15/31

 

 

205

 

 

205,128

 

7.70%, 5/01/32

 

 

85

 

 

85,746

 

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

 

 

823

 

 

477,340

 

 

 

 

 

 

     

 

 

 

 

 

 

20,740,795

 

               

Metals & Mining—1.5%

 

 

 

 

 

 

 

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

 

 

995

 

 

1,017,388

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6%, 10/15/15

 

 

825

 

 

782,225

 

6.20%, 6/15/35

 

 

1,250

 

 

1,021,918

 

Freeport-McMoRan Copper & Gold, Inc.:

 

 

 

 

 

 

 

5.883%, 4/01/15 (a)

 

 

490

 

 

491,294

 

8.375%, 4/01/17

 

 

790

 

 

837,400

 

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

 

 

1,430

 

 

1,156,347

 

 

 

 

 

 

     

 

 

 

 

 

 

5,306,572

 

               

Multi-Utilities—0.6%

 

 

 

 

 

 

 

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

 

 

725

 

 

722,112

 

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

 

 

1,500

 

 

1,433,321

 

 

 

 

 

 

     

 

 

 

 

 

 

2,155,433

 

               

Oil, Gas & Consumable Fuels—5.5%

 

 

 

 

 

 

 

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

 

 

425

 

 

453,535

 

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

 

 

2,350

 

 

2,159,901

 

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

 

 

140

 

 

133,700

 

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

 

 

875

 

 

1,000,894

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.25%, 3/15/38

 

 

375

 

 

345,397

 

6.75%, 2/01/39

 

 

1,025

 

 

1,008,277

 

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

 

 

320

 

 

278,400

 

Chesapeake Energy Corp., 6.375%, 6/15/15

 

 

150

 

 

139,500

 

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

 

 

115

 

 

107,956

 

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

 

 

125

 

 

144,044

 

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

 

 

535

 

 

534,959

 

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

 

 

650

 

 

711,039

 

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

 

 

625

 

 

723,520

 

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

 

 

130

 

 

128,700

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

639,512

 

6.625%, 8/15/37

 

 

700

 

 

666,086

 

6.50%, 2/01/38

 

 

325

 

 

304,522

 

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

 

 

40

 

 

34,900

 

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

 

 

700

 

 

635,538

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

741,258

 

6.50%, 9/15/37

 

 

1,525

 

 

1,521,396

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

14

ANNUAL REPORT

AUGUST 31, 2008

 



 

 


 

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)

 

 

 

 

 

 

 

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

 

USD

550

 

$

493,311

 

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

 

 

450

 

 

449,437

 

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

 

 

833

 

 

846,578

 

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

 

 

330

 

 

288,750

 

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

 

 

645

 

 

617,336

 

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

 

 

550

 

 

472,153

 

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

 

 

495

 

 

436,762

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

40

 

 

38,600

 

7.25%, 5/01/13

 

 

335

 

 

321,600

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

1,925

 

 

1,815,643

 

6.375%, 6/15/38

 

 

900

 

 

811,318

 

 

 

 

 

 

     

 

 

 

 

 

 

19,004,522

 

               

Paper & Forest Products—0.5%

 

 

 

 

 

 

 

Bowater, Inc., 5.776%, 3/15/10 (a)

 

 

80

 

 

65,600

 

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

 

 

60

 

 

57,900

 

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

 

 

1,625

 

 

1,576,250

 

 

 

 

 

 

     

 

 

 

 

 

 

1,699,750

 

               

Pharmaceuticals—1.9%

 

 

 

 

 

 

 

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

 

 

340

 

 

321,443

 

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

 

 

2,275

 

 

2,167,056

 

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

 

 

1,125

 

 

1,073,429

 

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

 

 

1,445

 

 

1,301,207

 

Wyeth:

 

 

 

 

 

 

 

6%, 2/15/36

 

 

675

 

 

663,386

 

5.95%, 4/01/37

 

 

925

 

 

888,195

 

 

 

 

 

 

     

 

 

 

 

 

 

6,414,716

 

               

Professional Services—0.0%

 

 

 

 

 

 

 

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

 

 

100

 

 

103,750

 

               

Real Estate Investment Trusts (REITs)—0.1%

 

 

 

 

 

 

 

AvalonBay Communities, Inc., 6.625%, 9/15/11

 

 

350

 

 

354,416

 

               

Road & Rail—0.1%

 

 

 

 

 

 

 

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

 

 

350

 

 

350,064

 

               

Semiconductors & Semiconductor Equipment—0.1%

 

 

 

 

 

 

 

Amkor Technology, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/13

 

 

80

 

 

75,000

 

9.25%, 6/01/16

 

 

85

 

 

82,025

 

Freescale Semiconductor, Inc.:

 

 

 

 

 

 

 

8.875%, 12/15/14

 

 

120

 

 

97,200

 

9.125%, 12/15/14 (i)

 

 

290

 

 

226,200

 

 

 

 

 

 

     

 

 

 

 

 

 

480,425

 

               

Software—0.7%

 

 

 

 

 

 

 

BMS Holdings, Inc., 10.595%, 2/15/12 (a)(e)(i)

 

 

107

 

 

64,117

 

Oracle Corp., 5.75%, 4/15/18 (d)

 

 

2,225

 

 

2,231,343

 

 

 

 

 

 

     

 

 

 

 

 

