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 811-10543
Name of Fund: BlackRock Core Bond Trust (BHK)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2020
Date of reporting period: 06/30/2020
Item 1 – Report to Stockholders
JUNE 30, 2020 |
2020 Semi-Annual Report (Unaudited) |
BlackRock Core Bond Trust (BHK)
BlackRock Corporate High Yield Fund, Inc. (HYT)
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Supplemental Information
Amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each of BlackRock Core Bond Trust’s (BHK) and BlackRock Corporate High Yield Fund, Inc.’s (HYT) (each, a “Trust” and together, the “Trusts”) investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
June 30, 2020
Total Fiscal Year to Date Cumulative Distributions by Character | Percentage of Fiscal Year to Date Cumulative Distributions by Character | |||||||||||||||||||||||||||||||||||||||
Ticker | Net Investment Income | Net Realized Capital Gains Short Term | Net Realized Capital Gains Long Term | Return of Capital (a) | Total Per Common Share | Net Investment Income | Net Realized Capital Gains Short Term | Net Realized Capital Gains Long Term | Return of Capital | Total Per Common Share | ||||||||||||||||||||||||||||||
BHK | $ | 0.336795 | $ | 0.001205 | $ | — | $ | — | $ | 0.338000 | 100 | % | 0 | %(b) | 0 | % | 0 | % | 100 | % | ||||||||||||||||||||
HYT | 0.375727 | — | — | 0.013773 | 0.389500 | 96 | 0 | 0 | 4 | 100 |
(a) | Each Trust estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share. |
(b) | Rounds to less than 1%. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
On September 5, 2019, the Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, BHK distributes a fixed amount of $0.0676 per share on a monthly basis and HYT distributes a fixed amount of $0.0779 per share on a monthly basis.
The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
2 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Dear Shareholder,
The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the course of the pandemic, and an uptick in U.S. infection rates caused concern late in the reporting period.
Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.
The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were flat due to credit concerns.
The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruption has clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the impact of the outbreak subsides. Several risks remain, however, including a potential resurgence of the virus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.
Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for a cyclical upside as re-openings continue.
In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of June 30, 2020 | ||||
6-month | 12-month | |||
U.S. large cap equities | (3.08)% | 7.51% | ||
U.S. small cap equities | (12.98) | (6.63) | ||
International equities | (11.34) | (5.13) | ||
Emerging market equities | (9.78) | (3.39) | ||
3-month Treasury bills | 0.60 | 1.63 | ||
U.S. Treasury securities | 12.68 | 14.21 | ||
U.S. investment grade bonds | 6.14 | 8.74 | ||
Tax-exempt municipal bonds | 1.97 | 4.23 | ||
U.S. high yield bonds | (3.83) | 0.00 | ||
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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Trust Summary as of June 30, 2020 | BlackRock Core Bond Trust |
Trust Overview
BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its managed assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, U.S. government and agency securities and mortgage-related securities. The Trust may invest up to 25% of its total managed assets in bonds that at the time of investment are rated Ba/BB or below by Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings, Fitch Ratings (“Fitch”) or another nationally recognized rating agency or bonds that are unrated but judged to be of comparable quality by the investment adviser. The Trust may invest up to 10% of its managed assets in bonds issued in foreign currencies. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange (“NYSE”) | BHK | |
Initial Offering Date | November 27, 2001 | |
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($15.37)(a) | 5.28% | |
Current Monthly Distribution per Common Share(b) | $0.0676 | |
Current Annualized Distribution per Common Share(b) | $0.8112 | |
Leverage as of June 30, 2020(c) | 24% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11. |
Market Price and Net Asset Value Per Share Summary
06/30/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price | $ | 15.37 | $ | 14.58 | 5.42 | % | $ | 15.75 | $ | 11.44 | ||||||||||
Net Asset Value | 15.89 | 15.32 | 3.72 | 16.75 | 13.52 |
Market Price and Net Asset Value History For the Past Five Years
TRUST SUMMARY | 5 |
Trust Summary as of June 30, 2020 (continued) | BlackRock Core Bond Trust |
Performance and Portfolio Management Commentary
Returns for the period ended June 30, 2020 were as follows:
Average Annual Total Returns | ||||||||||||||||||||
6-Months | 1 Year | 3 Years | 5 Years | |||||||||||||||||
Trust at NAV(a)(b) | 6.10 | % | 11.84 | % | 8.48 | % | 8.24 | % | ||||||||||||
Trust at Market Price(a)(b) | 7.84 | 15.34 | 9.52 | 10.23 | ||||||||||||||||
Reference Benchmark(c) | 6.31 | 10.39 | 6.75 | 6.13 | ||||||||||||||||
Bloomberg Barclays U.S. Long Government/Credit Index(d) | 12.82 | 18.91 | 10.32 | 8.98 | ||||||||||||||||
Bloomberg Barclays Intermediate Credit Index(e) | 4.16 | 6.97 | 4.88 | 4.18 | ||||||||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(f) | (3.83 | ) | (0.00 | )(g) | 3.32 | 4.79 | ||||||||||||||
Bloomberg Barclays CMBS, Eligible for U.S. Aggregate(h) | 5.19 | 6.83 | 5.10 | 4.21 | ||||||||||||||||
Bloomberg Barclays MBS Index(i) | 3.50 | 5.67 | 3.97 | 3.23 | ||||||||||||||||
Bloomberg Barclays ABS Index(j) | 3.32 | 4.68 | 3.34 | 2.67 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
(b) | The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Long Government/Credit Index (40%); Bloomberg Barclays Intermediate Credit Index (24%); Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg Barclays MBS Index (8%); and Bloomberg Barclays ABS Index (4%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | This unmanaged index is the long component of the Bloomberg Barclays U.S. Government/Credit Index. This unmanaged index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. |
(e) | This unmanaged index is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. |
(f) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(g) | Amount is greater than (0.005)%. |
(h) | This unmanaged index is the CMBS component of the Bloomberg Barclays U.S. Aggregate Index. |
(i) | This unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg Barclays U.S. Aggregate Bond Index. The unmanaged index is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income. |
(j) | This unmanaged index is the asset-backed securities component of the Bloomberg Barclays U.S. Aggregate Index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not indicative of future results.
BHK is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Positive contributions to the Trust’s absolute performance over the period came from its allocations to U.S. Treasuries, corporate bonds, 30-year pass-through mortgage-backed securities (“MBS”), agency collateralized mortgage obligations (“CMOs”) and U.S. agency securities.
The principal detractors from the Trust’s absolute performance were its exposures to commercial mortgage-backed securities (“CMBS”), high yield corporate credit, emerging market debt and non-U.S. dollar exposure.
Derivatives are utilized by the Trust in order to manage and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the portfolio. During the period, the Trust’s overall use of derivatives contributed to performance.
Describe recent portfolio activity.
Over the reporting period, the Trust increased its exposure in corporate securities, while also increasing exposure to emerging market debt. The Trust significantly reduced exposure to U.S. Treasuries, while trimming exposure to high yield corporate bonds.
Describe portfolio positioning at period end.
At period end, the Trust maintained a diversified exposure within non-government spread sectors, including investment grade corporate credit, high yield corporate credit, CMBS, asset-backed securities and emerging market debt. The Trust also held exposure to government-related sectors such as 30-year MBS pass-throughs, agency CMOs and U.S. agency securities.
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.
6 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Trust Summary as of June 30, 2020 (continued) | BlackRock Core Bond Trust |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
06/30/20 | 12/31/19 | |||||||
Corporate Bonds | 80 | % | 43 | % | ||||
Floating Rate Loan Interests | 12 | 2 | ||||||
Preferred Securities | 3 | 8 | ||||||
Asset-Backed Securities | 3 | 5 | ||||||
Common Stocks | 2 | — | ||||||
U.S. Government Sponsored Agency Securities | — | 20 | ||||||
U.S. Treasury Obligations | — | 15 | ||||||
Non-Agency Mortgage-Backed Securities | — | 3 | ||||||
Municipal Bonds | — | 2 | ||||||
Foreign Agency Obligations | — | 2 | ||||||
Short-Term Securities | — | 1 | ||||||
Options Purchased | — | — | (a) | |||||
Options Written | — | (1 | ) | |||||
Other | — | (b) | — |
(a) | Representing less than 1% of the Trust’s total investments. |
(b) | Representing less than 1% of the Trust’s total investments and Other may include Warrants, Other Interests, Short-Term Securities, Options Purchased and Options Written. |
CREDIT QUALITY ALLOCATION (c)(d)
06/30/20 | 12/31/19 | |||||||
AAA/Aaa(e) | 2 | % | 37 | % | ||||
AA/Aa | 38 | 4 | ||||||
A | 11 | 13 | ||||||
BBB/Baa | 23 | 24 | ||||||
BB/Ba | 11 | 10 | ||||||
B/B | 7 | 8 | ||||||
CCC | 3 | 2 | ||||||
CC | 1 | — | ||||||
N/R | 4 | 2 |
(c) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) | Excludes Short-Term Securities, Options Purchased and Options Written. |
(e) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
TRUST SUMMARY | 7 |
Trust Summary as of June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. |
Trust Overview
BlackRock Corporate High Yield Fund, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in a diversified portfolio of fixed income securities which are rated at the time of investment to be below investment grade or, if unrated, are considered by the investment adviser to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.
No assurance can be given that the Trust’s investment objectives will be achieved.
Trust Information
Symbol on NYSE | HYT | |
Initial Offering Date | May 30, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($10.17)(a) | 9.19% | |
Current Monthly Distribution per Common Share(b) | $0.0779 | |
Current Annualized Distribution per Common Share(b) | $0.9348 | |
Leverage as of June 30, 2020(c) | 32% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust, (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11. |
Market Price and Net Asset Value Per Share Summary
06/30/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price | $ | 10.17 | $ | 11.20 | (9.20 | )% | $ | 11.73 | $ | 6.26 | ||||||||||
Net Asset Value | 10.76 | 11.91 | (9.66 | ) | 12.07 | 8.25 |
Market Price and Net Asset Value History For the Past Five Years
8 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Trust Summary as of June 30, 2020 (continued) | BlackRock Corporate High Yield Fund, Inc. |
Performance and Portfolio Management Commentary
Returns for the period ended June 30, 2020 were as follows:
Average Annual Total Returns | ||||||||||||||||||||
6-Months | 1 Year | 3 Years | 5 Years | |||||||||||||||||
Trust at NAV(a)(b) | (6.04 | )% | (0.17 | )% | 4.22 | % | 5.69 | % | ||||||||||||
Trust at Market Price(a)(b) | (5.56 | ) | 3.51 | 5.94 | 7.65 | |||||||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(c) | (3.83 | ) | (0.00 | )(d) | 3.32 | 4.79 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
(b) | The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | An unmanaged index (the “Reference Benchmark”) comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(d) | Amount is greater than (0.005)%. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not indicative of future results.
HYT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
The Trust’s exposures to the independent energy, aerospace & defense, and gaming sectors were the largest detractors from performance. By credit rating, bonds in the B and BB ratings categories were the largest detractors over the period. From an asset allocation perspective, high yield corporate bonds weighed most heavily on the Trust’s return as they were negatively impacted by the heightened risk aversion seen in the first quarter of 2020 and benefited less than most other bond categories in the second quarter from Fed policy support. An exposure to equities also pared back the return.
From a sector perspective, wireless, technology and food & beverage were the largest positive contributors over the period. By credit rating, BBB-rated bonds were the largest contributors to return over the period. From an asset allocation perspective, the Trust’s tactical allocation to investment grade corporate bonds was the most meaningful contributor to return as the segment rebounded in the second quarter aided by the announcement of Fed bond purchasing programs.
Describe recent portfolio activity.
While key positioning themes remained broadly consistent, the investment adviser tactically navigated sector- and issuer-level positioning to take advantage of market opportunities. The Trust’s exposure to investment grade corporate bonds was increased during the period, while its allocation to floating rate loan interests (“bank loans”) remained relatively constant. The Trust increased its allocation to the independent energy, midstream and automotive sectors, while reducing exposures in the banking, electric utility and media & entertainment sectors.
Describe portfolio positioning at period end.
At period end, the Trust remained underweight BB-rated credits and overweight select CCC issues. At the same time, the Trust maintained an underweight to the highest-yielding portion of the market that contains a larger concentration of stressed assets. The Trust maintained a tactical allocation to investment grade names, as well as to bank loans as prices for these senior, secured assets remained somewhat depressed in the investment adviser’s view. The Trust’s largest sector overweights included technology, aerospace & defense, and cable & satellite, while underweights included media & entertainment, food & beverage, and home construction.
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 SUMMARY | 9 |
Trust Summary as of June 30, 2020 (continued) | BlackRock Corporate High Yield Fund, Inc. |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
06/30/20 | 12/31/19 | |||||||
Corporate Bonds | 86 | % | 83 | % | ||||
Floating Rate Loan Interests | 9 | 9 | ||||||
Preferred Securities | 4 | 4 | ||||||
Common Stocks | 1 | 1 | ||||||
Investment Companies | — | 2 | ||||||
Asset-Backed Securities | — | 1 | ||||||
Other | — | (a) | — | (a) |
(a) | Representing less than 1% of the Trust’s total investments and Other may include Warrants, Other Interests, Short-Term Securities, Options Purchased and Options Written. |
CREDIT QUALITY ALLOCATION (a)(b)
06/30/20 | 12/31/19 | |||||||
A | 2 | % | — | % | ||||
BBB/Baa | 14 | 7 | ||||||
BB/Ba | 38 | 41 | ||||||
B | 31 | 39 | ||||||
CCC/Caa | 11 | 10 | ||||||
N/R | 4 | 3 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes Short-Term Securities, Options Purchased and Options Written. |
10 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. 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 benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trust’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
THE BENEFITSAND RISKSOF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS | 11 |
Schedule of Investments (unaudited) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Common Stocks — 0.0% |
| |||||||||||
Energy Equipment & Services — 0.0% |
| |||||||||||
Pioneer Energy Services Corp.(a)(b) | 542 | $ | 21,047 | |||||||||
|
| |||||||||||
Total Common Stocks — 0.0% |
| 21,047 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Asset-Backed Securities — 7.5% |
| |||||||||||
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 3.92%, 07/15/27(c)(d) | USD | 1,963 | 1,846,969 | |||||||||
Anchorage Capital CLO Ltd.(c)(d): | ||||||||||||
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 4.51%, 10/13/30 | 720 | 667,503 | ||||||||||
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 3.89%, 07/28/28 | 1,000 | 923,991 | ||||||||||
Battalion CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.45%), 4.47%, 01/24/29(c)(d) | 1,000 | 944,039 | ||||||||||
Benefit Street Partners CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.50%), | 815 | 743,503 | ||||||||||
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 8.84%, 10/20/32(c)(d) | 250 | 239,345 | ||||||||||
Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), | 3,000 | 2,797,598 | ||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 3.77%, 08/14/30(c)(d) | 1,000 | 895,277 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A(c)(d): | ||||||||||||
Class D, (3 mo. LIBOR US + 4.15%), 5.29%, 04/20/32 | 500 | 478,757 | ||||||||||
Class E, (3 mo. LIBOR US + 6.75%), 7.89%, 04/20/32 | 400 | 339,263 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), | 500 | 437,508 | ||||||||||
CarVal CLO Ltd., Series 2018-1A, Class E, 6.95%, 07/16/31(c)(e) | 500 | 394,461 | ||||||||||
CIFC Funding Ltd.(c)(d): | ||||||||||||
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.13%), 2.26%, 10/17/30 | 1,000 | 982,159 | ||||||||||
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 2.21%, 01/22/31 | 1,000 | 984,276 | ||||||||||
Series 2015-5A, Class A1R, (3 mo. LIBOR US + 0.86%), 1.85%, 10/25/27 | 1,000 | 980,831 | ||||||||||
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.00%), 1.00%, 07/15/32(f) | 500 | 500,000 | ||||||||||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.01%, 02/15/29(c) | 2,000 | 2,033,373 | ||||||||||
Dryden CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 3.79%, 04/18/31(c)(d) | 1,250 | 1,125,299 | ||||||||||
Dryden Senior Loan Fund, Series 2015-41A, Class AR, (3 mo. LIBOR US + 0.97%), 2.19%, 04/15/31(c)(d) | 2,550 | 2,473,487 | ||||||||||
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 3.54%, 08/15/30(c)(d) | 1,000 | 917,161 | ||||||||||
Eaton Vance Clo Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.25%), 2.39%, 01/20/30(c)(d) | 1,000 | 965,825 | ||||||||||
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 8.22%, 10/15/32(c)(d) | 1,500 | 1,452,124 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 1.00%, 07/24/31(c)(d)(f) | USD | 500 | $ | 500,000 | ||||||||
Galaxy CLO XXIX Ltd., Series 2018-29A, Class D, (3 mo. LIBOR US + 2.40%), 2.79%, 11/15/26(c)(d) | 805 | 769,253 | ||||||||||
Goldentree Loan Management US Clo 7 Ltd., Series 2020-7A, Class D, (3 mo. LIBOR US + 2.98%), 3.39%, 04/20/31(c)(d) | 625 | 576,131 | ||||||||||
Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 4.74%, 07/18/29(c)(d) | 1,000 | 919,450 | ||||||||||
Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 4.74%, 10/20/26(c)(d) | 3,750 | 3,573,414 | ||||||||||
Long Beach Mortgage Loan Trust,Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.42%, 09/25/36(d) | 7,177 | 2,979,662 | ||||||||||
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 7.54%, 01/20/29(c)(d) | 250 | 211,344 | ||||||||||
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 3.19%, 01/27/26(c)(d) | 1,800 | 1,735,583 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2D, (1 mo. LIBOR US + 0.34%), 0.52%, 03/25/37(d) | 6,042 | 3,055,990 | ||||||||||
Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%), 0.47%, 08/23/27(d) | 70 | 70,215 | ||||||||||
Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 4.27%, 10/15/29(c)(d) | 1,000 | 903,486 | ||||||||||
OCP CLO Ltd.(c)(d): | ||||||||||||
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 2.48%, 07/15/30 | 1,000 | 990,134 | ||||||||||
Series 2020-19A, Class C, (3 mo. LIBOR US + 2.95%), 3.27%, 07/20/31(a) | 250 | 250,000 | ||||||||||
Series 2020-19A, Class D, (3 mo. LIBOR US + 4.47%), 4.79%, 07/20/31(a) | 250 | 245,000 | ||||||||||
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 2.75%), 3.85%, 01/22/30(c)(d) | 500 | 437,535 | ||||||||||
OHA Credit Partners VII Ltd., Series 2012-7A, Class DR, (3 mo. LIBOR US + 4.20%), 4.58%, 11/20/27(c)(d) | 1,160 | 1,128,049 | ||||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 8.26%, 01/21/30(c)(d) | 595 | 536,977 | ||||||||||
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(c) | 2,000 | 2,072,504 | ||||||||||
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), | 1,500 | 1,473,545 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 4.28%, 10/17/29(c)(d) | 875 | 791,543 | ||||||||||
OZLM XIV Ltd., Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.00%), 4.22%, 01/15/29(c)(d) | 1,000 | 895,427 | ||||||||||
OZLM XXI, Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 3.81%, 01/20/31 (c)(d) | 1,000 | 866,375 | ||||||||||
Palmer Square CLO Ltd., Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), | 250 | 221,895 | ||||||||||
Palmer Square Loan Funding Ltd. (c): | ||||||||||||
2.48%, 08/20/27(e)(d) | 1,750 | 1,696,908 | ||||||||||
Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 5.39%, 01/20/27(d) | 1,000 | 785,449 |
12 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 3.39%, 04/20/27(d) | USD | 750 | $ | 733,173 | ||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 3.78%, 08/20/27(d) | 750 | 731,316 | ||||||||||
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 4.27%, 10/24/27(d) | 250 | 241,280 | ||||||||||
Regatta VI Funding Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), | 250 | 207,034 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), | 1,750 | 1,560,500 | ||||||||||
SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(c) | 500 | 509,091 | ||||||||||
Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), | 1,550 | 1,406,837 | ||||||||||
Sterling Coofs Trust(a)(c): | ||||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | 1,715 | 30,011 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 | 1,501 | 26,276 | ||||||||||
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 02/25/32 | 248 | 238,551 | ||||||||||
TCI-Flatiron CLO Ltd., Series 2016-1A, Class DR, 4.93%, 07/17/28(c)(e) | 635 | 617,695 | ||||||||||
TICP CLO VI Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 6.88%, 07/17/31(c)(d) | 537 | 406,117 | ||||||||||
TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. LIBOR US + 5.50%), 6.64%, 04/20/31(c)(d) | 250 | 203,775 | ||||||||||
TRESTLES CLO II Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.65%), 4.64%, 07/25/29(c)(d) | 250 | 237,126 | ||||||||||
Voya CLO Ltd.(c): | ||||||||||||
Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 4.69%, 07/20/30(d) | 1,000 | 919,409 | ||||||||||
Series 2018-2A, Class A2, 2.47%, 07/15/31(e) | 1,000 | 963,954 | ||||||||||
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), | 1,185 | 1,098,750 | ||||||||||
York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 4.74%, 10/20/29(c)(d) | 1,750 | 1,636,367 | ||||||||||
York Clo-4 Ltd., Series 2016-2A, Class DR, (3 mo. LIBOR US + 3.15%), 4.29%, 04/20/32(c)(d) | 1,500 | 1,316,098 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 7.5% |
| 63,891,978 | ||||||||||
|
| |||||||||||
Corporate Bonds — 61.7% |
| |||||||||||
Aerospace & Defense — 1.4% |
| |||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(c) | 95 | 97,969 | ||||||||||
Bombardier, Inc.(c): | ||||||||||||
8.75%, 12/01/21 | 620 | 503,750 | ||||||||||
5.75%, 03/15/22 | 62 | 45,759 | ||||||||||
6.00%, 10/15/22 | 6 | 4,200 | ||||||||||
6.13%, 01/15/23 | 204 | 140,311 | ||||||||||
7.50%, 12/01/24 | 82 | 53,710 | ||||||||||
7.50%, 03/15/25 | 25 | 16,315 | ||||||||||
7.88%, 04/15/27 | 662 | 433,610 | ||||||||||
CenturyLink, Inc., 4.00%, 02/15/27(c) | 313 | 304,001 | ||||||||||
Eaton Corp., 4.15%, 11/02/42 | 500 | 591,047 | ||||||||||
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(c)(g) | 202 | 143,420 | ||||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 | 221 | 228,925 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c) | 371 | 384,913 |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Lockheed Martin Corp., 4.09%, 09/15/52 | USD | 1,410 | $ | 1,841,151 | ||||||||
Moog, Inc., 4.25%, 12/15/27(c) | 89 | 86,330 | ||||||||||
Raytheon Technologies Corp., 6.13%, 07/15/38 | 1,450 | 2,094,269 | ||||||||||
Signature Aviation US Holdings, Inc.(c): | ||||||||||||
5.38%, 05/01/26 | 72 | 72,050 | ||||||||||
4.00%, 03/01/28 | 211 | 190,691 | ||||||||||
Sotheby’s, 7.38%, 10/15/27(c) | 265 | 250,425 | ||||||||||
TransDigm, Inc.(c): | ||||||||||||
8.00%, 12/15/25 | 468 | 491,863 | ||||||||||
6.25%, 03/15/26 | 3,574 | 3,565,137 | ||||||||||
Wolverine Escrow LLC(c): | ||||||||||||
8.50%, 11/15/24 | 164 | 124,640 | ||||||||||
9.00%, 11/15/26 | 145 | 104,400 | ||||||||||
|
| |||||||||||
11,768,886 | ||||||||||||
Air Freight & Logistics — 0.2% | ||||||||||||
FedEx Corp., 4.75%, 11/15/45 | 1,250 | 1,378,254 | ||||||||||
XPO Logistics, Inc., 6.75%, 08/15/24(c) | 11 | 11,523 | ||||||||||
|
| |||||||||||
1,389,777 | ||||||||||||
Airlines — 0.9% | ||||||||||||
American Airlines Pass-Through Trust: | ||||||||||||
Series 2013-2, Class A, 4.95%, 07/15/24 | 2,223 | 1,800,363 | ||||||||||
Series 2015-2, Class A, 4.00%, 03/22/29 | 1,216 | 1,000,863 | ||||||||||
Series 2015-2, Class AA, 3.60%, 03/22/29 | 1,216 | 1,123,901 | ||||||||||
Avianca Holdings SA, 9.00%, 05/10/23(b)(c)(h) | 302 | 60,551 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25(c) | 200 | 112,500 | ||||||||||
Latam Finance Ltd., 6.88%, 04/11/24(b)(c)(h) | 257 | 70,032 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(c)(f) | 692 | 693,730 | ||||||||||
United Airlines Pass-Through Trust, Series 2013-1, Class A, 4.30%, 02/15/27 | 2,911 | 2,730,089 | ||||||||||
|
| |||||||||||
7,592,029 | ||||||||||||
Auto Components — 0.5% | ||||||||||||
Allison Transmission, Inc., 5.88%, 06/01/29(c) | 450 | 468,000 | ||||||||||
Aptiv PLC, 4.40%, 10/01/46 | 465 | 449,087 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(c) | 171 | 177,840 | ||||||||||
Clarios Global LP/Clarios US Finance Co., 8.50%, 05/15/27(c) | 1,081 | 1,086,351 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(c) | 176 | 163,020 | ||||||||||
FCE Bank PLC, 1.62%, 05/11/23 | EUR | 100 | 105,479 | |||||||||
Ford Motor Credit Co. LLC, 5.11%, 05/03/29 | USD | 200 | 194,366 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||||||||||
6.75%, 02/01/24 | 34 | 34,255 | ||||||||||
4.75%, 09/15/24 | 73 | 68,634 | ||||||||||
6.38%, 12/15/25 | 83 | 82,170 | ||||||||||
6.25%, 05/15/26 | 57 | 57,040 | ||||||||||
5.25%, 05/15/27 | 232 | 223,880 | ||||||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc., 6.25%, 05/15/26(c) | 732 | 754,875 | ||||||||||
Tesla, Inc., 5.30%, 08/15/25(c) | 270 | 270,000 | ||||||||||
|
| |||||||||||
4,134,997 | ||||||||||||
Automobiles — 0.6% | ||||||||||||
Ford Motor Co.: | ||||||||||||
4.35%, 12/08/26 | 7 | 6,530 | ||||||||||
4.75%, 01/15/43 | 2,000 | 1,575,600 | ||||||||||
5.29%, 12/08/46 | 19 | 15,623 | ||||||||||
General Motors Co.: | ||||||||||||
6.13%, 10/01/25 | 88 | 98,884 | ||||||||||
6.80%, 10/01/27 | 357 | 415,998 | ||||||||||
5.00%, 10/01/28 | 41 | 43,613 | ||||||||||
6.25%, 10/02/43 | 2,506 | 2,663,058 |
SCHEDULES OF INVESTMENTS | 13 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Automobiles (continued) | ||||||||||||
Rolls-Royce PLC, 0.88%, 05/09/24 | EUR | 100 | $ | 101,505 | ||||||||
Winnebago Industries, Inc., 6.25%(c)(f) | USD | 66 | 66,000 | |||||||||
|
| |||||||||||
4,986,811 | ||||||||||||
Banks — 1.9% | ||||||||||||
Al Ahli Bank of Kuwait KSCP (5 year USD Swap + 4.17%), 7.25%(i)(j) | 200 | 197,188 | ||||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 | EUR | 100 | 109,921 | |||||||||
Bancolombia SA (5 year CMT + 2.94%), 4.63%, 12/18/29(i) | USD | 200 | 187,966 | |||||||||
Bank Leumi Le-Israel BM (5 year CMT + 1.63%), 3.28%, 01/29/31(c)(i) | 281 | 272,746 | ||||||||||
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25 | 200 | 192,688 | ||||||||||
Barclays PLC: | ||||||||||||
4.38%, 09/11/24 | 550 | 587,105 | ||||||||||
3.65%, 03/16/25 | 4,320 | 4,683,355 | ||||||||||
BBVA Bancomer SA, 6.75%, 09/30/22(c) | 236 | 251,635 | ||||||||||
Chong Hing Bank Ltd. (5 year CMT + 3.86%), 5.70%(i)(j) | 250 | 232,333 | ||||||||||
CIT Group, Inc., 5.00%, 08/01/23 | 237 | 241,716 | ||||||||||
Commerzbank AG (5 year EUR Swap + 4.35%), 4.00%, 12/05/30(i) | EUR | 100 | 112,776 | |||||||||
Cooperatieve Rabobank UA, 3.95%, 11/09/22 | USD | 1,500 | 1,587,030 | |||||||||
Emirates NBD Bank PJSC (6 year USD Swap + 3.66%), 6.13%(i)(j) | 250 | 248,828 | ||||||||||
HSBC Holdings PLC, 6.10%, 01/14/42 | 610 | 867,956 | ||||||||||
Itau Unibanco Holding SA, 5.13%, 05/13/23(c) | 200 | 208,980 | ||||||||||
Santander Holdings USA, Inc., 4.50%, 07/17/25 | 2,000 | 2,162,752 | ||||||||||
Santander UK Group Holdings PLC, 2.88%, 08/05/21 | 1,250 | 1,277,315 | ||||||||||
Standard Chartered PLC (5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(c)(i) | 500 | 545,599 | ||||||||||
Unione di Banche Italiane SpA (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(i) | EUR | 100 | 121,138 | |||||||||
Wells Fargo & Co., 3.90%, 05/01/45 | USD | 2,250 | 2,637,300 | |||||||||
|
| |||||||||||
16,726,327 | ||||||||||||
Beverage: Soft Drinks — 0.0% | ||||||||||||
Energizer Holdings, Inc., 4.75%, 06/15/28(c)(f) | 214 | 209,928 | ||||||||||
|
| |||||||||||
Beverages — 0.7% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 | 4,600 | 5,628,953 | ||||||||||
Central American Bottling Corp., 5.75%, 01/31/27(c) | 222 | 222,763 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 23 | 26,910 | ||||||||||
|
| |||||||||||
5,878,626 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.6% | ||||||||||||
Amgen, Inc., 4.40%, 05/01/45 | 2,250 | 2,799,375 | ||||||||||
Baxalta, Inc., 5.25%, 06/23/45 | 500 | 670,066 | ||||||||||
Gilead Sciences, Inc., 4.80%, 04/01/44 | 1,000 | 1,352,352 | ||||||||||
|
| |||||||||||
4,821,793 | ||||||||||||
Building Materials — 0.0% | ||||||||||||
CEMEX Finance LLC, 4.63%, 06/15/24 | EUR | 100 | 110,805 | |||||||||
|
| |||||||||||
Building Products — 0.1% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(c) | USD | 248 | 249,860 | |||||||||
Griffon Corp., 5.75%, 03/01/28(c) | 59 | 58,262 | ||||||||||
Jeld-Wen, Inc.(c): | ||||||||||||
6.25%, 05/15/25 | 98 | 101,675 | ||||||||||
4.63%, 12/15/25 | 24 | 23,040 | ||||||||||
4.88%, 12/15/27 | 2 | 1,920 |
Security | Par (000) | Value | ||||||||||
Building Products (continued) | ||||||||||||
Masonite International Corp.(c): | ||||||||||||
5.75%, 09/15/26 | USD | 52 | $ | 53,560 | ||||||||
5.38%, 02/01/28 | 29 | 29,653 | ||||||||||
Standard Industries, Inc.(c): | ||||||||||||
5.00%, 02/15/27 | 142 | 143,775 | ||||||||||
4.75%, 01/15/28 | 54 | 54,743 | ||||||||||
4.38%, 07/15/30 | 323 | 322,192 | ||||||||||
|
| |||||||||||
1,038,680 | ||||||||||||
Capital Markets — 2.8% | ||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39(c) | 5,890 | 8,804,906 | ||||||||||
CFLD Cayman Investment Ltd., 6.90%, 01/13/23 | 200 | 196,581 | ||||||||||
Goldman Sachs Group, Inc.: | ||||||||||||
3.75%, 05/22/25 | 8,965 | 9,933,000 | ||||||||||
Series R, (5 year CMT + 3.22%), 4.95%(i)(j) | 465 | 441,750 | ||||||||||
Intercorp Peru Ltd., 3.88%, 08/15/29(c) | 200 | 194,750 | ||||||||||
Intertrust Group BV, 3.38%, 11/15/25 | EUR | 100 | 111,617 | |||||||||
LABL Escrow Issuer LLC, 6.75%, 07/15/26(c) | USD | 166 | 172,691 | |||||||||
Morgan Stanley: | ||||||||||||
4.00%, 07/23/25 | 905 | 1,026,131 | ||||||||||
3.13%, 07/27/26 | 2,000 | 2,204,601 | ||||||||||
Owl Rock Capital Corp., 5.25%, 04/15/24 | 56 | 58,530 | ||||||||||
Raymond James Financial, Inc., 4.95%, 07/15/46 | 400 | 483,876 | ||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(c) | 90 | 94,050 | ||||||||||
|
| |||||||||||
23,722,483 | ||||||||||||
Chemicals — 0.9% | ||||||||||||
Air Liquide Finance SA, 3.50%, 09/27/46(c) | 360 | 422,945 | ||||||||||
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(g) | 410 | 408,975 | ||||||||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(c) | 1,112 | 1,100,880 | ||||||||||
Axalta Coating Systems LLC, 4.88%, 08/15/24(c) | 311 | 314,887 | ||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(c) | 150 | 150,780 | ||||||||||
Blue Cube Spinco LLC: | ||||||||||||
9.75%, 10/15/23 | 263 | 270,890 | ||||||||||
10.00%, 10/15/25 | 162 | 168,885 | ||||||||||
Chemours Co., 6.63%, 05/15/23 | 234 | 224,640 | ||||||||||
Cydsa SAB de CV, 6.25%, 10/04/27(c) | 319 | 312,221 | ||||||||||
Element Solutions, Inc., 5.88%, 12/01/25(c) | 937 | 946,077 | ||||||||||
ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21 | 200 | 201,250 | ||||||||||
Equate Petrochemical BV, 4.25%, 11/03/26(c) | 206 | 218,875 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(c) | 101 | 100,748 | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(c) | 141 | 146,993 | ||||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(c) | 114 | 115,710 | ||||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 | EUR | 100 | 113,614 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(c) | USD | 41 | 38,233 | |||||||||
Orbia Advance Corp SAB de CV(c): | ||||||||||||
4.00%, 10/04/27 | 200 | 205,500 | ||||||||||
5.50%, 01/15/48 | 200 | 207,250 | ||||||||||
PQ Corp., 5.75%, 12/15/25(c) | 309 | 311,317 | ||||||||||
Valvoline, Inc.(c): | ||||||||||||
4.38%, 08/15/25 | 89 | 89,445 | ||||||||||
4.25%, 02/15/30 | 178 | 175,330 | ||||||||||
Vedanta Resources Finance II PLC, 9.25%, 04/23/26 | 482 | 344,329 | ||||||||||
WESCO Distribution, Inc.(c): | ||||||||||||
7.13%, 06/15/25 | 459 | 483,387 | ||||||||||
7.25%, 06/15/28 | 417 | 440,977 | ||||||||||
WR Grace & Co-Conn(c): | ||||||||||||
5.63%, 10/01/24 | 141 | 148,402 | ||||||||||
4.88%, 06/15/27 | 191 | 193,489 |
14 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Yingde Gases Investment Ltd., 6.25%, 01/19/23 | USD | 200 | $ | 204,312 | ||||||||
|
| |||||||||||
8,060,341 | ||||||||||||
Commercial Services & Supplies — 0.4% | ||||||||||||
ADT Security Corp.: | ||||||||||||
6.25%, 10/15/21 | 86 | 88,150 | ||||||||||
4.13%, 06/15/23 | 18 | 18,045 | ||||||||||
4.88%, 07/15/32(c) | 333 | 303,030 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(c) | 252 | 265,545 | ||||||||||
Booz Allen Hamilton, Inc., 5.13%, 05/01/25(c) | 441 | 447,615 | ||||||||||
Clean Harbors, Inc.(c): | ||||||||||||
4.88%, 07/15/27 | 46 | 47,265 | ||||||||||
5.13%, 07/15/29 | 109 | 113,050 | ||||||||||
Garda World Security Corp.(c): | ||||||||||||
4.63%, 02/15/27 | 180 | 177,300 | ||||||||||
9.50%, 11/01/27 | 92 | 97,290 | ||||||||||
GFL Environmental, Inc.(c): | ||||||||||||
7.00%, 06/01/26 | 359 | 371,565 | ||||||||||
4.25%, 06/01/25 | 59 | 59,516 | ||||||||||
5.13%, 12/15/26 | 292 | 302,220 | ||||||||||
8.50%, 05/01/27 | 140 | 152,250 | ||||||||||
Iron Mountain, Inc., 5.25%, 03/15/28(c) | 77 | 76,615 | ||||||||||
KAR Auction Services, Inc., 5.13%, 06/01/25(c) | 97 | 95,545 | ||||||||||
Mobile Mini, Inc., 5.88%, 07/01/24 | 298 | 306,731 | ||||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 | EUR | 100 | 106,508 | |||||||||
United Rentals North America, Inc.: | ||||||||||||
4.63%, 10/15/25 | USD | 24 | 24,120 | |||||||||
5.88%, 09/15/26 | 53 | 55,544 | ||||||||||