 

2,295,460

 

               

Specialty Retail—0.9%

 

 

 

 

 

 

 

AutoNation, Inc.:

 

 

 

 

 

 

 

4.791%, 4/15/13 (a)

 

 

150

 

 

123,750

 

7%, 4/15/14

 

 

150

 

 

129,750

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.199%, 3/15/14 (h)

 

 

500

 

 

411,745

 

10.75%, 3/15/15

 

 

400

 

 

347,000

 

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

 

 

314

 

 

157,000

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

380

 

 

285,000

 

11.375%, 11/01/16

 

 

110

 

 

70,400

 

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

 

 

2,100

 

 

1,617,000

 

 

 

 

 

 

     

 

 

 

 

 

 

3,141,645

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

               

Textiles, Apparel & Luxury Goods—0.0%

 

 

 

 

 

 

 

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

 

USD

175

 

$

140,438

 

               

Wireless Telecommunication Services—1.8%

 

 

 

 

 

 

 

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

 

 

100

 

 

99,125

 

Digicel Group Ltd. (e):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

240

 

 

225,312

 

9.125%, 1/15/15 (i)

 

 

560

 

 

506,100

 

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

 

 

80

 

 

79,300

 

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

 

 

770

 

 

741,125

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

 

1,150

 

 

1,180,882

 

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

 

 

915

 

 

777,750

 

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

 

 

2,504

 

 

2,619,850

 

 

 

 

 

 

     

 

 

 

 

 

 

6,229,444

 

               

Total Corporate Bonds—58.4%

 

 

 

 

 

202,317,696

 

               

 

 

 

 

 

 

 

 


Foreign Government Obligations

 

 

 

 

 

 

 

               

Bundesrepublik Deutschland Series 07, 4.25%, 7/04/39

 

EUR

1,290

 

 

1,792,363

 

France Government Bond, 3.15%, 7/25/32

 

 

584

 

 

1,012,228

 

Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

USD

825

 

 

886,652

 

5.50%, 9/18/33

 

 

845

 

 

915,864

 

               

Total Foreign Government Obligations—1.3%

 

 

 

 

 

4,607,107

 

               

 

 

 

 

 

 

 

 


Non-Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Collateralized Mortgage Obligations—4.3%

 

 

 

 

 

 

 

American Home Mortgage Assets Series 2006-6 Class A1A,
2.662%, 12/25/46 (a)

 

 

354

 

 

215,452

 

Bear Stearns Adjustable Rate Mortgage Series 2004-8
Class 14A1, 5.473%, 11/25/34 (a)

 

 

784

 

 

722,161

 

Citigroup Mortgage Loan Trust, Inc. Series 2005-4
Class A, 5.344%, 8/25/35 (a)

 

 

718

 

 

630,949

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,111,486

 

Series 2006-01A0 Class 1A1, 4.039%, 8/25/46 (a)

 

 

367

 

 

231,107

 

Series 2006-0A19 Class A1, 2.651%, 2/20/47 (a)

 

 

532

 

 

329,143

 

Series 2006-0A21 Class A1, 2.661%, 3/20/47 (a)

 

 

979

 

 

609,134

 

Countrywide Home Loan Mortgage Pass-Through Trust
Series 2006-0A5 Class 2A1, 2.672%, 4/25/46 (a)

 

 

424

 

 

257,664

 

Deutsche Alt-A Securities, Inc. Alternate Loan Trust:

 

 

 

 

 

 

 

Series 2003-3 Class 2A1, 5.50%, 10/25/33

 

 

1,300

 

 

1,076,968

 

Series 2006-0A1 Class A1, 2.672%, 2/25/47 (a)

 

 

518

 

 

328,640

 

GSR Mortgage Loan Trust (a):

 

 

 

 

 

 

 

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

 

 

717

 

 

655,080

 

Series 2006-0A1 Class 2A1, 2.662%, 8/25/46

 

 

1,096

 

 

756,121

 

Harborview Mortgage Loan Trust Series 2006-9
Class 2A1A, 2.676%, 11/19/36 (a)

 

 

733

 

 

447,191

 

Homebanc Mortgage Trust Series 2006-2 Class A1,
2.652%, 12/25/36 (a)

 

 

1,099

 

 

730,074

 

Maryland Insurance Backed Securities Trust
Series 2006-1A, 5.55%, 12/10/65

 

 

2,500

 

 

1,750,000

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3
Class 3A1, 5.823%, 5/25/36 (a)(k)

 

 

1,045

 

 

678,964

 

Structured Asset Securities Corp. Series 2002-AL1
Class A2, 3.45%, 2/25/32

 

 

2,096

 

 

1,738,939

 

WaMu Mortgage Pass Through Certificates (a):

 

 

 

 

 

 

 

Series 2005-AR10 Class 1A3, 4.834%, 9/25/35

 

 

1,800

 

 

1,589,221

 

Series 2007-0A4 Class 1A, 3.849%, 5/25/47

 

 

501

 

 

300,468

 

Series 2007-0A5 Class 1A, 3.829%, 6/25/47

 

 

860

 

 

583,748

 

 

 

 

 

 

     

 

 

 

 

 

 

14,742,510

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

15



 

 


 

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

 

 

Commercial Mortgage-Backed Securities—12.7%

 

 

 

 

 

 

 