6.50%, 12/15/26 | 3 | 3,150 | ||||||||||
5.50%, 05/15/27 | 81 | 83,430 | ||||||||||
3.88%, 11/15/27 | 67 | 66,833 | ||||||||||
4.88%, 01/15/28 | 55 | 56,375 | ||||||||||
5.25%, 01/15/30 | 40 | 41,300 | ||||||||||
4.00%, 07/15/30 | 104 | 100,592 | ||||||||||
|
| |||||||||||
3,459,584 | ||||||||||||
Communications Equipment — 0.2% | ||||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25(c) | 266 | 256,876 | ||||||||||
CommScope, Inc.(c): | ||||||||||||
5.50%, 03/01/24 | 397 | 400,970 | ||||||||||
5.50%, 06/15/24 | 53 | 53,972 | ||||||||||
6.00%, 03/01/26 | 158 | 161,950 | ||||||||||
Nokia OYJ: | ||||||||||||
4.38%, 06/12/27 | 31 | 32,755 | ||||||||||
6.63%, 05/15/39 | 88 | 104,526 | ||||||||||
ViaSat, Inc.(c): | ||||||||||||
5.63%, 04/15/27 | 376 | 384,930 | ||||||||||
6.50%, 07/15/28 | 213 | 213,045 | ||||||||||
|
| |||||||||||
1,609,024 | ||||||||||||
Construction & Engineering — 0.6% | ||||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(c) | 304 | 273,600 | ||||||||||
Delhi International Airport Ltd., 6.45%, 06/04/29 | 200 | 194,500 | ||||||||||
frontdoor, Inc., 6.75%, 08/15/26(c) | 135 | 143,438 | ||||||||||
ITR Concession Co. LLC, 4.20%, 07/15/25(c) | 4,000 | 4,122,254 | ||||||||||
SPIE SA, 2.63%, 06/18/26 | EUR | 100 | 108,721 | |||||||||
SRS Distribution, Inc., 8.25%, 07/01/26(c) | USD | 332 | 336,980 | |||||||||
|
| |||||||||||
5,179,493 | ||||||||||||
Construction Materials — 0.3% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28(c) | 153 | 148,681 | ||||||||||
Core & Main LP, 6.13%, 08/15/25(c) | 1,089 | 1,085,352 |
Security | Par (000) | Value | ||||||||||
Construction Materials (continued) | ||||||||||||
HD Supply, Inc., 5.38%, 10/15/26(c) | USD | 828 | $ | 845,595 | ||||||||
Navistar International Corp., 6.63%, 11/01/25(c) | 217 | 205,607 | ||||||||||
New Enterprise Stone & Lime Co., Inc.(c): | ||||||||||||
10.13%, 04/01/22 | 94 | 93,530 | ||||||||||
6.25%, 03/15/26 | 53 | 53,265 | ||||||||||
PulteGroup, Inc., 6.00%, 02/15/35 | 27 | 31,077 | ||||||||||
Williams Scotsman International, Inc.(c): | ||||||||||||
7.88%, 12/15/22 | 70 | 72,757 | ||||||||||
6.88%, 08/15/23 | 230 | 236,086 | ||||||||||
|
| |||||||||||
2,771,950 | ||||||||||||
Consumer Discretionary — 0.0% | ||||||||||||
Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(c) | 45 | 44,212 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 | EUR | 100 | 114,597 | |||||||||
|
| |||||||||||
158,809 | ||||||||||||
Consumer Finance — 1.5% | ||||||||||||
Ally Financial, Inc., 8.00%, 11/01/31 | USD | 810 | 1,045,163 | |||||||||
Capital One Financial Corp., 4.75%, 07/15/21 | 1,935 | 2,017,688 | ||||||||||
Corvias Campus Living USG LLC, 5.30%, 07/01/50(a) | 5,673 | 5,672,924 | ||||||||||
Credito Real SAB de CV SOFOM ER, 7.25%, 07/20/23 | 200 | 195,062 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.00% PIK), 13.00%, 02/15/25(c)(g) | 203 | 195,387 | ||||||||||
Muthoot Finance Ltd.: | ||||||||||||
6.13%, 10/31/22(c) | 247 | 249,779 | ||||||||||
4.40%, 09/02/23 | 200 | 190,624 | ||||||||||
Navient Corp.: | ||||||||||||
5.00%, 10/26/20 | 180 | 179,257 | ||||||||||
7.25%, 09/25/23 | 46 | 44,960 | ||||||||||
6.13%, 03/25/24 | 67 | 63,650 | ||||||||||
5.88%, 10/25/24 | 39 | 36,636 | ||||||||||
5.00%, 03/15/27 | 173 | 145,320 | ||||||||||
OneMain Finance Corp.: | ||||||||||||
6.13%, 05/15/22 | 50 | 50,919 | ||||||||||
6.88%, 03/15/25 | 68 | 69,764 | ||||||||||
7.13%, 03/15/26 | 248 | 256,678 | ||||||||||
6.63%, 01/15/28 | 141 | 139,590 | ||||||||||
5.38%, 11/15/29 | 78 | 72,930 | ||||||||||
Refinitiv US Holdings, Inc.(c): | ||||||||||||
4.50%, 05/15/26 | EUR | 245 | 286,522 | |||||||||
6.25%, 05/15/26 | USD | 177 | 187,620 | |||||||||
8.25%, 11/15/26 | 544 | 589,136 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(c) | 1,279 | 1,374,094 | ||||||||||
|
| |||||||||||
13,063,703 | ||||||||||||
Containers & Packaging — 0.6% | ||||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(c)(g) | 501 | 495,677 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | ||||||||||||
5.25%, 04/30/25(c) | 244 | 250,098 | ||||||||||
4.13%, 08/15/26(c) | 481 | 473,232 | ||||||||||
4.75%, 07/15/27 | GBP | 100 | 120,193 | |||||||||
5.25%, 08/15/27(c) | USD | 442 | 434,212 | |||||||||
Ball Corp.: | ||||||||||||
5.25%, 07/01/25 | 12 | 13,125 | ||||||||||
4.88%, 03/15/26 | 120 | 130,500 | ||||||||||
Berry Global, Inc., 4.88%, 07/15/26(c) | 5 | 5,075 | ||||||||||
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30 | 200 | 203,937 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 298 | 304,705 |
SCHEDULES OF INVESTMENTS | 15 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | USD | 97 | $ | 98,846 | ||||||||
Graphic Packaging International LLC, 3.50%, 03/15/28(c) | 78 | 77,392 | ||||||||||
Intertape Polymer Group, Inc., 7.00%, 10/15/26(c) | 119 | 122,296 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(c) | 536 | 526,452 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 07/15/24(c) | 170 | 170,478 | ||||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28(c) | 26 | 25,772 | ||||||||||
Trivium Packaging Finance BV: | ||||||||||||
3.75%, 08/15/26 | EUR | 100 | 110,264 | |||||||||
5.50%, 08/15/26(c) | USD | 828 | 835,245 | |||||||||
8.50%, 08/15/27(c) | 738 | 788,737 | ||||||||||
|
| |||||||||||
5,186,236 | ||||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||
APX Group, Inc.: | ||||||||||||
7.88%, 12/01/22 | 80 | 79,600 | ||||||||||
8.50%, 11/01/24 | 82 | 79,950 | ||||||||||
Ascend Learning LLC, 6.88%, 08/01/25(c) | 461 | 463,770 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(c) | 62 | 64,116 | ||||||||||
Laureate Education, Inc., 8.25%, 05/01/25(c) | 72 | 74,700 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(c): | ||||||||||||
5.25%, 04/15/24 | 49 | 50,103 | ||||||||||
5.75%, 04/15/26 | 78 | 80,886 | ||||||||||
Service Corp. International, 5.13%, 06/01/29 | 19 | 20,444 | ||||||||||
ServiceMaster Co. LLC, 5.13%, 11/15/24(c) | 142 | 143,953 | ||||||||||
|
| |||||||||||
1,057,522 | ||||||||||||
Diversified Financial Services — 4.5% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(c) | 1,297 | 1,361,850 | ||||||||||
Alpha Holding SA de CV, 9.00%, 02/10/25(c) | 225 | 200,883 | ||||||||||
Altice France Holding SA: | ||||||||||||
8.00%, 05/15/27 | EUR | 100 | 118,402 | |||||||||
10.50%, 05/15/27(c) | USD | 1,088 | 1,198,486 | |||||||||
6.00%, 02/15/28(c) | 257 | 242,706 | ||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 | GBP | 100 | 113,606 | |||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24(c) | USD | 200 | 136,000 | |||||||||
Bank of America Corp.: | ||||||||||||
5.63%, 07/01/20 | 2,200 | 2,200,000 | ||||||||||
3.25%, 10/21/27 | 4,000 | 4,411,496 | ||||||||||
CFLD Cayman Investment Ltd.: | ||||||||||||
8.63%, 02/28/21 | 400 | 405,500 | ||||||||||
8.60%, 04/08/24 | 200 | 197,188 | ||||||||||
Citigroup, Inc., Series V, (Secured Overnight Financing Rate + 3.23%), 4.70%(i)(j) | 410 | 364,387 | ||||||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(c) | 200 | 153,440 | ||||||||||
FMR LLC, 4.95%, 02/01/33(c) | 2,300 | 3,005,322 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.88%, 08/02/21 | 300 | 302,910 | ||||||||||
2.98%, 08/03/22 | 245 | 234,820 | ||||||||||
3.35%, 11/01/22 | 314 | 300,743 | ||||||||||
3.81%, 01/09/24 | 400 | 384,120 | ||||||||||
4.06%, 11/01/24 | 200 | 191,006 | ||||||||||
5.13%, 06/16/25 | 330 | 330,132 | ||||||||||
4.13%, 08/04/25 | 279 | 264,618 | ||||||||||
4.39%, 01/08/26 | 400 | 380,872 | ||||||||||
General Electric Co., 6.15%, 08/07/37 | 2,150 | 2,505,781 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
4.25%, 05/15/23 | USD | 807 | $ | 842,673 | ||||||||
5.65%, 01/17/29 | 45 | 50,639 | ||||||||||
Greenko Dutch BV, 5.25%, 07/24/24 | 200 | 197,812 | ||||||||||
Greenko Mauritius Ltd., 6.25%, 02/21/23 | 200 | 200,416 | ||||||||||
Intercontinental Exchange, Inc., 4.00%, 10/15/23 | 470 | 519,744 | ||||||||||
Intesa Sanpaolo SpA, 5.02%, 06/26/24(c) | 3,151 | 3,228,711 | ||||||||||
Intrum AB, 3.00%, 09/15/27 | EUR | 100 | 93,812 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(c): | ||||||||||||
5.25%, 03/15/22 | USD | 17 | 16,150 | |||||||||
4.25%, 02/01/27 | 212 | 169,600 | ||||||||||
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(g) | EUR | 100 | 112,350 | |||||||||
Lloyds Banking Group PLC (5 year CMT + 4.82%), 6.75%(i)(j) | USD | 595 | 606,900 | |||||||||
Manappuram Finance Ltd., 5.90%, 01/13/23 | 200 | 187,250 | ||||||||||
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29 | 250 | 248,984 | ||||||||||
Moody’s Corp., 4.50%, 09/01/22 | 1,800 | 1,932,998 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 106 | 108,385 | ||||||||||
Northern Trust Corp., 3.95%, 10/30/25 | 8,000 | 9,230,651 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25(c) | 338 | 345,605 | ||||||||||
Scenery Journey Ltd.: | ||||||||||||
11.00%, 11/06/20 | 200 | 201,562 | ||||||||||
11.50%, 10/24/22 | 219 | 207,645 | ||||||||||
13.00%, 11/06/22 | 200 | 195,375 | ||||||||||
Spectrum Brands, Inc.(c): | ||||||||||||
5.00%, 10/01/29 | 68 | 67,150 | ||||||||||
5.50%, 07/15/30 | 104 | 104,130 | ||||||||||
Vertical Midco GmbH, 5.00%(f) | EUR | 100 | 112,350 | |||||||||
VZ Vendor Financing BV, 2.50%, 01/31/24 | 100 | 109,771 | ||||||||||
Wanda Group Overseas Ltd., 7.50%, 07/24/22 | USD | 200 | 186,246 | |||||||||
WMG Acquisition Corp.(c): | ||||||||||||
5.50%, 04/15/26 | 84 | 86,915 | ||||||||||
3.88%, 07/15/30 | 135 | 136,357 | ||||||||||
|
| |||||||||||
38,504,449 | ||||||||||||
Diversified Telecommunication Services — 3.8% | ||||||||||||
AT&T, Inc.: | ||||||||||||
6.10%, 07/15/40 | 830 | 1,106,571 | ||||||||||
6.38%, 03/01/41 | 520 | 736,748 | ||||||||||
5.15%, 03/15/42 | 2,400 | 2,995,691 | ||||||||||
4.75%, 05/15/46 | 2,710 | 3,248,857 | ||||||||||
Axtel SAB de CV, 6.38%, 11/14/24(c) | 200 | 207,704 | ||||||||||
CenturyLink, Inc.: | ||||||||||||
5.13%, 12/15/26(c) | 572 | 570,570 | ||||||||||
Series P, 7.60%, 09/15/39 | 213 | 229,241 | ||||||||||
Series U, 7.65%, 03/15/42 | 274 | 293,865 | ||||||||||
Series W, 6.75%, 12/01/23 | 74 | 79,534 | ||||||||||
Series Y, 7.50%, 04/01/24 | 407 | 447,220 | ||||||||||
Cincinnati Bell, Inc., 7.00%, 07/15/24(c) | 120 | 122,400 | ||||||||||
Frontier Communications Corp., 8.00%, 04/01/27(c) | 908 | 920,839 | ||||||||||
GCI LLC, 6.63%, 06/15/24(c) | 93 | 97,321 | ||||||||||
Level 3 Financing, Inc.: | ||||||||||||
5.25%, 03/15/26 | 183 | 188,033 | ||||||||||
4.63%, 09/15/27(c) | 16 | 16,120 | ||||||||||
4.25%, 07/01/28(c) | 551 | 550,366 | ||||||||||
Oi SA, (10% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g) | 220 | 183,425 | ||||||||||
SoftBank Group Corp.: | ||||||||||||
4.00%, 04/20/23 | EUR | 100 | 113,249 | |||||||||
5.00%, 04/15/28 | 100 | 116,282 |
16 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Telecom Italia Capital SA: | ||||||||||||
6.38%, 11/15/33 | USD | 74 | $ | 83,435 | ||||||||
6.00%, 09/30/34 | 337 | 366,319 | ||||||||||
7.20%, 07/18/36 | 60 | 71,400 | ||||||||||
7.72%, 06/04/38 | 199 | 250,390 | ||||||||||
Telecom Italia SpA, 5.30%, 05/30/24(c) | 200 | 208,714 | ||||||||||
Telecom Italia SpA/Milano, 3.00%, 09/30/25 | EUR | 100 | 114,035 | |||||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(c) | USD | 297 | 291,060 | |||||||||
Verizon Communications, Inc.: | ||||||||||||
6.40%, 02/15/38 | 5,700 | 7,839,315 | ||||||||||
6.55%, 09/15/43(k) | 6,751 | 10,734,871 | ||||||||||
|
| |||||||||||
32,183,575 | ||||||||||||
Electric Utilities — 4.0% | ||||||||||||
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energ, 6.25%, 12/10/24 | 200 | 208,000 | ||||||||||
Cleveland Electric Illuminating Co., 5.95%, 12/15/36 | 434 | 561,295 | ||||||||||
CMS Energy Corp., 5.05%, 03/15/22 | 1,832 | 1,931,342 | ||||||||||
Duke Energy Carolinas LLC: | ||||||||||||
6.10%, 06/01/37 | 640 | 913,129 | ||||||||||
6.00%, 01/15/38 | 1,675 | 2,419,722 | ||||||||||
4.25%, 12/15/41 | 750 | 923,896 | ||||||||||
Duke Energy Florida LLC: | ||||||||||||
6.35%, 09/15/37 | 2,775 | 4,037,903 | ||||||||||
6.40%, 06/15/38 | 770 | 1,173,642 | ||||||||||
E.ON International Finance BV, 6.65%, 04/30/38(c) | 3,100 | 4,272,429 | ||||||||||
Electricite de France SA, 5.60%, 01/27/40(c) | 2,800 | 3,584,602 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(c) | 201 | 200,812 | ||||||||||
Energuate Trust, 5.88%, 05/03/27(c) | 201 | 197,922 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(c) | 200 | 197,000 | ||||||||||
NextEra Energy Operating Partners LP(c): | ||||||||||||
4.25%, 07/15/24 | 192 | 194,160 | ||||||||||
4.25%, 09/15/24 | 58 | 58,346 | ||||||||||
4.50%, 09/15/27 | 27 | 28,224 | ||||||||||
Ohio Power Co., Series D, 6.60%, 03/01/33 | 3,000 | 4,287,699 | ||||||||||
PacifiCorp, 6.25%, 10/15/37 | 1,225 | 1,782,320 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 | 246 | 247,402 | ||||||||||
ReNew Power Synthetic, 6.67%, 03/12/24 | 200 | 201,313 | ||||||||||
Southern California Edison Co., 5.63%, 02/01/36 | 1,300 | 1,651,443 | ||||||||||
Virginia Electric & Power Co., Series A, 6.00%, 05/15/37 | 3,920 | 5,474,177 | ||||||||||
|
| |||||||||||
34,546,778 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||||
CDW LLC/CDW Finance Corp.: | ||||||||||||
4.13%, 05/01/25 | 150 | 150,187 | ||||||||||
5.00%, 09/01/25 | 80 | 82,300 | ||||||||||
Corning, Inc., 4.38%, 11/15/57 | 2,000 | 2,298,380 | ||||||||||
Itron, Inc., 5.00%, 01/15/26(c) | 18 | 17,933 | ||||||||||
|
| |||||||||||
2,548,800 | ||||||||||||
Energy Equipment & Services — 0.5% | ||||||||||||
Anton Oilfield Services Group, 7.50%, 12/02/22 | 200 | 128,032 | ||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(c): | ||||||||||||
6.88%, 04/01/27 | 182 | 171,444 | ||||||||||
6.25%, 04/01/28 | 20 | 18,200 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 | 146 | 135,674 | ||||||||||
Enterprise Products Operating LLC, 6.13%, 10/15/39 | 1,400 | 1,779,884 | ||||||||||
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(c) | 188 | 184,710 | ||||||||||
Halliburton Co., 5.00%, 11/15/45 | 500 | 513,261 |
Security | Par (000) | Value | ||||||||||
Energy Equipment & Services (continued) | ||||||||||||
Pattern Energy Group, Inc., 5.88%, 02/01/24(c) | USD | 250 | $ | 251,250 | ||||||||
Pioneer Energy Services Corp.(c)(g): | ||||||||||||
(5.00% PIK), 11/15/25(l) | 152 | 82,148 | ||||||||||
(11% Cash), 11.00%, 05/15/25 | 222 | 177,721 | ||||||||||
Transocean, Inc., 8.00%, 02/01/27(c) | 206 | 113,686 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp.: | ||||||||||||
6.88%, 04/01/26 | 237 | 229,001 | ||||||||||
6.88%, 09/01/27 | 327 | 313,920 | ||||||||||
|
| |||||||||||
4,098,931 | ||||||||||||
Environmental, Maintenance, & Security Service — 0.1% | ||||||||||||
Tervita Corp., 7.63%, 12/01/21(c) | 166 | 130,310 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(c) | 318 | 303,528 | ||||||||||
|
| |||||||||||
433,838 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% | ||||||||||||
ERP Operating LP, 4.50%, 06/01/45 | 1,155 | 1,514,171 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c) | 150 | 141,750 | ||||||||||
Fortune Star BVI Ltd.: | ||||||||||||
6.88%, 01/31/21 | 200 | 202,000 | ||||||||||
5.95%, 01/29/23 | 200 | 199,000 | ||||||||||
6.75%, 07/02/23 | 250 | 252,500 | ||||||||||
Healthpeak Properties, Inc., 4.00%, 06/01/25 | 2,000 | 2,215,019 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25 | 92 | 89,949 | ||||||||||
Iron Mountain, Inc.(c): | ||||||||||||
4.88%, 09/15/27 | 206 | 200,683 | ||||||||||
5.25%, 07/15/30 | 280 | 275,800 | ||||||||||
5.63%, 07/15/32 | 341 | 340,284 | ||||||||||
LMIRT Capital Pte Ltd., 7.25%, 06/19/24 | 250 | 222,500 | ||||||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 | 24 | 24,180 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.: | ||||||||||||
5.63%, 05/01/24 | 498 | 515,440 | ||||||||||
4.50%, 09/01/26 | 277 | 274,313 | ||||||||||
5.75%, 02/01/27 | 16 | 16,400 | ||||||||||
4.50%, 01/15/28 | 205 | 194,750 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp.: | ||||||||||||
5.00%, 10/15/27 | 446 | 458,265 | ||||||||||
4.63%, 08/01/29 | 375 | 376,875 | ||||||||||
NH Hotel Group SA, 3.75%, 10/01/23 | EUR | 115 | 115,683 | |||||||||
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(c) | USD | 282 | 250,980 | |||||||||
SBA Communications Corp., 4.88%, 09/01/24 | 533 | 545,659 | ||||||||||
Simon Property Group LP, 4.75%, 03/15/42 | 1,670 | 1,904,903 | ||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 77 | 74,690 | ||||||||||
Trust F/1401, 6.95%, 01/30/44 | 476 | 514,378 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26 | 870 | 933,664 | ||||||||||
|
| |||||||||||
11,853,836 | ||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC: | ||||||||||||
5.75%, 03/15/25 | 15 | 15,328 | ||||||||||
7.50%, 03/15/26(c) | 65 | 70,200 | ||||||||||
4.63%, 01/15/27(c) | 301 | 301,000 | ||||||||||
5.88%, 02/15/28(c) | 180 | 185,719 | ||||||||||
4.88%, 02/15/30(c) | 167 | 170,863 | ||||||||||
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24 | 200 | 203,688 | ||||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(c) | 212 | 224,616 | ||||||||||
Walgreens Boots Alliance, Inc., 4.80%, 11/18/44 | 1,000 | 1,082,835 | ||||||||||
|
| |||||||||||
2,254,249 |
SCHEDULES OF INVESTMENTS | 17 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Food Products — 0.8% | ||||||||||||
Aramark Services, Inc.: | ||||||||||||
5.00%, 04/01/25(c) | USD | 138 | $ | 135,930 | ||||||||
6.38%, 05/01/25(c) | 164 | 169,351 | ||||||||||
4.75%, 06/01/26 | 154 | 148,225 | ||||||||||
5.00%, 02/01/28(c) | 343 | 325,850 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(c) | 44 | 42,460 | ||||||||||
Darling Ingredients, Inc., 5.25%, 04/15/27(c) | 12 | 12,333 | ||||||||||
Graphic Packaging International LLC, 4.75%, 07/15/27(c) | 53 | 55,915 | ||||||||||
Grupo Bimbo SAB de CV (5 year CMT + 3.28%), 5.95%(c)(i)(j) | 200 | 205,594 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. (c): | ||||||||||||
5.75%, 06/15/25 | 624 | 629,460 | ||||||||||
6.75%, 02/15/28 | 151 | 159,211 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(c): | ||||||||||||
6.50%, 04/15/29 | 232 | 246,210 | ||||||||||
5.50%, 01/15/30 | 241 | 247,025 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.88%, 05/15/27(c) | 42 | 43,890 | ||||||||||
4.25%, 03/01/31(c) | 878 | 930,938 | ||||||||||
5.00%, 07/15/35 | 85 | 93,524 | ||||||||||
6.88%, 01/26/39 | 160 | 197,797 | ||||||||||
4.63%, 10/01/39(c) | 53 | 53,220 | ||||||||||
6.50%, 02/09/40 | 110 | 132,402 | ||||||||||
5.00%, 06/04/42 | 86 | 90,610 | ||||||||||
5.20%, 07/15/45 | 239 | 259,188 | ||||||||||
4.38%, 06/01/46 | 252 | 247,739 | ||||||||||
4.88%, 10/01/49(c) | 684 | 696,528 | ||||||||||
5.50%, 06/01/50(c) | 864 | 920,989 | ||||||||||
MHP Lux SA, 6.25%, 09/19/29(c) | 400 | 381,500 | ||||||||||
Minerva Luxembourg SA, 6.50%, 09/20/26(c) | 200 | 201,000 | ||||||||||
Post Holdings, Inc.(c): | ||||||||||||
5.00%, 08/15/26 | 3 | 3,011 | ||||||||||
5.75%, 03/01/27 | 73 | 75,373 | ||||||||||
4.63%, 04/15/30 | 335 | 327,898 | ||||||||||
Simmons Foods, Inc., 7.75%, 01/15/24(c) | 157 | 163,782 | ||||||||||
|
| |||||||||||
7,196,953 | ||||||||||||
Health Care Equipment & Supplies — 0.4% | ||||||||||||
Avantor, Inc.(c): | ||||||||||||
6.00%, 10/01/24 | 925 | 966,625 | ||||||||||
9.00%, 10/01/25 | 543 | 583,725 | ||||||||||
Hologic, Inc., 4.63%, 02/01/28(c) | 96 | 99,600 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(c): | ||||||||||||
7.38%, 06/01/25 | 400 | 407,000 | ||||||||||
7.25%, 02/01/28 | 791 | 804,036 | ||||||||||
Teleflex, Inc., 4.25%, 06/01/28(c) | 279 | 285,975 | ||||||||||
|
| |||||||||||
3,146,961 | ||||||||||||
Health Care Providers & Services — 1.4% | ||||||||||||
Acadia Healthcare Co., Inc.: | ||||||||||||
5.13%, 07/01/22 | 90 | 90,027 | ||||||||||
5.63%, 02/15/23 | 50 | 50,018 | ||||||||||
5.50%, 07/01/28(c) | 138 | 138,345 | ||||||||||
Aetna, Inc., 4.50%, 05/15/42 | 575 | 683,986 | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(c) | 140 | 143,850 | ||||||||||
Centene Corp.: | ||||||||||||
5.38%, 06/01/26(c) | 6 | 6,220 | ||||||||||
5.38%, 08/15/26(c) | 197 | 204,921 | ||||||||||
4.25%, 12/15/27 | 404 | 416,892 | ||||||||||
4.63%, 12/15/29 | 1,049 | 1,106,695 | ||||||||||
3.38%, 02/15/30 | 308 | 310,991 |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
CHS/Community Health Systems, Inc.(c): | ||||||||||||
8.63%, 01/15/24 | USD | 354 | $ | 346,170 | ||||||||
6.63%, 02/15/25 | 98 | 92,120 | ||||||||||
8.00%, 03/15/26 | 690 | 652,188 | ||||||||||
HCA, Inc.: | ||||||||||||
5.38%, 02/01/25 | 345 | 369,581 | ||||||||||
5.88%, 02/15/26 | 3 | 3,289 | ||||||||||
5.38%, 09/01/26 | 97 | 105,609 | ||||||||||
5.63%, 09/01/28 | 444 | 495,615 | ||||||||||
5.88%, 02/01/29 | 147 | 166,344 | ||||||||||
3.50%, 09/01/30 | 782 | 753,201 | ||||||||||
5.50%, 06/15/47 | 850 | 1,035,123 | ||||||||||
LifePoint Health, Inc.(c): | ||||||||||||
6.75%, 04/15/25 | 130 | 134,225 | ||||||||||
4.38%, 02/15/27 | 65 | 61,425 | ||||||||||
MEDNAX, Inc.(c): | ||||||||||||
5.25%, 12/01/23 | 107 | 106,465 | ||||||||||
6.25%, 01/15/27 | 54 | 54,000 | ||||||||||
Molina Healthcare, Inc.: | ||||||||||||
5.38%, 11/15/22 | 4 | 4,080 | ||||||||||
4.38%, 06/15/28(c) | 175 | 174,781 | ||||||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/24(c) | 530 | 492,900 | ||||||||||
Northwell Healthcare, Inc., 4.26%, 11/01/47 | 725 | 793,022 | ||||||||||
Polaris Intermediate Corp., (8.50% Cash or 9.25% PIK), 8.50%, 12/01/22(c)(g) | 265 | 233,348 | ||||||||||
Surgery Center Holdings, Inc.(c): | ||||||||||||
6.75%, 07/01/25 | 378 | 341,145 | ||||||||||
10.00%, 04/15/27 | 182 | 182,000 | ||||||||||
Tenet Healthcare Corp.: | ||||||||||||
8.13%, 04/01/22 | 641 | 673,050 | ||||||||||
4.63%, 07/15/24 | 75 | 73,484 | ||||||||||
4.63%, 09/01/24(c) | 98 | 95,795 | ||||||||||
7.50%, 04/01/25(c) | 123 | 130,841 | ||||||||||
4.88%, 01/01/26(c) | 711 | 692,336 | ||||||||||
6.25%, 02/01/27(c) | 40 | 39,700 | ||||||||||
5.13%, 11/01/27(c) | 582 | 574,259 | ||||||||||
4.63%, 06/15/28(c) | 96 | 93,523 | ||||||||||
Vizient, Inc., 6.25%, 05/15/27(c) | 176 | 184,360 | ||||||||||
|
| |||||||||||
12,305,924 | ||||||||||||
Health Care Technology — 0.1% | ||||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(c) | 518 | 511,525 | ||||||||||
IQVIA, Inc.(c): | ||||||||||||
5.00%, 10/15/26 | 280 | 288,036 | ||||||||||
5.00%, 05/15/27 | 266 | 272,567 | ||||||||||
|
| |||||||||||
1,072,128 | ||||||||||||
Hotels, Restaurants & Leisure — 1.9% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc.(c): | ||||||||||||
5.75%, 04/15/25 | 199 | 208,950 | ||||||||||
5.00%, 10/15/25 | 659 | 655,119 | ||||||||||
3.88%, 01/15/28 | 271 | 262,916 | ||||||||||
4.38%, 01/15/28 | 312 | 305,819 | ||||||||||
Boyd Gaming Corp.: | ||||||||||||
6.38%, 04/01/26 | 64 | 60,800 | ||||||||||
6.00%, 08/15/26 | 68 | 63,560 | ||||||||||
Boyne USA, Inc., 7.25%, 05/01/25(c) | 120 | 125,700 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(c) | 340 | 341,700 | ||||||||||
Churchill Downs, Inc.(c): | ||||||||||||
5.50%, 04/01/27 | 421 | 412,075 | ||||||||||
4.75%, 01/15/28 | 350 | 337,750 |
18 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Colt Merger Sub, Inc.(c)(f): | ||||||||||||
5.75%, 07/01/25 | USD | 322 | $ | 323,835 | ||||||||
6.25%, 07/01/25 | 1,107 | 1,100,081 | ||||||||||
8.13%, 07/01/27 | 590 | 570,088 | ||||||||||
Eldorado Resorts, Inc., 6.00%, 09/15/26(m) | 46 | 49,695 | ||||||||||
GLP Capital LP/GLP Financing II, Inc.: | ||||||||||||
5.25%, 06/01/25 | 223 | 242,490 | ||||||||||
5.38%, 04/15/26 | 98 | 107,074 | ||||||||||
5.30%, 01/15/29 | 30 | 32,462 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(c) | 741 | 532,594 | ||||||||||
Hilton Domestic Operating Co., Inc.: | ||||||||||||
4.25%, 09/01/24 | 56 | 54,331 | ||||||||||
5.38%, 05/01/25(c) | 123 | 123,000 | ||||||||||
5.13%, 05/01/26 | 207 | 206,095 | ||||||||||
5.75%, 05/01/28(c) | 148 | 149,480 | ||||||||||
4.88%, 01/15/30 | 467 | 459,995 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 | 44 | 42,955 | ||||||||||
Las Vegas Sands Corp.: | ||||||||||||
2.90%, 06/25/25 | 35 | 33,995 | ||||||||||
3.50%, 08/18/26 | 31 | 30,912 | ||||||||||
3.90%, 08/08/29 | 29 | 28,608 | ||||||||||
Lions Gate Capital Holdings LLC(c): | ||||||||||||
6.38%, 02/01/24 | 16 | 15,600 | ||||||||||
5.88%, 11/01/24 | 109 | 104,095 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26 | 250 | 252,109 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26 | 250 | 257,500 | ||||||||||
MGM Resorts International: | ||||||||||||
7.75%, 03/15/22 | 305 | 311,100 | ||||||||||
6.00%, 03/15/23 | 253 | 255,530 | ||||||||||
Scientific Games International, Inc.: | ||||||||||||
8.63%, 07/01/25(c)(f) | 136 | 127,119 | ||||||||||
5.00%, 10/15/25(c) | 319 | 294,520 | ||||||||||
3.38%, 02/15/26 | EUR | 100 | 103,362 | |||||||||
8.25%, 03/15/26(c) | USD | 156 | 139,913 | |||||||||
7.00%, 05/15/28(c) | 149 | 119,200 | ||||||||||
7.25%, 11/15/29(c) | 96 | 76,800 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(c) | 508 | 525,145 | ||||||||||
Studio City Finance Ltd., 7.25%, 02/11/24 | 250 | 257,109 | ||||||||||
Unique Pub Finance Co. PLC: | ||||||||||||
Series A4, 5.66%, 06/30/27 | GBP | 788 | 990,369 | |||||||||
Series M, 7.40%, 03/28/24 | 3,000 | 3,853,805 | ||||||||||
Series N, 6.46%, 03/30/32 | 100 | 128,843 | ||||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(c) | USD | 105 | 109,856 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(c) | 125 | 108,063 | ||||||||||
Wynn Macau Ltd.: | ||||||||||||
4.88%, 10/01/24 | 200 | 196,000 | ||||||||||
5.50%, 10/01/27 | 200 | 196,875 | ||||||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 7.75%, 04/15/25(c) | 163 | 164,174 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(c) | 286 | 255,613 | ||||||||||
Yum! Brands, Inc.: | ||||||||||||
3.88%, 11/01/23 | 27 | 27,648 | ||||||||||
7.75%, 04/01/25(c) | 289 | 311,759 | ||||||||||
4.75%, 01/15/30(c) | 137 | 139,055 | ||||||||||
5.35%, 11/01/43 | 44 | 42,240 | ||||||||||
|
| |||||||||||
16,225,481 | ||||||||||||
Household Durables — 0.4% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.(c): | ||||||||||||
6.25%, 09/15/27 | 90 | 86,068 |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) | ||||||||||||
4.88%, 02/15/30 | USD | 154 | $ | 128,682 | ||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(c)(f) | 158 | 164,273 | ||||||||||
Controladora Mabe SA de CV, 5.60%, 10/23/28(c) | 215 | 223,667 | ||||||||||
Global Prime Capital Pte Ltd., 5.50%, 10/18/23 | 200 | 192,125 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(c) | 206 | 202,910 | ||||||||||
Lennar Corp.: | ||||||||||||
4.88%, 12/15/23 | 85 | 89,675 | ||||||||||
4.75%, 05/30/25 | 149 | 159,058 | ||||||||||
5.25%, 06/01/26 | 38 | 41,040 | ||||||||||
4.75%, 11/29/27 | 215 | 233,275 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30(c) | 159 | 152,640 | ||||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 | 72 | 75,780 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 35 | 36,050 | ||||||||||
PulteGroup, Inc.: | ||||||||||||
5.00%, 01/15/27 | 16 | 17,120 | ||||||||||
7.88%, 06/15/32 | 14 | 17,889 | ||||||||||
6.38%, 05/15/33 | 216 | 252,720 | ||||||||||
Shui On Development Holding Ltd., 5.75%, 11/12/23 | 200 | 195,958 | ||||||||||
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(c) | 132 | 136,718 | ||||||||||
Tempur Sealy International, Inc., 5.50%, 06/15/26 | 67 | 67,670 | ||||||||||
Theta Capital Pte Ltd., 8.13%, 01/22/25 | 200 | 177,863 | ||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 | 8 | 8,300 | ||||||||||
TRI Pointe Group, Inc., 5.25%, 06/01/27 | 28 | 27,860 | ||||||||||
Yanlord Land HK Co. Ltd.: | ||||||||||||
6.75%, 04/23/23 | 200 | 201,625 | ||||||||||
6.80%, 02/27/24 | 200 | 197,062 | ||||||||||
|
| |||||||||||
3,086,028 | ||||||||||||
Household Products — 0.0% | ||||||||||||
ACCO Brands Corp., 5.25%, 12/15/24(c) | 59 | 59,737 | ||||||||||
Energizer Holdings, Inc.(c): | ||||||||||||
6.38%, 07/15/26 | 61 | 63,072 | ||||||||||
7.75%, 01/15/27 | 66 | 70,374 | ||||||||||
|
| |||||||||||
193,183 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.4% | ||||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 | 200 | 201,062 | ||||||||||
Calpine Corp.: | ||||||||||||
5.50%, 02/01/24 | 39 | 38,903 | ||||||||||
5.75%, 01/15/25 | 293 | 295,868 | ||||||||||
5.25%, 06/01/26(c) | 64 | 64,621 | ||||||||||
4.50%, 02/15/28(c) | 250 | 243,750 | ||||||||||
5.13%, 03/15/28(c) | 943 | 924,140 | ||||||||||
Clearway Energy Operating LLC, 4.75%, 03/15/28(c) | 287 | 292,723 | ||||||||||
Genneia SA, 8.75%, 01/20/22(c) | 347 | 278,034 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 | 200 | 196,312 | ||||||||||
NRG Energy, Inc.: | ||||||||||||
6.63%, 01/15/27 | 40 | 41,750 | ||||||||||
5.75%, 01/15/28 | 18 | 18,990 | ||||||||||
5.25%, 06/15/29(c) | 305 | 320,250 | ||||||||||
TerraForm Power Operating LLC(c): | ||||||||||||
4.25%, 01/31/23 | 65 | 65,813 | ||||||||||
5.00%, 01/31/28 | 50 | 52,125 | ||||||||||
4.75%, 01/15/30 | 210 | 213,150 | ||||||||||
|
| |||||||||||
3,247,491 | ||||||||||||
Industrial Conglomerates — 0.1% | ||||||||||||
BWX Technologies, Inc. (c): | ||||||||||||
5.38%, 07/15/26 | 136 | 140,132 | ||||||||||
4.13%, 06/30/28 | 169 | 168,578 | ||||||||||
General Electric Co., 6.88%, 01/10/39 | 135 | 165,844 |
SCHEDULES OF INVESTMENTS | 19 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Industrial Conglomerates (continued) | ||||||||||||
Grupo KUO SAB de CV, 5.75%, 07/07/27(c) | USD | 200 | $ | 183,102 | ||||||||
Smiths Group PLC, 3.63%, 10/12/22(c) | 360 | 371,724 | ||||||||||
Vertical US Newco, Inc., 5.25%, 07/15/27(c)(f) | 266 | 266,000 | ||||||||||
|
| |||||||||||
1,295,380 | ||||||||||||
Insurance — 1.9% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(c) | 23 | 23,913 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(c) | 727 | 724,543 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 | 1,495 | 1,564,534 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26(c) | 38 | 39,900 | ||||||||||
Aon PLC: | ||||||||||||
3.88%, 12/15/25 | 1,445 | 1,640,618 | ||||||||||
4.60%, 06/14/44 | 500 | 612,248 | ||||||||||
Asahi Mutual Life Insurance Co.(5 year USD Swap + 4.59%), 6.50%(i)(j) | 333 | 353,775 | ||||||||||
Assicurazioni Generali SpA(3 mo. Euribor + 5.35%), 5.50%, 10/27/47(i) | EUR | 100 | 127,858 | |||||||||
Five Corners Funding Trust, 4.42%, 11/15/23(c) | USD | 2,050 | 2,283,636 | |||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(c) | 171 | 176,022 | ||||||||||
HUB International Ltd., 7.00%, 05/01/26(c) | 848 | 846,219 | ||||||||||
Liberty Mutual Group, Inc., 6.50%, 05/01/42(c) | 2,000 | 2,721,213 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (3 mo. Euribor + 3.50%), 6.00%, 05/26/41(i) | EUR | 400 | 469,106 | |||||||||
Nationstar Mortgage Holdings, Inc., 8.13%, 07/15/23(c) | USD | 234 | 240,131 | |||||||||
Nationwide Building Society(5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(c)(i) | 720 | 779,477 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
5.90%, 03/17/36 | 500 | 631,864 | ||||||||||
5.70%, 12/14/36 | 1,625 | 2,190,692 | ||||||||||
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(c) | 700 | 830,834 | ||||||||||
|
| |||||||||||
16,256,583 | ||||||||||||
Interactive Media & Services — 0.3% | ||||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(c) | 27 | 27,473 | ||||||||||
Match Group Holdings II LLC(c): | ||||||||||||
5.63%, 02/15/29 | 107 | 112,792 | ||||||||||
4.13%, 08/01/30 | 57 | 55,806 | ||||||||||
Netflix, Inc.: | ||||||||||||
3.63%, 06/15/25(c) | 65 | 65,487 | ||||||||||
4.88%, 04/15/28 | 31 | 33,147 | ||||||||||
5.88%, 11/15/28 | 338 | 384,897 | ||||||||||
5.38%, 11/15/29(c) | 574 | 628,645 | ||||||||||
3.63%, 06/15/30 | EUR | 100 | 115,440 | |||||||||
4.88%, 06/15/30(c) | USD | 210 | 225,225 | |||||||||
Rackspace Hosting, Inc., 8.63%, 11/15/24(c) | 109 | 109,545 | ||||||||||
Sabre GLBL, Inc., 5.25%, 11/15/23(c) | 29 | 26,680 | ||||||||||
Twitter, Inc., 3.88%, 12/15/27(c) | 64 | 64,006 | ||||||||||
Uber Technologies, Inc. (c): | ||||||||||||
7.50%, 11/01/23 | 172 | 173,720 | ||||||||||
8.00%, 11/01/26 | 57 | 57,998 | ||||||||||
7.50%, 09/15/27 | 144 | 144,360 | ||||||||||
|
| |||||||||||
2,225,221 | ||||||||||||
Internet & Direct Marketing Retail — 0.1% | ||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25(c) | 408 | 434,631 | ||||||||||
|
| |||||||||||
Internet Software & Services — 0.1% | ||||||||||||
Match Group Holdings II LLC, 4.63%, 06/01/28(c) | 126 | 127,103 | ||||||||||
Uber Technologies, Inc., 7.50%, 05/15/25(c) | 492 | 495,690 | ||||||||||
|
| |||||||||||
622,793 |
Security | Par (000) | Value | ||||||||||
IT Services — 0.4% | ||||||||||||
21Vianet Group, Inc., 7.88%, 10/15/21 | USD | 200 | $ | 201,952 | ||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(c) | 951 | 956,944 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(c) | 342 | 342,000 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(c) | 107 | 107,267 | ||||||||||
Fidelity National Information Services, Inc., 4.50%, 08/15/46 | 1,000 | 1,234,153 | ||||||||||
Gartner, Inc., 4.50%, 07/01/28(c) | 230 | 232,691 | ||||||||||
Leidos, Inc., 4.38%, 05/15/30(c) | 144 | 162,209 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(c) | 217 | 195,300 | ||||||||||
Science Applications International Corp., 4.88%, 04/01/28(c) | 173 | 171,972 | ||||||||||
WEX, Inc., 4.75%, 02/01/23(c) | 123 | 122,122 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 | 122 | 113,739 | ||||||||||
|
| |||||||||||
3,840,349 | ||||||||||||
Leisure Products — 0.1% | ||||||||||||
Mattel, Inc.: | ||||||||||||
6.75%, 12/31/25(c) | 272 | 282,200 | ||||||||||
5.88%, 12/15/27(c) | 77 | 79,310 | ||||||||||
6.20%, 10/01/40 | 16 | 13,840 | ||||||||||
5.45%, 11/01/41 | 74 | 61,396 | ||||||||||
|
| |||||||||||
436,746 | ||||||||||||
Life Sciences Tools & Services — 0.2% | ||||||||||||
Thermo Fisher Scientific, Inc., 5.30%, 02/01/44 | 1,000 | 1,446,281 | ||||||||||
|
| |||||||||||
Machinery — 0.2% | ||||||||||||
Colfax Corp.(c): | ||||||||||||
6.00%, 02/15/24 | 60 | 61,875 | ||||||||||
6.38%, 02/15/26 | 174 | 181,830 | ||||||||||
Mueller Water Products, Inc., 5.50%, 06/15/26(c) | 70 | 72,450 | ||||||||||
Platin 1426 GmbH, 5.38%, 06/15/23 | EUR | 100 | 103,751 | |||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(c) | USD | 187 | 187,935 | |||||||||
SPX FLOW, Inc., 5.63%, 08/15/24(c) | 149 | 152,352 | ||||||||||
Terex Corp., 5.63%, 02/01/25(c) | 198 | 180,180 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(c) | 388 | 367,145 | ||||||||||
Wabash National Corp., 5.50%, 10/01/25(c) | 176 | 161,480 | ||||||||||
|
| |||||||||||
1,468,998 | ||||||||||||
Media — 5.1% | ||||||||||||
Altice Financing SA: | ||||||||||||
7.50%, 05/15/26(c) | 602 | 630,595 | ||||||||||
3.00%, 01/15/28 | EUR | 100 | 103,081 | |||||||||
5.00%, 01/15/28(c) | USD | 239 | 237,413 | |||||||||
Altice France SA(c): | ||||||||||||
7.38%, 05/01/26 | 781 | 814,427 | ||||||||||
8.13%, 02/01/27 | 678 | 741,562 | ||||||||||
5.50%, 01/15/28 | 391 | 394,910 | ||||||||||
AMC Networks, Inc.: | ||||||||||||
5.00%, 04/01/24 | 2 | 1,980 | ||||||||||
4.75%, 08/01/25 | 135 | 133,002 | ||||||||||
Block Communications, Inc., 4.88%, 03/01/28(c) | 87 | 85,938 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(c): | ||||||||||||
5.13%, 05/01/27 | 285 | 294,861 | ||||||||||
5.88%, 05/01/27 | 18 | 18,782 | ||||||||||
5.00%, 02/01/28 | 189 | 195,143 | ||||||||||
5.38%, 06/01/29 | 147 | 155,085 | ||||||||||
4.75%, 03/01/30 | 152 | 155,525 | ||||||||||
4.50%, 08/15/30 | 919 | 937,380 | ||||||||||
4.50%, 05/01/32 | 864 | 874,800 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25 | 4,700 | 5,386,591 |
20 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||
9.25%, 02/15/24 | USD | 395 | $ | 366,402 | ||||||||
5.13%, 08/15/27(c) | 932 | 894,720 | ||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 | 2,600 | 3,156,144 | ||||||||||
Comcast Corp.: | ||||||||||||
6.45%, 03/15/37 | 790 | 1,168,183 | ||||||||||
4.60%, 08/15/45 | 2,000 | 2,571,132 | ||||||||||
4.70%, 10/15/48 | 3,000 | 4,034,766 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(c) | 1,293 | 1,225,117 | ||||||||||
CSC Holdings LLC: | ||||||||||||
5.25%, 06/01/24 | 166 | 174,715 | ||||||||||
6.63%, 10/15/25(c) | 200 | 207,750 | ||||||||||
10.88%, 10/15/25(c) | 654 | 703,050 | ||||||||||
5.50%, 05/15/26(c) | 200 | 205,274 | ||||||||||
5.38%, 02/01/28(c) | 200 | 209,000 | ||||||||||
5.75%, 01/15/30(c) | 443 | 461,384 | ||||||||||
4.13%, 12/01/30(c) | 401 | 397,491 | ||||||||||
4.63%, 12/01/30(c) | 214 | 207,871 | ||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(c) | 366 | 264,893 | ||||||||||
Discovery Communications LLC: | ||||||||||||
3.25%, 04/01/23 | 1,850 | 1,943,885 | ||||||||||
3.45%, 03/15/25 | 210 | 229,200 | ||||||||||
DISH DBS Corp.: | ||||||||||||
6.75%, 06/01/21 | 443 | 451,306 | ||||||||||
5.88%, 07/15/22 | 739 | 751,415 | ||||||||||
5.00%, 03/15/23 | 284 | 283,318 | ||||||||||
7.75%, 07/01/26 | 374 | 396,440 | ||||||||||
DISH Network Corp.(l): | ||||||||||||
2.38%, 03/15/24 | 210 | 187,918 | ||||||||||
3.38%, 08/15/26 | 259 | 237,921 | ||||||||||
Dolya Holdco 18 DAC, 5.00%, 07/15/28(c) | 507 | 500,510 | ||||||||||
Entercom Media Corp., 6.50%, 05/01/27(c) | 173 | 155,268 | ||||||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | 70 | 72,394 | ||||||||||
iHeartCommunications, Inc.: | ||||||||||||
6.38%, 05/01/26 | 91 | 90,453 | ||||||||||
5.25%, 08/15/27(c) | 66 | 63,195 | ||||||||||
4.75%, 01/15/28(c) | 50 | 46,125 | ||||||||||
Interpublic Group of Cos., Inc., 3.75%, 02/15/23 | 2,000 | 2,117,024 | ||||||||||
Lamar Media Corp.(c): | ||||||||||||
4.88%, 01/15/29 | 50 | 50,250 | ||||||||||
4.00%, 02/15/30 | 85 | 81,362 | ||||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(c) | 200 | 204,000 | ||||||||||
Live Nation Entertainment, Inc., 6.50%, 05/15/27(c) | 643 | 662,290 | ||||||||||
Meredith Corp., 6.88%, 02/01/26 | 23 | 19,125 | ||||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(c) | 108 | 109,661 | ||||||||||
Network i2i Ltd. (5 year CMT + 4.27%), 5.65%(i)(j) | 250 | 241,797 | ||||||||||
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(c) | 104 | 106,133 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(c): | ||||||||||||
6.88%, 02/15/23 | 77 | 77,963 | ||||||||||
6.63%, 02/15/25 | 74 | 73,646 | ||||||||||
Sable International Finance Ltd., | 200 | 203,576 | ||||||||||
Sirius XM Radio, Inc.(c): | ||||||||||||
5.00%, 08/01/27 | 314 | 320,930 | ||||||||||
5.50%, 07/01/29 | 279 | 293,681 | ||||||||||
4.13%, 07/01/30 | 302 | 298,666 | ||||||||||
TCI Communications, Inc., 7.88%, 02/15/26 | 610 | 832,460 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
TEGNA, Inc., 5.50%, 09/15/24(c) | USD | 45 | $ | 45,450 | ||||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(c) | 200 | 208,500 | ||||||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(c) | 398 | 381,582 | ||||||||||
Tower Bersama Infrastructure Tbk PT, 4.25%, 01/21/25 | 200 | 198,692 | ||||||||||
Univision Communications, Inc.(c): | ||||||||||||
5.13%, 05/15/23 | 169 | 170,555 | ||||||||||
5.13%, 02/15/25 | 52 | 48,978 | ||||||||||
ViacomCBS, Inc., 5.85%, 09/01/43 | 645 | 758,989 | ||||||||||
Videotron Ltd., 5.13%, 04/15/27(c) | 227 | 235,542 | ||||||||||
Virgin Media Secured Finance PLC(c): | ||||||||||||
5.50%, 05/15/29 | 400 | 418,000 | ||||||||||
4.50%, 08/15/30 | 233 | 233,291 | ||||||||||
Walt Disney Co., 7.63%, 11/30/28 | 385 | 550,826 | ||||||||||
Zayo Group Holdings Inc, 6.13%, 03/01/28(c) | 723 | 703,117 | ||||||||||
Zayo Group Holdings, Inc., 4.00%, 03/01/27(c) | 551 | 524,310 | ||||||||||
Ziggo Bond Co. BV(c): | ||||||||||||
6.00%, 01/15/27 | 150 | 152,250 | ||||||||||
5.13%, 02/28/30 | 200 | 198,440 | ||||||||||
Ziggo BV(c): | ||||||||||||
5.50%, 01/15/27 | 282 | 285,542 | ||||||||||
4.88%, 01/15/30 | 200 | 201,084 | ||||||||||
|
| |||||||||||
43,826,027 | ||||||||||||
Metals & Mining — 1.0% | ||||||||||||
ABJA Investment Co. Pte Ltd.: | ||||||||||||
5.95%, 07/31/24 | 250 | 247,031 | ||||||||||
5.45%, 01/24/28 | 200 | 184,852 | ||||||||||
ArcelorMittal SA, 1.75%, 11/19/25 | EUR | 100 | 106,836 | |||||||||
Arconic Corp.(c): | ||||||||||||
6.00%, 05/15/25 | USD | 247 | 255,336 | |||||||||
6.13%, 02/15/28 | 151 | 150,962 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(c) | 240 | 229,200 | ||||||||||
Constellium SE(c): | ||||||||||||
5.75%, 05/15/24 | 255 | 255,000 | ||||||||||
6.63%, 03/01/25 | 264 | 266,975 | ||||||||||
5.88%, 02/15/26 | 519 | 520,386 | ||||||||||
5.63%, 06/15/28 | 250 | 245,000 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.88%, 03/15/23 | 634 | 634,000 | ||||||||||
4.25%, 03/01/30 | 264 | 256,080 | ||||||||||
5.40%, 11/14/34 | 245 | 242,167 | ||||||||||
5.45%, 03/15/43 | 1,235 | 1,210,300 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(c) | 200 | 214,625 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(c) | 164 | 163,180 | ||||||||||
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(c) | 84 | 85,787 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24 | 200 | 191,750 | ||||||||||
Kaiser Aluminum Corp.(c): | ||||||||||||
6.50%, 05/01/25 | 68 | 70,295 | ||||||||||
4.63%, 03/01/28 | 90 | 86,069 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27(c) | 207 | 213,560 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27(c) | 299 | 288,946 | ||||||||||
Novelis Corp.(c): | ||||||||||||
5.88%, 09/30/26 | 551 | 550,311 | ||||||||||
4.75%, 01/30/30 | 646 | 616,930 | ||||||||||
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 | 400 | 536,622 | ||||||||||
thyssenkrupp AG, 2.88%, 02/22/24 | EUR | 51 | 55,122 | |||||||||
Vale Overseas Ltd., 6.25%, 08/10/26 | USD | 237 | 278,623 | |||||||||
Vedanta Resources Finance II PLC, 8.00%, 04/23/23 | 313 | 228,248 | ||||||||||
|
| |||||||||||
8,384,193 |
SCHEDULES OF INVESTMENTS | 21 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Multiline Retail — 0.0% | ||||||||||||
Dufry One BV, 2.00%, 02/15/27 | EUR | 100 | $ | 87,024 | ||||||||
Future Retail Ltd., 5.60%, 01/22/25 | USD | 200 | 132,000 | |||||||||
Nordstrom, Inc., 8.75%, 05/15/25(c) | 91 | 97,929 | ||||||||||
|
| |||||||||||
316,953 | ||||||||||||
Offshore Drilling & Other Services — 0.0% | ||||||||||||
Entegris, Inc., 4.38%, 04/15/28(c) | 158 | 160,765 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 5.9% | ||||||||||||
Apache Corp.: | ||||||||||||
3.25%, 04/15/22 | 7 | 6,774 | ||||||||||
5.25%, 02/01/42 | 20 | 16,322 | ||||||||||
4.75%, 04/15/43 | 216 | 173,899 | ||||||||||
4.25%, 01/15/44 | 285 | 216,693 | ||||||||||
5.35%, 07/01/49 | 48 | 38,301 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(c) | 310 | 264,275 | ||||||||||
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(n) | 150 | 106,969 | ||||||||||
Buckeye Partners LP: | ||||||||||||
4.13%, 03/01/25(c) | 179 | 171,709 | ||||||||||
4.50%, 03/01/28(c) | 247 | 230,945 | ||||||||||
5.85%, 11/15/43 | 84 | 72,895 | ||||||||||
5.60%, 10/15/44 | 106 | 84,800 | ||||||||||
Callon Petroleum Co.: | ||||||||||||
6.13%, 10/01/24 | 147 | 55,162 | ||||||||||
8.25%, 07/15/25 | 128 | 44,800 | ||||||||||
Series WI, 6.38%, 07/01/26 | 122 | 40,260 | ||||||||||
Carrizo Oil & Gas, Inc., 6.25%, 04/15/23 | 251 | 95,071 | ||||||||||
Cenovus Energy, Inc.: | ||||||||||||
3.00%, 08/15/22 | 57 | 55,429 | ||||||||||
3.80%, 09/15/23 | 32 | 30,091 | ||||||||||
4.25%, 04/15/27 | 400 | 362,276 | ||||||||||
5.40%, 06/15/47 | 23 | 19,745 | ||||||||||
Centennial Resource Production LLC, 6.88%, 04/01/27(c) | 156 | 82,680 | ||||||||||
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | 351 | 385,704 | ||||||||||
Cheniere Energy Partners LP: | ||||||||||||
5.63%, 10/01/26 | 72 | 71,640 | ||||||||||
Series WI, 5.25%, 10/01/25 | 33 | 32,891 | ||||||||||
Cheniere Energy, Inc., (4.88% PIK), 4.88%, 05/28/21(c)(f)(g)(l) | 342 | 345,317 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24(c) | 298 | 296,510 | ||||||||||
CNX Resources Corp.: | ||||||||||||
5.88%, 04/15/22 | 270 | 266,449 | ||||||||||
7.25%, 03/14/27(c) | 46 | 42,320 | ||||||||||
Comstock Resources, Inc.: | ||||||||||||
7.50%, 05/15/25(c) | 296 | 268,250 | ||||||||||
9.75%, 08/15/26 | 244 | 227,722 | ||||||||||
ConocoPhillips, 6.50%, 02/01/39 | 600 | 873,614 | ||||||||||
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 | 685 | 922,060 | ||||||||||
Continental Resources, Inc.: | ||||||||||||
5.00%, 09/15/22 | 288 | 282,960 | ||||||||||
4.50%, 04/15/23 | 96 | 91,891 | ||||||||||
4.90%, 06/01/44 | 157 | 125,011 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | ||||||||||||
6.25%, 04/01/23 | 11 | 9,790 | ||||||||||
5.63%, 05/01/27(c) | 219 | 182,578 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c) | 709 | 635,441 | ||||||||||
CVR Energy, Inc.(c): | ||||||||||||
5.25%, 02/15/25 | 146 | 134,320 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
5.75%, 02/15/28 | USD | 48 | $ | 42,000 | ||||||||
DCP Midstream Operating LP: | ||||||||||||
5.38%, 07/15/25 | 118 | 117,115 | ||||||||||
5.63%, 07/15/27 | 135 | 135,844 | ||||||||||
5.13%, 05/15/29 | 65 | 62,360 | ||||||||||
6.45%, 11/03/36(c) | 148 | 133,200 | ||||||||||
6.75%, 09/15/37(c) | 222 | 199,198 | ||||||||||
Devon Energy Corp., 5.85%, 12/15/25 | 1,000 | 1,103,956 | ||||||||||
Diamondback Energy, Inc., 3.50%, 12/01/29 | 306 | 296,382 | ||||||||||
eG Global Finance PLC: | ||||||||||||
6.75%, 02/07/25(c) | 241 | 235,276 | ||||||||||
6.25%, 10/30/25 | EUR | 142 | 154,751 | |||||||||
8.50%, 10/30/25(c) | USD | 200 | 205,000 | |||||||||
Enbridge, Inc.(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(i) | 1,935 | 1,905,975 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(c): | ||||||||||||
6.63%, 07/15/25 | 139 | 140,087 | ||||||||||
5.50%, 01/30/26 | 439 | 420,342 | ||||||||||
5.75%, 01/30/28 | 253 | 242,880 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
4.05%, 03/15/25 | 500 | 530,566 | ||||||||||
4.75%, 01/15/26 | 1,250 | 1,357,073 | ||||||||||
3.75%, 05/15/30 | 50 | 49,663 | ||||||||||
5.30%, 04/15/47 | 540 | 521,624 | ||||||||||
5.00%, 05/15/50 | 134 | 127,268 | ||||||||||
Series 30Y, 6.00%, 06/15/48 | 89 | 92,309 | ||||||||||
EnLink Midstream LLC, 5.38%, 06/01/29 | 50 | 37,500 | ||||||||||
EnLink Midstream Partners LP: | ||||||||||||
4.40%, 04/01/24 | 144 | 119,592 | ||||||||||
4.15%, 06/01/25 | 10 | 7,700 | ||||||||||
4.85%, 07/15/26 | 20 | 14,806 | ||||||||||
5.60%, 04/01/44 | 122 | 74,420 | ||||||||||
5.05%, 04/01/45 | 19 | 11,833 | ||||||||||
EOG Resources, Inc., 5.10%, 01/15/36 | 200 | 230,634 | ||||||||||
EQM Midstream Partners LP: | ||||||||||||
6.00%, 07/01/25(c) | 216 | 218,791 | ||||||||||
4.13%, 12/01/26 | 68 | 62,347 | ||||||||||
6.50%, 07/01/27(c) | 240 | 245,813 | ||||||||||
EQT Corp.: | ||||||||||||
3.90%, 10/01/27 | 224 | 181,953 | ||||||||||
7.00%, 02/01/30 | 125 | 128,754 | ||||||||||
Extraction Oil & Gas, Inc.(b)(c)(h): | ||||||||||||
7.38%, 05/15/24 | 213 | 41,003 | ||||||||||
5.63%, 02/01/26 | 306 | 58,905 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp.: | ||||||||||||
6.00%, 05/15/23 | 93 | 83,700 | ||||||||||
5.63%, 06/15/24 | 102 | 88,740 | ||||||||||
6.50%, 10/01/25 | 29 | 24,795 | ||||||||||
7.75%, 02/01/28 | 75 | 66,750 | ||||||||||
Geopark Ltd., 6.50%, 09/21/24 | 200 | 182,937 | ||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 | 200 | 176,625 | ||||||||||
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c) | 390 | 234,000 | ||||||||||
Hess Corp.: | ||||||||||||
4.30%, 04/01/27 | 1,100 | 1,139,124 | ||||||||||
5.80%, 04/01/47 | 24 | 26,085 | ||||||||||
Hess Midstream Operations LP, 5.63%, 02/15/26(c) | 95 | 94,002 | ||||||||||
Hilong Holding Ltd., 8.25%, 09/26/22 | 200 | 75,000 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 | 200 | 189,437 | ||||||||||
Impulsora Pipeline LLC, 6.05%, 12/31/42(a) | 1,742 | 1,858,422 | ||||||||||
Indigo Natural Resources LLC, 6.88%, 02/15/26(c) | 328 | 305,040 | ||||||||||
KeySpan Gas East Corp., 5.82%, 04/01/41(c) | 1,010 | 1,337,533 |
22 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Kinder Morgan, Inc.: | ||||||||||||
4.30%, 06/01/25 | USD | 1,750 | $ | 1,963,399 | ||||||||
5.05%, 02/15/46 | 1,750 | 2,013,625 | ||||||||||
Marathon Petroleum Corp., 6.50%, 03/01/41 | 2,049 | 2,536,214 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 | 395 | 292,300 | ||||||||||
Medco Bell Pte Ltd., 6.38%, 01/30/27 | 250 | 210,391 | ||||||||||
MEG Energy Corp.(c): | ||||||||||||
7.00%, 03/31/24 | 192 | 164,640 | ||||||||||
6.50%, 01/15/25 | 387 | 361,117 | ||||||||||
7.13%, 02/01/27 | 6 | 4,988 | ||||||||||
MPLX LP, 4.25%, 12/01/27 | 250 | 271,042 | ||||||||||
Murphy Oil Corp.: | ||||||||||||
5.75%, 08/15/25 | 82 | 73,390 | ||||||||||
6.38%, 12/01/42 | 18 | 13,966 | ||||||||||
Nabors Industries Ltd.(c): | ||||||||||||
7.25%, 01/15/26 | 61 | 37,515 | ||||||||||
7.50%, 01/15/28 | 45 | 27,675 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(c) | 138 | 168,429 | ||||||||||
NuStar Logistics LP, 6.00%, 06/01/26 | 99 | 96,030 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
4.85%, 03/15/21 | 36 | 35,730 | ||||||||||
2.60%, 08/13/21 | 392 | 383,098 | ||||||||||
2.70%, 08/15/22 | 336 | 312,799 | ||||||||||
2.90%, 08/15/24 | 170 | 145,262 | ||||||||||
5.55%, 03/15/26 | 1,500 | 1,369,065 | ||||||||||
3.20%, 08/15/26 | 30 | 24,375 | ||||||||||
3.00%, 02/15/27 | 12 | 9,302 | ||||||||||
3.50%, 08/15/29 | 41 | 29,996 | ||||||||||
4.30%, 08/15/39 | 323 | 222,776 | ||||||||||
6.20%, 03/15/40 | 482 | 403,675 | ||||||||||
4.50%, 07/15/44 | 127 | 87,630 | ||||||||||
4.63%, 06/15/45 | 314 | 219,800 | ||||||||||
6.60%, 03/15/46 | 18 | 15,668 | ||||||||||
4.40%, 04/15/46 | 309 | 215,534 | ||||||||||
4.10%, 02/15/47 | 33 | 22,234 | ||||||||||
4.20%, 03/15/48 | 217 | 146,952 | ||||||||||
4.40%, 08/15/49 | 71 | 48,990 | ||||||||||
Series 1, 4.10%, 02/01/21 | 311 | 312,244 | ||||||||||
Parsley Energy LLC/Parsley Finance Corp.(c): | ||||||||||||
5.38%, 01/15/25 | 53 | 51,558 | ||||||||||
5.25%, 08/15/25 | 40 | 38,414 | ||||||||||
5.63%, 10/15/27 | 195 | 192,075 | ||||||||||
4.13%, 02/15/28 | 192 | 173,760 | ||||||||||
PDC Energy, Inc.: | ||||||||||||
6.25%, 12/01/25 | 34 | 28,645 | ||||||||||
1.13%, 09/15/21(l) | 132 | 120,910 | ||||||||||
6.13%, 09/15/24 | 117 | 108,810 | ||||||||||
5.75%, 05/15/26 | 95 | 86,450 | ||||||||||
Pertamina Persero PT, 4.30%, 05/20/23 | 237 | 249,739 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.30%, 01/27/25 | 178 | 184,508 | ||||||||||
8.75%, 05/23/26 | 222 | 261,960 | ||||||||||
6.00%, 01/27/28 | 239 | 249,600 | ||||||||||
5.60%, 01/03/31 | 309 | 310,390 | ||||||||||
7.25%, 03/17/44 | 220 | 238,494 | ||||||||||
Petroleos Mexicanos, 6.88%, 08/04/26 | 517 | 488,436 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24(c) | 200 | 171,500 | ||||||||||
QEP Resources, Inc.: | ||||||||||||
6.88%, 03/01/21 | 113 | 107,915 | ||||||||||
5.38%, 10/01/22 | 198 | 150,480 | ||||||||||
5.25%, 05/01/23 | 93 | 61,380 | ||||||||||
5.63%, 03/01/26 | 107 | 67,945 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Range Resources Corp.: | ||||||||||||
5.88%, 07/01/22 | USD | 30 | $ | 27,600 | ||||||||
5.00%, 08/15/22 | 170 | 154,700 | ||||||||||
5.00%, 03/15/23(k) | 187 | 160,820 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.88%, 06/30/26 | 1,750 | 2,056,250 | ||||||||||
4.50%, 05/15/30(c) | 75 | 83,265 | ||||||||||
Saudi Arabian Oil Co., 3.50%, 04/16/29 | 200 | 215,875 | ||||||||||
SM Energy Co., 10.00%, 01/15/25(c) | 324 | 307,599 | ||||||||||
Southwestern Energy Co.: | ||||||||||||
4.10%, 03/15/22 | 153 | 146,054 | ||||||||||
6.20%, 01/23/25 | 85 | 72,781 | ||||||||||
7.50%, 04/01/26 | 64 | 56,019 | ||||||||||
Suncor Energy, Inc., 6.50%, 06/15/38 | 1,000 | 1,261,720 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.90%, 07/15/26 | 310 | 325,613 | ||||||||||
5.40%, 10/01/47 | 63 | 63,032 | ||||||||||
Sunoco LP/Sunoco Finance Corp.: | ||||||||||||
6.00%, 04/15/27 | 38 | 37,620 | ||||||||||
Series WI, 4.88%, 01/15/23 | 127 | 125,095 | ||||||||||
Series WI, 5.50%, 02/15/26 | 21 | 20,370 | ||||||||||
Series WI, 5.88%, 03/15/28 | 4 | 3,971 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24(c) | 238 | 214,931 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||||||||||
5.13%, 02/01/25 | 95 | 91,437 | ||||||||||
5.88%, 04/15/26 | 184 | 182,160 | ||||||||||
5.38%, 02/01/27 | 2 | 1,930 | ||||||||||
6.50%, 07/15/27 | 105 | 105,262 | ||||||||||
5.00%, 01/15/28 | 133 | 125,071 | ||||||||||
6.88%, 01/15/29 | 450 | 471,375 | ||||||||||
5.50%, 03/01/30(c) | 230 | 222,093 | ||||||||||
TransCanada PipeLines Ltd., 4.63%, 03/01/34 | 500 | 574,709 | ||||||||||
Viper Energy Partners LP, 5.38%, 11/01/27(c) | 75 | 73,569 | ||||||||||
Western Midstream Operating LP: | ||||||||||||
4.00%, 07/01/22 | 29 | 28,907 | ||||||||||
3.95%, 06/01/25 | 118 | 110,533 | ||||||||||
4.65%, 07/01/26 | 89 | 85,244 | ||||||||||
5.38%, 06/01/21 | 1,425 | 1,421,437 | ||||||||||
3.10%, 02/01/25 | 57 | 54,008 | ||||||||||
4.75%, 08/15/28 | 44 | 42,130 | ||||||||||
4.05%, 02/01/30 | 112 | 107,810 | ||||||||||
5.45%, 04/01/44 | 222 | 184,882 | ||||||||||
5.30%, 03/01/48 | 253 | 205,246 | ||||||||||
5.50%, 08/15/48 | 44 | 35,640 | ||||||||||
5.25%, 02/01/50 | 213 | 184,309 | ||||||||||
Williams Cos., Inc.: | ||||||||||||
3.90%, 01/15/25 | 1,150 | 1,259,061 | ||||||||||
4.00%, 09/15/25 | 750 | 830,927 | ||||||||||
WPX Energy, Inc.: | ||||||||||||
8.25%, 08/01/23 | 43 | 47,730 | ||||||||||
5.25%, 09/15/24 | 75 | 73,875 | ||||||||||
5.75%, 06/01/26 | 16 | 15,520 | ||||||||||
5.25%, 10/15/27 | 81 | 75,669 | ||||||||||
5.88%, 06/15/28 | 139 | 133,572 | ||||||||||
4.50%, 01/15/30 | 337 | 296,560 | ||||||||||
YPF SA, 8.50%, 07/28/25 | 249 | 185,041 | ||||||||||
|
| |||||||||||
50,894,516 | ||||||||||||
Oil: Crude Producers — 0.0% | ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(c) | 295 | 288,475 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 23 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Paper & Forest Products — 0.1% | ||||||||||||
International Paper Co., 6.00%, 11/15/41 | USD | 870 | $ | 1,146,777 | ||||||||
Norbord, Inc., 6.25%, 04/15/23(c) | 111 | 116,573 | ||||||||||
|
| |||||||||||
1,263,350 | ||||||||||||
Personal Products — 0.0% | ||||||||||||
Edgewell Personal Care Co., 5.50%, 06/01/28(c) | 120 | 123,300 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 2.3% | ||||||||||||
AbbVie, Inc.: | ||||||||||||
5.00%, 12/15/21(c) | 758 | 796,356 | ||||||||||
3.80%, 03/15/25(c) | 3,250 | 3,605,926 | ||||||||||
3.60%, 05/14/25 | 870 | 962,022 | ||||||||||
3.20%, 05/14/26 | 500 | 549,720 | ||||||||||
4.55%, 03/15/35(c) | 2,140 | 2,595,188 | ||||||||||
4.45%, 05/14/46 | 2,095 | 2,556,376 | ||||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/27(c) | 745 | 790,631 | ||||||||||
Bausch Health Cos., Inc.: | ||||||||||||
5.50%, 03/01/23(c) | 98 | 98,000 | ||||||||||
4.50%, 05/15/23 | EUR | 276 | 306,535 | |||||||||
5.88%, 05/15/23(c) | USD | 12 | 11,970 | |||||||||
9.00%, 12/15/25(c) | 362 | 389,950 | ||||||||||
5.75%, 08/15/27(c) | 231 | 244,860 | ||||||||||
7.00%, 01/15/28(c) | 146 | 150,380 | ||||||||||
5.00%, 01/30/28(c) | 132 | 124,277 | ||||||||||
6.25%, 02/15/29(c) | 357 | 358,785 | ||||||||||
7.25%, 05/30/29(c) | 274 | 287,700 | ||||||||||
5.25%, 01/30/30(c) | 94 | 89,183 | ||||||||||
Catalent Pharma Solutions, Inc.: | ||||||||||||
4.88%, 01/15/26(c) | 122 | 123,854 | ||||||||||
5.00%, 07/15/27(c) | 22 | 22,839 | ||||||||||
2.38%, 03/01/28 | EUR | 100 | 106,265 | |||||||||
Charles River Laboratories International, Inc.(c): | ||||||||||||
5.50%, 04/01/26 | USD | 154 | 160,160 | |||||||||
4.25%, 05/01/28 | 184 | 183,906 | ||||||||||
CVS Health Corp.: | ||||||||||||
5.13%, 07/20/45 | 700 | 901,950 | ||||||||||
5.05%, 03/25/48 | 1,221 | 1,599,379 | ||||||||||
Elanco Animal Health, Inc., 5.65%, 08/28/28 | 6 | 6,653 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(c): | ||||||||||||
9.50%, 07/31/27 | 91 | 96,251 | ||||||||||
6.00%, 06/30/28 | 91 | 58,695 | ||||||||||
Jaguar Holding Co. II/PPD Development LP(c): | ||||||||||||
4.63%, 06/15/25 | 363 | 369,425 | ||||||||||
5.00%, 06/15/28 | 339 | 347,051 | ||||||||||
Mylan NV, 3.95%, 06/15/26 | 750 | 838,539 | ||||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 | EUR | 100 | 110,523 | |||||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(c) | USD | 675 | 692,685 | |||||||||
Synlab Bondco PLC(3 mo. Euribor + 4.75%), 4.75%, 07/01/25(d) | EUR | 100 | 112,125 | |||||||||
|
| |||||||||||
19,648,159 | ||||||||||||
Producer Durables: Miscellaneous — 0.2% | ||||||||||||
Boxer Parent Co., Inc.: | ||||||||||||
6.50%, 10/02/25 | 100 | 115,608 | ||||||||||
7.13%, 10/02/25(c) | USD | 263 | 275,756 | |||||||||
9.13%, 03/01/26(c) | 407 | 421,245 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(c) | 294 | 283,066 | ||||||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(c) | 280 | 275,100 | ||||||||||
|
| |||||||||||
1,370,775 | ||||||||||||
Professional Services — 0.1% | ||||||||||||
ASGN, Inc., 4.63%, 05/15/28(c) | 73 | 71,293 | ||||||||||
Dun & Bradstreet Corp.(c): | ||||||||||||
6.88%, 08/15/26 | 494 | 520,706 | ||||||||||
10.25%, 02/15/27 | 219 | 243,090 | ||||||||||
|
| |||||||||||
835,089 |
Security | Par (000) | Value | ||||||||||
Real Estate — 0.3% | ||||||||||||
China Aoyuan Group Ltd., 7.95%, 02/19/23 | USD | 450 | $ | 466,969 | ||||||||
China SCE Group Holdings Ltd.: | ||||||||||||
8.75%, 01/15/21 | 200 | 201,688 | ||||||||||
7.25%, 04/19/23 | 200 | 198,500 | ||||||||||
Country Garden Holdings Co. Ltd., 6.15%, 09/17/25 | 200 | 211,593 | ||||||||||
Easy Tactic Ltd., 9.13%, 07/28/22 | 200 | 190,793 | ||||||||||
Kaisa Group Holdings Ltd., 11.95%, 10/22/22 | 200 | 208,437 | ||||||||||
Logan Property Holdings Co. Ltd., 6.50%, 07/16/23 | 400 | 409,500 | ||||||||||
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22 | 200 | 202,042 | ||||||||||
Ronshine China Holdings Ltd., 8.95%, 01/22/23 | 200 | 208,875 | ||||||||||
Zhenro Properties Group Ltd., 9.15%, 03/08/22 | 200 | 204,250 | ||||||||||
|
| |||||||||||
2,502,647 | ||||||||||||
Real Estate Management & Development — 1.5% | ||||||||||||
ADLER Real Estate AG, 3.00%, 04/27/26 | EUR | 100 | 111,181 | |||||||||
Agile Group Holdings Ltd.: | ||||||||||||
(5 year CMT + 11.29%), 7.88%(i)(j) | USD | 200 | 196,438 | |||||||||
6.70%, 03/07/22 | 450 | 461,335 | ||||||||||
Central China Real Estate Ltd.: | ||||||||||||
6.88%, 08/08/22 | 200 | 197,750 | ||||||||||
7.25%, 04/24/23 | 200 | 197,412 | ||||||||||
7.65%, 08/27/23 | 295 | 291,703 | ||||||||||
China Aoyuan Group Ltd., 7.50%, 05/10/21 | 200 | 202,486 | ||||||||||
China Evergrande Group: | ||||||||||||
8.25%, 03/23/22 | 200 | 184,125 | ||||||||||
9.50%, 04/11/22 | 200 | 187,810 | ||||||||||
11.50%, 01/22/23 | 450 | 425,416 | ||||||||||
12.00%, 01/22/24 | 250 | 229,422 | ||||||||||
China SCE Group Holdings Ltd., 7.38%, 04/09/24 | 200 | 196,438 | ||||||||||
CIFI Holdings Group Co. Ltd.: | ||||||||||||
7.63%, 02/28/23 | 400 | 420,220 | ||||||||||
6.55%, 03/28/24 | 200 | 205,586 | ||||||||||
6.45%, 11/07/24 | 200 | 203,000 | ||||||||||
Consus Real Estate AG, 9.63%, 05/15/24 | EUR | 100 | 121,900 | |||||||||
Country Garden Holdings Co. Ltd.: | ||||||||||||
8.00%, 01/27/24 | USD | 200 | 215,804 | |||||||||
6.50%, 04/08/24 | 200 | 212,125 | ||||||||||
5.13%, 01/14/27 | 200 | 200,501 | ||||||||||
Easy Tactic Ltd.: | ||||||||||||
8.75%, 01/10/21 | 200 | 198,500 | ||||||||||
8.13%, 02/27/23 | 200 | 182,312 | ||||||||||
Fantasia Holdings Group Co. Ltd.: | ||||||||||||
8.38%, 03/08/21 | 200 | 200,063 | ||||||||||
11.75%, 04/17/22 | 200 | 206,746 | ||||||||||
12.25%, 10/18/22 | 200 | 208,656 | ||||||||||
Greenland Global Investment Ltd.: | ||||||||||||
7.25%, 03/12/22 | 200 | 203,408 | ||||||||||
6.75%, 06/25/22 | 200 | 201,750 | ||||||||||
5.60%, 11/13/22 | 200 | 196,472 | ||||||||||
Hopson Development Holdings Ltd., 7.50%, 06/27/22 | 200 | 200,302 | ||||||||||
Howard Hughes Corp., 5.38%, 03/15/25(c) | 30 | 27,918 | ||||||||||
Kaisa Group Holdings Ltd.: | ||||||||||||
11.25%, 04/09/22 | 200 | 207,687 | ||||||||||
11.50%, 01/30/23 | 400 | 408,884 | ||||||||||
10.88%, 07/23/23 | 200 | 199,688 | ||||||||||
KWG Group Holdings Ltd.: | ||||||||||||
7.88%, 08/09/21 | 200 | 204,688 | ||||||||||
7.88%, 09/01/23 | 200 | 207,184 | ||||||||||
7.40%, 03/05/24 | 200 | 203,776 | ||||||||||
Logan Group Co. Ltd.: | ||||||||||||
7.50%, 08/25/22 | 200 | 207,013 |
24 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
6.90%, 06/09/24 | USD | 200 | $ | 207,052 | ||||||||
5.75%, 01/14/25 | 200 | 198,924 | ||||||||||
New Metro Global Ltd.: | ||||||||||||
6.50%, 04/23/21 | 200 | 200,402 | ||||||||||
6.80%, 08/05/23 | 200 | 201,014 | ||||||||||
Redsun Properties Group Ltd., 9.95%, 04/11/22 | 200 | 200,600 | ||||||||||
RKPF Overseas A Ltd., Class A, 6.70%, 09/30/24 | 513 | 519,573 | ||||||||||
Ronshine China Holdings Ltd.: | ||||||||||||
11.25%, 08/22/21 | 200 | 209,765 | ||||||||||
10.50%, 03/01/22 | 200 | 212,312 | ||||||||||
Seazen Group Ltd., 6.45%, 06/11/22 | 200 | 201,243 | ||||||||||
Shimao Group Holdings Ltd.: | ||||||||||||
6.13%, 02/21/24 | 200 | 211,000 | ||||||||||
5.60%, 07/15/26 | 200 | 210,687 | ||||||||||
Sunac China Holdings Ltd.: | ||||||||||||
7.88%, 02/15/22 | 200 | 204,638 | ||||||||||
7.25%, 06/14/22 | 200 | 202,301 | ||||||||||
7.95%, 10/11/23 | 200 | 204,375 | ||||||||||
7.50%, 02/01/24 | 200 | 199,875 | ||||||||||
Times China Holdings Ltd., 6.75%, 07/16/23 | 513 | 520,535 | ||||||||||
Yango Justice International Ltd., 10.00%, 02/12/23 | 200 | 206,312 | ||||||||||
Yuzhou Group Holdings Co. Ltd.: | ||||||||||||
8.63%, 01/23/22 | 200 | 206,679 | ||||||||||
8.50%, 02/04/23 | 200 | 208,000 | ||||||||||
8.50%, 02/26/24 | 200 | 204,250 | ||||||||||
8.38%, 10/30/24 | 200 | 201,813 | ||||||||||
Zhenro Properties Group Ltd., 8.70%, 08/03/22 | 200 | 201,000 | ||||||||||
|
| |||||||||||
13,058,049 | ||||||||||||
Road & Rail — 0.8% | ||||||||||||
Autostrade per l’Italia SpA, 5.88%, 06/09/24 | EUR | 100 | 123,295 | |||||||||
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40 | USD | 1,890 | 2,666,241 | |||||||||
CSX Corp., 4.75%, 05/30/42 | 350 | 446,922 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(c) | 222 | 222,477 | ||||||||||
Lima Metro Line 2 Finance Ltd.(c): | ||||||||||||
5.88%, 07/05/34 | 2,692 | 3,176,051 | ||||||||||
4.35%, 04/05/36 | 200 | 214,500 | ||||||||||
|
| |||||||||||
6,849,486 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.9% | ||||||||||||
AMS AG, 6.00% | 100 | 111,226 | ||||||||||
Analog Devices, Inc., 3.90%, 12/15/25 | 470 | 535,041 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | 2,850 | 3,079,756 | ||||||||||
Broadcom, Inc.(c): | ||||||||||||
3.46%, 09/15/26 | 735 | 788,237 | ||||||||||
4.15%, 11/15/30 | 470 | 510,740 | ||||||||||
4.30%, 11/15/32 | 745 | 817,398 | ||||||||||
Microchip Technology, Inc.: | ||||||||||||
1.63%, 02/15/25(l) | 53 | 118,228 | ||||||||||
4.25%, 09/01/25(c) | 635 | 639,041 | ||||||||||
ON Semiconductor Corp., 1.00%, 12/01/20(l) | 168 | 195,284 | ||||||||||
Qorvo, Inc.: | ||||||||||||
5.50%, 07/15/26 | 92 | 95,680 | ||||||||||
4.38%, 10/15/29(c) | 182 | 186,383 | ||||||||||
QUALCOMM, Inc., 4.65%, 05/20/35 | 250 | 332,299 | ||||||||||
Sensata Tech, Inc., 4.38%, 02/15/30(c) | 54 | 53,460 | ||||||||||
Sensata Technologies BV, 5.00%, 10/01/25(c) | 330 | 351,351 | ||||||||||
|
| |||||||||||
7,814,124 | ||||||||||||
Software — 1.7% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(c) | 433 | 451,078 | ||||||||||
Castle US Holding Corp., 9.50%, 02/15/28(c) | 202 | 186,850 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
CDK Global, Inc.: | ||||||||||||
4.88%, 06/01/27 | USD | 316 | $ | 324,200 | ||||||||
5.25%, 05/15/29(c) | 44 | 45,690 | ||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(c) | 779 | 810,160 | ||||||||||
Microsoft Corp., 3.50%, 11/15/42 | 4,000 | 4,822,899 | ||||||||||
MSCI, Inc.(c): | ||||||||||||
4.00%, 11/15/29 | 51 | 52,020 | ||||||||||
3.63%, 09/01/30 | 61 | 60,695 | ||||||||||
3.88%, 02/15/31 | 487 | 496,740 | ||||||||||
Nuance Communications, Inc., 5.63%, 12/15/26 | 169 | 175,760 | ||||||||||
Oracle Corp., 5.38%, 07/15/40 | 3,025 | 4,149,618 | ||||||||||
PTC, Inc.(c): | ||||||||||||
3.63%, 02/15/25 | 11 | 10,918 | ||||||||||
4.00%, 02/15/28 | 126 | 124,755 | ||||||||||
RP Crown Parent LLC, 7.38%, 10/15/24(c) | 461 | 459,847 | ||||||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(c) | 1,120 | 1,139,600 | ||||||||||
Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(c) | 265 | 267,650 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(c) | 809 | 820,844 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(c) | 168 | 172,200 | ||||||||||
|
| |||||||||||
14,571,524 | ||||||||||||
Specialty Retail — 0.6% | ||||||||||||
Asbury Automotive Group, Inc.(c): | ||||||||||||
4.50%, 03/01/28 | 60 | 58,200 | ||||||||||
4.75%, 03/01/30 | 58 | 56,550 | ||||||||||
Gap, Inc., 8.88%, 05/15/27(c) | 107 | 114,481 | ||||||||||
Home Depot, Inc., 5.88%, 12/16/36 | 1,660 | 2,477,635 | ||||||||||
IAA, Inc., 5.50%, 06/15/27(c) | 56 | 57,771 | ||||||||||
L Brands, Inc.: | ||||||||||||
6.88%, 07/01/25(c) | 186 | 192,045 | ||||||||||
6.88%, 11/01/35 | 215 | 178,859 | ||||||||||
6.75%, 07/01/36 | 49 | 40,180 | ||||||||||
Lowe’s Cos., Inc., 4.38%, 09/15/45 | 1,000 | 1,204,336 | ||||||||||
Penske Automotive Group, Inc., 5.50%, 05/15/26 | 22 | 21,945 | ||||||||||
PetSmart, Inc.(c): | ||||||||||||
7.13%, 03/15/23 | 219 | 215,908 | ||||||||||
5.88%, 06/01/25 | 196 | 196,367 | ||||||||||
Staples, Inc., 7.50%, 04/15/26(c) | 394 | 309,585 | ||||||||||
|
| |||||||||||
5,123,862 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.7% | ||||||||||||
Apple, Inc., 4.65%, 02/23/46 | 2,400 | 3,305,162 | ||||||||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/25(k) | 1,500 | 1,731,408 | ||||||||||
NCR Corp.(c): | ||||||||||||
5.75%, 09/01/27 | 108 | 108,000 | ||||||||||
6.13%, 09/01/29 | 65 | 64,838 | ||||||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(c) | 172 | 168,130 | ||||||||||
Western Digital Corp., 4.75%, 02/15/26 | 302 | 312,102 | ||||||||||
|
| |||||||||||
5,689,640 | ||||||||||||
Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(c) | 84 | 84,945 | ||||||||||
Levi Strauss & Co., 5.00%, 05/01/25 | 32 | 32,120 | ||||||||||
William Carter Co., 5.63%, 03/15/27(c) | 40 | 41,200 | ||||||||||
|
| |||||||||||
158,265 | ||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27(c) | 165 | 156,750 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 25 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Tobacco — 1.1% | ||||||||||||
Altria Group, Inc.: | ||||||||||||
9.95%, 11/10/38 | USD | 516 | $ | 801,459 | ||||||||
10.20%, 02/06/39 | 894 | 1,482,919 | ||||||||||
5.38%, 01/31/44 | 2,000 | 2,405,258 | ||||||||||
3.88%, 09/16/46 | 1,250 | 1,248,404 | ||||||||||
Reynolds American, Inc.: | ||||||||||||
4.45%, 06/12/25 | 635 | 715,481 | ||||||||||
7.00%, 08/04/41 | 1,000 | 1,218,413 | ||||||||||
5.85%, 08/15/45 | 1,500 | 1,843,734 | ||||||||||
|
| |||||||||||
9,715,668 | ||||||||||||
Transportation Infrastructure — 0.2% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(c) | 200 | 177,840 | ||||||||||
Ferrovial Netherlands BV(5 year EUR Swap + 2.13%), 2.12%(i)(j) | EUR | 100 | 105,045 | |||||||||
I 595 Express LLC, 3.31%, 12/31/31(a) | USD | 788 | 861,529 | |||||||||
Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(c) | 580 | 634,758 | ||||||||||
|
| |||||||||||
1,779,172 | ||||||||||||
Utilities — 0.1% | ||||||||||||
AES Panama SRL, 6.00%, 06/25/22(c) | 228 | 228,997 | ||||||||||
Centrais Eletricas Brasileiras SA(c): | ||||||||||||
3.63%, 02/04/25 | 281 | 274,677 | ||||||||||
4.63%, 02/04/30 | 237 | 225,294 | ||||||||||
ContourGlobal Power Holdings SA, 4.13%, 08/01/25 | EUR | 100 | 114,906 | |||||||||
Stoneway Capital Corp., 10.00%, 03/01/27(b)(c)(h) | USD | 469 | 160,169 | |||||||||
Vistra Operations Co. LLC(c): | ||||||||||||
5.63%, 02/15/27 | 184 | 188,848 | ||||||||||
5.00%, 07/31/27 | 7 | 7,079 | ||||||||||
|
| |||||||||||
1,199,970 | ||||||||||||
Wireless Telecommunication Services — 1.1% | ||||||||||||
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(c) | 200 | 204,534 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 | EUR | 100 | 112,860 | |||||||||
Rogers Communications, Inc., 7.50%, 08/15/38 | USD | 2,325 | 3,581,768 | |||||||||
SBA Communications Corp., 3.88%, 02/15/27(c) | 843 | 839,839 | ||||||||||
Sprint Capital Corp.: | ||||||||||||
6.88%, 11/15/28 | 567 | 690,322 | ||||||||||
8.75%, 03/15/32 | 146 | 208,962 | ||||||||||
Sprint Corp.: | ||||||||||||
7.88%, 09/15/23 | 174 | 195,967 | ||||||||||
7.13%, 06/15/24 | 307 | 346,646 | ||||||||||
7.63%, 02/15/25 | 197 | 227,289 | ||||||||||
7.63%, 03/01/26 | 397 | 468,607 | ||||||||||
T-Mobile USA, Inc.: | ||||||||||||
4.50%, 02/01/26 | 160 | 161,914 | ||||||||||
4.75%, 02/01/28 | 240 | 253,536 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23 | 75 | 70,875 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(c): | ||||||||||||
3.50%, 02/15/25 | 159 | 149,460 | ||||||||||
4.25%, 12/01/26 | 800 | 766,000 | ||||||||||
3.75%, 02/15/27 | 277 | 260,380 | ||||||||||
4.63%, 12/01/29 | 320 | 312,000 | ||||||||||
4.13%, 08/15/30 | 555 | 529,331 | ||||||||||
VTR Comunicaciones SpA, 5.13%, 01/15/28(c)(f) | 200 | 204,100 | ||||||||||
|
| |||||||||||
9,584,390 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 61.7% |
| 529,168,540 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Floating Rate Loan Interests(d) — 2.0% |
| |||||||||||
Airlines — 0.0% |
| |||||||||||
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/12/24 | USD | 37 | $ | 36,168 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, 1.00%, 06/25/27 | 117 | 116,073 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.25%, 06/23/27(o) | 117 | 116,073 | ||||||||||
|
| |||||||||||
268,314 | ||||||||||||
Auto Components — 0.0% | ||||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/12/25 | 49 | 46,480 | ||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 04/30/26 | 173 | 164,606 | ||||||||||
|
| |||||||||||
211,086 | ||||||||||||
Banks — 0.0% | ||||||||||||
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 11/01/24 | 119 | 113,809 | ||||||||||
|
| |||||||||||
Building Products — 0.0% | ||||||||||||
CPG International, Inc., 2017 Term Loan, (12 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24 | 42 | 41,802 | ||||||||||
|
| |||||||||||
Capital Markets — 0.0% | ||||||||||||
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 | 146 | 137,528 | ||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Alpha 3 BV, 2017 Term Loan B1,01/31/24(o) | 453 | 435,572 | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 | 255 | 249,759 | ||||||||||
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 05/16/24 | 131 | 125,331 | ||||||||||
Illuminate Buyer LLC, Term Loan, 06/16/27(o) | 183 | 179,981 | ||||||||||
Invictus US LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.53%, 03/30/26 | 37 | 29,094 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 05/15/24 | 124 | 115,631 | ||||||||||
|
| |||||||||||
1,135,368 | ||||||||||||
Commercial Services & Supplies — 0.2% | ||||||||||||
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.00%, 11/10/23 | 30 | 29,643 | ||||||||||
Asurion LLC, : | ||||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.68%, 08/04/25 | 261 | 259,043 | ||||||||||
2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 3.18%, 08/04/22 | 49 | 47,539 | ||||||||||
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 09/06/24 | 219 | 200,338 | ||||||||||