Banc of America Commercial Mortgage, Inc.
Series 2005-1 Class 4A, 4.988%, 11/10/42 (a)

 

USD

2,180

 

$

2,142,973

 

CS First Boston Mortgage Securities Corp.
Series 2002-CP5 Class A2, 4.94%, 12/15/35

 

 

2,720

 

 

2,643,455

 

Citigroup Commercial Mortgage Trust Series 2008-C7
Class A4, 6.299%, 12/10/49 (a)

 

 

1,370

 

 

1,283,135

 

Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2007-CD5 Class A4, 5.886%, 11/15/44 (a)

 

 

2,500

 

 

2,284,573

 

Commercial Mortgage Pass-Through Certificates
Series 2004-LB3A Class A3, 5.09%, 7/10/37 (a)

 

 

960

 

 

950,534

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

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

 

 

2,910

 

 

2,965,044

 

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

 

 

2,265

 

 

2,298,385

 

GMAC Commercial Mortgage Securities, Inc. Class A2:

 

 

 

 

 

 

 

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

 

 

1,302

 

 

1,321,719

 

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

 

 

2,350

 

 

2,279,239

 

Heller Financial Commercial Mortgage Asset
Series 1999-PH1 Class A2, 6.847%, 5/15/31 (a)

 

 

819

 

 

819,520

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

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

 

 

2,140

 

 

2,150,813

 

Series 2004-CB8 Class A1A, 4.158%, 1/12/39

 

 

976

 

 

914,922

 

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

 

 

2,180

 

 

2,118,693

 

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

 

 

960

 

 

866,961

 

JPMorgan Commercial Mortgage Finance Corp.
Series 2000-C10 Class A2, 7.371%, 8/15/32 (a)

 

 

1,621

 

 

1,660,008

 

LB-UBS Commercial Mortgage Trust (a):

 

 

 

 

 

 

 

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

 

 

1,816

 

 

1,660,552

 

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

 

 

5,000

 

 

4,563,787

 

Merrill Lynch Mortgage Trust Series 2007-C1 Class AM,
6.022%, 6/12/50 (a)(k)

 

 

925

 

 

792,051

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

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

 

 

1,475

 

 

1,376,293

 

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

 

 

618

 

 

561,011

 

Series 2007-T27 Class A4, 5.804%, 6/13/42 (a)

 

 

995

 

 

903,414

 

Series 2008-T29 Class A4, 6.458%, 1/11/43 (a)

 

 

1,370

 

 

1,293,780

 

Salomon Brothers Mortgage Securities VII, Inc.
Series 2000-C1 Class A2, 7.52%, 12/18/09 (a)

 

 

3,265

 

 

3,335,013

 

Wachovia Bank Commercial Mortgage Trust (a):

 

 

 

 

 

 

 

Series 2005-C21 Class A3, 5.274%, 10/15/44

 

 

910

 

 

906,421

 

Series 2006-C25 Class A4, 5.926%, 5/15/43

 

 

1,190

 

 

1,119,525

 

Series 2007-C33 Class A4, 6.10%, 2/15/51

 

 

995

 

 

920,108

 

 

 

 

 

 

     

 

 

 

 

 

 

44,131,929

 

 

Total Non-Government Agency Mortgage-Backed Securities—17.0%

 

 

 

 

 

58,874,439

 

 

 


U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

 

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

5.00%, 3/01/21–7/01/36 (l)

 

 

7,344

 

 

7,120,308

 

5.50%, 9/15/23–9/15/38 (h)(l)

 

 

60,991

 

 

60,374,119

 

6.00%, 8/01/29–3/01/38

 

 

8,406

 

 

8,497,446

 

7.00%, 1/01/31–7/01/32

 

 

214

 

 

225,617

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

5.00%, 8/01/33

 

 

70

 

 

67,454

 

5.50%, 11/01/34–5/01/36 (d)

 

 

4,502

 

 

4,451,684

 

6.00%, 2/01/13–12/01/18 (h)

 

 

2,113

 

 

2,164,347

 

6.277%, 5/01/32

 

 

47

 

 

47,367

 

7.00%, 9/01/31

 

 

19

 

 

20,397

 

Ginnie Mae MBS Certificates:

 

 

 

 

 

 

 

5.50%, 8/15/33 (d)

 

 

190

 

 

190,620

 

6.50%, 10/18/37 (l)

 

 

200

 

 

204,750

 

 

Total U.S. Government Agency Mortgage-Backed Securities—24.1%

 

 

 

 

 

83,364,109

 

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

 

Fannie Mae Trust:

 

 

 

 

 

 

 

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

 

USD

3,984

 

$

1,000,476

 

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

 

 

20,628

 

 

1,912,141

 

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

 

 

2,250

 

 

2,268,900

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

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

 

 

1,736

 

 

200,646

 

Series 2611 Class QI, 5.50%, 9/15/32 (b)

 

 

5,107

 

 

890,595

 

Series 2684 Class SP, 4.986%, 1/15/33 (a)(b)

 

 

395

 

 

64,189

 

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

 

 

1,189

 

 

1,215,251

 

Series 3208 Class PS, 4.586%, 8/15/36 (a)(b)

 

 

1,942

 

 

227,571

 

Series 3316 Class SB, 4.729%, 8/15/35 (a)(b)

 

 

354

 

 

47,849

 

 

Total U.S. Government Agency Mortgage-Backed Securities—
Collateralized Mortgage Obligations—2.3%

 

 

 

 

 

7,827,618

 

 

 


U.S. Government Obligations

 

 

 

 

 

 

 

 

Federal Housing Administration, Hebre Home Hospital,
6.25%, 9/01/28

 

 

1,007

 

 

1,028,029

 

Resolution Funding Corp. (m):

 

 

 

 

 

 

 

6.196%, 7/15/18

 

 

525

 

 

343,762

 

6.30%, 10/15/18

 

 

525

 

 

338,152

 

U.S. Treasury Bonds, 6.125%, 11/15/27

 

 

1,345

 

 

1,634,071

 

U.S. Treasury Inflation Indexed Bonds:

 

 

 

 

 

 

 

2.375%, 1/15/27 (d)

 

 

1,534

 

 

1,587,066

 

1.75%, 1/15/28

 

 

4,727

 

 

4,429,269

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

4%, 8/15/18 (d)

 

 

17,125

 

 

17,385,882

 

5%, 5/15/37

 

 

545

 

 

595,540

 

4.375%, 2/15/38 (d)

 

 

8,115

 

 

8,057,310

 

4.50%, 5/15/38

 

 

3,000

 

 

3,034,686

 

 

Total U.S. Government Obligations—11.1%

 

 

 

 

 

38,433,767

 

 

 


Preferred Securities

 

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

 

Capital Markets—0.1%

 

 

 

 

 

 

 

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

 

 

494

 

 

400,876

 

 

Commercial Banks—1.9%

 

 

 

 

 

 

 

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

 

 

545

 

 

482,819

 

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

 

 

1,975

 

 

1,745,051

 

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

 

 

250

 

 

199,461

 

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

 

 

475

 

 

349,518

 

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

 

 

2,200

 

 

1,858,461

 

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

 

 

2,550

 

 

1,915,790

 

 

 

 

 

 

     

 

 

 

 

 

 

6,551,100

 

 

Diversified Financial Services—2.4%

 

 

 

 

 

 

 

Bank of America Corp. (a)(c):

 

 

 

 

 

 

 

Series K, 8%

 

 

1,360

 

 

1,212,010

 

Series M, 8.125%

 

 

1,050

 

 

947,919

 

Citigroup, Inc. 8.30%, 12/21/57 (a)(h)

 

 

2,225

 

 

2,008,454

 

JPMorgan Chase & Co., 7.90% (a)(c)

 

 

1,925

 

 

1,748,863

 

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

 

 

2,780

 

 

2,373,050

 

 

 

 

 

 

     

 

 

 

 

 

 

8,290,296

 

 

Electric Utilities—0.2%

 

 

 

 

 

 

 

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

 

 

790

 

 

657,741

 

 

Insurance—1.4%

 

 

 

 

 

 

 

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

 

 

1,950

 

 

1,591,512

 

American International Group, Inc., 8.175%, 5/15/58 (a)(e)

 

 

1,230

 

 

950,030

 

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

 

 

675

 

 

529,291

 

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

 

 

605

 

 

495,684

 

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

 

 

675

 

 

574,860

 

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

 

 

675

 

 

581,494

 

 

 

 

 

 

     

 

 

 

 

 

 

4,722,871

 

 

Total Capital Trusts—6.0%

 

 

 

 

 

20,622,884

 

 

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

16

ANNUAL REPORT

AUGUST 31, 2008

 



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

 

Diversified Financial Services—0.1%

 

 

 

 

 

 

 

Citigroup, Inc. Series AA, 8.125%

 

 

25,500

 

$

506,940

 

 

Total Preferred Stocks—0.1%

 

 

 

 

 

506,940

 

 

Total Preferred Securities—6.1%

 

 

 

 

 

21,129,824

 

 

 

 

 

 

 

 

 

 


Other Interests (n)

 

Beneficial
Interest
(000)

 

 

 

 

 

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc. (o)

 

USD

2

 

 

637

 

 

Total Other Interests—0.0%

 

 

 

 

 

637

 

 

Total Long-Term Investments
(Cost—$478,486,079)—132.3%

 

 

 

 

 

458,231,898

 

 

 

 

 

 

 

 

 

 


Short-Term Securities

 

Par
(000)

 

 

 

 

 

U.S. Government & Agency Obligations—0.9%

 

 

 

 

 

 

 

Federal Home Loan Bank, 2.60%, 9/02/08 (p)

 

USD

400

 

 

400,000

 

U.S. Treasury Bills, 1.79%, 9/25/08 (p)

 

 

2,600

 

 

2,597,126

 

 

Total Short-Term Securities
(Cost—$2,997,126)—0.9%

 

 

 

 

 

2,997,126

 

 

 

 

 

 

 

 

 

 


Options Purchased

 

Contracts (q)

 

 

 

 

 

Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 5.12% and pay a floating rate
based on 3-month LIBOR, expiring November 2010

 

 

11

 

 

398,475

 

Receive a fixed rate of 5.39% and pay a floating rate
based on 3-month LIBOR, expiring March 2012

 

 

6

 

 

410,758

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, expiring May 2012

 

 

11

 

 

729,814

 

Receive a fixed rate of 6.025% and pay a floating rate
based on 3-month LIBOR, expiring June 2012

 

 

7

 

 

680,542

 

 

 

 

 

 

     

 

 

 

 

 

 