GFL Environmental, Inc., 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25 | 94 | 91,484 | ||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.50%, 09/19/26 | 34 | 32,443 | ||||||||||
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/27/25 | 704 | 678,738 | ||||||||||
|
| |||||||||||
1,339,228 | ||||||||||||
Construction & Engineering — 0.1% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | 952 | 868,911 | ||||||||||
|
|
26 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging — 0.0% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.56%, 04/03/24 | USD | 241 | $ | 216,068 | ||||||||
|
| |||||||||||
Diversified Consumer Services — 0.0% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 02/01/27 | 42 | 41,142 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 | 33 | 31,567 | ||||||||||
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 | 209 | 194,746 | ||||||||||
|
| |||||||||||
267,455 | ||||||||||||
Diversified Telecommunication Services — 0.1% | ||||||||||||
Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 5.35%, 06/15/24 | 593 | 576,621 | ||||||||||
Northwest Fiber LLC, Term Loan B, (3 mo. LIBOR + 5.50%), 5.67%, 05/21/27(a) | 145 | 143,550 | ||||||||||
|
| |||||||||||
720,171 | ||||||||||||
Electric Utilities — 0.0% | ||||||||||||
Pacific Gas & Electric Co., 2020 Exit Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25 | 246 | 241,387 | ||||||||||
|
| |||||||||||
Food Products — 0.0% | ||||||||||||
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23 | 146 | 139,942 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||||||
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 06/15/21 | 822 | 788,724 | ||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 06/30/25 | 89 | 82,894 | ||||||||||
|
| |||||||||||
871,618 | ||||||||||||
Health Care Providers & Services — 0.1% | ||||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 | 201 | 192,627 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (6 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 01/08/27 | 121 | 117,521 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 10/10/25 | 408 | 266,191 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 | 107 | 103,791 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 11/17/25 | 88 | 82,613 | ||||||||||
Surgery Center Holdings, Inc., 2020 Term Loan B, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 09/03/24 | 12 | 12,000 | ||||||||||
|
| |||||||||||
774,743 | ||||||||||||
Health Care Services — 0.0% | ||||||||||||
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.26%, 07/24/26(a) | 106 | 103,013 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23 | 196 | 155,147 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.18%, 08/12/26 | 27 | 25,987 | ||||||||||
|
| |||||||||||
Industrial Conglomerates — 0.1% | ||||||||||||
PSAV Holdings LLC, 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 | 313 | 186,999 |
Security | Par (000) | Value | ||||||||||
Industrial Conglomerates (continued) | ||||||||||||
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/28/21 | USD | 112 | $ | 101,510 | ||||||||
|
| |||||||||||
288,509 | ||||||||||||
Insurance — 0.1% | ||||||||||||
Sedgwick Claims Management Services, Inc., : | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 09/03/26 | 143 | 136,501 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | 107 | 103,612 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/31/25 | 395 | 371,776 | ||||||||||
|
| |||||||||||
611,889 | ||||||||||||
Interactive Media & Services — 0.0% | ||||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 | 64 | 61,087 | ||||||||||
|
| |||||||||||
IT Services — 0.0% | ||||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27 | 112 | 97,130 | ||||||||||
|
| |||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||
Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 09/27/24 | 161 | 152,246 | ||||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 | 325 | 316,986 | ||||||||||
|
| |||||||||||
469,232 | ||||||||||||
Machinery — 0.1% | ||||||||||||
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.18%, 09/21/26(a) | 131 | 125,430 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.36%, 03/28/25 | 797 | 727,369 | ||||||||||
|
| |||||||||||
852,799 | ||||||||||||
Media — 0.3% | ||||||||||||
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.18%, 08/14/26 | 108 | 103,969 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.26%, 08/21/26 | 496 | 448,027 | ||||||||||
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 | 125 | 117,048 | ||||||||||
Intelsat Jackson Holdings SA, : | ||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | 123 | 122,552 | ||||||||||
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24 | 198 | 197,609 | ||||||||||
2017 Term Loan B5, 8.63%, 01/02/24(r) | 1,070 | 1,068,323 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 3.43%, 12/01/23 | 47 | 34,930 | ||||||||||
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 02/01/24 | 27 | 25,940 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/17/26 | 102 | 97,020 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/09/27 | 433 | 409,936 | ||||||||||
|
| |||||||||||
2,625,354 | ||||||||||||
Metals & Mining — 0.0% | ||||||||||||
Big River Steel LLC, Term Loan B, 08/23/23(d)(o) | 42 | 39,274 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 27 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil & Gas Equipment & Services — 0.0% | ||||||||||||
McDermott Technology Americas, Inc.,(d): | ||||||||||||
2020 DIP New Money Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 1.00%, 10/21/20 | USD | 85 | $ | 84,296 | ||||||||
2020 SP DIP Roll Up Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 10/21/20 | 155 | 153,504 | ||||||||||
|
| |||||||||||
237,800 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
CITGO Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23(d) | 158 | 149,589 | ||||||||||
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 4.68%, 09/27/24(d) | 85 | 67,346 | ||||||||||
|
| |||||||||||
216,935 | ||||||||||||
Pharmaceuticals — 0.1% | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.00%, 04/29/24(d) | 288 | 271,459 | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22(d) | 161 | 158,363 | ||||||||||
|
| |||||||||||
429,822 | ||||||||||||
Professional Services — 0.1% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 02/06/26(d) | 289 | 281,165 | ||||||||||
|
| |||||||||||
Software — 0.3% | ||||||||||||
BMC Software Finance, Inc., 2017 Term Loan, 10/02/25(d)(o) | 158 | 148,823 | ||||||||||
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.06%, 01/29/27(d) | 137 | 124,410 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24(d) | 30 | 29,057 | ||||||||||
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 10/01/25(d) | 128 | 124,472 | ||||||||||
Informatica LLC,(d): | ||||||||||||
2020 USD 2nd Lien Term Loan, | 278 | 277,653 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/25/27 | 131 | 124,792 | ||||||||||
Kronos, Inc.,(d): | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 11/01/23 | 41 | 40,702 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 11/01/24 | 353 | 352,281 | ||||||||||
Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 11/29/24(d) | 89 | 82,380 | ||||||||||
Renaissance Holding Corp., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 4.01%, 05/30/25(d) | 10 | 9,214 | ||||||||||
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 10/12/23(d) | 69 | 66,403 | ||||||||||
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/30/22(d) | 10 | 9,634 | ||||||||||
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/01/24(d) | 24 | 22,358 | ||||||||||
Tibco Software Inc.,(d): | ||||||||||||
2020 2nd Lien Term Loan, 03/03/28(o) | 189 | 181,087 | ||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 06/30/26(a) | 311 | 293,279 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Ultimate Software Group, Inc.,(d): | ||||||||||||
2020 Incremental Term Loan B, 05/04/26(o) | USD | 123 | $ | 121,328 | ||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 05/04/26 | 148 | 142,782 | ||||||||||
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 07/02/25(d) | 32 | 29,836 | ||||||||||
|
| |||||||||||
2,180,491 | ||||||||||||
Specialty Retail — 0.1% | ||||||||||||
PetSmart, Inc., Term Loan B2, 03/11/22(d)(o) | 433 | 426,905 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.93%, 05/29/27(d) | 188 | 179,070 | ||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 2.0% |
| 16,629,039 | ||||||||||
|
| |||||||||||
Foreign Agency Obligations — 2.6% |
| |||||||||||
Bahrain — 0.0% |
| |||||||||||
CBB International Sukuk Co. 7 SPC | 200,000 | 222,500 | ||||||||||
|
| |||||||||||
Colombia — 0.2% | ||||||||||||
Colombia Government International Bond: | ||||||||||||
8.13%, 05/21/24 | 290 | 348,091 | ||||||||||
4.50%, 01/28/26 | 600 | 653,437 | ||||||||||
3.88%, 04/25/27 | 268 | 283,996 | ||||||||||
|
| |||||||||||
1,285,524 | ||||||||||||
Dominican Republic — 0.1% | ||||||||||||
Dominican Republic International Bond: | ||||||||||||
5.50%, 01/27/25 | 379 | 383,027 | ||||||||||
5.95%, 01/25/27 | 230 | 231,366 | ||||||||||
|
| |||||||||||
614,393 | ||||||||||||
Egypt — 0.1% | ||||||||||||
Egypt Government International Bond: | ||||||||||||
5.58%, 02/21/23(c) | 200 | 204,313 | ||||||||||
5.88%, 06/11/25 | 410 | 413,587 | ||||||||||
8.50%, 01/31/47(c) | 400 | 391,000 | ||||||||||
|
| |||||||||||
1,008,900 | ||||||||||||
Iceland — 0.5% | ||||||||||||
Iceland Government International Bond | 3,555,000 | 3,832,324 | ||||||||||
|
| |||||||||||
Indonesia — 0.1% | ||||||||||||
Indonesia Government International Bond: | ||||||||||||
4.75%, 01/08/26 | 380 | 428,569 | ||||||||||
4.10%, 04/24/28 | 600 | 665,437 | ||||||||||
|
| |||||||||||
1,094,006 | ||||||||||||
Italy — 0.4% | ||||||||||||
Italian Government International Bond | 2,925,000 | 3,641,655 | ||||||||||
|
| |||||||||||
Mexico — 0.0% | ||||||||||||
Mexico Government International Bond | 260,000 | 278,980 | ||||||||||
|
| |||||||||||
Mongolia — 0.0% | ||||||||||||
Mongolia Government International Bond | 250,000 | 269,375 | ||||||||||
|
| |||||||||||
Panama — 0.1% | ||||||||||||
Panama Government International Bond | 412,000 | 443,673 | ||||||||||
|
| |||||||||||
Paraguay — 0.0% | ||||||||||||
Paraguay Government International Bond(c) | 200,000 | 226,813 | ||||||||||
|
| |||||||||||
Peru — 0.0% | ||||||||||||
Peruvian Government International Bond | 215,000 | 229,351 | ||||||||||
|
|
28 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Portugal — 0.5% | ||||||||||||
Portugal Government International Bond(c) | USD | 3,970,000 | $ | 4,615,998 | ||||||||
|
| |||||||||||
Qatar — 0.2% | ||||||||||||
Qatar Government International Bond: | ||||||||||||
4.50%, 04/23/28 | 660 | 777,975 | ||||||||||
4.00%, 03/14/29(c) | 440 | 506,000 | ||||||||||
|
| |||||||||||
1,283,975 | ||||||||||||
Russia — 0.1% | ||||||||||||
Russian Foreign Bond — Eurobond: | ||||||||||||
4.75%, 05/27/26 | 600 | 682,800 | ||||||||||
4.25%, 06/23/27 | 400 | 446,400 | ||||||||||
|
| |||||||||||
1,129,200 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Saudi Government International Bond | 678,000 | 799,362 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.1% | ||||||||||||
Sri Lanka Government International Bond: | ||||||||||||
6.85%, 03/14/24 | 200 | 138,000 | ||||||||||
6.35%, 06/28/24 | 400 | 276,000 | ||||||||||
7.85%, 03/14/29 | 200 | 130,000 | ||||||||||
7.55%, 03/28/30 | 200 | 128,500 | ||||||||||
|
| |||||||||||
672,500 | ||||||||||||
Ukraine — 0.1% | ||||||||||||
Ukraine Government International Bond: | ||||||||||||
7.75%, 09/01/23 | 100 | 104,750 | ||||||||||
7.75%, 09/01/25 | 385 | 401,362 | ||||||||||
|
| |||||||||||
506,112 | ||||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 2.6% |
| 22,154,641 | ||||||||||
|
| |||||||||||
Municipal Bonds — 3.2% |
| |||||||||||
California — 0.9% |
| |||||||||||
State of California, GO, Build America Bonds: | ||||||||||||
7.55%, 04/01/39 | 280 | 496,457 | ||||||||||
Various Purpose, 7.63%, 03/01/40 | 1,720 | 2,989,343 | ||||||||||
East Bay Municipal Utility District Water System Revenue, RB, Build America Bonds, 5.87%, 06/01/40 | 1,900 | 2,856,023 | ||||||||||
University of California, RB, Build America Bonds, 5.95%, 05/15/45 | 885 | 1,299,445 | ||||||||||
|
| |||||||||||
7,641,268 | ||||||||||||
Georgia — 0.3% | ||||||||||||
Municipal Electric Authority of Georgia, Refunding RB, Build America Bonds, Series A, 7.06%, 04/01/57 | 1,970 | 2,795,844 | ||||||||||
|
| |||||||||||
Illinois — 0.3% | ||||||||||||
State of Illinois, GO, Pension, 5.10%, 06/01/33 | 2,000 | 2,029,500 | ||||||||||
|
| |||||||||||
Indiana — 0.4% | ||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 01/15/40 | 2,535 | 3,659,146 | ||||||||||
|
| |||||||||||
New York — 1.3% | ||||||||||||
New York City Water & Sewer System, RB, 2nd General Resolution: | ||||||||||||
5.38%, 12/15/20(p) | 510 | 521,832 | ||||||||||
5.38%, 06/15/43 | 260 | 265,309 | ||||||||||
New York State Dormitory Authority, RB, Build America Bonds, 5.63%, 03/15/39 | 1,100 | 1,467,114 | ||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 | 1,295 | 2,097,110 |
Security | Par (000) | Value | ||||||||||
New York (continued) | ||||||||||||
New York City Water & Sewer System, Refunding RB, 2nd General Resolution, Series GG, Build America Bonds, 5.72%, 06/15/42 | USD | 1,390 | $ | 2,165,148 | ||||||||
City of New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution, Series EE, 5.50%, 12/15/20(p) | 930 | 952,115 | ||||||||||
New York State Dormitory Authority, RB, Build America Bonds, 5.60%, 03/15/40 | 1,900 | 2,707,690 | ||||||||||
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 | 780 | 1,041,456 | ||||||||||
|
| |||||||||||
11,217,774 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds — 3.2% |
| 27,343,532 | ||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities — 4.7% |
| |||||||||||
Collateralized Mortgage Obligations — 0.9% |
| |||||||||||
Alternative Loan Trust, Series 2007-OA10, Class 2A1, (1 mo. LIBOR US + 0.25%), 0.43%, 09/25/47(d) | 6,276 | 4,944,837 | ||||||||||
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 03/25/37 | 399 | 352,943 | ||||||||||
Countrywide Alternative Loan Trust: | ||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 717 | 692,882 | ||||||||||
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.38%, 03/20/47(d) | 616 | 491,609 | ||||||||||
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.56%, 06/19/35(e) | 188 | 177,092 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2006-4F, Class 1A1, 5.00%, 05/25/36 | 14 | 38,974 | ||||||||||
Series 2007-4F, Class 3A1, 6.00%, 07/25/37 | 122 | 108,103 | ||||||||||
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | 55 | 34,466 | ||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.86%, 05/25/36(e) | 324 | 282,534 | ||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 2.27%, 05/25/47(d) | 138 | 120,100 | ||||||||||
|
| |||||||||||
7,243,540 | ||||||||||||
Commercial Mortgage-Backed Securities — 3.8% | ||||||||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(c)(e) | 4,170 | 4,418,716 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.39%, 09/10/46(e) | 7,183 | 7,569,623 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 1,004 | 1,027,591 | ||||||||||
Commercial Mortgage Trust(e): | ||||||||||||
Series 2013-CR11, Class B, 5.28%, 08/10/50 | 7,000 | 7,251,882 | ||||||||||
Series 2015-CR22, Class C, 4.24%, 03/10/48 | 5,000 | 4,992,149 | ||||||||||
Series 2015-LC19, Class C, 4.38%, 02/10/48 | 3,500 | 3,507,626 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.41%, 04/15/50(e) | 1,000 | 912,525 | ||||||||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.56%, 07/13/29(c)(e) | 3,200 | 3,264,614 | ||||||||||
|
| |||||||||||
32,944,726 | ||||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 4.7% |
| 40,188,266 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 29 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Preferred Securities –8.8% | ||||||||||||
Capital Trusts — 8.8% |
| |||||||||||
Banks — 2.2% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA, 6.13%(i)(j) | USD | 2,200 | $ | 2,004,750 | ||||||||
Bank of East Asia Ltd., 5.88%(i)(j) | 500 | 482,100 | ||||||||||
Bankia SA, 6.38%(i)(j) | EUR | 200 | 212,026 | |||||||||
BNP Paribas SA, 7.20%(c)(i)(j) | USD | 2,000 | 2,160,000 | |||||||||
Burgan Bank SAK, 5.75%(i)(j) | 250 | 242,031 | ||||||||||
Capital One Financial Corp., Series E, 4.15%(d)(j) | 3,500 | 2,852,500 | ||||||||||
CIT Group, Inc., Series A, 5.80%(i)(j) | 163 | 125,409 | ||||||||||
Credit Agricole SA, 7.88%(c)(i)(j) | 1,000 | 1,084,810 | ||||||||||
Nanyang Commercial Bank Ltd., 5.00%(i)(j) | 200 | 194,812 | ||||||||||
Nordea Bank AB, 6.13%(c)(i)(j) | 2,960 | 3,011,800 | ||||||||||
TMB Bank PCL, 4.90%(i)(j) | 250 | 231,094 | ||||||||||
Wells Fargo & Co.,(i)(j): | ||||||||||||
Series Q, 5.85% | 75 | 1,857,000 | ||||||||||
Series S, 5.90% | 3,390 | 3,347,880 | ||||||||||
Series U, 5.88% | 645 | 670,394 | ||||||||||
|
| |||||||||||
18,476,606 | ||||||||||||
Capital Markets — 0.3% | ||||||||||||
China Cinda Asset Management Co. Ltd., | 200 | 200,625 | ||||||||||
Morgan Stanley, Series H, 4.83%(i)(j) | 2,627 | 2,364,178 | ||||||||||
|
| |||||||||||
2,564,803 | ||||||||||||
Diversified Financial Services — 3.7% | ||||||||||||
Bank of America Corp.,(i)(j): | ||||||||||||
Series AA, 6.10% | 409 | 431,495 | ||||||||||
Series DD, 6.30% | 45 | 49,937 | ||||||||||
Series FF, 5.88% | 3,500 | 3,575,403 | ||||||||||
Series X, 6.25% | 4,620 | 4,782,023 | ||||||||||
Series Z, 6.50% | 87 | 93,496 | ||||||||||
Bank of New York Mellon Corp.,(j): | ||||||||||||
Series D, 4.50%(i) | 2,000 | 1,920,220 | ||||||||||
Series E, 3.73%(d) | 2,000 | 1,897,400 | ||||||||||
BNP Paribas SA, 4.50%(c)(i)(j) | 200 | 175,250 | ||||||||||
Credit Suisse Group AG, 6.38%(c)(i)(j) | 300 | 304,650 | ||||||||||
HBOS Capital Funding LP, 6.85%(j) | 100 | 101,090 | ||||||||||
HSBC Holdings PLC(i)(j): | ||||||||||||
6.00% | 435 | 432,281 | ||||||||||
6.50% | 1,090 | 1,118,613 | ||||||||||
JPMorgan Chase & Co.,(i)(j): | ||||||||||||
Series 1, 4.23% | 3,462 | 3,151,459 | ||||||||||
Series FF, 5.00% | 820 | 784,330 | ||||||||||
Series HH, 4.60% | 372 | 332,010 | ||||||||||
Series Q, 5.15% | 3,000 | 2,917,500 | ||||||||||
Series R, 6.00% | 70 | 70,525 | ||||||||||
Series S, 6.75% | 90 | 96,750 | ||||||||||
Series U, 6.13% | 500 | 510,250 | ||||||||||
Series V, 3.62% | 6,430 | 5,674,475 | ||||||||||
Royal Bank of Scotland Group PLC(i)(j): | ||||||||||||
6.00% | 1,575 | 1,595,475 | ||||||||||
8.63% | 200 | 207,950 | ||||||||||
Societe Generale SA, 7.88%(c)(i)(j) | 1,000 | 1,049,620 | ||||||||||
Woori Bank, 4.25%(i)(j) | 250 | 249,531 | ||||||||||
|
| |||||||||||
31,521,733 | ||||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Telefonica Europe BV, 5.88%(i)(j) | EUR | 100 | 121,066 | |||||||||
|
| |||||||||||
Electric Utilities — 0.9% | ||||||||||||
Electricite de France SA, 5.25%(c)(i)(j) | USD | 4,200 | 4,294,500 | |||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(i) | 2,750 | 2,996,938 | ||||||||||
RWE AG, 2.75%,(i) | EUR | 10 | 11,195 | |||||||||
|
| |||||||||||
7,302,633 |
Security | Par (000) | Value | ||||||||||
Insurance — 1.7% | ||||||||||||
Achmea BV, 4.63%(i)(j) | USD | 200 | $ | 217,307 | ||||||||
Allstate Corp.(i): | ||||||||||||
6.50%, | 4,100 | 4,970,717 | ||||||||||
Series B, 5.75%, | 2,000 | 2,066,080 | ||||||||||
Heungkuk Life Insurance Co. Ltd., 4.48%(i)(j) | 200 | 188,125 | ||||||||||
MetLife, Inc., 6.40%, | 2,554 | 3,014,563 | ||||||||||
Voya Financial, Inc., 5.65%,(i) | 4,500 | 4,533,750 | ||||||||||
|
| |||||||||||
14,990,542 | ||||||||||||
Media — 0.0% | ||||||||||||
SES SA, 4.63%(i)(j) | 100 | 113,473 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
BP Capital Markets PLC, 3.25%(i)(j) | 100 | 112,814 | ||||||||||
Naturgy Finance BV, 3.38%(i)(j) | 100 | 112,631 | ||||||||||
|
| |||||||||||
225,445 | ||||||||||||
Utilities — 0.0% | ||||||||||||
Electricite de France SA, 4.00%(i)(j) | 100 | 115,200 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
Vodafone Group PLC, 3.10%, | 100 | 112,350 | ||||||||||
|
| |||||||||||
Total Capital Trusts — 8.8% | 75,543,851 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.5% | ||||||||||||
Capital Markets — 0.5% |
| |||||||||||
Goldman Sachs Group, Inc., Series J, 5.50%(i)(j) | 92,000 | 2,336,800 | ||||||||||
Morgan Stanley, Series K, 5.85%(i)(j) | 66,567 | 1,713,435 | ||||||||||
|
| |||||||||||
4,050,235 | ||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp., Series S, 0.00%(e)(j) | 10,000 | 79,500 | ||||||||||
|
| |||||||||||
Total Preferred Stocks — 0.5% |
| 4,129,735 | ||||||||||
|
| |||||||||||
Trust Preferred — 0.1% |
| |||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||
Citigroup Capital XIII, 7.13%(i) | 29,583 | 783,950 | ||||||||||
|
| |||||||||||
Total Trust Preferred — 0.1% |
| 783,950 | ||||||||||
|
| |||||||||||
Total Preferred Securities— 9.4% |
| 80,457,536 | ||||||||||
|
| |||||||||||
U.S. Government Sponsored Agency Securities — 32.5% | ||||||||||||
Agency Obligations — 1.7% |
| |||||||||||
Fannie Mae, 5.63%, 07/15/37(k) | 1,600 | 2,579,925 | ||||||||||
Federal Home Loan Bank(k): | ||||||||||||
5.25%, 12/09/22 | 1,375 | 1,540,992 | ||||||||||
5.37%, 09/09/24 | 4,025 | 4,846,970 | ||||||||||
Residual Funding Corp., 0.00%, 04/15/30(n) | 6,055 | 5,336,765 | ||||||||||
|
| |||||||||||
14,304,652 | ||||||||||||
Collateralized Mortgage Obligations — 2.4% | ||||||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||||||
Series 2015-47, Class GL, 3.50%, 07/25/45 | 1,636 | 1,913,712 | ||||||||||
Series 1991-87, Class S, (1 mo. LIBOR US + 26.68%), 26.19%, 08/25/21(d) | — | (q) | 45 | |||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 | — | (q) | — | |||||||||
Series G-07, Class S, (1 mo. LIBOR US + 1144.57%), 1,125.59%, 03/25/21(d) | — | (q) | 2 | |||||||||
Series 1991-46, Class S, (1 mo. LIBOR US + 2519.00%), 2,476.75%, 05/25/21(d) | — | (q) | — |
30 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Freddie Mac Mortgage-Backed Securities: | ||||||||||||
Series 4350, Class DY, 4.00%, 06/15/44 | USD | 2,830 | $ | 3,281,993 | ||||||||
Series 4549, Class TZ, 4.00%, 11/15/45 | 2,942 | 3,364,488 | ||||||||||
Series 4398, Class ZX, 4.00%, 09/15/54 | 9,655 | 11,749,469 | ||||||||||
Series 1057, Class J, 1,008.00%, 03/15/21 | — | (q) | — | |||||||||
Series 0192, Class U, (1 mo. LIBOR US + 17.25%), 1,009.03%, 02/15/22(d) | — | (q) | — | |||||||||
|
| |||||||||||
20,309,709 | ||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.3% | ||||||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||||||
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(d) | 12 | 153 | ||||||||||
Series 2012-96, Class DI, 4.00%, 02/25/27 | 1,811 | 47,858 | ||||||||||
Series 2012-47, Class NI, 4.50%, 04/25/42 | 3,094 | 504,662 | ||||||||||
Series G92-05, Class H, 9.00%, 01/25/22 | — | (q) | — | |||||||||
Series 094, Class 2, 9.50%, 08/25/21 | — | (q) | 1 | |||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 | — | (q) | — | |||||||||
Series 1991-099, Class L, 930.00%, 08/25/21 | — | (q) | — | |||||||||
Series G-10, Class S, (1 mo. LIBOR US + 1107.27%), 1,088.92%, 05/25/21(d) | — | (q) | — | |||||||||
Freddie Mac Mortgage-Backed Securities: | ||||||||||||
Series 1254, Class Z, 8.50%, 04/15/22 | 5 | 228 | ||||||||||
Series 1043, Class H, (1 mo. LIBOR US + 45.00%), 44.17%, 02/15/21(d) | — | (q) | — | |||||||||
Series 1054, Class I, (1 mo. LIBOR US + 881.40%), 516.45%, 03/15/21(d) | — | (q) | — | |||||||||
Series 1056, Class KD, 1,084.50%, 03/15/21 | — | (q) | — | |||||||||
Ginnie Mae Mortgage-Backed Securities(d): | ||||||||||||
Series 2009-78, Class SD, (1 mo. LIBOR US + 6.20%), 6.01%, 09/20/32 | 1,923 | 111,314 | ||||||||||
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.27%, 12/16/39 | 1,183 | 207,673 | ||||||||||
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.48%, 04/16/41 | 9,778 | 2,077,992 | ||||||||||
|
| |||||||||||
2,949,881 | ||||||||||||
Mortgage-Backed Securities — 28.1% | ||||||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||||||
3.00%, 09/01/43(k) | 10,499 | 11,243,036 | ||||||||||
3.50%, 08/01/49(k) | 7,130 | 7,745,523 | ||||||||||
4.00%, 12/01/41 - 04/01/56(k) | 23,115 | 25,663,997 | ||||||||||
4.50%, 07/01/41 - 07/01/55(k) | 11,919 | 13,276,276 | ||||||||||
5.00%, 01/01/00(k) | 1,122 | 1,287,288 | ||||||||||
5.50%, 06/01/38(k) | 552 | 633,297 | ||||||||||
6.00%, 12/01/38(k) | 454 | 530,171 | ||||||||||
Freddie Mac Mortgage-Backed Securities(k): | ||||||||||||
3.00%, 04/01/33 | 5,685 | 5,978,736 | ||||||||||
3.50%, 07/01/49 | 10,108 | 10,820,596 | ||||||||||
4.50%, 03/01/47 | 1,309 | 1,455,916 | ||||||||||
Ginnie Mae Mortgage-Backed Securities: | ||||||||||||
5.50%, 08/15/33(k) | 41 | 44,880 | ||||||||||
8.00%, 07/15/24 | — | (q) | 48 | |||||||||
Uniform Mortgage-Backed Securities, | 156,000 | 162,239,995 | ||||||||||
|
| |||||||||||
240,919,759 | ||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||||||
Fannie Mae Mortgage-Backed Securities(n): | ||||||||||||
Series 1993-51, Class E, 0.00%, 02/25/23 | 2 | 2,184 | ||||||||||
Series 203, Class 1, 0.00%, 02/25/23 | 1 | 616 | ||||||||||
Series 1993-70, Class A, 0.00%, 05/25/23 | — | (q) | 382 | |||||||||
Series 0228, Class 1, 0.00%, 06/25/23 | — | (q) | 493 | |||||||||
|
| |||||||||||
3,675 | ||||||||||||
Total U.S. Government Sponsored Agency Securities — 32.5% |
| 278,487,676 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
U.S. Treasury Obligations — 24.5% |
| |||||||||||
U.S. Treasury Bonds(k): | ||||||||||||
3.00%, 11/15/44 | USD | 61,400 | $ | 82,204,047 | ||||||||
2.50%, 02/15/46 | 66,500 | 82,358,691 | ||||||||||
2.75%, 11/15/47 | 2,000 | 2,616,719 | ||||||||||
U.S. Treasury Notes: | ||||||||||||
2.75%, 09/15/21(k) | 2,800 | 2,886,844 | ||||||||||
2.75%, 04/30/23 | 2,800 | 3,003,000 | ||||||||||
2.75%, 08/31/23(k) | 1,700 | 1,837,461 | ||||||||||
7.50%, 11/15/24(k) | 8,200 | 10,784,281 | ||||||||||
2.75%, 08/31/25(k) | 14,800 | 16,644,797 | ||||||||||
3.00%, 09/30/25(k) | 2,400 | 2,734,125 | ||||||||||
2.88%, 08/15/28(k) | 1,000 | 1,184,297 | ||||||||||
3.13%, 11/15/28(k) | 3,000 | 3,627,070 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 24.5% |
| 209,881,332 | ||||||||||
Warrants — 0.0% |
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||
SM Energy Co., (Expires 06/30/23)(b) | 7,761 | 29,026 | ||||||||||
|
| |||||||||||
Total Warrants — 0.0% |
| 29,026 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 148.1% |
| 1,268,252,613 | ||||||||||
|
| |||||||||||
Short-Term Securities — 4.9% |
| |||||||||||
Shares | ||||||||||||
Money Market Funds — 4.6% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(t)(u) | 39,727,383 | 39,727,383 | ||||||||||
|
| |||||||||||
Total Money Market Funds |
| 39,727,383 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations — 0.3% | ||||||||||||
U.S. Treasury Bills, 2.75%, 09/30/20(k) | 2,880 | 2,898,386 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,898,386 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 4.9% |
| 42,625,769 | ||||||||||
|
| |||||||||||
Options Purchased — 0.7% |
| 6,894,004 | ||||||||||
|
| |||||||||||
Total Investments Before TBA Sale Commitments and Options Written — 153.7% |
| 1,317,772,386 | ||||||||||
|
| |||||||||||
TBA Sale Commitments(s) — (7.3%) | ||||||||||||
Mortgage-Backed Securities — (7.3%) | ||||||||||||
Uniform Mortgage-Backed Securities, 2.25%, 08/01/50(s) | 60,000 | (62,315,625 | ) | |||||||||
|
| |||||||||||
Total TBA Sale Commitments—(7.3)% |
| (62,315,625 | ) | |||||||||
|
| |||||||||||
Options Written — (1.0)% |
| (8,837,148 | ) | |||||||||
|
| |||||||||||
Total Investments, Net of TBA Sale Commitments and Options Written — 145.4% |
| 1,246,619,613 | ||||||||||
Liabilities in Excess of Other Assets — (45.4)% |
| (389,495,144 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 857,124,469 | |||||||||
|
|
SCHEDULES OF INVESTMENTS | 31 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) | Non-income producing security. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Variable rate security. Rate shown is the rate in effect as of period end. |
(e) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(f) | When-issued security. |
(g) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) | Issuer filed for bankruptcy and/or is in default. |
(i) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(j) | Perpetual security with no stated maturity date. |
(k) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(l) | Convertible security. |
(m) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(n) | Zero-coupon bond. |
(o) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(p) | U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par. |
(q) | Amount is less than 500. |
(r) | Fixed rate. |
(s) | Represents or includes a TBA transaction. |
(t) | Annualized 7-day yield as of period end. |
(u) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
Affiliated Issuer | Shares Held at 12/31/19 | Shares Purchased | Shares Sold | Shares Held at 06/30/20 | Value at 06/30/20 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 13,516,974 | 26,210,409 | (b) | — | 39,727,383 | $ | 39,727,383 | $ | 98,252 | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares purchased(sold). |
For Trust compliance purposes, the Trust’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Reverse Repurchase Agreements
Counterparty | Interest Rate | Trade Date | Maturity Date (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements (a) | |||||||||||||||||
BNP Paribas S.A. | 0.20 | % | 05/30/19 | Open | $ | 2,547,469 | $ | 2,596,459 | U.S. Government Sponsored Agency Securities | Open/Demand | ||||||||||||||
BNP Paribas S.A. | 0.20 | 05/30/19 | Open | 2,250,000 | 2,293,270 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.20 | 05/30/19 | Open | 1,555,469 | 1,585,382 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.17 | 01/02/20 | Open | 5,835,200 | 5,860,494 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.17 | 01/02/20 | Open | 68,921,500 | 69,220,256 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.17 | 01/02/20 | Open | 25,875,000 | 25,987,161 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 1,795,625 | 1,801,161 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 44,353,688 | 44,490,445 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 3,386,250 | 3,396,691 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 15,604,355 | 15,652,468 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 1,113,750 | 1,117,184 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 10,608,750 | 10,641,460 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 2,884,000 | 2,892,892 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 2,616,000 | 2,624,066 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
Nomura Securities International, Inc. | 0.16 | 01/28/20 | Open | 2,282,500 | 2,289,538 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
BOFA Securities Inc. | 1.25 | 03/17/20 | Open | 63,750 | 63,515 | Corporate Bonds | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.95 | 04/24/20 | Open | 4,125,000 | 4,132,282 | Corporate Bonds | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.45 | 04/30/20 | Open | 1,550,625 | 1,551,807 | Corporate Bonds | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 1,776,069 | 1,776,306 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 622,871 | 622,954 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 1,253,207 | 1,253,374 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 1,421,736 | 1,421,925 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 43,434 | 43,440 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 1,666,138 | 1,666,361 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A. | 0.24 | 06/09/20 | 7/14/20 | 515,871 | 515,940 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 7,498,406 | 7,499,364 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 1,841,328 | 1,841,563 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
32 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Reverse Repurchase Agreements (continued)
Counterparty | Interest Rate | Trade Date | Maturity Date (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements (a) | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | % | 06/09/20 | 7/14/20 | $ | 15,540,982 | $ | 15,542,968 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 5,638,041 | 5,638,762 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 10,922,683 | 10,924,079 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 1,999,139 | 1,999,395 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 3,837,663 | 3,838,154 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 10,552,912 | 10,554,260 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 5,820,482 | 5,821,226 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Credit Agricole Corporate And Inves | 0.23 | 06/09/20 | 7/14/20 | 5,516,846 | 5,517,551 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 273,836,739 | $ | 274,674,153 | |||||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts 10-Year U.S. Ultra Note | 139 | 09/21/20 | $ | 21,890 | $ | 78,123 | ||||||||||
U.S. Ultra Bond | 98 | 09/21/20 | 21,379 | 566,228 | ||||||||||||
5-Year US Treasury Notes | 116 | 09/30/20 | 14,586 | 36,070 | ||||||||||||
90-Day Euro-Dollar | 605 | 12/14/20 | 150,811 | 23,352 | ||||||||||||
|
| |||||||||||||||
703,773 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts 10-Year U.S. Treasury Note | 156 | 09/21/20 | 21,711 | (46,295 | ) | |||||||||||
Long U.S. Treasury Bond | 4 | 09/21/20 | 714 | 979 | ||||||||||||
2-Year U.S. Treasury Note | 1,431 | 09/30/20 | 316,005 | (221,120 | ) | |||||||||||
90-Day Euro-Dollar | 605 | 12/19/22 | 150,857 | (156,585 | ) | |||||||||||
|
| |||||||||||||||
(423,021 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 280,752 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 5,451,000 | USD | 6,120,980 | State Street Bank and Trust Co. | 07/06/20 | $ | 3,715 | |||||||||||||
GBP | 4,208,000 | USD | 5,175,878 | Standard Chartered Bank | 07/06/20 | 38,377 | ||||||||||||||
GBP | 319,000 | USD | 392,377 | State Street Bank and Trust Co. | 07/06/20 | 2,906 | ||||||||||||||
NZD | 198,000 | USD | 127,322 | BNP Paribas S.A. | 07/06/20 | 450 | ||||||||||||||
USD | 126,433 | GBP | 100,000 | JPMorgan Chase Bank N.A. | 07/06/20 | 2,520 | ||||||||||||||
USD | 398,938 | JPY | 42,968,000 | Deutsche Bank AG | 07/06/20 | 977 | ||||||||||||||
USD | 54,315 | JPY | 5,826,000 | Australia and New Zealand Bank Group | 08/05/20 | 335 | ||||||||||||||
AUD | 9,310,000 | NZD | 9,941,469 | Bank of America N.A. | 09/16/20 | 11,704 | ||||||||||||||
|
| |||||||||||||||||||
60,984 | ||||||||||||||||||||
|
| |||||||||||||||||||
JPY | 5,826,000 | USD | 54,295 | Australia and New Zealand Bank Group | 07/06/20 | (336 | ) | |||||||||||||
USD | 107,263 | EUR | 96,000 | Barclays Bank PLC | 07/06/20 | (601 | ) | |||||||||||||
USD | 110,272 | EUR | 100,000 | JPMorgan Chase Bank N.A. | 07/06/20 | (2,088 | ) | |||||||||||||
USD | 97,953 | EUR | 88,000 | State Street Bank and Trust Co. | 07/06/20 | (923 | ) | |||||||||||||
USD | 6,366,893 | EUR | 5,720,000 | UBS AG | 07/06/20 | (60,048 | ) | |||||||||||||
USD | 628,180 | GBP | 510,000 | Standard Chartered Bank | 07/06/20 | (3,776 | ) | |||||||||||||
USD | 5,183,103 | GBP | 4,208,000 | Standard Chartered Bank | 07/06/20 | (31,152 | ) | |||||||||||||
USD | 122,806 | NZD | 198,000 | Westpac Banking Corp. | 07/06/20 | (4,967 | ) | |||||||||||||
USD | 6,124,970 | EUR | 5,451,000 | State Street Bank and Trust Co. | 08/05/20 | (3,746 | ) | |||||||||||||
USD | 5,176,800 | GBP | 4,208,000 | Standard Chartered Bank | 08/05/20 | (38,482 | ) | |||||||||||||
USD | 392,447 | GBP | 319,000 | State Street Bank and Trust Co. | 08/05/20 | (2,913 | ) | |||||||||||||
USD | 127,324 | NZD | 198,000 | BNP Paribas S.A. | 08/05/20 | (454 | ) | |||||||||||||
NOK | 61,800,000 | SEK | 60,227,128 | Morgan Stanley & Co. International PLC | 09/16/20 | (46,949 | ) | |||||||||||||
|
| |||||||||||||||||||
(196,435 | ) | |||||||||||||||||||
|
|
SCHEDULES OF INVESTMENTS | 33 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Interest Rate Caps / Floors — Purchased
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid (Received) | Unrealized Depreciation | |||||||||||||||||||||||
5Y-30Y CMS Index Cap | 0.30 | % | Citigroup Global Markets, Inc. | 2/14/22 | USD | 77,750 | $ | 289,195 | $ | 136,820 | $ | 152,375 | ||||||||||||||||||
5Y-30Y CMS Index Floor | 0.35 | Nomura International PLC | 7/08/20 | USD | 20,060 | 16,650 | 18,054 | (1,404 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 305,845 | $ | 154,874 | $ | 150,971 | |||||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
90-Day Euro Future | 488 | 12/13/21 | USD | 99.75 | USD | 121,695 | $ | 213,500 | ||||||||||||||||
Put | ||||||||||||||||||||||||
U.S. Long Bond | 33 | 08/21/20 | USD | 175.00 | USD | 5,893 | 36,609 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 250,109 | |||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 08/12/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.25% | Semi-Annual | Bank of America N.A. | 08/10/20 | 1.25 | % | USD | 42,990 | $ | 892,824 | ||||||||||||||||||||
15-Year Interest Rate Swap, 09/16/35 | | 6-Month JPY LIBOR, (0.02)%, | | Semi-Annual | 0.66 | Semi-Annual | Morgan Stanley & Co. International PLC | 09/14/20 | 0.66 | JPY | 50,000 | 35,432 | ||||||||||||||||||||||
15-Year Interest Rate Swap, 09/16/35 | | 6-Month JPY LIBOR, (0.02)%, | | Semi-Annual | 0.66 | Semi-Annual | Barclays Bank PLC | 09/14/20 | 0.66 | JPY | 50,000 | 35,432 | ||||||||||||||||||||||
2-Year Interest Rate Swap, 09/25/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.20 | Semi-Annual | Barclays Bank PLC | 09/23/20 | 1.20 | USD | 42,770 | 852,585 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 11/25/50 | | 3-Month LIBOR, 0.30% | Quarterly | 0.83 | Semi-Annual | Deutsche Bank AG | 11/23/20 | 0.83 | USD | 1,250 | 54,417 | |||||||||||||||||||||||
20-Year Interest Rate Swap, 04/18/41 | | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 0.78 | Semi-Annual | JPMorgan Chase Bank N.A. | 04/16/21 | 0.78 | JPY | 105,700 | 104,687 | |||||||||||||||||||||||
1-Year Interest Rate Swap, 05/24/24 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.39 | Semi-Annual | Bank of America N.A. | 05/22/23 | 0.39 | USD | 13,770 | 46,411 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.98 | Semi-Annual | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,511 | 703,946 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.95 | Semi-Annual | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 694,648 | ||||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/25 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.77 | Semi-Annual | JPMorgan Chase Bank N.A. | 11/05/24 | 1.77 | USD | 23,790 | 301,753 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.49 | Semi-Annual | Citibank N.A. | 02/25/25 | 1.49 | USD | 2,570 | 206,683 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.89 | Semi-Annual | Deutsche Bank AG | 04/30/25 | 0.89 | USD | 1,640 | 78,535 | ||||||||||||||||||||||
15-Year Interest Rate Swap, 05/05/37 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.25 | Semi-Annual | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 4,050 | 7,633 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.28 | Semi-Annual | Goldman Sachs Bank USA | 06/04/25 | 1.28 | USD | 1,120 | 76,481 | ||||||||||||||||||||||
Call (continued) 10-Year Interest Rate Swap, 06/07/35 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.43 | Semi-Annual | UBS AG | 06/05/25 | 1.43 | % | USD | 1,120 | 86,141 | |||||||||||||||||||||
30-Year Interest Rate Swap, 06/09/51 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.80 | Semi-Annual | Barclays Bank PLC | 06/07/21 | 3.80 | USD | 3,780 | 2,312 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/29/38 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.05 | Semi-Annual | Deutsche Bank AG | 06/27/28 | 3.05 | USD | 3,125 | 389,224 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.04 | Semi-Annual | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 195,430 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.04 | Semi-Annual | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 195,248 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.08 | Semi-Annual | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 202,893 |
34 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Purchased (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.99 % | Semi-Annual | JPMorgan Chase Bank N.A. | 04/27/38 | 2.99 | % | USD | 910 | $ | 180,166 | ||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.86 | Semi-Annual | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 177,460 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
5,520,341 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 07/15/30 | 2.35% | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Citibank N.A. | 07/13/20 | 2.35 | USD | 8,745 | — | ||||||||||||||||||||||
30-Year Interest Rate Swap, 09/06/50 | 1.35 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 09/04/20 | 1.35 | USD | 1,075 | 7,009 | ||||||||||||||||||||||
15-Year Interest Rate Swap, 09/16/35 | 0.66 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | Barclays Bank PLC | 09/14/20 | 0.66 | JPY | 50,000 | 6 | ||||||||||||||||||||||
15-Year Interest Rate Swap, 09/16/35 | 0.66 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | Morgan Stanley & Co. International PLC | 09/14/20 | 0.66 | JPY | 50,000 | 6 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 11/25/50 | 0.83 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 11/23/20 | 0.83 | USD | 1,250 | 87,501 | ||||||||||||||||||||||
20-Year Interest Rate Swap, 04/18/41 | 0.78 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | JPMorgan Chase Bank N.A. | 04/16/21 | 0.78 | JPY | 105,700 | 913 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/32 | 1.25 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | Credit Suisse International | 01/11/22 | 1.25 | JPY | 250,000 | 115 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 | 1.55 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | Credit Suisse International | 02/22/22 | 1.55 | JPY | 250,000 | 64 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/18/32 | 1.60 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | JPMorgan Chase Bank N.A. | 03/16/22 | 1.60 | JPY | 250,000 | 64 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/06/32 | 1.45 | Semi-Annual | | 6-Month JPY LIBOR, (0.02)% | | Semi-Annual | JPMorgan Chase Bank N.A. | 04/04/22 | 1.45 | JPY | 250,000 | 102 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 05/11/52 | 2.85 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Nomura International PLC | 05/09/22 | 2.85 | USD | 4,750 | 37,780 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | 2.25 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 08/02/22 | 2.25 | USD | 4,160 | 20,742 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | 2.25 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 08/08/22 | 2.25 | USD | 4,270 | 21,616 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 | 2.98 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,511 | 20,587 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 | 2.95 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 21,318 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | 2.50 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 06/13/24 | 2.50 | USD | 3,950 | 43,175 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | 2.50 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 06/20/24 | 2.50 | USD | 3,950 | 43,490 | ||||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/25 | 1.77 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 11/05/24 | 1.77 | USD | 23,790 | 31,634 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 | 1.49 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Citibank N.A. | 02/25/25 | 1.49 | USD | 2,570 | 92,973 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 | 0.89 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 04/30/25 | 0.89 | USD | 1,640 | 102,258 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 | 1.28 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Goldman Sachs Bank USA | 06/04/25 | 1.28 | USD | 1,120 | 51,101 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 | 1.43 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | UBS AG | 06/05/25 | 1.43 | USD | 1,120 | 45,076 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/14/37 | 3.00 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 04/12/27 | 3.00 | USD | 2,590 | 38,427 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 | 3.04 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 18,966 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 | 3.04 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 19,027 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 | 3.08 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 18,900 | ||||||||||||||||||||||
20-Year Interest Rate Swap, 08/11/53 | 4.00 | Annual | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | Barclays Bank PLC | 08/09/33 | 4.00 | EUR | 2,410 | 32,549 |
SCHEDULES OF INVESTMENTS | 35 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Purchased (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 | 2.99 % | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 04/27/38 | 2.99 | % | USD | 910 | $ | 29,718 | ||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 | 2.86 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 32,592 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
817,709 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 6,338,050 | |||||||||||||||||||||||||||||||||
|
|
Interest Rate Caps / Floors — Sold
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | �� | Value | Premiums Paid (Received) | Unrealized Appreciation | ||||||||||||||||||||||
5Y-30Y CMS Index Cap | 0.55 | % | Citibank N.A. | 2/14/22 | USD | 38,875 | $ | (86,924 | ) | $ | (33,044 | ) | $ | (53,880 | ) | |||||||||||||||
5Y-30Y CMS Index Cap | 0.55 | Citibank N.A. | 2/14/22 | USD | 38,875 | (86,924 | ) | (40,041 | ) | (46,883 | ) | |||||||||||||||||||
5Y-30Y CMS Index Floor | 0.25 | Nomura International PLC | 7/08/20 | USD | 40,130 | — | (20,065 | ) | 20,065 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (173,848 | ) | $ | (93,150 | ) | $ | (80,698 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
90-Day Euro Future | 244 | 12/13/21 | USD | 99.38 | USD | 60,619 | $ | (289,749 | ) | |||||||||||||||
|
|
OTC Interest Rate Swaptions Written
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 08/12/22 | 0.75% | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 08/10/20 | 0.75 | % | USD | 85,970 | $ | (925,899 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 08/19/30 | 1.20 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 08/17/20 | 1.20 | USD | 5,570 | (305,285 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/24/25 | 0.20 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 09/22/20 | 0.20 | USD | 2,765 | (4,305 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 09/25/22 | 0.70 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 09/23/20 | 0.70 | USD | 85,550 | (849,313 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/26/25 | 0.20 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 09/24/20 | 0.20 | USD | 2,765 | (4,399 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 11/04/30 | 1.63 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 11/02/20 | 1.63 | USD | 2,680 | (255,452 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/21 | 1.58 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | JPMorgan Chase Bank N.A. | 11/05/20 | 1.58 | USD | 23,790 | (324,149 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 12/13/22 | 1.54 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Goldman Sachs Bank USA | 12/11/20 | 1.54 | USD | 12,580 | (335,261 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 12/16/22 | 1.53 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Citibank N.A. | 12/14/20 | 1.53 | USD | 12,580 | (334,009 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 | 2.79 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 03/08/21 | 2.79 | USD | 5,266 | (1,086,975 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 03/19/22 | 0.41 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 03/17/21 | 0.41 | USD | 23,790 | (59,397 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/03/31 | 0.71 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 04/01/21 | 0.71 | USD | 2,415 | (56,165 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/07/31 | 0.69 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 04/05/21 | 0.69 | USD | 1,210 | (27,177 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | 0.69 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 04/06/21 | 0.69 | USD | 1,210 | (27,447 | ) |
36 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | 0.71 % | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 04/06/21 | 0.71 | % | USD | 2,420 | $ | (57,335 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | 0.73 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 04/06/21 | 0.73 | USD | 1,440 | (35,424 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/31 | 0.85 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 04/07/21 | 0.85 | USD | 965 | (30,357 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/11/31 | 0.87 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 04/09/21 | 0.87 | USD | 2,430 | (79,487 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/16/31 | 0.88 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 04/14/21 | 0.88 | USD | 1,220 | (40,602 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 | 0.77 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 04/15/21 | 0.77 | USD | 1,155 | (30,799 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 | 0.79 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Citibank N.A. | 04/15/21 | 0.79 | USD | 1,360 | (38,165 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 | 0.72 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 04/16/21 | 0.72 | USD | 1,155 | (27,909 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 | 0.74 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 04/19/21 | 0.74 | USD | 3,820 | (97,670 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 05/05/27 | 3.25 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 10,130 | (1,459 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 05/15/31 | 0.69 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Goldman Sachs Bank USA | 05/13/21 | 0.69 | USD | 2,470 | (57,189 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31 | 0.75 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 06/02/21 | 0.75 | USD | 4,800 | (128,051 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 | 0.74 | Semi-Annual | | 3-Month LIBOR, 0.30% | Quarterly | Bank of America N.A. | 06/25/21 | 0.74 | USD | 2,450 | (65,853 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 | 0.72 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | BNP Paribas S.A. | 06/29/21 | 0.72 | USD | 2,450 | (62,675 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 | (0.12) | Annual | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | Barclays Bank PLC | 04/04/22 | (0.12 | ) | EUR | 5,250 | (90,718 | ) | ||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 | (0.02) | Annual | | 6-Month EURIBOR, (0.31)% | Semi-Annual | Barclays Bank PLC | 04/07/22 | (0.02 | ) | EUR | 6,030 | (126,960 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 | 0.74 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 05/02/22 | 0.74 | USD | 2,540 | (80,574 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 06/17/27 | 0.61 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Morgan Stanley & Co. International PLC | 06/15/22 | 0.61 | USD | 6,790 | (110,755 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 | (0.14) | Annual | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | Barclays Bank PLC | 09/12/22 | (0.14 | ) | EUR | 2,720 | (47,027 | ) | ||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 | (0.04) | Annual | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | Barclays Bank PLC | 09/13/22 | (0.04 | ) | EUR | 2,720 | (57,285 | ) | ||||||||||||||||||||
1-Year Interest Rate Swap, 04/08/24 | 0.61 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Bank of America N.A. | 04/06/23 | 0.61 | USD | 8,740 | (40,496 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 04/13/24 | 0.69 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Deutsche Bank AG | 04/11/23 | 0.69 | USD | 13,770 | (71,443 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 | 3.05 | Semi-Annual | | 3-Month LIBOR, 0.30% | | Quarterly | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (557,458 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
(6,530,924 | ) | |||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 07/12/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.35 | Semi-Annual | Nomura International PLC | 07/10/20 | 2.35 | USD | 2,870 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/15/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.95 | Semi-Annual | Citibank N.A. | 07/13/20 | 1.95 | USD | 4,370 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/29/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.30 | Semi-Annual | Goldman Sachs Bank USA | 07/27/20 | 2.30 | USD | 4,040 | — | ||||||||||||||||||||||
5-Year Interest Rate Swap, 07/29/25 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/27/20 | 0.00 | EUR | 7,510 | (9 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/05/30 | | 3-Month LIBOR,0.30% | | Quarterly | 2.00 | Semi-Annual | Barclays Bank PLC | 08/03/20 | 2.00 | USD | 2,250 | (1 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.75 | Semi-Annual | Bank of America N.A. | 08/07/20 | 1.75 | USD | 2,040 | (6 | ) |
SCHEDULES OF INVESTMENTS | 37 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/19/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.60 % | Semi-Annual | JPMorgan Chase Bank N.A. | 08/17/20 | 1.60 | % | USD | 5,570 | $ | (145 | ) | |||||||||||||||||||
2-Year Interest Rate Swap, 08/26/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.50 | Semi-Annual | Barclays Bank PLC | 08/24/20 | 3.50 | USD | 16,370 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 09/16/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.61 | Semi-Annual | Bank of America N.A. | 09/14/20 | 1.61 | USD | 2,690 | (442 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 09/18/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.76 | Semi-Annual | Bank of America N.A. | 09/16/20 | 1.76 | USD | 5,260 | (554 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/24/25 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.50 | Semi-Annual | Bank of America N.A. | 09/22/20 | 0.50 | USD | 2,765 | (3,733 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 09/26/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.60 | Semi-Annual | Deutsche Bank AG | 09/24/20 | 0.60 | USD | 19,960 | (287 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/26/25 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.50 | Semi-Annual | Deutsche Bank AG | 09/24/20 | 0.50 | USD | 2,765 | (3,891 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 09/27/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.62 | Semi-Annual | Deutsche Bank AG | 09/25/20 | 0.62 | USD | 20,765 | (261 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/04/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.05 | Semi-Annual | Goldman Sachs Bank USA | 10/02/20 | 1.05 | USD | 12,050 | (12 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/04/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.05 | Semi-Annual | Goldman Sachs Bank USA | 10/02/20 | 1.05 | USD | 12,050 | (12 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/07/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.00 | Semi-Annual | Deutsche Bank AG | 10/05/20 | 1.00 | USD | 12,050 | (18 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/07/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.00 | Semi-Annual | Deutsche Bank AG | 10/05/20 | 1.00 | USD | 11,215 | (17 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 | | 3-Month LIBOR, 0.30% | Quarterly | 0.70 | Semi-Annual | Deutsche Bank AG | 10/13/20 | 0.70 | USD | 9,825 | (128 | ) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.70 | Semi-Annual | Deutsche Bank AG | 10/13/20 | 0.70 | USD | 14,160 | (2 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.70 | Semi-Annual | Deutsche Bank AG | 10/13/20 | 0.70 | USD | 9,425 | (122 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.75 | Semi-Annual | Deutsche Bank AG | 10/13/20 | 0.75 | USD | 12,770 | (119 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 10/16/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.65 | Semi-Annual | Barclays Bank PLC | 10/14/20 | 0.65 | USD | 11,365 | (215 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 11/04/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.63 | Semi-Annual | Bank of America N.A. | 11/02/20 | 1.63 | USD | 2,680 | (1,735 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 11/04/30 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.64 | Semi-Annual | UBS AG | 11/02/20 | 1.64 | USD | 2,680 | (1,686 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/21 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.58 | Semi-Annual | JPMorgan Chase Bank N.A. | 11/05/20 | 1.58 | USD | 23,790 | (6 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 11/29/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.00 | Semi-Annual | Barclays Bank PLC | 11/27/20 | 2.00 | USD | 25,750 | (7 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 12/13/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.54 | Semi-Annual | Goldman Sachs Bank USA | 12/11/20 | 1.54 | USD | 12,580 | (18 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 12/16/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.53 | Semi-Annual | Citibank N.A. | 12/14/20 | 1.53 | USD | 12,580 | (19 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 12/23/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.05 | Semi-Annual | Nomura International PLC | 12/21/20 | 3.05 | USD | 9,510 | — | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/31/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.25 | Semi-Annual | Citibank N.A. | 12/29/20 | 3.25 | USD | 14,110 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.79 | Semi-Annual | Barclays Bank PLC | 03/08/21 | 2.79 | USD | 5,266 | (1,272 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 03/10/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.30 | Annual | JPMorgan Chase Bank N.A. | 03/08/21 | 0.30 | EUR | 12,880 | (677 | ) | |||||||||||||||||||||
1-Year Interest Ra Swap, 03/19/22, | | 3-Month LIBOR, 0.30% | | Quarterly | 0.41 | Semi-Annual | Morgan Stanley & Co. International PLC | 03/17/21 | 0.41 | USD | 23,790 | (5,225 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 03/31/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.10 | Annual | Barclays Bank PLC | 03/29/21 | 0.10 | EUR | 18,360 | (2,519 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/03/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.71 | Semi-Annual | Morgan Stanley & Co. International PLC | 04/01/21 | 0.71 | USD | 2,415 | (54,874 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/07/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.69 | Semi-Annual | Deutsche Bank AG | 04/05/21 | 0.69 | USD | 1,210 | (28,883 | ) |
38 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.69 % | Semi-Annual | Barclays Bank PLC | 04/06/21 | 0.69 | % | USD | 1,210 | $ | (28,617 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | | 3-Month LIBOR, 0.30 | | Quarterly | 0.71 | Semi-Annual | Barclays Bank PLC | 04/06/21 | 0.71 | USD | 2,420 | (54,907 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.73 | Semi-Annual | Morgan Stanley & Co. International PLC | 04/06/21 | 0.73 | USD | 1,440 | (31,497 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.85 | Semi-Annual | Morgan Stanley & Co. International PLC | 04/07/21 | 0.85 | USD | 965 | (16,348 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 04/10/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.12 | Annual | Barclays Bank PLC | 04/08/21 | 0.12 | EUR | 28,360 | (3,901 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/11/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.87 | Semi-Annual | Morgan Stanley & Co. International PLC | 04/09/21 | 0.87 | USD | 2,430 | (39,699 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.10 | Annual | Citibank N.A. | 04/12/21 | 0.10 | EUR | 14,250 | (2,181 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23, | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.16 | Annual | Goldman Sachs Bank USA | 04/12/21 | 0.16 | EUR | 14,250 | (1,738 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/16/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.88 | Semi-Annual | Barclays Bank PLC | 04/14/21 | 0.88 | USD | 1,220 | (19,862 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.77 | Semi-Annual | Bank of America N.A. | 04/15/21 | 0.77 | USD | 1,155 | (24,017 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.79 | Semi-Annual | Citibank N.A. | 04/15/21 | 0.79 | USD | 1,360 | (26,828 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.72 | Semi-Annual | Bank of America N.A. | 04/16/21 | 0.72 | USD | 1,155 | (26,550 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 | | 3-Month LIBOR,0.30% | | Quarterly | 0.74 | Semi-Annual | Morgan Stanley & Co. International PLC | 04/19/21 | 0.74 | USD | 3,820 | (83,828 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 2.15 | Annual | JPMorgan Chase Bank N.A. | 04/19/21 | 2.15 | EUR | 4,400 | (475 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 04/21/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.15 | Annual | Morgan Stanley & Co. International PLC | 04/19/21 | 0.15 | EUR | 14,050 | (1,874 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 05/06/31 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 2.00 | Annual | Barclays Bank PLC | 05/04/21 | 2.00 | EUR | 2,700 | (397 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 5/15/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.69 | Semi-Annual | Goldman Sachs Bank USA | 05/13/21 | 0.69 | USD | 2,470 | (63,928 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 05/19/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.35 | Semi-Annual | Citibank N.A. | 05/17/21 | 2.35 | USD | 45,470 | (65 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 05/19/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.11 | Annual | Barclays Bank PLC | 05/17/21 | 0.11 | EUR | 9,299 | (1,731 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 05/30/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.15 | Semi-Annual | Barclays Bank PLC | 05/28/21 | 2.15 | USD | 62,210 | (139 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/02/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.08 | Annual | Morgan Stanley & Co. International PLC | 05/31/21 | 0.08 | EUR | 6,270 | (1,413 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 06/03/22 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.40 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/01/21 | 2.40 | USD | 77,400 | (118 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/03/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.00 | Semi-Annual | Bank of America N.A. | 06/01/21 | 1.00 | USD | 10,670 | (152,339 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31, | | 3-Month LIBOR, 0.30% | | Quarterly | 0.75 | Semi-Annual | Deutsche Bank AG | 06/02/21 | 0.75 | USD | 4,800 | (114,415 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.87 | Semi-Annual | Barclays Bank PLC | 06/07/21 | 3.87 | USD | 8,000 | (662 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/12/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.05 | Annual | Barclays Bank PLC | 06/10/21 | 0.05 | EUR | 9,800 | (2,608 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/13/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.05 | Semi-Annual | Bank of America N.A. | 06/11/21 | 1.05 | USD | 2,390 | (31,639 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 06/14/21 | 0.00 | EUR | 4,310 | (1,419 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Bank of America N.A. | 06/14/21 | 0.00 | EUR | 4,430 | (1,458 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/20/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Goldman Sachs Bank USA | 06/18/21 | 0.00 | EUR | 4,460 | (1,497 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/23/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Citibank N.A. | 06/21/21 | 0.00 | EUR | 5,200 | (1,770 | ) |
SCHEDULES OF INVESTMENTS | 39 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 06/27/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 % | Annual | Nomura International PLC | 06/25/21 | 0.00 | % | EUR | 4,880 | $ | (1,693 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.74 | Semi-Annual | Bank of America N.A. | 06/25/21 | 0.74 | USD | 2,450 | (61,413 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.72 | Semi-Annual | BNP Paribas S.A. | 06/29/21 | 0.72 | USD | 2,450 | (64,889 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 07/03/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/01/21 | 0.00 | EUR | 5,230 | (1,868 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 07/04/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.05) | Annual | Barclays Bank PLC | 07/02/21 | (0.05 | ) | EUR | 5,120 | (2,242 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 07/21/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/19/21 | 0.00 | EUR | 5,270 | (2,098 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.15) | Annual | Barclays Bank PLC | 08/09/21 | (0.15 | ) | EUR | 12,480 | (9,919 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.15) | Annual | Barclays Bank PLC | 08/09/21 | (0.15 | ) | EUR | 6,990 | (5,555 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap, 09/05/23 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.25) | Annual | Barclays Bank PLC | 09/03/21 | (0.25 | ) | EUR | 22,950 | (30,235 | ) | ||||||||||||||||||||
10-Year Interest Rate Swap, 01/30/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.95 | Semi-Annual | Morgan Stanley & Co. International PLC | 01/28/22 | 1.95 | USD | 4,010 | (20,509 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.85 | Semi-Annual | Bank of America N.A. | 02/22/22 | 1.85 | USD | 2,970 | (18,954 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/02/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.60 | Semi-Annual | Deutsche Bank AG | 02/28/22 | 1.60 | USD | 2,840 | (27,348 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/05/32 | | 3-Month LIBOR,0.30% | | Quarterly | 1.60 | Semi-Annual | Deutsche Bank AG | 03/03/22 | 1.60 | USD | 2,840 | (27,557 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.60 | Semi-Annual | Deutsche Bank AG | 03/04/22 | 1.60 | USD | 4,485 | (43,593 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 1.60 | Semi-Annual | Barclays Bank PLC | 03/04/22 | 1.60 | USD | 2,818 | (27,390 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.12) | Annual | Barclays Bank PLC | 04/04/22 | (0.12 | ) | EUR | 5,250 | (45,059 | ) | ||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.02) | Annual | Barclays Bank PLC | 04/07/22 | (0.02 | ) | EUR | 6,030 | (41,885 | ) | ||||||||||||||||||||
1-Year Interest Rate Swap, 04/23/23 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.55 | Semi-Annual | Deutsche Bank AG | 04/21/22 | 0.55 | USD | 20,360 | (18,243 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.74 | Semi-Annual | Deutsche Bank AG | 05/02/22 | 0.74 | USD | 2,540 | (96,892 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 05/11/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.75 | Semi-Annual | Nomura International PLC | 05/09/22 | 2.75 | % | USD | 10,350 | (20,395 | ) | ||||||||||||||||||||
5-Year Interest Rate Swap, 06/17/27 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.61 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/15/22 | 0.61 | USD | 6,790 | (94,952 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.75 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 2.75 | USD | 4,160 | (10,144 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.25 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 3.25 | USD | 4,160 | (5,096 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.75 | Semi-Annual | Barclays Bank PLC | 08/08/22 | 2.75 | USD | 4,270 | (10,605 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.25 | Semi-Annual | Barclays Bank PLC | 08/08/22 | 3.25 | USD | 4,270 | (5,343 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.14) | Annual | Barclays Bank PLC | 09/12/22 | (0.14 | ) | EUR | 2,720 | (32,130 | ) | ||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 | | 6-Month EURIBOR, (0.31)% | | Semi-Annual | (0.04) | Annual | Barclays Bank PLC | 09/13/22 | (0.04 | ) | EUR | 2,720 | (26,272 | ) | ||||||||||||||||||||
1-Year Interest Rate Swap, 04/08/24 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.61 | Semi-Annual | Bank of America N.A. | 04/06/23 | 0.61 | USD | 8,740 | (17,423 | ) | |||||||||||||||||||||
1-Year Interest Rate Swap, 04/13/24 | | 3-Month LIBOR, 0.30% | | Quarterly | 0.69 | Semi-Annual | Deutsche Bank AG | 04/11/23 | 0.69 | USD | 13,770 | (24,596 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.00 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.00 | USD | 3,950 | (25,595 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.50 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.50 | USD | 3,950 | (15,296 | ) |
40 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
Description | Paid by the Trust | Received by the Trust | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.00 % | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.00 | % | USD | 3,950 | $ | (25,807 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.50 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.50 | USD | 3,950 | (15,435 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 08/22/34 | | 3-Month LIBOR, 0.30% | | Quarterly | 2.25 | Semi-Annual | Morgan Stanley & Co. International PLC | 08/20/24 | 2.25 | USD | 4,410 | (66,757 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 | | 3-Month LIBOR, 0.30% | | Quarterly | 3.05 | Semi-Annual | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (54,624 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
(1,842,627 | ) | |||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
$ | (8,373,551 | ) | ||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CDX.NA.HY.34.V6 | 5.00 | % | Quarterly | 06/20/25 | USD | 2,185 | $ | 12,341 | $ | 119,212 | $ | (106,871 | ) | |||||||||||||||||||