2,219,589

 

 

Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 5.12% and receive a floating rate
based on 3-month LIBOR, expiring November 2010

 

 

11

 

 

230,549

 

Pay a fixed rate of 5.39% and receive a floating rate
based on 3-month LIBOR, expiring March 2012

 

 

6

 

 

272,026

 

Pay a fixed rate of 5.47% and receive a floating rate
based 3-month LIBOR, expiring May 2012

 

 

11

 

 

443,363

 

Pay a fixed rate of 6.025% and receive a floating rate
based on 3-month LIBOR, expiring June 2012

 

 

7

 

 

201,169

 

 

 

 

 

 

     

 

 

 

 

 

 

1,147,107

 

 

Total Options Purchased
(Cost—$2,586,423)—1.0%

 

 

 

 

 

3,366,696

 

 

Total Investments Before TBA Sale Commitments and
Options Written (Cost—$484,069,628*)—134.2%

 

 

 

 

 

464,595,720

 

 

 

 

 

 

 

 

 

 


TBA Sale Commitments

 

Par
(000)

 

 

 

 

 

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

5.00%, 3/01/21–7/01/36

 

USD

(4,100

)

 

(3,945,389

)

5.50%, 9/15/23–9/15/38

 

 

(9,900

)

 

(9,787,754

)

6.00%, 8/01/29–3/01/38

 

 

(2,700

)

 

(2,729,257

)

Freddie Mac Mortgage Participation Certificates,

 

 

 

 

 

 

 

5.50%, 11/01/34–5/01/36

 

 

(4,500

)

 

(4,441,955

)

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

 

 

(100

)

 

(99,531

)

 

Total TBA Sale Commitments
(Proceeds—$20,649,320)—(6.1)%

 

 

 

 

 

(21,003,886

)

 

 

 

 

 

 

 

 

 

Options Written

 

 

Contracts

 

Value

 

 

Call Option Written

 

 

 

 

 

 

 

30-Year U.S. Treasury Bonds,
expiring November 2008 at $118

 

 

100

 

$

(181,250

)

 

Call Swaptions Written (q)

 

 

 

 

 

 

 

Pay a fixed rated of 4.58% and received a floating rate
based on 3-month LIBOR, expiring May 2009

 

 

9

 

 

(219,870

)

Pay a fixed rate of 4.94% and receive floating rate
based on 3-month LIBOR, expiring December 2008

 

 

14

 

 

(524,986

)

Pay a fixed rate of 5.01% and receive a floating rate
based on 3-month LIBOR, expiring November 2008

 

 

4

 

 

(162,520

)

Pay a fixed rate of 5.05% and receive a floating rate
based on 3-month LIBOR, expiring May 2011

 

 

10

 

 

(494,250

)

Pay a fixed rate of 5.08% and receive a floating rate
based on 3-month LIBOR, expiring May 2011

 

 

6

 

 

(307,544

)

Pay a fixed rate of 5.0825% and receive a floating rate
based on 3-month LIBOR, expiring July, 2010

 

 

3

 

 

(121,990

)

Pay a fixed rate of 5.325% and receive a floating rate
based on 3-month LIBOR, expiring July 2013

 

 

8

 

 

(322,972

)

Pay a fixed rated of 5.485% and receive a floating rate
based on 3-month LIBOR, expiring October 2009

 

 

4

 

 

(308,709

)

Pay a fixed rated of 5.67% and receive a floating rate
based on 3-month LIBOR, expiring January 2010

 

 

11

 

 

(899,151

)

 

 

 

 

 

     

 

 

 

 

 

 

(3,361,992

)

 

Put Swaptions Written (q)

 

 

 

 

 

 

 

Receive a fixed rate of 3.10% and pay a floating rate
based on 3-month LIBOR, expiring October 2008

 

 

20

 

 

(127,745

)

Receive a fixed rate of 4.58% and pay a floating rate
based on 3-month LIBOR, expiring May 2009

 

 

9

 

 

(287,325

)

Receive a fixed rate of 4.94% and pay a floating rate
based on 3-month LIBOR, expiring December 2008

 

 

14

 

 

(131,320

)

Receive a fixed rate of 5.01% and pay a floating rate
based on 3-month LIBOR, expiring November 2008

 

 

4

 

 

(19,310

)

Receive a fixed rate of 5.05% and pay a floating rate
based on 3-month LIBOR, expiring May 2011

 

 

10

 

 

(468,630

)

Receive a fixed rate of 5.08% and pay a floating rate
based on 3-month LIBOR, expiring May 2011

 

 

6

 

 

(277,904

)

Receive a fixed rate of 5.0825% and pay a floating rate
based on 3-month LIBOR, expiring July, 2010

 

 

3

 

 

(91,080

)

Receive a fixed rate of 5.325% and pay a floating rate
based on 3-month LIBOR, expiring July 2013

 

 

8

 

 

(248,470

)

Receive a fixed rate of 5.485% and pay a floating rate
based on 3-month LIBOR, expiring October 2009

 

 

4

 

 

(68,612

)

Receive a fixed rate of 5.67% and pay a floating rate
based on 3-month LIBOR, expiring January 2010

 

 

12

 

 

(163,565

)

 

 

 

 

 

     

 

 

 

 

 

 

(1,883,961

)

 

Total Options Written
(Premiums Received—$5,724,085)—(1.5)%

 

 

 

 

 

(5,427,203

)

 

Total Investments, Net of TBA Sale Commitments and
Options Written—126.6%

 

 

 

 

 

438,164,631

 

Liabilities in Excess of Other Assets—(26.6)%

 

 

 

 

 

(91,988,005

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

346,176,626

 

 

 

 

 

 

     

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

17



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2008, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

484,079,937

 

 

 

     

Gross unrealized appreciation

 

$

4,718,525

 

Gross unrealized depreciation

 

 

(24,202,742

)

 

 

     

Net unrealized depreciation

 

$

(19,484,217

)

 

 

     

 

 

(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)

Security is perpetual in nature and has no stated maturity date.