CDX.NA.IG.34.V1 | 1.00 | Quarterly | 06/20/25 | USD | 17,350 | (207,124 | ) | (192,506 | ) | (14,618 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (194,783 | ) | $ | (73,294 | ) | $ | (121,489 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Amount (000) | ||||||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.53% | Semi-Annual | N/A | 11/22/20 | USD | 11,880 | $ | 72,340 | $ | 50 | $ | 72,290 | |||||||||||||||||||
1.56% | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 03/27/21 | USD | 5,660 | (76,826 | ) | 45 | (76,871 | ) | ||||||||||||||||||||
1.77 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 06/15/21 | USD | 8,210 | (123,516 | ) | 84 | (123,600 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.36 | Semi-Annual | 09/28/20 | (a) | 09/28/21 | USD | 3,500 | 39,518 | 37 | 39,481 | |||||||||||||||||||||
(0.45) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 12/16/21 | EUR | 5,440 | 23,997 | 54 | 23,943 | ||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.30) | Annual | N/A | 01/16/22 | EUR | 11,040 | 17,632 | 250 | 17,382 | ||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.48) | Annual | N/A | 03/05/22 | EUR | 5,950 | (10,687 | ) | 68 | (10,755 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.48) | Annual | N/A | 03/06/22 | EUR | 7,180 | (13,251 | ) | 83 | (13,334 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.49) | Annual | N/A | 03/09/22 | EUR | 4,550 | (9,331 | ) | 52 | (9,383 | ) | ||||||||||||||||||||
(0.34) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 03/20/22 | EUR | 2,830 | (3,214 | ) | 33 | (3,247 | ) | ||||||||||||||||||||
(0.35) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 03/20/22 | EUR | 2,820 | (1,991 | ) | 33 | (2,024 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 2.03 | Semi-Annual | N/A | 03/30/22 | USD | 1,914 | 70,316 | 20 | 70,296 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.33 | Semi-Annual | 04/06/21 | (a) | 04/06/22 | USD | 37,775 | 57,147 | 406 | 56,741 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.42 | Semi-Annual | N/A | 05/04/22 | USD | 8,655 | 27,408 | 95 | 27,313 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.28 | Semi-Annual | 05/06/21 | (a) | 05/06/22 | USD | 6,000 | 5,823 | 64 | 5,759 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 2.01 | Semi-Annual | 05/17/21 | (a) | 05/17/22 | USD | 756 | 13,819 | 2,243 | 11,576 | |||||||||||||||||||||
1.87 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 06/03/21 | (a) | 06/03/22 | USD | 3,450 | (58,387 | ) | 37 | (58,424 | ) | |||||||||||||||||||
1.00 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 06/03/22 | USD | 16,983 | (262,382 | ) | 193 | (262,575 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.50 | Semi-Annual | N/A | 06/03/22 | USD | 8,496 | 216,331 | 96 | 216,235 | ||||||||||||||||||||||
0.25 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 10/05/20 | (a) | 06/15/22 | USD | 9,270 | (7,143 | ) | 109 | (7,252 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.25) | Annual | N/A | 06/24/22 | EUR | 2,499 | 7,020 | 32 | 6,988 | ||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.29) | Annual | N/A | 06/25/22 | EUR | 937 | 1,844 | 12 | 1,832 | ||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.28) | Annual | N/A | 06/26/22 | EUR | 937 | 2,106 | 12 | 2,094 | ||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.28) | Annual | N/A | 06/30/22 | EUR | 938 | 2,252 | 13 | 2,239 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.35 | Semi-Annual | 07/08/20 | (a) | 07/08/22 | USD | 3,820 | 10,049 | 45 | 10,004 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.31) | Annual | 07/16/20 | (a) | 07/16/22 | EUR | 4,580 | 8,264 | 1,282 | 6,982 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.32) | Annual | 07/16/20 | (a) | 07/16/22 | EUR | 4,580 | 7,390 | 62 | 7,328 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.32 | Semi-Annual | 07/17/20 | (a) | 07/17/22 | USD | 810 | 1,641 | 10 | 1,631 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.30) | Annual | 07/20/20 | (a) | 07/20/22 | EUR | 5,250 | 10,347 | 70 | 10,277 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.31 | Semi-Annual | 07/28/20 | (a) | 07/28/22 | USD | 5,840 | 11,096 | 69 | 11,027 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.32 | Semi-Annual | 07/28/20 | (a) | 07/28/22 | USD | 5,840 | 12,323 | 69 | 12,254 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.30 | Semi-Annual | 07/30/20 | (a) | 07/30/22 | USD | 3,910 | 6,495 | 46 | 6,449 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.25 | Semi-Annual | 09/02/20 | (a) | 09/02/22 | USD | 6,480 | 5,823 | 76 | 5,747 |
SCHEDULES OF INVESTMENTS | 41 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Amount (000) | ||||||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.66 | Semi-Annual | 09/08/20 | (a) | 09/08/22 | USD | 3,380 | $ | 30,740 | $ | 40 | $ | 30,700 | ||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.64 | Semi-Annual | 09/08/20 | (a) | 09/08/22 | USD | 3,380 | 29,388 | 40 | 29,348 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.67 | Semi-Annual | 09/08/20 | (a) | 09/08/22 | USD | 3,380 | 31,145 | 40 | 31,105 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.69 | Semi-Annual | 09/08/20 | (a) | 09/08/22 | USD | 3,380 | 32,767 | 40 | 32,727 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.44 | Semi-Annual | 09/11/20 | (a) | 09/11/22 | USD | 2,443 | 11,213 | 29 | 11,184 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.44 | Semi-Annual | 09/11/20 | (a) | 09/11/22 | USD | 2,269 | 10,483 | 27 | 10,456 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.46 | Semi-Annual | 09/11/20 | (a) | 09/11/22 | USD | 2,268 | 11,568 | 27 | 11,541 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.51 | Semi-Annual | 09/11/20 | (a) | 09/11/22 | USD | 3,490 | 21,015 | 41 | 20,974 | |||||||||||||||||||||
(0.26) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 09/22/20 | (a) | 09/22/22 | EUR | 5,170 | (16,568 | ) | 69 | (16,637 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.34 | Semi-Annual | 09/28/20 | (a) | 09/28/22 | USD | 6,240 | 141,541 | 73 | 141,468 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.36 | Semi-Annual | 09/29/20 | (a) | 09/29/22 | USD | 12,635 | 37,996 | 150 | 37,846 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.36 | Semi-Annual | 09/29/20 | (a) | 09/29/22 | USD | 2,860 | 8,629 | 34 | 8,595 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.33) | Annual | 10/02/20 | (a) | 10/02/22 | EUR | 6,310 | 10,183 | 85 | 10,098 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.35 | Semi-Annual | 10/02/20 | (a) | 10/02/22 | USD | 6,040 | 17,912 | 72 | 17,840 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.25 | Semi-Annual | 10/06/20 | (a) | 10/06/22 | USD | 7,335 | 152,901 | 86 | 152,815 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.35) | Annual | 11/02/20 | (a) | 11/02/22 | EUR | 3,570 | 4,645 | 47 | 4,598 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.33) | Annual | 02/12/21 | (a) | 02/12/23 | EUR | 1,390 | 2,471 | 19 | 2,452 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.10 | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 13,390 | 237,840 | 159 | 237,681 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.05 | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 56,135 | 40 | 56,095 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.06 | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 56,401 | 40 | 56,361 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.07 | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,350 | 57,595 | 40 | 57,555 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.41) | Annual | 03/02/21 | (a) | 03/02/23 | EUR | 2,450 | (148 | ) | 33 | (181 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.88 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 44,931 | 40 | 44,891 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.88 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,700 | 89,928 | 80 | 89,848 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.88 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,665 | 89,924 | 79 | 89,845 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.90 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 46,706 | 40 | 46,666 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.98 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 51,885 | 40 | 51,845 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.99 | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 52,456 | 40 | 52,416 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.47) | Annual | 03/04/21 | (a) | 03/04/23 | EUR | 2,970 | (4,254 | ) | 40 | (4,294 | ) | |||||||||||||||||||
(0.17)% | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (64,827 | ) | 155 | (64,982 | ) | |||||||||||||||||||
(0.18) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (63,156 | ) | 155 | (63,311 | ) | |||||||||||||||||||
(0.18) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,800 | (61,735 | ) | 154 | (61,889 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.31) | Annual | 04/29/21 | (a) | 04/29/23 | EUR | 2,660 | 6,162 | 35 | 6,127 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.34) | Annual | 05/03/21 | (a) | 05/03/23 | EUR | 3,560 | 5,368 | 47 | 5,321 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.38) | Annual | 05/04/21 | (a) | 05/04/23 | EUR | 3,410 | 2,072 | 45 | 2,027 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.37) | Annual | 05/06/21 | (a) | 05/06/23 | EUR | 1,570 | 1,451 | 21 | 1,430 | |||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.42) | Annual | 06/24/21 | (a) | 06/24/23 | EUR | 2,720 | (614 | ) | 88 | (702 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.40) | Annual | 06/25/21 | (a) | 06/25/23 | EUR | 2,700 | 623 | (20 | ) | 643 | ||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.42) | Annual | 07/02/21 | (a) | 07/02/23 | EUR | 5,690 | (1,837 | ) | 206 | (2,043 | ) | |||||||||||||||||||
(0.30) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 07/26/21 | (a) | 07/25/23 | EUR | 12,900 | (30,266 | ) | 202 | (30,468 | ) | |||||||||||||||||||
(0.29) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 07/26/21 | (a) | 07/26/23 | EUR | 14,350 | (36,961 | ) | 226 | (37,187 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.45) | Annual | 08/11/21 | (a) | 08/11/23 | EUR | 1,730 | (2,043 | ) | 27 | (2,070 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.58) | Annual | 08/17/21 | (a) | 08/17/23 | EUR | 1,760 | (7,030 | ) | 28 | (7,058 | ) | |||||||||||||||||||
1.61 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 11/01/21 | (a) | 11/01/23 | USD | 3,260 | (88,298 | ) | 38 | (88,336 | ) | |||||||||||||||||||
(0.17) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 12/13/21 | (a) | 12/13/23 | �� | EUR | 5,190 | (26,389 | ) | 81 | (26,470 | ) | ||||||||||||||||||
(0.12) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 12/27/21 | (a) | 12/27/23 | EUR | 770 | (4,793 | ) | 12 | (4,805 | ) | |||||||||||||||||||
(0.05) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (21,063 | ) | 43 | (21,106 | ) | |||||||||||||||||||
(0.06) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (20,656 | ) | 43 | (20,699 | ) | |||||||||||||||||||
(0.17) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 11/11/24 | EUR | 1,160 | (9,055 | ) | 16 | (9,071 | ) | ||||||||||||||||||||
(0.22) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 11/21/24 | EUR | 3,890 | (21,335 | ) | 54 | (21,389 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | (0.23) | Annual | N/A | 12/02/24 | EUR | 6,710 | 34,086 | 101 | 33,985 | ||||||||||||||||||||||
(0.18) | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 03/18/25 | EUR | 270 | (2,894 | ) | 4 | (2,898 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.36 | Semi-Annual | N/A | 06/02/25 | USD | 3,960 | 7,552 | 52 | 7,500 | ||||||||||||||||||||||
0.65 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 530 | (3,329 | ) | 7 | (3,336 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.65 | Semi-Annual | 06/20/22 | (a) | 06/20/27 | USD | 3,855 | 19,378 | 51 | 19,327 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.68 | Semi-Annual | 06/20/22 | (a) | 06/20/27 | USD | 3,855 | 24,653 | 51 | 24,602 | |||||||||||||||||||||
6-Month JPY LIBOR, (0.02)% | Semi-Annual | 0.37 | Semi-Annual | N/A | 01/29/28 | JPY | 181,730 | 49,965 | 22 | 49,943 | ||||||||||||||||||||||
6-Month JPY LIBOR, (0.02)% | Semi-Annual | 0.36 | Semi-Annual | N/A | 07/31/28 | JPY | 113,000 | 31,997 | 14 | 31,983 | ||||||||||||||||||||||
0.19 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 01/04/29 | JPY | 100,000 | (15,007 | ) | 13 | (15,020 | ) | ||||||||||||||||||||
1.37 | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 02/20/29 | EUR | 1,970 | (325,839 | ) | 40 | (325,879 | ) | ||||||||||||||||||||
1.38 | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 02/22/29 | EUR | 590 | (98,126 | ) | 12 | (98,138 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | 0.56 | Annual | N/A | 03/12/29 | EUR | 1,640 | 134,439 | 28 | 134,411 |
42 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Amount (000) | ||||||||||||||||||||||||||||
6-Month EURIBOR, (0.31)% | Semi-Annual | 0.06 | Annual | N/A | 07/26/29 | EUR | 930 | $ | 28,227 | $ | 16 | $ | 28,211 | |||||||||||||||||||
0.19 | Annual | 6-Month EURIBOR, (0.31)% | Semi-Annual | N/A | 01/16/30 | EUR | 2,280 | (99,770 | ) | 459 | (100,229 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.68 | Semi-Annual | 09/30/20 | (a) | 02/15/30 | USD | 3,900 | 19,656 | 61 | 19,595 | |||||||||||||||||||||
1.31 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 02/27/30 | USD | 2,770 | (194,079 | ) | 43 | (194,122 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.32% | Semi-Annual | N/A | 02/27/30 | USD | 2,430 | 170,859 | 38 | 170,821 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.64 | Semi-Annual | N/A | 04/28/30 | USD | 2,160 | (920 | ) | 33 | (953 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.57 | Semi-Annual | N/A | 04/29/30 | USD | 100 | 9,224 | 2 | 9,222 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.60 | Semi-Annual | N/A | 05/18/30 | USD | 2,320 | (7,468 | ) | 36 | (7,504 | ) | ||||||||||||||||||||
0.68 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 05/20/30 | USD | 770 | (3,942 | ) | 12 | (3,954 | ) | ||||||||||||||||||||
0.65 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 06/02/30 | USD | 2,020 | (2,960 | ) | 32 | (2,992 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.67 | Semi-Annual | N/A | 06/03/30 | USD | 1,850 | 5,837 | 29 | 5,808 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.70 | Semi-Annual | N/A | 06/16/30 | USD | 760 | 5,057 | 12 | 5,045 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.66 | Semi-Annual | N/A | 06/17/30 | USD | 460 | 1,308 | 7 | 1,301 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.70 | Semi-Annual | N/A | 06/23/30 | USD | 530 | 3,425 | 8 | 3,417 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.66 | Semi-Annual | N/A | 06/30/30 | USD | 810 | 1,882 | 13 | 1,869 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.64 | Semi-Annual | N/A | 07/01/30 | USD | 510 | (93 | ) | 8 | (101 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 0.64 | Semi-Annual | N/A | 07/02/30 | USD | 1,130 | 21 | 18 | 3 | ||||||||||||||||||||||
1.76 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 07/09/20 | (a) | 07/09/30 | USD | 400 | (44,265 | ) | 6 | (44,271 | ) | |||||||||||||||||||
0.67 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 07/17/20 | (a) | 07/17/30 | USD | 1,690 | (4,645 | ) | 27 | (4,672 | ) | |||||||||||||||||||
0.70 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 07/22/20 | (a) | 07/22/30 | USD | 2,530 | (14,179 | ) | 40 | (14,219 | ) | |||||||||||||||||||
1.32 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 08/27/20 | (a) | 08/27/30 | USD | 4,310 | (282,475 | ) | 69 | (282,544 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.02 | Semi-Annual | 09/08/20 | (a) | 09/08/30 | USD | 1,885 | 68,110 | 30 | 68,080 | |||||||||||||||||||||
0.68 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 09/16/20 | (a) | 09/16/30 | USD | 2,760 | (6,557 | ) | 44 | (6,601 | ) | |||||||||||||||||||
0.65 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 11/04/20 | (a) | 11/04/30 | USD | 2,740 | 4,187 | 43 | 4,144 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.76 | Semi-Annual | 01/11/21 | (a) | 01/11/31 | USD | 760 | 80,697 | 12 | 80,685 | |||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 2.45 | Semi-Annual | 05/18/21 | (a) | 05/18/31 | USD | 860 | 146,673 | 13 | 146,660 | |||||||||||||||||||||
0.76 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 06/03/21 | (a) | 06/03/31 | USD | 3,648 | (15,238 | ) | 58 | (15,296 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 2.10 | Semi-Annual | 06/22/21 | (a) | 06/22/31 | USD | 430 | 58,315 | 7 | 58,308 | |||||||||||||||||||||
0.52 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 11/30/21 | (a) | 11/30/31 | JPY | 95,000 | (39,009 | ) | 16 | (39,025 | ) | |||||||||||||||||||
0.77 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 05/06/22 | (a) | 05/06/32 | USD | 2,650 | 9,836 | 42 | 9,794 | |||||||||||||||||||||
1.02 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 06/07/22 | (a) | 06/07/32 | USD | 500 | (9,815 | ) | 8 | (9,823 | ) | |||||||||||||||||||
0.36 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 02/04/34 | JPY | 30,720 | (9,688 | ) | 4 | (9,692 | ) | ||||||||||||||||||||
0.34 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 02/08/34 | JPY | 50,250 | (14,605 | ) | 8 | (14,613 | ) | ||||||||||||||||||||
0.34 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 03/14/34 | JPY | 24,760 | (7,222 | ) | 4 | (7,226 | ) | ||||||||||||||||||||
2.33 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 06/24/24 | (a) | 06/24/34 | USD | 310 | (39,972 | ) | 5 | (39,977 | ) | |||||||||||||||||||
1.65 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 08/22/24 | (a) | 08/22/34 | USD | 1,355 | (84,125 | ) | 21 | (84,146 | ) | |||||||||||||||||||
1.98 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 10/23/24 | (a) | 10/23/34 | USD | 660 | (61,240 | ) | 10 | (61,250 | ) | |||||||||||||||||||
1.98 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 10/23/24 | (a) | 10/23/34 | USD | 660 | (61,589 | ) | 10 | (61,599 | ) | |||||||||||||||||||
6-Month JPY LIBOR, (0.02)% | Semi-Annual | 0.14 | Semi-Annual | N/A | 06/12/35 | JPY | 250,000 | (2,497 | ) | 44 | (2,541 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 3.18 | Semi-Annual | 05/09/28 | (a) | 05/09/38 | USD | 1,590 | 302,925 | 24 | 302,901 | |||||||||||||||||||||
3.08 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 06/29/28 | (a) | 06/29/38 | USD | 230 | (41,601 | ) | 3 | (41,604 | ) | |||||||||||||||||||
0.66 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 12/06/38 | JPY | 40,000 | (30,917 | ) | 8 | (30,925 | ) | ||||||||||||||||||||
0.62 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 12/14/38 | JPY | 25,000 | (17,574 | ) | 5 | (17,579 | ) | ||||||||||||||||||||
0.41 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 04/03/39 | JPY | 26,190 | (9,254 | ) | 5 | (9,259 | ) | ||||||||||||||||||||
2.82 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 04/04/29 | (a) | 04/04/39 | USD | 3,000 | (465,258 | ) | 46 | (465,304 | ) | |||||||||||||||||||
0.33 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 06/10/39 | JPY | 27,540 | (5,629 | ) | 6 | (5,635 | ) | ||||||||||||||||||||
0.30% | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 06/17/39 | JPY | 25,860 | (3,722 | ) | 5 | (3,727 | ) | ||||||||||||||||||||
0.17 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | N/A | 08/08/39 | JPY | 22,870 | 1,842 | 5 | 1,837 | ||||||||||||||||||||||
1.01 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 04/02/30 | (a) | 04/02/40 | USD | 4,100 | 49,461 | 66 | 49,395 | |||||||||||||||||||||
0.72 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 03/21/24 | (a) | 03/21/44 | JPY | 19,000 | (13,593 | ) | 4 | (13,597 | ) | |||||||||||||||||||
0.20 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 08/28/24 | (a) | 08/28/44 | JPY | 12,720 | 3,164 | 3 | 3,161 | |||||||||||||||||||||
0.37 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 01/30/25 | (a) | 01/30/45 | JPY | 20,250 | (901 | ) | 5 | (906 | ) | |||||||||||||||||||
0.92 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 09/30/20 | (a) | 11/15/45 | USD | 1,755 | 84 | (806 | ) | 890 | ||||||||||||||||||||
3.02 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 12/08/38 | (a) | 12/08/48 | USD | 400 | (67,363 | ) | 6 | (67,369 | ) | |||||||||||||||||||
2.38 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 07/05/39 | (a) | 07/05/49 | USD | 620 | (70,823 | ) | 10 | (70,833 | ) | |||||||||||||||||||
1.78% | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 500 | (32,014 | ) | 8 | (32,022 | ) | |||||||||||||||||||
1.71 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 600 | (34,610 | ) | 9 | (34,619 | ) | |||||||||||||||||||
1.67 | Semi-Annual | 6-Month LIBOR, 0.37% | Quarterly | 08/17/39 | (a) | 08/17/49 | USD | 460 | (24,882 | ) | 7 | (24,889 | ) | |||||||||||||||||||
1.25 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | N/A | 03/06/50 | USD | 460 | (42,419 | ) | 11 | (42,430 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.25 | Semi-Annual | 09/08/20 | (a) | 09/08/50 | USD | 441 | 39,470 | 10 | 39,460 | |||||||||||||||||||||
1.09 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 06/20/22 | (a) | 06/20/52 | USD | 700 | (23,156 | ) | 16 | (23,172 | ) | |||||||||||||||||||
1.14 | Semi-Annual | 3-Month LIBOR, 0.30% | Quarterly | 06/20/22 | (a) | 06/20/52 | USD | 700 | (31,869 | ) | 16 | (31,885 | ) | |||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | 1.93 | Semi-Annual | 12/01/26 | (a) | 12/01/56 | USD | 110 | 26,087 | 2 | 26,085 | |||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||
$ | (91,417 | ) | $ | 10,313 | $ | (101,730 | ) | |||||||||||||||||||||||||
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SCHEDULES OF INVESTMENTS | 43 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Centrally Cleared Interest Rate Swaps (continued)
(a) | Forward Swap |
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Altice Finco SA | 5.00 | % | Quarterly | Credit Suisse International | 12/20/24 | EUR | 20 | $ | (1,420 | ) | $ | (2,455 | ) | $ | 1,035 | |||||||||||||||||
Altice Finco SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | EUR | 20 | (1,420 | ) | (2,029 | ) | 609 | |||||||||||||||||||||
SES SA | 1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 10 | 137 | 245 | (108 | ) | ||||||||||||||||||||||
SES SA | 1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 10 | 131 | 257 | (126 | ) | ||||||||||||||||||||||
|
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|
|
| |||||||||||||||||||||||||||
$ | (2,572 | ) | $ | (3,982 | ) | $ | 1,410 | |||||||||||||||||||||||||
|
|
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|
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
Casino Guichard Perrachon SA | 1.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B | EUR | 30 | $ | (5,429 | ) | $ | (3,450 | ) | $ | (1,979 | ) | ||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 10 | (1,941 | ) | (120 | ) | (1,821 | ) | |||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 20 | (3,882 | ) | — | (3,882 | ) | ||||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 10 | (1,941 | ) | 558 | (2,499 | ) | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB | EUR | 6 | (985 | ) | (1,129 | ) | 144 | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB | EUR | 14 | (2,160 | ) | (2,484 | ) | 324 | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | BB | EUR | 10 | (1,572 | ) | (1,471 | ) | (101 | ) | |||||||||||||||||||||||||
Tesco PLC | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/28 | BBB- | EUR | 30 | (1,183 | ) | (2,636 | ) | 1,453 | ||||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Barclays Bank PLC | 10/17/57 | CCC- | USD | 5,000 | (1,136,028 | ) | (499,645 | ) | (636,383 | ) | |||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Credit Suisse International | 10/17/57 | CCC- | USD | 2,500 | (568,014 | ) | (247,129 | ) | (320,885 | ) | |||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 10/17/57 | CCC | USD | 5,550 | (1,260,991 | ) | (728,161 | ) | (532,830 | ) | |||||||||||||||||||||||||
CDX.NA.HY.34.V6 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | CCC- | USD | 8,614 | (1,670,246 | ) | (2,323,316 | ) | 653,070 | ||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | CCC- | USD | 9,450 | (1,832,414 | ) | (1,147,468 | ) | (684,946 | ) | |||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | CCC | USD | 5,000 | (969,531 | ) | (535,164 | ) | (434,367 | ) | |||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | CCC- | USD | 5,000 | (969,531 | ) | (535,164 | ) | (434,367 | ) | |||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | CCC- | USD | 5,000 | (969,531 | ) | (529,318 | ) | (440,213 | ) | |||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | CCC | USD | 5,000 | (969,531 | ) | (535,113 | ) | (434,418 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total | $ | (10,364,910 | ) | $ | (7,091,210 | ) | $ | (3,273,700 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | 130,351 | $ | (193,332 | ) | $ | 3,316,809 | $ | (3,540,028 | ) | $ | — | ||||||||
OTC Swaps | 1,060 | (7,096,252 | ) | 656,635 | (3,928,925 | ) | — | |||||||||||||
Options Written | N/A | N/A | 4,245,239 | (4,532,164 | ) | (8,837,148 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
44 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 704,752 | $ | — | $ | 704,752 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 60,984 | — | — | 60,984 | |||||||||||||||||||||
Options purchased(b) | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(c) | — | — | — | — | 6,894,004 | — | 6,894,004 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | — | — | — | 3,316,809 | — | 3,316,809 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 657,695 | — | — | — | — | 657,695 | |||||||||||||||||||||
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|
|
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|
|
|
|
|
|
|
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|
| |||||||||||||||
$ | — | $ | 657,695 | $ | — | $ | 60,984 | $ | 10,915,565 | $ | — | $ | 11,634,244 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 424,000 | $ | — | $ | 424,000 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 196,435 | — | — | 196,435 | |||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written at value | — | — | — | — | 8,837,148 | — | 8,837,148 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | 121,489 | — | — | 3,418,539 | — | 3,540,028 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 11,025,177 | — | — | — | — | 11,025,177 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 11,146,666 | $ | — | $ | 196,435 | $ | 12,679,687 | $ | — | $ | 24,022,788 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
(c) | Includes forward settling swaptions. |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations were as follows:
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (663 | ) | $ | — | $ | 14,721,594 | $ | — | $ | 14,720,931 | |||||||||||||
Forward foreign currency exchange contracts | — | — | — | 478,481 | — | — | 478,481 | |||||||||||||||||||||
Options purchased(a) | — | — | — | — | (383,915 | ) | — | (383,915 | ) | |||||||||||||||||||
Options written | — | — | — | — | 1,374,897 | — | 1,374,897 | |||||||||||||||||||||
Swaps | — | 521,753 | — | — | (3,015,889 | ) | — | (2,494,136 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 521,753 | $ | (663 | ) | $ | 478,481 | $ | 12,696,687 | $ | — | $ | 13,696,258 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments. |
SCHEDULES OF INVESTMENTS | 45 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Derivative Financial Instruments Categorized by Risk Exposure (continued)
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 36 | $ | — | $ | 1,471,274 | $ | — | $ | 1,471,310 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 30,441 | — | — | 30,441 | |||||||||||||||||||||
Options purchased(a) | — | — | — | — | 2,863,847 | — | 2,863,847 | |||||||||||||||||||||
Options written | — | — | — | — | (2,756,973 | ) | — | (2,756,973 | ) | |||||||||||||||||||
Swaps | — | (6,752,895 | ) | — | — | (786,918 | ) | — | $ | (7,539,813 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (6,752,895 | ) | $ | 36 | $ | 30,441 | $ | 791,230 | $ | — | $ | (5,931,188 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 251,216,361 | ||
Average notional value of contracts — short | $ | 292,804,837 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 54,567,887 | ||
Average amounts sold — in USD | $ | 41,339,173 | ||
Options: | ||||
Average value of option contracts purchased | $ | 607,981 | ||
Average value of option contracts written | $ | 512,402 | ||
Average notional value of swaption contracts purchased | $ | 290,930,074 | ||
Average notional value of swaption contracts written | $ | 1,390,359,491 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 9,823,263 | ||
Average notional value — sell protection | $ | 47,134,700 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 215,158,687 | ||
Average notional value — receives fixed rate | $ | 367,817,301 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Futures contracts | $ | 41,375 | $ | 159,742 | ||||
Forward foreign currency exchange contracts | 60,984 | 196,435 | ||||||
Options | 6,894,004 | (a) | 8,837,148 | |||||
Swaps — Centrally cleared | 88,122 | — | ||||||
Swaps — OTC(b) | 657,695 | 11,025,177 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 7,742,180 | $ | 20,218,502 | ||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (379,606 | ) | (449,491 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 7,362,574 | $ | 19,769,011 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value—unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities. |
46 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Derivative Financial Instruments — Offsetting as of Period End (continued)
The following table presents the Fund’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Australia and New Zealand Bank Group | $ | 335 | $ | (335 | ) | $ | — | $ | — | $ | — | |||||||||
Bank of America N.A. | 950,939 | (950,939 | ) | — | — | — | ||||||||||||||
Barclays Bank PLC | 2,606,792 | (2,606,792 | ) | — | — | — | ||||||||||||||
BNP Paribas S.A. | 450 | (450 | ) | — | — | — | ||||||||||||||
Citibank N.A. | 300,124 | (300,124 | ) | — | — | — | ||||||||||||||
Citigroup Global Markets, Inc. | 289,195 | — | — | — | 289,195 | |||||||||||||||
Credit Suisse International | 2,883 | (2,883 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 719,921 | (698,016 | ) | — | — | 21,905 | ||||||||||||||
Goldman Sachs Bank USA | 135,215 | (135,215 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 920,778 | (649,637 | ) | — | — | 271,141 | ||||||||||||||
Morgan Stanley & Co. International PLC | 990,901 | (990,901 | ) | — | — | — | ||||||||||||||
Nomura International PLC | 268,826 | (22,088 | ) | — | — | 246,738 | ||||||||||||||
Standard Chartered Bank | 38,377 | (38,377 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. | 6,621 | (6,621 | ) | — | — | — | ||||||||||||||
UBS AG | 131,217 | (61,734 | ) | — | — | 69,483 | ||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
$ | 7,362,574 | $ | (6,464,112 | ) | $ | — | $ | — | $ | 898,462 | ||||||||||
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|
|
|
|
|
|
|
|
|
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged (c) | Net Amount of Derivative Liabilities (d) | |||||||||||||||
Australia and New Zealand Bank Group | $ | 336 | $ | (335 | ) | $ | — | $ | — | $ | 1 | |||||||||
Bank of America N.A. | 1,690,976 | (950,939 | ) | — | — | 740,037 | ||||||||||||||
Barclays Bank PLC | 4,496,669 | (2,606,792 | ) | — | — | 1,889,877 | ||||||||||||||
BNP Paribas S.A. | 128,018 | (450 | ) | — | — | 127,568 | ||||||||||||||
Citibank N.A. | 580,499 | (300,124 | ) | — | — | 280,375 | ||||||||||||||
Credit Suisse International | 4,459,179 | (2,883 | ) | — | (100,000 | ) | 4,356,296 | |||||||||||||
Deutsche Bank AG | 698,016 | (698,016 | ) | — | — | — | ||||||||||||||
Goldman Sachs Bank USA | 461,114 | (135,215 | ) | — | — | 325,899 | ||||||||||||||
JPMorgan Chase Bank N.A. | 649,637 | (649,637 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 6,434,786 | (990,901 | ) | — | — | 5,443,885 | ||||||||||||||
Nomura International PLC | 22,088 | (22,088 | ) | — | — | — | ||||||||||||||
Standard Chartered Bank | 73,410 | (38,377 | ) | — | — | 35,033 | ||||||||||||||
State Street Bank and Trust Co. | 7,582 | (6,621 | ) | — | — | 961 | ||||||||||||||
UBS AG | 61,734 | (61,734 | ) | — | — | — | ||||||||||||||
Westpac Banking Corp. | 4,967 | — | — | — | 4,967 | |||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
$ | 19,769,011 | $ | (6,464,112 | ) | $ | — | $ | (100,000 | ) | $ | 13,204,899 | |||||||||
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|
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|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
SCHEDULES OF INVESTMENTS | 47 |
Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Core Bond Trust (BHK) |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks | $ | — | $ | — | $ | 21,047 | $ | 21,047 | ||||||||
Asset-Backed Securities | — | 63,340,691 | 551,287 | 63,891,978 | ||||||||||||
Corporate Bonds | — | 520,775,665 | 8,392,875 | 529,168,540 | ||||||||||||
Floating Rate Loan Interests | — | 15,963,767 | 665,272 | 16,629,039 | ||||||||||||
Foreign Agency Obligations | — | 22,154,641 | — | 22,154,641 | ||||||||||||
Municipal Bonds | — | 27,343,532 | — | 27,343,532 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 40,188,266 | — | 40,188,266 | ||||||||||||
Preferred Securities | 6,691,185 | 73,766,351 | — | 80,457,536 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 278,487,676 | — | 278,487,676 | ||||||||||||
U.S. Treasury Obligations | — | 209,881,332 | — | 209,881,332 | ||||||||||||
Warrants | — | 29,026 | — | 29,026 | ||||||||||||
Options Purchased | 250,109 | 6,643,895 | — | 6,894,004 | ||||||||||||
Short-Term Securities: | ||||||||||||||||
Money Market Funds | 39,727,383 | — | — | 39,727,383 | ||||||||||||
U.S. Treasury Obligations | — | 2,898,386 | — | 2,898,386 | ||||||||||||
Liabilities: | ||||||||||||||||
Investments: | ||||||||||||||||
TBA Sale Commitments | — | (62,315,625 | ) | — | (62,315,625 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 46,668,677 | $ | 1,199,157,603 | $ | 9,630,481 | $ | 1,255,456,761 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments (a) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 656,635 | $ | — | $ | 656,635 | ||||||||
Forward foreign currency contracts | — | 60,984 | — | 60,984 | ||||||||||||
Interest rate contracts | 704,752 | 3,316,809 | — | 4,021,561 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (4,050,414 | ) | — | (4,050,414 | ) | ||||||||||
Forward foreign currency contracts | — | (196,435 | ) | — | (196,435 | ) | ||||||||||
Interest rate contracts | (713,750 | ) | (11,965,937 | ) | — | (12,679,687 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (8,998 | ) | $ | (12,178,358 | ) | $ | — | $ | (12,187,356 | ) | ||||||
|
|
|
|
|
|
|
|
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
(a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $274,674,153 are categorized within as Level 2 the disclosure hierarchy.