(d)

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

(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.

(f)

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

(g)

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

(h)

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

(i)

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

(j)

Non-income producing security; issuer filed for bankruptcy or is in default of interest payments.

(k)

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

 

Income

 

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1, 5.823%, 5/25/36

 

$

720,827

 

 

 

$

1,014

 

Merrill Lynch Mortgage Trust Series 2007-C1 Class AM, 6.022%, 6/12/50

 

 

 

 

 

$

53,024

 

 

 

 

(l)

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.

(m)

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

(n)

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

(o)

Security is fair valued.

(p)

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

(q)

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

 

 

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 industry subclassifications for reporting ease. These industry classifications are unaudited.

 

 

Reverse repurchase agreements outstanding as of August 31, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

 

Net Closing
Amount

 

 

Face
Amount

 

 

Credit Suisse Securities LLC

 

2.60%

 

8/14/08

 

Open

 

$

14,179,559

 

$

14,161,150

 

Lehman Brothers International

 

2.10%

 

7/12/08

 

Open

 

 

1,466,454

 

 

1,459,219

 

Lehman Brothers International

 

2.75%

 

7/13/08

 

Open

 

 

23,076,597

 

 

22,934,688

 

Lehman Brothers International

 

2.00%

 

8/07/08

 

Open

 

 

7,893,079

 

 

7,881,694

 

Lehman Brothers International

 

2.40%

 

8/12/08

 

9/11/08

 

 

46,298,649

 

 

46,237,000

 

Lehman Brothers International

 

2.15%

 

8/15/08

 

Open

 

 

6,669,957

 

 

6,662,794

 

Lehman Brothers International

 

2.03%

 

8/26/08

 

Open

 

 

8,357,047

 

 

8,353,750

 

 

Total

 

 

 

 

 

 

 

$

107,941,342

 

$

107,690,295

 

 

 

 

 

 

 

 

 

           

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

18

ANNUAL REPORT

AUGUST 31, 2008

 



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Foreign currency exchange contracts as of August 31, 2008 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Settlement
Date

 

Unrealized
Appreciation

 

 

USD

5,479,338

 

EUR

3,501,040

 

10/23/08

 

$

358,360

 

USD

1,081,352

 

EUR

683,500

 

10/23/08

 

 

81,595

 

USD

964,232

 

EUR

611,500

 

10/23/08

 

 

69,789

 

EUR

224,000

 

USD

326,786

 

10/23/08

 

 

859

 

 

Total

 

 

 

 

 

 

 

$

510,603

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts purchased as of August 31, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

 

968

 

30-Year
U.S. Treasury Bond

 

September 2008

 

$

110,702,598

 

$

3,702,902

 

224

 

30-Year
U.S. Treasury Bond

 

December 2008

 

$

26,388,643

 

 

(110,643

)

 

Total

 

 

 

 

 

 

 

 

$

3,592,259

 

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts sold as of August 31, 2008 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Depreciation

 

 

164

 

 

2-Year

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bond

 

September 2008

 

$

34,479,811

 

$

(441,939

)

253

 

 

2-Year

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bond

 

December 2008

 

$

53,664,638

 

 

(42,518

)

1,512

 

 

5-Year

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bond

 

September 2008

 

$

167,884,772

 

 

(2,144,353

)

588

 

 

5-Year

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bond

 

December 2008

 

$

65,565,600

 

 

(253,650

)

 

Total

 

 

 

 

 

 

 

 

$

(2,882,460

)

 

 

 

 

 

 

 

 

 

     

 

 

Swaps outstanding as of August 31, 2008 were as follows:


 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

Receive a fixed rate of 4.88% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires August 2009

 

USD

40,200

 

$

729,889

 

Receive a fixed rate of 4.7709% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires August 2009

 

USD

27,800

 

 

475,478

 

Receive a fixed rate of 4.62377% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse First Boston
Expires September 2009

 

USD

50,000

 

 

813,357

 

Receive a fixed rate of 5% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires November 2010

 

USD

4,600

 

 

153,324

 

Pay a fixed rate of 4.922% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires March 2011

 

USD

13,500

 

 

(451,813

)

Receive a fixed rate of 5.496% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America NA
Expires July 2011

 

USD

25,100

 

 

1,288,037

 

Receive a fixed rate of 4.95% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS Warburg
Expires November 2011

 

USD

2,200

 

 

82,144

 

Receive a fixed rate of 5.025% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires November 2011

 

USD

3,000

 

 

118,177

 

Pay a fixed rate of 5.0016% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS Warburg
Expires January 2012

 

USD

8,300

 

 

(327,056

)

Pay a fixed rate of 5.58875% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires July 2012