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Grand Total | ||||||||||||||||
Assets: | ||||||||||||||||||||
Opening balance, as of December 31, 2019 | $ | 1,640,060 | $ | — | $ | 8,618,085 | $ | 845,594 | $ | 11,103,739 | ||||||||||
Transfers into Level 3 | — | — | — | 528,698 | 528,698 | |||||||||||||||
Transfers out of Level 3 | (1,500,000 | ) | — | — | (258,280 | ) | (1,758,280 | ) | ||||||||||||
Accrued discounts/premiums | (63,791 | ) | — | — | 585 | (63,206 | ) | |||||||||||||
Net realized gain (loss) | — | — | — | (28,313 | ) | (28,313 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) | (19,982 | ) | 13,822 | (174,978 | ) | (6,596 | ) | (187,734 | ) | |||||||||||
Purchases | 495,000 | 7,225 | — | 446,982 | 949,207 | |||||||||||||||
Sales | — | — | (50,232 | ) | (863,398 | ) | (913,630 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Closing balance, as of June 30, 2020 | $ | 551,287 | $ | 21,047 | $ | 8,392,875 | $ | 665,272 | $ | 9,630,481 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 (b) | $ | (19,982) | $ | 13,823 | $ | (174,978) | $ | (23,058) | $ | (204,195) | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end. |
See notes to financial statements.
48 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Common Stocks — 1.7% |
| |||||||||||
Building Products — 0.0% | ||||||||||||
AZEK Co., Inc.(a) | 1,120 | $ | 35,683 | |||||||||
|
| |||||||||||
Chemicals — 0.4% | ||||||||||||
Element Solutions, Inc.(a) | 451,451 | 4,898,243 | ||||||||||
|
| |||||||||||
Consumer Finance — 0.0% | ||||||||||||
Ally Financial, Inc. | 1 | 20 | ||||||||||
|
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Arrow Global Group PLC | 13,716 | 15,109 | ||||||||||
Kcad Holdings I Ltd.(a)(b) | 2,223,465,984 | 22,235 | ||||||||||
|
| |||||||||||
37,344 | ||||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Telecom Italia SpA | 145,490 | 56,625 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
McDermott International, Inc.(a) | 45,119 | 3,249 | ||||||||||
Osum Oil Sands Corp.(a)(b)(c) | 400,000 | 441,956 | ||||||||||
Pioneer Energy Services Corp.(a)(b) | 5,062 | 196,573 | ||||||||||
|
| |||||||||||
641,778 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% | ||||||||||||
Gaming and Leisure Properties, Inc. | 91,932 | 3,180,847 | ||||||||||
VICI Properties, Inc. | 217,410 | 4,389,508 | ||||||||||
|
| |||||||||||
7,570,355 | ||||||||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||||||
Churchill Downs, Inc. | 3,030 | 403,445 | ||||||||||
Hilton Worldwide Holdings, Inc. | 11,789 | 865,902 | ||||||||||
Six Flags Entertainment Corp. | 45,272 | 869,675 | ||||||||||
|
| |||||||||||
2,139,022 | ||||||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||||
PPD, Inc.(a) | 7,497 | 200,919 | ||||||||||
|
| |||||||||||
Media — 0.1% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.(a) | 527,174 | 548,261 | ||||||||||
Emmis Communications Corp., Class A(a) | 7,210 | 11,896 | ||||||||||
Live Nation Entertainment, Inc.(a) | 19,787 | 877,158 | ||||||||||
Mediaco Holding, Inc., Class A(a) | 912 | 4,752 | ||||||||||
|
| |||||||||||
1,442,067 | ||||||||||||
Metals & Mining — 0.2% | ||||||||||||
Constellium SE(a) | 285,624 | 2,193,592 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 0.2% | ||||||||||||
Bausch Health Cos., Inc.(a) | 135,652 | 2,481,075 | ||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
SunPower Corp.(a) | 1,025 | 7,851 | ||||||||||
|
| |||||||||||
Total Common Stocks — 1.7% |
| 21,704,574 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Asset-Backed Securities — 0.2% | ||||||||||||
ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 2.98%, 10/15/28(d)(e) | USD | 500 | 495,513 | |||||||||
Anchorage Capital CLO Ltd., Series 2X, Class E, (3 mo. Euribor + 5.66%), 5.66%, 05/15/31(e) | EUR | 203 | 217,690 | |||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3 mo. LIBOR US + 1.80%), 2.19%, 05/15/30(d)(e) | USD | 500 | 467,854 | |||||||||
Cairn CLO IV BV, Series 2014-4X, Class ERR, (3 mo. Euribor + 5.88%), 5.88%, 04/30/31(e) | EUR | 1,000 | 1,070,980 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
CIFC Funding Ltd., Series 2014-4RA, Class B, (3 mo. LIBOR US + 2.20%), 3.33%, 10/17/30(d)(e) | USD | 250 | $ | 247,719 | ||||||||
Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, (3 mo. LIBOR US + 1.95%), 2.23%, 07/15/31(d)(e) | 250 | 237,465 | ||||||||||
Greene King Finance PLC: | ||||||||||||
Series B1, (3 mo. LIBOR GBP + 1.80%), 1.99%, 12/15/34(f) | GBP | 100 | 104,508 | |||||||||
Series B2, (3 mo. LIBOR GBP + 2.08%), 2.27%, 03/15/36(e) | 100 | 92,932 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 0.2% |
| 2,934,661 | ||||||||||
|
| |||||||||||
Corporate Bonds — 124.7% |
| |||||||||||
Aerospace & Defense — 6.3% |
| |||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(d) | USD | 890 | 917,812 | |||||||||
Boeing Co.: | ||||||||||||
5.15%, 05/01/30 | 4,000 | 4,460,120 | ||||||||||
5.81%, 05/01/50 | 6,000 | 7,085,914 | ||||||||||
5.93%, 05/01/60 | 5,000 | 5,929,458 | ||||||||||
Bombardier, Inc.(d): | ||||||||||||
8.75%, 12/01/21 | 4,812 | 3,909,750 | ||||||||||
5.75%, 03/15/22 | 404 | 298,172 | ||||||||||
6.13%, 01/15/23 | 1,200 | 825,360 | ||||||||||
7.50%, 12/01/24 | 857 | 561,335 | ||||||||||
7.50%, 03/15/25 | 449 | 293,017 | ||||||||||
7.88%, 04/15/27 | 6,651 | 4,356,405 | ||||||||||
CenturyLink, Inc., 4.00%, 02/15/27(d) | 2,896 | 2,812,740 | ||||||||||
General Electric Co.: | ||||||||||||
3.63%, 05/01/30 | 490 | 490,554 | ||||||||||
4.25%, 05/01/40 | 805 | 801,038 | ||||||||||
4.35%, 05/01/50 | 640 | 632,963 | ||||||||||
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(d)(g) | 1,639 | 1,163,690 | ||||||||||
Howmet Aerospace, Inc.: | ||||||||||||
5.13%, 10/01/24 | 1,123 | 1,163,271 | ||||||||||
5.87%, 02/23/22 | 1,363 | 1,431,150 | ||||||||||
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30(d) | 2,190 | 2,440,285 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(d) | 1,810 | 1,877,875 | ||||||||||
Signature Aviation US Holdings, Inc.(d): | ||||||||||||
5.38%, 05/01/26 | 1,467 | 1,468,027 | ||||||||||
4.00%, 03/01/28 | 1,391 | 1,257,116 | ||||||||||
Sotheby’s, 7.38%, 10/15/27(d) | 2,000 | 1,890,000 | ||||||||||
SSL Robotics LLC, 9.75%, 12/31/23(d) | 851 | 910,570 | ||||||||||
TransDigm, Inc.(d): | ||||||||||||
8.00%, 12/15/25 | 3,833 | 4,028,445 | ||||||||||
6.25%, 03/15/26 | 31,017 | 30,940,078 | ||||||||||
Wolverine Escrow LLC(d): | ||||||||||||
8.50%, 11/15/24 | 312 | 237,120 | ||||||||||
9.00%, 11/15/26 | 636 | 457,920 | ||||||||||
|
| |||||||||||
82,640,185 | ||||||||||||
Air Freight & Logistics — 0.0% | ||||||||||||
XPO Logistics, Inc., 6.25%, 05/01/25(d) | 565 | 591,837 | ||||||||||
|
| |||||||||||
Airlines — 0.6% | ||||||||||||
American Airlines, Inc., 11.75%, 07/15/25(d) | 855 | 809,847 | ||||||||||
Delta Air Lines, Inc., 7.00%, 05/01/25(d) | 1,917 | 1,978,858 | ||||||||||
International Consolidated Airlines Group SA, 0.50%, 07/04/23 | EUR | 100 | 89,158 |
SCHEDULES OF INVESTMENTS | 49 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Airlines (continued) | ||||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(d)(h) | USD | 4,464 | $ | 4,475,160 | ||||||||
Ryanair DAC, 1.13%, 08/15/23 | EUR | 200 | 208,576 | |||||||||
|
| |||||||||||
7,561,599 | ||||||||||||
Auto Components — 2.4% | ||||||||||||
Adient US LLC, 9.00%, 04/15/25(d) | USD | 1,088 | 1,171,994 | |||||||||
Allison Transmission, Inc.(d): | ||||||||||||
5.00%, 10/01/24 | 1,327 | 1,323,683 | ||||||||||
5.88%, 06/01/29 | 2,297 | 2,388,880 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(d) | 1,321 | 1,373,840 | ||||||||||
Clarios Global LP/Clarios US Finance Co.: | ||||||||||||
4.38%, 05/15/26 | EUR | 401 | 443,978 | |||||||||
8.50%, 05/15/27(d) | USD | 7,345 | 7,381,358 | |||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(d) | 1,626 | 1,506,082 | ||||||||||
FCE Bank PLC, 1.62%, 05/11/23 | EUR | 100 | 105,479 | |||||||||
Goodyear Tire & Rubber Co., 9.50%, 05/31/25 | USD | 1,085 | 1,160,950 | |||||||||
Harley-Davidson Financial Services, Inc., 3.35%, 06/08/25(d) | 130 | 132,942 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||||||||||
6.25%, 02/01/22 | 452 | 453,130 | ||||||||||
6.75%, 02/01/24 | 40 | 40,300 | ||||||||||
4.75%, 09/15/24 | 591 | 555,658 | ||||||||||
6.38%, 12/15/25 | 532 | 526,680 | ||||||||||
6.25%, 05/15/26 | 3,129 | 3,131,190 | ||||||||||
5.25%, 05/15/27 | 848 | 818,320 | ||||||||||
IHO Verwaltungs GmbH(g): | ||||||||||||
(4.63% PIK), 3.88%, 05/15/27 | EUR | 252 | 277,459 | |||||||||
(6.00% Cash or 6.75% PIK), | USD | 200 | 203,250 | |||||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc., 6.25%, 05/15/26(d) | 6,258 | 6,453,562 | ||||||||||
RCI Banque SA, (5 year EUR Swap + 2.85%), 2.63%, 02/18/30(f) | EUR | 100 | 102,314 | |||||||||
Tesla, Inc., 5.30%, 08/15/25(d) | USD | 2,074 | 2,074,000 | |||||||||
ZF Europe Finance BV, 2.00%, 02/23/26 | EUR | 100 | 103,811 | |||||||||
|
| |||||||||||
31,728,860 | ||||||||||||
Automobiles — 0.9% | ||||||||||||
Fiat Chrysler Automobiles NV, 4.50%, 07/07/28 | 200 | 223,576 | ||||||||||
Ford Motor Co.: | ||||||||||||
8.50%, 04/21/23 | USD | 1,362 | 1,440,315 | |||||||||
4.35%, 12/08/26 | 240 | 223,872 | ||||||||||
4.75%, 01/15/43 | 426 | 335,603 | ||||||||||
5.29%, 12/08/46 | 532 | 437,458 | ||||||||||
General Motors Co.: | ||||||||||||
6.13%, 10/01/25 | 537 | 603,419 | ||||||||||
6.80%, 10/01/27 | 2,691 | 3,135,715 | ||||||||||
5.00%, 10/01/28 | 254 | 270,187 | ||||||||||
5.00%, 04/01/35 | 655 | 654,261 | ||||||||||
6.25%, 10/02/43 | 710 | 754,498 | ||||||||||
5.20%, 04/01/45 | 808 | 782,612 | ||||||||||
5.95%, 04/01/49 | 1,690 | 1,776,624 | ||||||||||
Rolls-Royce PLC, 0.88%, 05/09/24 | EUR | 100 | 101,505 | |||||||||
Winnebago Industries, Inc., | USD | 502 | 502,000 | |||||||||
|
| |||||||||||
11,241,645 | ||||||||||||
Banks — 0.8% | ||||||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 | EUR | 225 | 247,322 | |||||||||
Banco BPM SpA, 2.50%, 06/21/24 | 200 | 228,590 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(f) | EUR | 200 | $ | 187,707 | ||||||||
Banco Espirito Santo SA(a)(i)(j): | ||||||||||||
4.75%, 01/15/18 | 1,900 | 341,544 | ||||||||||
4.00%, 01/21/19 | 1,100 | 197,736 | ||||||||||
Barclays PLC: | ||||||||||||
4.38%, 09/11/24 | USD | 3,020 | 3,223,739 | |||||||||
5.20%, 05/12/26 | 800 | 889,920 | ||||||||||
CIT Group, Inc.: | ||||||||||||
5.00%, 08/15/22 | 278 | 283,907 | ||||||||||
5.00%, 08/01/23 | 404 | 412,040 | ||||||||||
6.00%, 04/01/36 | 3,261 | 3,065,340 | ||||||||||
Commerzbank AG(f): | ||||||||||||
(5 year EUR Swap + 6.36%), 6.13%(k) | EUR | 200 | 213,875 | |||||||||
(5 year EUR Swap + 4.35%), | 100 | 112,776 | ||||||||||
Deutsche Pfandbriefbank AG, 4.60%, 02/22/27 | 100 | 108,452 | ||||||||||
Intesa Sanpaolo SpA, | GBP | 125 | 161,167 | |||||||||
Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(f) | EUR | 200 | 242,276 | |||||||||
|
| |||||||||||
9,916,391 | ||||||||||||
Beverages — 0.0% | ||||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | USD | 155 | 181,350 | |||||||||
OI European Group BV, 3.13%, 11/15/24 | EUR | 100 | 110,494 | |||||||||
Sunshine Mid BV, 6.50%, 05/15/26 | 100 | 110,946 | ||||||||||
|
| |||||||||||
402,790 | ||||||||||||
Building Materials — 0.1% | ||||||||||||
Cemex SAB de CV, 3.13%, 03/19/26 | 150 | 152,989 | ||||||||||
James Hardie International Finance DAC, 5.00%, 01/15/28(d) | USD | 458 | 467,160 | |||||||||
James Hardie International Finance Ltd., 4.75%, 01/15/25(d) | 406 | 413,105 | ||||||||||
|
| |||||||||||
1,033,254 | ||||||||||||
Building Products — 0.8% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(d) | 1,464 | 1,474,980 | ||||||||||
Builders FirstSource, Inc., 6.75%, 06/01/27(d) | 682 | 698,198 | ||||||||||
Griffon Corp., 5.75%, 03/01/28(d) | 456 | 450,300 | ||||||||||
HT Troplast GmbH, 9.25%, 07/15/25(h) | EUR | 128 | 146,980 | |||||||||
Jeld-Wen, Inc.(d): | ||||||||||||
6.25%, 05/15/25 | USD | 852 | 883,950 | |||||||||
4.63%, 12/15/25 | 207 | 198,720 | ||||||||||
4.88%, 12/15/27 | 18 | 17,280 | ||||||||||
Masonite International Corp.(d): | ||||||||||||
5.75%, 09/15/26 | 701 | 722,030 | ||||||||||
5.38%, 02/01/28 | 342 | 349,695 | ||||||||||
Standard Industries, Inc.: | ||||||||||||
6.00%, 10/15/25(d) | 1,771 | 1,822,837 | ||||||||||
2.25%, 11/21/26 | EUR | 234 | 246,944 | |||||||||
5.00%, 02/15/27(d) | USD | 715 | 723,938 | |||||||||
4.38%, 07/15/30(d) | 2,539 | 2,532,652 | ||||||||||
|
| |||||||||||
10,268,504 | ||||||||||||
Capital Markets — 1.0% | ||||||||||||
Brookfield Finance, Inc., 4.35%, 04/15/30 | 750 | 850,505 | ||||||||||
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(f)(k) | 3,780 | 3,591,000 | ||||||||||
Intertrust Group BV, 3.38%, 11/15/25 | EUR | 200 | 223,235 | |||||||||
LABL Escrow Issuer LLC, 6.75%, 07/15/26(d) | USD | 2,208 | 2,297,005 | |||||||||
LPL Holdings, Inc., 5.75%, 09/15/25(d) | 323 | 327,038 | ||||||||||
NFP Corp., 7.00%, 05/15/25(d) | 531 | 557,550 |
50 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Capital Markets (continued) | ||||||||||||
Owl Rock Capital Corp.: | ||||||||||||
5.25%, 04/15/24 | USD | 658 | $ | 687,724 | ||||||||
4.00%, 03/30/25 | 715 | 706,164 | ||||||||||
3.75%, 07/22/25 | 2,908 | 2,838,382 | ||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(d) | 813 | 849,585 | ||||||||||
|
| |||||||||||
12,928,188 | ||||||||||||
Chemicals — 3.4% | ||||||||||||
Ashland Services BV, 2.00%, 01/30/28 | EUR | 251 | 261,554 | |||||||||
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(d)(g) | USD | 2,283 | 2,277,292 | |||||||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d) | 9,225 | 9,132,750 | ||||||||||
Axalta Coating Systems LLC, 4.88%, 08/15/24(d) | 651 | 659,138 | ||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(d) | 1,110 | 1,115,772 | ||||||||||
Blue Cube Spinco LLC: | ||||||||||||
9.75%, 10/15/23 | 1,876 | 1,932,280 | ||||||||||
10.00%, 10/15/25 | 1,225 | 1,277,062 | ||||||||||
Chemours Co., 6.63%, 05/15/23 | 2,247 | 2,157,120 | ||||||||||
Element Solutions, Inc., 5.88%, 12/01/25(d) | 6,016 | 6,074,280 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(d) | 791 | 789,023 | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(d) | 1,083 | 1,129,027 | ||||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(d) | 878 | 891,170 | ||||||||||
Monitchem HoldCo 2 SA, 9.50%, 09/15/26 | EUR | 100 | 111,929 | |||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 | 222 | 252,223 | ||||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(d) | USD | 456 | 425,220 | |||||||||
OCI NV: | ||||||||||||
3.13%, 11/01/24 | EUR | 100 | 109,541 | |||||||||
5.25%, 11/01/24(d) | USD | 1,218 | 1,169,280 | |||||||||
PQ Corp., 5.75%, 12/15/25(d) | 3,618 | 3,645,135 | ||||||||||
Synthomer PLC, 3.88%, 07/01/25 | EUR | 100 | 113,681 | |||||||||
Valvoline, Inc.(d): | ||||||||||||
4.38%, 08/15/25 | USD | 680 | 683,400 | |||||||||
4.25%, 02/15/30 | 1,104 | 1,087,440 | ||||||||||
WESCO Distribution, Inc.(d): | ||||||||||||
7.13%, 06/15/25 | 3,608 | 3,799,693 | ||||||||||
7.25%, 06/15/28 | 3,271 | 3,459,082 | ||||||||||
WR Grace & Co-Conn(d): | ||||||||||||
5.63%, 10/01/24 | 559 | 588,348 | ||||||||||
4.88%, 06/15/27 | 1,473 | 1,492,193 | ||||||||||
|
| |||||||||||
44,633,633 | ||||||||||||
Commercial Services & Supplies — 2.7% | ||||||||||||
ADT Security Corp.: | ||||||||||||
4.13%, 06/15/23 | 293 | 293,733 | ||||||||||
4.88%, 07/15/32(d) | 1,341 | 1,220,310 | ||||||||||
Advanced Disposal Services, Inc., 5.63%, 11/15/24(d) | 1,104 | 1,145,400 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(d) | 2,915 | 3,071,681 | ||||||||||
Ashtead Capital, Inc.(d): | ||||||||||||
4.00%, 05/01/28 | 1,245 | 1,238,775 | ||||||||||
4.25%, 11/01/29 | 459 | 459,000 | ||||||||||
Booz Allen Hamilton, Inc., 5.13%, 05/01/25(d) | 1,292 | 1,311,380 | ||||||||||
Clean Harbors, Inc.(d): | ||||||||||||
4.88%, 07/15/27 | 1,102 | 1,132,305 | ||||||||||
5.13%, 07/15/29 | 1,069 | 1,108,724 | ||||||||||
Diocle SpA, (3 mo. Euribor + 3.88%), 3.88%, 06/30/26(e) | EUR | 104 | 115,686 | |||||||||
Garda World Security Corp.(d): | ||||||||||||
4.63%, 02/15/27 | USD | 1,666 | 1,641,010 | |||||||||
9.50%, 11/01/27 | 1,004 | 1,061,730 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
GFL Environmental, Inc.(d): | ||||||||||||
7.00%, 06/01/26 | USD | 4,001 | $ | 4,141,035 | ||||||||
4.25%, 06/01/25 | 487 | 491,261 | ||||||||||
5.13%, 12/15/26 | 2,435 | 2,520,225 | ||||||||||
8.50%, 05/01/27 | 1,340 | 1,457,250 | ||||||||||
KAR Auction Services, Inc., 5.13%, 06/01/25(d) | 1,866 | 1,838,010 | ||||||||||
Mobile Mini, Inc., 5.88%, 07/01/24 | 3,503 | 3,605,638 | ||||||||||
Summer BC Holdco A Sarl, 9.25%, 10/31/27 | EUR | 180 | 173,109 | |||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 | 500 | 532,539 | ||||||||||
United Rentals North America, Inc.: | ||||||||||||
4.63%, 10/15/25 | USD | 2,387 | 2,398,935 | |||||||||
5.88%, 09/15/26 | 341 | 357,368 | ||||||||||
5.50%, 05/15/27 | 583 | 600,490 | ||||||||||
3.88%, 11/15/27 | 771 | 769,072 | ||||||||||
5.25%, 01/15/30 | 496 | 512,120 | ||||||||||
4.00%, 07/15/30 | 507 | 490,386 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(d) | 2,373 | 2,265,005 | ||||||||||
|
| |||||||||||
35,952,177 | ||||||||||||
Communications Equipment — 1.1% | ||||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25(d) | 2,109 | 2,036,661 | ||||||||||
CommScope, Inc.(d): | ||||||||||||
5.50%, 03/01/24 | 3,375 | 3,408,750 | ||||||||||
5.50%, 06/15/24 | 466 | 474,542 | ||||||||||
6.00%, 03/01/26 | 1,458 | 1,494,450 | ||||||||||
NetApp, Inc., 2.70%, 06/22/30 | 1,000 | 999,771 | ||||||||||
Nokia OYJ: | ||||||||||||
3.38%, 06/12/22 | 714 | 728,252 | ||||||||||
4.38%, 06/12/27 | 439 | 463,856 | ||||||||||
ViaSat, Inc.(d): | ||||||||||||
5.63%, 04/15/27 | 3,467 | 3,549,341 | ||||||||||
6.50%, 07/15/28 | 1,646 | 1,646,346 | ||||||||||
|
| |||||||||||
14,801,969 | ||||||||||||
Construction & Engineering — 0.5% | ||||||||||||
Brand Industrial Services, Inc., | 3,085 | 2,776,500 | ||||||||||
frontdoor, Inc., 6.75%, 08/15/26(d) | 1,382 | 1,468,375 | ||||||||||
SPIE SA, 2.63%, 06/18/26 | EUR | 100 | 108,721 | |||||||||
SRS Distribution, Inc., 8.25%, 07/01/26(d) | USD | 2,201 | 2,234,015 | |||||||||
|
| |||||||||||
6,587,611 | ||||||||||||
Construction Materials — 1.8% | ||||||||||||
American Builders & Contractors Supply Co., Inc.(d): | ||||||||||||
5.88%, 05/15/26 | 1,270 | 1,257,300 | ||||||||||
4.00%, 01/15/28 | 357 | 346,922 | ||||||||||
Core & Main LP, 6.13%, 08/15/25(d) | 7,720 | 7,694,138 | ||||||||||
HD Supply, Inc., 5.38%, 10/15/26(d) | 6,723 | 6,865,864 | ||||||||||
Navistar International Corp., 6.63%, 11/01/25(d) | 2,739 | 2,595,202 | ||||||||||
New Enterprise Stone & Lime Co., Inc.(d): | ||||||||||||
10.13%, 04/01/22 | 1,002 | 996,990 | ||||||||||
6.25%, 03/15/26 | 480 | 482,400 | ||||||||||
Williams Scotsman International, Inc.(d): | ||||||||||||
7.88%, 12/15/22 | 694 | 721,330 | ||||||||||
6.88%, 08/15/23 | 2,344 | 2,406,022 | ||||||||||
|
| |||||||||||
23,366,168 | ||||||||||||
Consumer Discretionary — 0.6% | ||||||||||||
Carnival Corp., 11.50%, 04/01/23(d) | 2,695 | 2,924,075 | ||||||||||
Explorer II AS, 3.38%, 02/24/25 | EUR | 100 | 91,565 | |||||||||
Fiat Chrysler Automobile, 3.88%, 01/05/26 | 150 | 168,525 | ||||||||||
Nielsen Co. Luxembourg Sarl, | USD | 500 | 491,250 |
SCHEDULES OF INVESTMENTS | 51 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Consumer Discretionary (continued) | ||||||||||||
Royal Caribbean Cruises Ltd.(d): | ||||||||||||
10.88%, 06/01/23 | USD | 565 | $ | 580,572 | ||||||||
9.13%, 06/15/23 | 884 | 876,259 | ||||||||||
11.50%, 06/01/25 | 1,215 | 1,267,792 | ||||||||||
ServiceMaster Co. LLC, 5.13%, 11/15/24(d) | 951 | 964,076 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 | EUR | 200 | 229,194 | |||||||||
|
| |||||||||||
7,593,308 | ||||||||||||
Consumer Finance — 3.1% | ||||||||||||
Ally Financial, Inc.: | ||||||||||||
5.80%, 05/01/25 | USD | 4,000 | 4,456,631 | |||||||||
8.00%, 11/01/31 | 6,309 | 8,140,658 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.00% PIK), 13.00%, 02/15/25(d)(g) | 1,253 | 1,206,013 | ||||||||||
Iron Mountain UK PLC, 3.88%, 11/15/25 | GBP | 200 | 235,517 | |||||||||
Navient Corp.: | ||||||||||||
6.13%, 03/25/24 | USD | 1,359 | 1,291,050 | |||||||||
5.88%, 10/25/24 | 665 | 624,688 | ||||||||||
5.00%, 03/15/27 | 42 | 35,280 | ||||||||||
OneMain Finance Corp.: | ||||||||||||
6.88%, 03/15/25 | 585 | 600,173 | ||||||||||
7.13%, 03/15/26 | 2,395 | 2,478,801 | ||||||||||
8.88%, 06/01/25 | 433 | 462,899 | ||||||||||
6.63%, 01/15/28 | 720 | 712,800 | ||||||||||
5.38%, 11/15/29 | 113 | 105,655 | ||||||||||
Refinitiv US Holdings, Inc.: | ||||||||||||
4.50%, 05/15/26 | EUR | 595 | 695,839 | |||||||||
4.50%, 05/15/26(d) | 2,465 | 2,882,762 | ||||||||||
6.25%, 05/15/26(d) | USD | 482 | 510,920 | |||||||||
8.25%, 11/15/26(d) | 5,788 | 6,268,230 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(d) | 9,470 | 10,174,095 | ||||||||||
|
| |||||||||||
40,882,011 | ||||||||||||
Containers & Packaging — 2.8% | ||||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(d)(g) | 4,109 | 4,065,490 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | ||||||||||||
5.25%, 04/30/25(d) | 1,304 | 1,336,587 | ||||||||||
2.13%, 08/15/26 | EUR | 100 | 107,968 | |||||||||
4.13%, 08/15/26(d) | USD | 2,960 | 2,912,196 | |||||||||
4.75%, 07/15/27(d) | GBP | 427 | 513,223 | |||||||||
4.75%, 07/15/27 | 212 | 254,809 | ||||||||||
5.25%, 08/15/27(d) | USD | 3,429 | 3,368,581 | |||||||||
Ball Corp.: | ||||||||||||
5.25%, 07/01/25 | 120 | 131,250 | ||||||||||
4.88%, 03/15/26 | 1,126 | 1,224,525 | ||||||||||
Berry Global, Inc., 1.00%, 01/15/25 | EUR | 100 | 106,013 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | USD | 965 | 986,712 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | 2,163 | 2,204,162 | ||||||||||
Crown European Holdings SA, 3.38%, 05/15/25 | EUR | 100 | 116,264 | |||||||||
Graphic Packaging International LLC, 3.50%, 03/15/28(d) | USD | 459 | 455,420 | |||||||||
Intertape Polymer Group, Inc., | 747 | 767,692 | ||||||||||
Mauser Packaging Solutions Holding Co.: | ||||||||||||
4.75%, 04/15/24 | EUR | 123 | 134,048 | |||||||||
5.50%, 04/15/24(d) | USD | 2,321 | 2,279,657 | |||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 07/15/24(d) | 1,581 | 1,585,443 |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
Sealed Air Corp.(d): | ||||||||||||
5.13%, 12/01/24 | USD | 142 | $ | 151,585 | ||||||||
6.88%, 07/15/33 | 700 | 827,750 | ||||||||||
Silgan Holdings, Inc.: | ||||||||||||
3.25%, 03/15/25 | EUR | 300 | 338,708 | |||||||||
4.13%, 02/01/28(d) | USD | 1,188 | 1,177,605 | |||||||||
2.25%, 06/01/28 | EUR | 199 | 214,499 | |||||||||
Trivium Packaging Finance BV: | ||||||||||||
3.75%, 08/15/26 | 320 | 352,844 | ||||||||||
5.50%, 08/15/26(d) | USD | 3,583 | 3,614,351 | |||||||||
8.50%, 08/15/27(d) | 6,881 | 7,354,069 | ||||||||||
|
| |||||||||||
36,581,451 | ||||||||||||
Diversified Consumer Services — 1.1% | ||||||||||||
APX Group, Inc.: | ||||||||||||
7.88%, 12/01/22 | 840 | 835,800 | ||||||||||
8.50%, 11/01/24 | 274 | 267,150 | ||||||||||
6.75%, 02/15/27(d) | 1,620 | 1,528,875 | ||||||||||
Ascend Learning LLC, 6.88%, 08/01/25(d) | 4,706 | 4,733,850 | ||||||||||
Brink’s Co., 5.50%, 07/15/25(d) | 632 | 643,711 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(d) | 1,199 | 1,239,922 | ||||||||||
Laureate Education, Inc., 8.25%, 05/01/25(d) | 591 | 613,162 | ||||||||||
Pinewood Finance Co. Ltd., 3.25%, 09/30/25 | GBP | 206 | 251,426 | |||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(d): | ||||||||||||
5.25%, 04/15/24 | USD | 491 | 502,048 | |||||||||
5.75%, 04/15/26 | 653 | 677,161 | ||||||||||
6.25%, 01/15/28 | 1,187 | 1,118,747 | ||||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(d) | 932 | 936,660 | ||||||||||
Service Corp. International, 5.13%, 06/01/29 | 937 | 1,008,212 | ||||||||||
|
| |||||||||||
14,356,724 | ||||||||||||
Diversified Financial Services — 4.5% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 07/15/25 | 315 | 330,279 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(d) | 9,168 | 9,626,400 | ||||||||||
Altice France Holding SA(d): | ||||||||||||
8.00%, 05/15/27 | EUR | 300 | 355,207 | |||||||||
10.50%, 05/15/27 | USD | 8,178 | 9,008,476 | |||||||||
6.00%, 02/15/28 | 2,094 | 1,977,532 | ||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 | GBP | 225 | 255,614 | |||||||||
BNP Paribas SA, 6.50%(k) | USD | 22 | 22,246 | |||||||||
Cabot Financial Luxembourg II SA(3 mo. Euribor + 6.38%), 6.38%, 06/14/24(e) | EUR | 148 | 162,670 | |||||||||
Cabot Financial Luxembourg SA, | GBP | 100 | 123,903 | |||||||||
Citigroup, Inc., Series V, (Secured Overnight Financing Rate + 3.23%), 4.70%(f)(k) | USD | 3,485 | 3,097,294 | |||||||||
European TopSoho Sarl, Series SMCP, 4.00%, 09/21/21(l) | EUR | 200 | 119,832 | |||||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d) | USD | 2,295 | 1,760,724 | |||||||||
Fairstone Financial, Inc., 7.88%, 07/15/24(d) | 852 | 834,960 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
3.20%, 01/15/21 | 200 | 197,000 | ||||||||||
5.88%, 08/02/21 | 1,636 | 1,651,869 | ||||||||||
3.81%, 10/12/21 | 382 | 378,295 | ||||||||||
5.60%, 01/07/22 | 387 | 389,902 | ||||||||||
2.98%, 08/03/22 | 795 | 761,968 | ||||||||||
3.09%, 01/09/23 | 200 | 190,500 | ||||||||||
4.14%, 02/15/23 | 829 | 811,135 | ||||||||||
3.10%, 05/04/23 | 400 | 379,080 |
52 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
4.38%, 08/06/23 | USD | 410 | $ | 402,776 | ||||||||
3.81%, 01/09/24 | 2,063 | 1,981,099 | ||||||||||
4.06%, 11/01/24 | 200 | 191,006 | ||||||||||
5.13%, 06/16/25 | 2,539 | 2,540,016 | ||||||||||
4.13%, 08/04/25 | 2,166 | 2,054,343 | ||||||||||
2.33%, 11/25/25 | EUR | 300 | 296,402 | |||||||||
4.39%, 01/08/26 | USD | 507 | 482,755 | |||||||||
Garfunkelux Holdco 3 SA, 7.50%, 08/01/22 | EUR | 330 | 349,729 | |||||||||
General Motors Financial Co., Inc., 5.65%, 01/17/29 | USD | 281 | 316,213 | |||||||||
Intercontinental Exchange, Inc., | 682 | 705,477 | ||||||||||
Intrum AB, 3.50%, 07/15/26 | EUR | 201 | 196,974 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(d): | ||||||||||||
5.25%, 03/15/22 | USD | 264 | 250,800 | |||||||||
4.25%, 02/01/27 | 1,504 | 1,203,200 | ||||||||||
Lehman Brothers Holding Escrow, 1.00%, 09/22/18(a)(i) | 430 | 4,515 | ||||||||||
Lehman Brothers Holdings, Inc.(a)(i)(j): | ||||||||||||
5.38%, 10/17/17 | EUR | 350 | 4,522 | |||||||||
4.75%, 01/16/18(b) | 1,890 | 24,419 | ||||||||||
1.00%, 02/05/18 | 3,950 | 51,035 | ||||||||||
1.00%, 12/31/49 | USD | 1,535 | 16,118 | |||||||||
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(g) | EUR | 220 | 246,808 | |||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | USD | 1,023 | 1,046,017 | |||||||||
Novafives SAS, 5.00%, 06/15/25 | EUR | 200 | 153,913 | |||||||||
Pershing Square Holdings Ltd., | USD | 2,100 | 2,218,293 | |||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25(d) | 2,624 | 2,683,040 | ||||||||||
Spectrum Brands, Inc.(d): | ||||||||||||
5.00%, 10/01/29 | 496 | 489,800 | ||||||||||
5.50%, 07/15/30 | 792 | 792,990 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(d) | 3,501 | 3,544,762 | ||||||||||
UniCredit SpA(f): | ||||||||||||
(5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29 | EUR | 200 | 231,688 | |||||||||
(5 year EUR Swap + 2.80%), | 200 | 202,926 | ||||||||||
Verisure Midholding AB, 5.75%, 12/01/23 | 100 | 112,521 | ||||||||||
Vertical Midco GmbH(h): | ||||||||||||
5.00%, 07/14/27 | 173 | 194,365 | ||||||||||
4.75%, 07/15/27(e)(j) | 230 | 257,113 | ||||||||||
8.50%, 07/06/28(d) | 558 | 558,000 | ||||||||||
VZ Vendor Financing BV, 2.50%, 01/31/24 | 318 | 349,071 | ||||||||||
WMG Acquisition Corp.(d): | ||||||||||||
5.50%, 04/15/26 | USD | 918 | 949,855 | |||||||||
3.88%, 07/15/30 | 1,035 | 1,045,402 | ||||||||||
|
| |||||||||||
58,582,849 | ||||||||||||
Diversified Telecommunication Services — 3.1% | ||||||||||||
CenturyLink, Inc.: | ||||||||||||
5.13%, 12/15/26(d) | 5,398 | 5,384,505 | ||||||||||
Series P, 7.60%, 09/15/39 | 1,795 | 1,931,869 | ||||||||||
Series U, 7.65%, 03/15/42 | 2,241 | 2,403,472 | ||||||||||
Series W, 6.75%, 12/01/23 | 1,228 | 1,319,842 | ||||||||||
Series Y, 7.50%, 04/01/24 | 1,556 | 1,709,764 | ||||||||||
Cincinnati Bell, Inc., 7.00%, 07/15/24(d) | 1,358 | 1,385,160 | ||||||||||
Frontier Communications Corp., | 7,398 | 7,502,608 | ||||||||||
GCI LLC, 6.63%, 06/15/24(d) | 869 | 909,374 | ||||||||||
Level 3 Financing, Inc.: | ||||||||||||
5.38%, 08/15/22 | 204 | 204,184 |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
5.25%, 03/15/26 | USD | 1,302 | $ | 1,337,805 | ||||||||
4.63%, 09/15/27(d) | 662 | 666,965 | ||||||||||
4.25%, 07/01/28(d) | 4,302 | 4,297,053 | ||||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28(d) | 485 | 504,400 | ||||||||||
Oi SA, (10% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g) | 270 | 225,113 | ||||||||||
SoftBank Group Corp.: | ||||||||||||
4.00%, 04/20/23 | EUR | 150 | 169,873 | |||||||||
4.75%, 07/30/25 | 515 | 595,702 | ||||||||||