 

USD

42,000

 

 

(2,610,056

)

Receive a fixed rate of 5.07625% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires August 2012

 

USD

82,500

 

 

3,644,976

 

Receive a fixed rate of 5.10531% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires August 2012

 

USD

19,500

 

 

882,193

 

Receive a fixed rate of 5.0565% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America NA
Expires August 2012

 

USD

49,300

 

 

2,115,995

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

19



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

Receive a fixed rate of 4.9034% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclay Bank PLC
Expires September 2012

 

USD

30,000

 

$

1,129,706

 

Receive a fixed rate of 4.856% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires October 2012

 

USD

9,400

 

 

339,537

 

Receive a fixed rate of 4.32% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires November 2012

 

USD

10,500

 

 

161,228

 

Receive a fixed rate of 4.25% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires November 2012

 

USD

2,625

 

 

33,138

 

Pay a fixed rate of 4.2424% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires December 2012

 

USD

45,000

 

 

(586,230

)

Receive a fixed rate of 3.66375% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires April 2013

 

USD

7,300

 

 

(98,928

)

Receive a fixed rate of 5.29375% and pay a
floating rate based on 6-month
British Pound Sterling LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires April 2013

 

GBP

2,000

 

 

(12,234

)

Receive a fixed rate of 5.14% and pay a floating
rate based on 6-month British Pound Sterling LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires April 2013

 

GBP

2,000

 

 

(23,647

)

Receive a fixed rate of 4.2825% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse First Boston
Expires July 2013

 

USD

82,500

 

 

973,111

 

Receive a fixed rate of 4.2125% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services
Expires August 2013

 

USD

13,200

 

 

109,287

 

Pay a fixed rate of 4.51% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires October 2014

 

USD

41,200

 

 

(718,403

)

Receive a fixed rate of 5.005% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase
Expires October 2014

 

USD

9,500

 

 

421,059

 

Pay a fixed rate of 4.5% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase
Expires May 2015

 

USD

2,800

 

 

(41,936

)

Receive a fixed rate of 4.725% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services
Expires August 2015

 

USD

6,200

 

 

173,326

 


 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

Receive a fixed rate of 4.87% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires January 2016

 

USD

5,000

 

$

178,409

 

Receive a fixed rate of 5.723% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase
Expires July 2016

 

USD

4,800

 

 

439,916

 

Pay a fixed rate of 5.155% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires September 2017

 

USD

10,900

 

 

(577,741

)

Pay a fixed rate of 5.04015% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires September 2017

 

USD

12,500

 

 

(560,294

)

Pay a fixed rate of 5.3075% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclay Bank PLC
Expires October 2017

 

USD

13,800

 

 

(897,403

)

Pay a fixed rate of 5.115% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires March 2018

 

USD

6,600

 

 

(330,034

)

Receive a fixed rate of 4.311% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG London
Expires May 2018

 

USD

6,600

 

 

(90,312

)

Receive a fixed rate of 4.7058% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS Warburg
Expires July 2018

 

USD

8,700

 

 

148,211

 

Pay a fixed rate of 4.52165% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires July 2018

 

USD

12,300

 

 

(27,080

)

Receive a fixed rate of 5.411% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase
Expires August 2022

 

USD

8,545

 

 

656,068

 

Pay a fixed rate of 5.365% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America NA
Expires September 2027

 

USD

8,000

 

 

(591,485

)

Pay a fixed rate of 5.0605% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs & Co.
Expires November 2037

 

USD

6,200

 

 

(224,788

)

Pay a fixed rate of 5.06276% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires December 2037

 

USD

1,300

 

 

(47,544

)

Pay a fixed rate of 5.0639% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires December 2037

 

USD

1,300

 

 

(47,770

)


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

20

ANNUAL REPORT

AUGUST 31, 2008

 



 

 


 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

Pay a fixed rate of 4.785% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires January 2038

 

USD

2,000

 

$

14,638

 

Pay a fixed rate of 4.601% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Lehman Brothers Special Financing
Expires January 2038

 

USD

5,000

 

 

181,923

 

Pay a fixed rate of 4.8375% and receive a
floating rate based on the 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services
Expires January 2038

 

USD

6,000

 

 

(5,900

)

Receive a fixed rate of 5.29750% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires February 2038

 

USD

700

 

 

51,907

 

Receive a fixed rate of 5.1575% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires June 2038

 

USD

1,000

 

 

51,774

 

 

Total

 

 

 

 

$

7,096,154

 

 

 

 

 

 

     

 

 

 

Currency Abbreviations:

 

EUR

Euro

 

GBP

British Pound

 

USD

U.S. Dollar


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2008

21



 

 


 

Schedule of Investments August 31, 2008

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Aerospace & Defense—1.7%

 

 

 

 

 

 

 

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

 

USD

679

 

$

707,200

 

DRS Technologies, Inc.:

 

 

 

 

 

 

 

6.875%, 11/01/13

 

 

170

 

 

172,125

 

7.625%, 2/01/18

 

 

170

 

 

178,925

 

Hawker Beechcraft Acquisitions Co. LLC, 8.875%, 4/01/15

 

 

140

 

 

139,300

 

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

 

 

405

 

 

392,850

 

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

 

 

140

 

 

131,950

 

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

 

 

300

 

 

291,750

 

 

 

 

 

 

     

 

 

 

 

 

 

2,014,100

 

               

Airlines—0.2%

 

 

 

 

 

 

 

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

 

 

280

 

 

254,800

 

               

Auto Components—2.5%

 

 

 

 

 

 

 

Allison Transmission, Inc.(a):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

265

 

 

243,800

 

11.25%, 11/01/15 (b)

 

 

695

 

 

611,600

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

420

 

 

422,100

 

8.625%, 12/01/11

 

 

682

 

 

702,460

 

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

 

 

370

 

 

278,425

 

Meritor Automotive Inc., 6.80%, 2/15/09

 

 

22

 

 

21,670

 

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

 

 

935

 

 

252,450

 

Stanadyne Corp. Series 1, 10%, 8/15/14

 

 

525

 

 

493,500

 

 

 

 

 

 

     

 

 

 

 

 

 

3,026,005

 

               

Automobiles—1.0%

 

 

 

 

 

 

 

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

 

 

1,330

 

 

1,107,225

 

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

 

 

300

 

 

159,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,266,225

 

               

Building Products—1.4%

 

 

 

 

 

 

 

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

 

 

540

 

 

415,800

 

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

 

 

945

 

 

737,100

 

Ply Gem Industries, Inc., 11.75%, 6/15/13 (a)

 

 

635

 

 

577,850

 

 

 

 

 

 

     

 

 

 

 

 

 

1,730,750

 

               

Chemicals—3.2%

 

 

 

 

 

 

 

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

 

 

400

 

 

388,000

 

Ames True Temper, Inc., 6.791%, 1/15/12 (c)

 

 

1,070

 

 

856,000

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

7.304%, 11/15/14 (c)

 

 

275

 

 

209,688

 

9.75%, 11/15/14

 

 

250

 

 

208,125

 

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

 

 

1,170

 

 

1,199,250

 

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

 

 

205

 

 

71,750

 

MacDermid, Inc., 9.50%, 4/15/17 (a)

 

 

755

 

 

690,825

 

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

 

 

265

 

 

257,713

 

 

 

 

 

 

     

 

 

 

 

 

 

3,881,351

 

               

Commercial Services & Supplies—3.3%

 

 

 

 

 

 

 

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

 

 

85

 

 

85,637

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

400

 

 

396,000

 

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

 

 

904

 

 

897,220

 

Sally Holdings LLC:

 

 

 

 

 

 

 

9.25%, 11/15/14

 

 

90

 

 

91,013

 

10.50%, 11/15/16

 

 

529

 

 

531,645

 

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

 

 

800

 

 

808,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

375

 

 

319,688

 

11%, 10/15/16

 

 

1,195

 

 

935,087

 

 

 

 

 

 

     

 

 

 

 

 

 

4,064,290

 

               

Communications Equipment—0.4%

 

 

 

 

 

 

 

Nortel Networks Ltd., 7.041%, 7/15/11 (c)

 

 

555

 

 

514,762

 

               

Construction Materials—1.2%

 

 

 

 

 

 

 

Nortek Holdings, Inc., 10%, 12/01/13 (a)

 

 

1,580

 

 

1,477,300

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Containers & Packaging—5.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 6.651%, 9/15/14 (c)

 

USD

300

 

$

225,000

 

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

 

 

255

 

 

261,375

 

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

 

 

65

 

 

61,100

 

Impress Holdings BV, 5.916%, 9/15/13 (a)(c)

 

 

775

 

 

697,500

 

Jefferson Smurfit Corp. US, 7.50%, 6/01/13

 

 

1,000

 

 

830,000

 

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

 

 

2,600

 

 

2,678,000

 

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

 

 

1,034

 

 

987,470

 

Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17

 

 

1,140

 

 

912,000

 

 

 

 

 

 

     

 

 

 

 

 

 

6,652,445

 

               

Diversified Financial Services—4.0%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16 (a)

 

 

240

 

 

241,200

 

FCE Bank Plc, 7.125%, 1/16/12

 

EUR

1,100

 

 

1,345,966

 

Ford Motor Credit Co LLC:

 

 

 

 

 

 

 

8.625%, 11/01/10

 

USD

140

 

 

116,957

 

5.538%, 1/13/12 (c)

 

 

290

 

 

214,108

 

7.80%, 6/01/12

 

 

1,500

 

 

1,113,998

 

GMAC LLC:

 

 

 

 

 

 

 

6.875%, 8/28/12

 

 

710

 

 

416,518

 

5.011%, 12/01/14 (c)

 

 

560

 

 

294,082

 

6.75%, 12/01/14

 

 

405

 

 

219,901

 

8%, 11/01/31

 

 

675

 

 

364,061

 

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

 

 

600

 

 

603,750

 

 

 

 

 

 

     

 

 

 

 

 

 

4,930,541

 

               

Diversified Telecommunication Services—5.9%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

440

 

 

378,400

 

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

 

 

2,085

 

 

2,004,206

 

Qwest Capital Funding, Inc., 7%, 8/03/09

 

 

230

 

 

229,713

 

Qwest Communications International, Inc., 7.50%, 2/15/14

 

 

1,280

 

 

1,164,800

 

Qwest Corp., 6.026%, 6/15/13 (c)

 

 

850

 

 

786,250

 

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

 

 

1,100

 

 

1,127,500

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

855