3.13%, 09/19/25 | 300 | 320,143 | ||||||||||
5.00%, 04/15/28 | 500 | 581,411 | ||||||||||
4.00%, 09/19/29 | 100 | 110,103 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
6.38%, 11/15/33 | USD | 1,153 | 1,300,007 | |||||||||
6.00%, 09/30/34 | 2,179 | 2,368,573 | ||||||||||
7.20%, 07/18/36 | 116 | 138,040 | ||||||||||
7.72%, 06/04/38 | 371 | 466,807 | ||||||||||
Telecom Italia Finance SA, 7.75%, 01/24/33 | EUR | 83 | 129,553 | |||||||||
Telecom Italia SpA: | ||||||||||||
4.00%, 04/11/24 | 539 | 632,937 | ||||||||||
5.30%, 05/30/24(d) | USD | 2,204 | 2,300,028 | |||||||||
2.75%, 04/15/25 | EUR | 239 | 268,923 | |||||||||
Telecom Italia SpA/Milano, 3.00%, 09/30/25 | 100 | 114,035 | ||||||||||
Telesat Canada/Telesat LLC, | USD | 1,427 | 1,398,460 | |||||||||
|
| |||||||||||
40,676,709 | ||||||||||||
Electric Utilities — 0.2% | ||||||||||||
NextEra Energy Operating Partners LP, 4.25%, 07/15/24(d) | 1,352 | 1,367,210 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 | 1,898 | 1,908,819 | ||||||||||
|
| |||||||||||
3,276,029 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||||
Belden, Inc., 3.88%, 03/15/28 | EUR | 100 | 108,979 | |||||||||
CDW LLC/CDW Finance Corp.: | ||||||||||||
5.50%, 12/01/24 | USD | 281 | 305,529 | |||||||||
4.13%, 05/01/25 | 1,253 | 1,254,566 | ||||||||||
Itron, Inc., 5.00%, 01/15/26(d) | 231 | 230,134 | ||||||||||
|
| |||||||||||
1,899,208 | ||||||||||||
Energy Equipment & Services — 0.9% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(d): | ||||||||||||
6.88%, 04/01/27 | 932 | 877,944 | ||||||||||
6.25%, 04/01/28 | 157 | 142,870 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 | 1,109 | 1,030,560 | ||||||||||
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(d) | 1,756 | 1,725,270 | ||||||||||
Pattern Energy Group, Inc., 5.88%, 02/01/24(d) | 935 | 939,675 | ||||||||||
Pioneer Energy Services Corp.(d)(g): | ||||||||||||
(11% Cash), 11.00%, 05/15/25 | 2,075 | 1,659,759 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25(l) | 1,415 | 764,731 | ||||||||||
Transocean, Inc.: | ||||||||||||
8.38%, 12/15/21 | 275 | 192,500 | ||||||||||
8.00%, 02/01/27(d) | 1,857 | 1,024,832 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp.: | ||||||||||||
6.88%, 04/01/26 | 1,918 | 1,853,268 | ||||||||||
6.88%, 09/01/27 | 1,418 | 1,361,280 | ||||||||||
|
| |||||||||||
11,572,689 | ||||||||||||
Entertainment — 0.0% | ||||||||||||
Motion Finco Sarl, 7.00%, 05/15/25 | EUR | 150 | 173,370 |
SCHEDULES OF INVESTMENTS | 53 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Entertainment (continued) | ||||||||||||
Netflix, Inc., 3.00%, 06/15/25 | EUR | 134 | $ | 154,877 | ||||||||
|
| |||||||||||
328,247 | ||||||||||||
Environmental, Maintenance, & Security Service — 0.2% | ||||||||||||
Tervita Corp., 7.63%, 12/01/21(d) | USD | 2,775 | 2,178,375 | |||||||||
|
| |||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% | ||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(d) | 1,641 | 1,386,645 | ||||||||||
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24 | EUR | 100 | 106,517 | |||||||||
Diversified Healthcare Trust, 9.75%, 06/15/25 | USD | 1,165 | 1,250,919 | |||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(d) | 2,113 | 1,996,785 | ||||||||||
Iron Mountain, Inc.(d): | ||||||||||||
4.88%, 09/15/29 | 99 | 96,277 | ||||||||||
5.25%, 07/15/30 | 2,169 | 2,136,465 | ||||||||||
5.63%, 07/15/32 | 2,640 | 2,634,456 | ||||||||||
Marriott International, Inc., Series EE, 5.75%, 05/01/25 | 675 | 733,291 | ||||||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 | 386 | 388,895 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.: | ||||||||||||
5.63%, 05/01/24 | 3,397 | 3,515,963 | ||||||||||
4.50%, 09/01/26 | 2,274 | 2,251,942 | ||||||||||
5.75%, 02/01/27 | 117 | 119,925 | ||||||||||
4.50%, 01/15/28 | 1,964 | 1,865,800 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp.: | ||||||||||||
5.00%, 10/15/27 | 3,135 | 3,221,212 | ||||||||||
4.63%, 08/01/29 | 3,178 | 3,193,890 | ||||||||||
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(d) | 3,036 | 2,702,040 | ||||||||||
Service Properties Trust: | ||||||||||||
4.50%, 06/15/23 | 220 | 210,635 | ||||||||||
4.35%, 10/01/24 | 217 | 195,583 | ||||||||||
7.50%, 09/15/25 | 1,798 | 1,894,255 | ||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 1,027 | 996,190 | ||||||||||
|
| |||||||||||
30,897,685 | ||||||||||||
Food & Staples Retailing — 0.9% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC: | ||||||||||||
5.75%, 03/15/25 | 215 | 219,704 | ||||||||||
4.63%, 01/15/27(d) | 1,524 | 1,524,000 | ||||||||||
5.88%, 02/15/28(d) | 2,805 | 2,894,115 | ||||||||||
4.88%, 02/15/30(d) | 909 | 930,025 | ||||||||||
Distribuidora Internacional de Alimentacion SA, 1.00%, 04/28/21 | EUR | 200 | 179,760 | |||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(d) | USD | 1,673 | 1,772,560 | |||||||||
Picard Groupe SAS(3 mo. Euribor + 3.00%), 3.00%, 11/30/23(e) | EUR | 200 | 215,413 | |||||||||
Premier Foods Finance PLC, 6.25%, 10/15/23 | GBP | 100 | 127,841 | |||||||||
Quatrim SASU, 5.88%, 01/15/24 | EUR | 100 | 114,822 | |||||||||
Sysco Corp.: | ||||||||||||
6.60%, 04/01/40 | USD | 1,100 | 1,483,376 | |||||||||
6.60%, 04/01/50 | 1,100 | 1,523,451 | ||||||||||
US Foods, Inc., 6.25%, 04/15/25(d) | 841 | 855,717 | ||||||||||
|
| |||||||||||
11,840,784 | ||||||||||||
Food Products — 3.6% | ||||||||||||
Aramark Services, Inc.: | ||||||||||||
5.00%, 04/01/25(d) | 20 | 19,700 | ||||||||||
6.38%, 05/01/25(d) | 1,371 | 1,415,736 |
Security | Par (000) | Value | ||||||||||
Food Products (continued) | ||||||||||||
4.75%, 06/01/26 | USD | 140 | $ | 134,750 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(d) | 1,755 | 1,693,575 | ||||||||||
Darling Ingredients, Inc., 5.25%, 04/15/27(d) | 979 | 1,006,197 | ||||||||||
Graphic Packaging International LLC, 4.75%, 07/15/27(d) | 574 | 605,570 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.(d): | ||||||||||||
5.75%, 06/15/25 | 2,552 | 2,574,330 | ||||||||||
6.75%, 02/15/28 | 1,116 | 1,176,682 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d): | ||||||||||||
6.50%, 04/15/29 | 4,665 | 4,950,731 | ||||||||||
5.50%, 01/15/30 | 2,178 | 2,232,450 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.88%, 05/15/27(d) | 305 | 318,721 | ||||||||||
2.25%, 05/25/28 | EUR | 100 | 110,462 | |||||||||
4.25%, 03/01/31(d) | USD | 7,031 | 7,454,922 | |||||||||
5.00%, 07/15/35 | 750 | 825,213 | ||||||||||
6.88%, 01/26/39 | 1,474 | 1,822,202 | ||||||||||
4.63%, 10/01/39(d) | 497 | 499,067 | ||||||||||
6.50%, 02/09/40 | 980 | 1,179,584 | ||||||||||
5.00%, 06/04/42 | 15 | 15,804 | ||||||||||
5.20%, 07/15/45 | 626 | 678,878 | ||||||||||
4.38%, 06/01/46 | 1,594 | 1,567,049 | ||||||||||
4.88%, 10/01/49(d) | 4,984 | 5,075,284 | ||||||||||
5.50%, 06/01/50(d) | 7,025 | 7,488,364 | ||||||||||
Post Holdings, Inc.(d): | ||||||||||||
5.00%, 08/15/26 | 110 | 110,413 | ||||||||||
5.75%, 03/01/27 | 4 | 4,130 | ||||||||||
5.63%, 01/15/28 | 484 | 500,940 | ||||||||||
5.50%, 12/15/29 | 40 | 41,365 | ||||||||||
4.63%, 04/15/30 | 1,830 | �� | 1,791,204 | |||||||||
Simmons Foods, Inc., 7.75%, 01/15/24(d) | 1,306 | 1,362,419 | ||||||||||
|
| |||||||||||
46,655,742 | ||||||||||||
Gas Utilities — 0.3% | ||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 10.00%, 04/15/25(d) | 4,230 | 4,557,825 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 2.1% | ||||||||||||
Avantor, Inc.: | ||||||||||||
4.75%, 10/01/24 | EUR | 126 | 145,617 | |||||||||
6.00%, 10/01/24(d) | USD | 6,471 | 6,762,195 | |||||||||
9.00%, 10/01/25(d) | 4,863 | 5,227,725 | ||||||||||
DENTSPLY SIRONA, Inc., 3.25%, 06/01/30 | 1,095 | 1,151,192 | ||||||||||
Hologic, Inc., 4.63%, 02/01/28(d) | 714 | 740,775 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(d): | ||||||||||||
7.38%, 06/01/25 | 3,136 | 3,190,880 | ||||||||||
7.25%, 02/01/28 | 7,211 | 7,329,837 | ||||||||||
Teleflex, Inc.: | ||||||||||||
4.88%, 06/01/26 | 751 | 773,530 | ||||||||||
4.63%, 11/15/27 | 214 | 226,243 | ||||||||||
4.25%, 06/01/28(d) | 2,215 | 2,270,375 | ||||||||||
|
| |||||||||||
27,818,369 | ||||||||||||
Health Care Providers & Services — 6.1% | ||||||||||||
Acadia Healthcare Co., Inc.: | ||||||||||||
5.13%, 07/01/22 | 1,047 | 1,047,314 | ||||||||||
5.63%, 02/15/23 | 240 | 240,084 | ||||||||||
5.50%, 07/01/28(d) | 1,071 | 1,073,677 | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(d) | 717 | 736,717 | ||||||||||
Centene Corp.: | ||||||||||||
5.38%, 06/01/26(d) | 1,367 | 1,417,114 | ||||||||||
5.38%, 08/15/26(d) | 2,015 | 2,096,023 |
54 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
4.25%, 12/15/27 | USD | 2,129 | $ | 2,196,936 | ||||||||
4.63%, 12/15/29 | 6,709 | 7,077,995 | ||||||||||
3.38%, 02/15/30 | 1,208 | 1,219,730 | ||||||||||
CHS/Community Health Systems, Inc.(d): | ||||||||||||
8.63%, 01/15/24 | 3,460 | 3,383,465 | ||||||||||
6.63%, 02/15/25 | 1,475 | 1,386,500 | ||||||||||
8.00%, 03/15/26 | 5,769 | 5,452,859 | ||||||||||
Encompass Health Corp.: | ||||||||||||
5.75%, 11/01/24 | 682 | 682,000 | ||||||||||
4.50%, 02/01/28 | 246 | 235,944 | ||||||||||
4.75%, 02/01/30 | 345 | 329,475 | ||||||||||
HCA, Inc.: | ||||||||||||
5.38%, 02/01/25 | 590 | 632,038 | ||||||||||
5.88%, 02/15/26 | 142 | 155,668 | ||||||||||
5.63%, 09/01/28 | 3,046 | 3,400,097 | ||||||||||
5.88%, 02/01/29 | 2,837 | 3,210,321 | ||||||||||
3.50%, 09/01/30 | 7,842 | 7,553,195 | ||||||||||
LifePoint Health, Inc.(d): | ||||||||||||
6.75%, 04/15/25 | 1,050 | 1,084,125 | ||||||||||
4.38%, 02/15/27 | 420 | 396,900 | ||||||||||
MEDNAX, Inc.(d): | ||||||||||||
5.25%, 12/01/23 | 933 | 928,335 | ||||||||||
6.25%, 01/15/27 | 701 | 701,000 | ||||||||||
Molina Healthcare, Inc.: | ||||||||||||
5.38%, 11/15/22 | 712 | 726,240 | ||||||||||
4.38%, 06/15/28(d) | 1,368 | 1,366,290 | ||||||||||
MPH Acquisition Holdings LLC, | 4,502 | 4,186,860 | ||||||||||
Polaris Intermediate Corp., (8.50% Cash or 9.25% PIK), 8.50%, 12/01/22(d)(g) | 2,403 | 2,114,950 | ||||||||||
Surgery Center Holdings, Inc.(d): | ||||||||||||
6.75%, 07/01/25 | 1,992 | 1,797,780 | ||||||||||
10.00%, 04/15/27 | 2,892 | 2,892,000 | ||||||||||
Tenet Healthcare Corp.: | ||||||||||||
8.13%, 04/01/22 | 3,919 | 4,114,950 | ||||||||||
4.63%, 07/15/24 | 2,738 | 2,682,665 | ||||||||||
4.63%, 09/01/24(d) | 1,234 | 1,206,235 | ||||||||||
7.50%, 04/01/25(d) | 1,008 | 1,072,260 | ||||||||||
4.88%, 01/01/26(d) | 4,629 | 4,507,489 | ||||||||||
6.25%, 02/01/27(d) | 559 | 554,808 | ||||||||||
5.13%, 11/01/27(d) | 2,492 | 2,458,856 | ||||||||||
4.63%, 06/15/28(d) | 737 | 717,985 | ||||||||||
Vizient, Inc., 6.25%, 05/15/27(d) | 2,585 | 2,707,787 | ||||||||||
|
| |||||||||||
79,744,667 | ||||||||||||
Health Care Technology — 0.8% | ||||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(d) | 6,190 | 6,112,625 | ||||||||||
IQVIA, Inc.: | ||||||||||||
3.25%, 03/15/25 | EUR | 800 | 905,041 | |||||||||
5.00%, 10/15/26(d) | USD | 1,504 | 1,547,165 | |||||||||
5.00%, 05/15/27(d) | 1,811 | 1,855,709 | ||||||||||
2.88%, 06/15/28 | EUR | 207 | 231,692 | |||||||||
|
| |||||||||||
10,652,232 | ||||||||||||
Hotels, Restaurants & Leisure — 6.9% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc.(d): | ||||||||||||
4.25%, 05/15/24 | USD | 1,045 | 1,046,850 | |||||||||
5.75%, 04/15/25 | 1,596 | 1,675,800 | ||||||||||
5.00%, 10/15/25 | 5,089 | 5,059,026 | ||||||||||
3.88%, 01/15/28 | 1,727 | 1,675,484 | ||||||||||
4.38%, 01/15/28 | 1,701 | 1,667,303 | ||||||||||
Boyd Gaming Corp.: | ||||||||||||
8.63%, 06/01/25(d) | 780 | 815,100 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
6.38%, 04/01/26 | USD | 366 | $ | 347,700 | ||||||||
Boyne USA, Inc., 7.25%, 05/01/25(d) | 1,136 | 1,189,960 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(d) | 2,879 | 2,893,395 | ||||||||||
Churchill Downs, Inc.(d): | ||||||||||||
5.50%, 04/01/27 | 3,439 | 3,366,093 | ||||||||||
4.75%, 01/15/28 | 1,528 | 1,474,520 | ||||||||||
Cirsa Finance International Sarl, 4.75%, 05/22/25 | EUR | 247 | 241,429 | |||||||||
Codere Finance 2 Luxembourg SA, 7.63%, 11/01/21(a)(d)(i) | USD | 200 | 130,100 | |||||||||
Colt Merger Sub, Inc.(d)(h): | ||||||||||||
5.75%, 07/01/25 | 2,487 | 2,501,176 | ||||||||||
6.25%, 07/01/25 | 8,548 | 8,494,575 | ||||||||||
8.13%, 07/01/27 | 4,556 | 4,402,235 | ||||||||||
Eldorado Resorts, Inc.: | ||||||||||||
6.00%, 04/01/25 | 812 | 849,352 | ||||||||||
6.00%, 09/15/26 | 466 | 503,429 | ||||||||||
GLP Capital LP/GLP Financing II, Inc.: | ||||||||||||
5.25%, 06/01/25 | 1,963 | 2,134,566 | ||||||||||
5.38%, 04/15/26 | 602 | 657,739 | ||||||||||
5.30%, 01/15/29 | 180 | 194,774 | ||||||||||
4.00%, 01/15/31 | 925 | 918,294 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(d) | 6,740 | 4,844,375 | ||||||||||
Hilton Domestic Operating Co., Inc.: | ||||||||||||
4.25%, 09/01/24 | 2,468 | 2,394,454 | ||||||||||
5.38%, 05/01/25(d) | 772 | 772,000 | ||||||||||
5.13%, 05/01/26 | 1,114 | 1,109,132 | ||||||||||
5.75%, 05/01/28(d) | 600 | 606,000 | ||||||||||
4.88%, 01/15/30 | 2,837 | 2,794,445 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | ||||||||||||
4.63%, 04/01/25 | 350 | 342,198 | ||||||||||
4.88%, 04/01/27 | 240 | 234,300 | ||||||||||
International Game Technology PLC: | ||||||||||||
3.50%, 07/15/24 | EUR | 200 | 217,397 | |||||||||
5.25%, 01/15/29(d) | USD | 1,034 | 1,009,908 | |||||||||
IRB Holding Corp., 7.00%, 06/15/25(d) | 929 | 957,520 | ||||||||||
Las Vegas Sands Corp.: | ||||||||||||
2.90%, 06/25/25 | 238 | 231,169 | ||||||||||
3.50%, 08/18/26 | 259 | 258,266 | ||||||||||
3.90%, 08/08/29 | 239 | 235,772 | ||||||||||
Lions Gate Capital Holdings LLC(d): | ||||||||||||
6.38%, 02/01/24 | 147 | 143,325 | ||||||||||
5.88%, 11/01/24 | 1,016 | 970,280 | ||||||||||
MGM Resorts International: | ||||||||||||
7.75%, 03/15/22 | 3,086 | 3,147,720 | ||||||||||
6.00%, 03/15/23 | 1,243 | 1,255,430 | ||||||||||
5.75%, 06/15/25 | 322 | 318,384 | ||||||||||
Sabre GLBL, Inc.(d): | ||||||||||||
5.25%, 11/15/23 | 219 | 201,480 | ||||||||||
9.25%, 04/15/25 | 2,371 | 2,498,441 | ||||||||||
Scientific Games International, Inc.: | ||||||||||||
8.63%, 07/01/25(d)(h) | 1,054 | 985,174 | ||||||||||
5.00%, 10/15/25(d) | 2,186 | 2,018,246 | ||||||||||
3.38%, 02/15/26 | EUR | 800 | 826,896 | |||||||||
8.25%, 03/15/26(d) | USD | 3,338 | 2,993,769 | |||||||||
7.00%, 05/15/28(d) | 1,054 | 843,200 | ||||||||||
7.25%, 11/15/29(d) | 241 | 192,800 | ||||||||||
Sisal Group SpA, 7.00%, 07/31/23 | EUR | 69 | 76,661 | |||||||||
Six Flags Theme Parks, Inc., | USD | 4,069 | 4,206,329 |
SCHEDULES OF INVESTMENTS | 55 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Station Casinos LLC, 4.50%, 02/15/28(d) | USD | 1,147 | $ | 970,649 | ||||||||
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32 | GBP | 500 | 644,215 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(d) | USD | 811 | 848,509 | |||||||||
William Hill PLC, 4.75%, 05/01/26 | GBP | 200 | 249,555 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(d) | USD | 1,353 | 1,169,668 | |||||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.(d): | ||||||||||||
7.75%, 04/15/25 | 1,164 | 1,172,381 | ||||||||||
5.13%, 10/01/29 | 1,924 | 1,719,575 | ||||||||||
Yum! Brands, Inc.: | ||||||||||||
3.88%, 11/01/23 | 721 | 738,304 | ||||||||||
7.75%, 04/01/25(d) | 2,340 | 2,524,275 | ||||||||||
4.75%, 01/15/30(d) | 1,259 | 1,277,885 | ||||||||||
5.35%, 11/01/43 | 30 | 28,800 | ||||||||||
|
| |||||||||||
90,267,787 | ||||||||||||
Household Durables — 1.6% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.(d): | ||||||||||||
6.25%, 09/15/27 | 1,234 | 1,180,087 | ||||||||||
4.88%, 02/15/30 | 1,482 | 1,238,359 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(d)(h) | 1,212 | 1,260,116 | ||||||||||
Installed Building Products, Inc., | 723 | 723,000 | ||||||||||
K Hovnanian Enterprises, Inc., | 2,650 | 2,610,250 | ||||||||||
Lennar Corp.: | ||||||||||||
4.88%, 12/15/23 | 968 | 1,021,240 | ||||||||||
4.75%, 05/30/25 | 128 | 136,640 | ||||||||||
5.25%, 06/01/26 | 302 | 326,160 | ||||||||||
4.75%, 11/29/27 | 2,510 | 2,723,350 | ||||||||||
Mattamy Group Corp.(d): | ||||||||||||
5.25%, 12/15/27 | 830 | 825,850 | ||||||||||
4.63%, 03/01/30 | 1,141 | 1,095,360 | ||||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 | 716 | 753,590 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 286 | 294,580 | ||||||||||
NCR Corp., 8.13%, 04/15/25(d) | 565 | 598,900 | ||||||||||
Newell Brands, Inc., 4.88%, 06/01/25 | 743 | 778,136 | ||||||||||
PulteGroup, Inc.: | ||||||||||||
5.00%, 01/15/27 | 106 | 113,420 | ||||||||||
7.88%, 06/15/32 | 94 | 120,113 | ||||||||||
6.38%, 05/15/33 | 2,805 | 3,281,850 | ||||||||||
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(d) | 1,482 | 1,534,967 | ||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 | 66 | 68,475 | ||||||||||
TRI Pointe Group, Inc., 5.70%, 06/15/28 | 291 | 295,365 | ||||||||||
|
| |||||||||||
20,979,808 | ||||||||||||
Household Products — 0.2% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 01/15/28(d) | 406 | 398,895 | ||||||||||
Energizer Holdings, Inc.(d): | ||||||||||||
6.38%, 07/15/26 | 514 | 531,456 | ||||||||||
7.75%, 01/15/27 | 468 | 499,014 | ||||||||||
4.75%, 06/15/28(h) | 1,055 | 1,034,923 | ||||||||||
|
| |||||||||||
2,464,288 | ||||||||||||
Independent Power and Renewable Electricity Producers — 1.7% | ||||||||||||
Calpine Corp.: | ||||||||||||
5.50%, 02/01/24 | 420 | 418,950 | ||||||||||
5.75%, 01/15/25 | 1,169 | 1,180,445 | ||||||||||
5.25%, 06/01/26(d) | 2,409 | 2,432,391 | ||||||||||
4.50%, 02/15/28(d) | 2,536 | 2,472,600 |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||||
5.13%, 03/15/28(d) | USD | 7,155 | $ | 7,011,900 | ||||||||
Clearway Energy Operating LLC: | ||||||||||||
5.75%, 10/15/25 | 500 | 516,250 | ||||||||||
4.75%, 03/15/28(d) | 1,178 | 1,201,489 | ||||||||||
NRG Energy, Inc.: | ||||||||||||
3.75%, 06/15/24(d) | 845 | 896,033 | ||||||||||
5.75%, 01/15/28 | 14 | 14,770 | ||||||||||
4.45%, 06/15/29(d) | 2,821 | 2,960,794 | ||||||||||
5.25%, 06/15/29(d) | 1,137 | 1,193,850 | ||||||||||
TerraForm Power Operating LLC(d): | ||||||||||||
4.25%, 01/31/23 | 595 | 602,438 | ||||||||||
4.75%, 01/15/30 | 1,556 | 1,579,340 | ||||||||||
|
| |||||||||||
22,481,250 | ||||||||||||
Industrial Conglomerates — 0.3% | ||||||||||||
BWX Technologies, Inc.(d): | ||||||||||||
5.38%, 07/15/26 | 200 | 206,076 | ||||||||||
4.13%, 06/30/28 | 1,344 | 1,340,640 | ||||||||||
IDEX Corp., 3.00%, 05/01/30 | 115 | 120,003 | ||||||||||
Vertical US Newco, Inc., 5.25%, 07/06/27(d)(h) | 2,033 | 2,033,000 | ||||||||||
|
| |||||||||||
3,699,719 | ||||||||||||
Insurance — 2.0% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(d) | 430 | 447,071 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(d) | 7,186 | 7,161,711 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26(d) | 2,631 | 2,762,550 | ||||||||||
Ardonagh Midco 2 PLC, (11.5% cash or 12.75% PIK), 11.50%, 01/15/27(d)(g)(h) | 378 | 379,890 | ||||||||||
Ardonagh Midco 3 PLC, 8.63%, 07/15/23(d) | 2,000 | 2,089,000 | ||||||||||
Galaxy Bidco Ltd., 6.50%, 07/31/26 | GBP | 100 | 124,839 | |||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(d) | USD | 1,775 | 1,827,132 | |||||||||
HUB International Ltd., 7.00%, 05/01/26(d) | 7,164 | 7,148,956 | ||||||||||
Nationstar Mortgage Holdings, Inc., 8.13%, 07/15/23(d) | 3,308 | 3,394,670 | ||||||||||
NFP Corp., 8.00%, 07/15/25(d) | 853 | 833,807 | ||||||||||
Societa Cattolica di Assicurazioni, (3 mo. Euribor + 4.46%), 4.25%, 12/14/47(f) | EUR | 100 | 109,829 | |||||||||
Willis North America, Inc., 2.95%, 09/15/29 | USD | 90 | 95,270 | |||||||||
|
| |||||||||||
26,374,725 | ||||||||||||
Interactive Media & Services — 1.7% | ||||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(d) | 1,113 | 1,132,478 | ||||||||||
Match Group Holdings II LLC(d): | ||||||||||||
5.63%, 02/15/29 | 318 | 335,213 | ||||||||||
4.13%, 08/01/30 | 1,400 | 1,370,684 | ||||||||||
Netflix, Inc.: | ||||||||||||
4.88%, 04/15/28 | 496 | 530,358 | ||||||||||
5.88%, 11/15/28 | 3,890 | 4,429,737 | ||||||||||
3.88%, 11/15/29 | EUR | 196 | 231,033 | |||||||||
5.38%, 11/15/29(d) | USD | 2,387 | 2,614,242 | |||||||||
3.63%, 06/15/30 | EUR | 393 | 453,678 | |||||||||
4.88%, 06/15/30(d) | USD | 1,646 | 1,765,335 | |||||||||
Rackspace Hosting, Inc., 8.63%, 11/15/24(d) | 1,794 | 1,802,970 | ||||||||||
Twitter, Inc., 3.88%, 12/15/27(d) | 699 | 699,070 | ||||||||||
Uber Technologies, Inc.(d): | ||||||||||||
7.50%, 11/01/23 | 1,515 | 1,530,150 | ||||||||||
7.50%, 05/15/25 | 3,847 | 3,875,853 | ||||||||||
8.00%, 11/01/26 | 1,103 | 1,122,303 | ||||||||||
7.50%, 09/15/27 | 804 | 806,010 | ||||||||||
|
| |||||||||||
22,699,114 |
56 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Internet & Direct Marketing Retail — 0.8% | ||||||||||||
Booking Holdings, Inc., 4.63%, 04/13/30 | USD | 6,403 | $ | 7,557,589 | ||||||||
Expedia Group, Inc., 6.25%, 05/01/25(d) | 2,847 | 3,032,833 | ||||||||||
Kirk Beauty One GmbH, 8.75%, 07/15/23 | EUR | 100 | 54,714 | |||||||||
|
| |||||||||||
10,645,136 | ||||||||||||
Internet Software & Services — 0.1% | ||||||||||||
Booking Holdings, Inc., 4.50%, 04/13/27 | USD | 857 | 984,320 | |||||||||
Match Group Holdings II LLC, 4.63%, 06/01/28(d) | 972 | 980,505 | ||||||||||
|
| |||||||||||
1,964,825 | ||||||||||||
IT Services — 2.0% | ||||||||||||
Banff Merger Sub, Inc.: | ||||||||||||
8.38%, 09/01/26 | EUR | 100 | 112,080 | |||||||||
9.75%, 09/01/26(d) | USD | 8,303 | 8,354,894 | |||||||||
Camelot Finance SA, 4.50%, 11/01/26(d) | 3,763 | 3,763,000 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(d) | 915 | 917,288 | ||||||||||
Gartner, Inc.(d): | ||||||||||||
5.13%, 04/01/25 | 910 | 931,885 | ||||||||||
4.50%, 07/01/28 | 1,775 | 1,795,767 | ||||||||||
Leidos, Inc., 4.38%, 05/15/30(d) | 1,275 | 1,436,224 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(d) | 1,741 | 1,566,900 | ||||||||||
Rubis Terminal Infra SAS, 5.63%, 05/15/25 | EUR | 154 | 178,815 | |||||||||
Science Applications International Corp., 4.88%, 04/01/28(d) | USD | 1,431 | 1,422,500 | |||||||||
WEX, Inc., 4.75%, 02/01/23(d) | 4,000 | 3,971,440 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 | 1,375 | 1,281,899 | ||||||||||
|
| |||||||||||
25,732,692 | ||||||||||||
Leisure Products — 0.3% | ||||||||||||
Mattel, Inc.: | ||||||||||||
6.75%, 12/31/25(d) | 2,662 | 2,761,825 | ||||||||||
5.88%, 12/15/27(d) | 769 | 792,070 | ||||||||||
6.20%, 10/01/40 | 169 | 146,185 | ||||||||||
5.45%, 11/01/41 | 702 | 582,435 | ||||||||||
|
| |||||||||||
4,282,515 | ||||||||||||
Machinery — 1.0% | ||||||||||||
Clark Equipment Co., 5.88%, 06/01/25(d) | 1,375 | 1,405,938 | ||||||||||
Colfax Corp.(d): | ||||||||||||
6.00%, 02/15/24 | 1,762 | 1,817,062 | ||||||||||
6.38%, 02/15/26 | 1,004 | 1,049,180 | ||||||||||
EnPro Industries, Inc., 5.75%, 10/15/26 | 2,192 | 2,192,000 | ||||||||||
Mueller Water Products, Inc., | 1,130 | 1,169,550 | ||||||||||
Navistar International Corp., 9.50%, 05/01/25(d) | 411 | 440,407 | ||||||||||
SPX FLOW, Inc., 5.63%, 08/15/24(d) | 727 | 743,358 | ||||||||||
Terex Corp., 5.63%, 02/01/25(d) | 1,055 | 960,050 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(d) | 2,146 | 2,030,652 | ||||||||||
Wabash National Corp., 5.50%, 10/01/25(d) | 2,154 | 1,976,295 | ||||||||||
|
| |||||||||||
13,784,492 | ||||||||||||
Media — 12.8% | ||||||||||||
Altice Financing SA: | ||||||||||||
2.25%, 01/15/25 | EUR | 170 | 178,580 | |||||||||
7.50%, 05/15/26(d) | USD | 3,622 | 3,794,045 | |||||||||
3.00%, 01/15/28 | EUR | 196 | 202,039 | |||||||||
5.00%, 01/15/28(d) | USD | 2,220 | 2,205,259 | |||||||||
Altice Finco SA, 7.63%, 02/15/25(d) | 470 | 488,805 | ||||||||||
Altice France SA: | ||||||||||||
2.50%, 01/15/25 | EUR | 169 | 180,476 | |||||||||
7.38%, 05/01/26(d) | USD | 6,126 | 6,388,193 | |||||||||
5.88%, 02/01/27 | EUR | 100 | 118,012 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
8.13%, 02/01/27(d) | USD | 5,777 | $ | 6,318,594 | ||||||||
5.50%, 01/15/28(d) | 2,881 | 2,909,810 | ||||||||||
AMC Networks, Inc., 4.75%, 08/01/25 | 1,216 | 1,198,003 | ||||||||||
Banijay Entertainment SASU, 3.50%, 03/01/25 | EUR | 152 | 162,660 | |||||||||
Block Communications, Inc., 4.88%, 03/01/28(d) | USD | 791 | 781,342 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(d): | ||||||||||||
5.13%, 05/01/27 | 4,660 | 4,821,236 | ||||||||||
5.88%, 05/01/27 | 142 | 148,170 | ||||||||||
5.00%, 02/01/28 | 262 | 270,515 | ||||||||||
5.38%, 06/01/29 | 2,372 | 2,502,460 | ||||||||||
4.75%, 03/01/30 | 1,417 | 1,449,860 | ||||||||||
4.50%, 08/15/30 | 5,827 | 5,943,540 | ||||||||||
4.50%, 05/01/32 | 6,993 | 7,080,412 | ||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||
9.25%, 02/15/24 | 3,116 | 2,890,402 | ||||||||||
5.13%, 08/15/27(d) | 7,494 | 7,194,240 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, | 10,227 | 9,690,082 | ||||||||||
CSC Holdings LLC: | ||||||||||||
5.25%, 06/01/24 | 2,413 | 2,539,683 | ||||||||||
6.63%, 10/15/25(d) | 892 | 926,565 | ||||||||||
10.88%, 10/15/25(d) | 4,326 | 4,650,450 | ||||||||||
5.50%, 05/15/26(d) | 1,819 | 1,866,967 | ||||||||||
5.38%, 02/01/28(d) | 629 | 657,305 | ||||||||||
5.75%, 01/15/30(d) | 3,700 | 3,853,550 | ||||||||||
4.13%, 12/01/30(d) | 3,518 | 3,487,217 | ||||||||||
4.63%, 12/01/30(d) | 2,248 | 2,183,617 | ||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(d) | 1,569 | 1,135,564 | ||||||||||
DISH DBS Corp.: | ||||||||||||
6.75%, 06/01/21 | 2,590 | 2,638,563 | ||||||||||
5.88%, 07/15/22 | 5,096 | 5,181,613 | ||||||||||
5.00%, 03/15/23 | 1,948 | 1,943,325 | ||||||||||
7.75%, 07/01/26 | 5,508 | 5,838,480 | ||||||||||
DISH Network Corp.(l): | ||||||||||||
2.38%, 03/15/24 | 1,680 | 1,503,342 | ||||||||||
3.38%, 08/15/26 | 2,495 | 2,291,944 | ||||||||||
Dolya Holdco 18 DAC, 5.00%, 07/15/28(d) | 3,554 | 3,508,509 | ||||||||||
Entercom Media Corp., 6.50%, 05/01/27(d) | 2,322 | 2,083,995 | ||||||||||
Hughes Satellite Systems Corp., | 755 | 780,821 | ||||||||||
Intelsat Jackson Holdings SA, | 370 | 375,247 | ||||||||||
Lamar Media Corp.(d): | ||||||||||||
4.88%, 01/15/29 | 389 | 390,945 | ||||||||||
4.00%, 02/15/30 | 695 | 665,254 | ||||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(d) | 3,016 | 3,076,320 | ||||||||||
Live Nation Entertainment, Inc.: | ||||||||||||
2.50%, 03/15/23(l) | 953 | 966,699 | ||||||||||
6.50%, 05/15/27(d) | 5,006 | 5,156,180 | ||||||||||
Meredith Corp., 6.88%, 02/01/26 | 382 | 317,637 | ||||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(d) | 972 | 986,949 | ||||||||||
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(d) | 1,450 | 1,479,740 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(d): | ||||||||||||
6.88%, 02/15/23 | 619 | 626,738 | ||||||||||
6.63%, 02/15/25 | 1,035 | 1,030,042 | ||||||||||
Sable International Finance Ltd., 5.75%, 09/07/27(d) | 600 | 610,728 | ||||||||||
SES SA, (5 year EUR Swap + 5.40%), | EUR | 200 | 230,299 |
SCHEDULES OF INVESTMENTS | 57 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Sirius XM Radio, Inc.(d): | ||||||||||||
4.63%, 05/15/23 | USD | 230 | $ | 231,265 | ||||||||
4.63%, 07/15/24 | 928 | 951,200 | ||||||||||
5.00%, 08/01/27 | 759 | 775,751 | ||||||||||
5.50%, 07/01/29 | 2,576 | 2,711,549 | ||||||||||
4.13%, 07/01/30 | 2,364 | 2,337,901 | ||||||||||
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.75%, 11/15/25(g) | EUR | 151 | 158,641 | |||||||||
TEGNA, Inc., 5.50%, 09/15/24(d) | USD | 344 | 347,440 | |||||||||
Tele Columbus AG, 3.88%, 05/02/25 | EUR | 200 | 208,971 | |||||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(d) | USD | 2,000 | 2,085,000 | |||||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(d) | 3,350 | 3,211,812 | ||||||||||
United Group BV: | ||||||||||||
4.88%, 07/01/24 | EUR | 199 | 221,323 | |||||||||
(3 mo. Euribor + 3.25%), 3.25%, 02/15/26(e) | 100 | 106,732 | ||||||||||
3.63%, 02/15/28 | 166 | 174,472 | ||||||||||
Univision Communications, Inc.(d): | ||||||||||||
5.13%, 05/15/23 | USD | 2,007 | 2,025,464 | |||||||||
5.13%, 02/15/25 | 800 | 753,504 | ||||||||||
6.63%, 06/01/27 | 2,952 | 2,819,160 | ||||||||||
UPCB Finance VII Ltd., 3.63%, 06/15/29 | EUR | 160 | 174,920 | |||||||||
Videotron Ltd., 5.13%, 04/15/27(d) | USD | 1,786 | 1,853,207 | |||||||||
Virgin Media Finance PLC, 3.75%, 07/15/30 | EUR | 142 | 155,947 | |||||||||
Virgin Media Secured Finance PLC: | ||||||||||||
5.00%, 04/15/27 | GBP | 200 | 257,423 | |||||||||
5.50%, 05/15/29(d) | USD | 2,836 | 2,963,620 | |||||||||
4.50%, 08/15/30(d) | 1,798 | 1,800,248 | ||||||||||
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28 | GBP | 100 | 124,530 | |||||||||
Zayo Group Holdings Inc.(d): | ||||||||||||
4.00%, 03/01/27 | USD | 405 | 385,382 | |||||||||
6.13%, 03/01/28 | 5,585 | 5,431,412 | ||||||||||
Ziggo Bond Co. BV(d): | ||||||||||||
6.00%, 01/15/27 | 291 | 295,365 | ||||||||||
5.13%, 02/28/30 | 1,395 | 1,384,119 | ||||||||||
Ziggo BV: | ||||||||||||
4.25%, 01/15/27 | EUR | 231 | 267,298 | |||||||||
5.50%, 01/15/27(d) | USD | 2,018 | 2,043,346 | |||||||||
2.88%, 01/15/30 | EUR | 106 | 117,266 | |||||||||
4.88%, 01/15/30(d) | USD | 1,250 | 1,256,775 | |||||||||
|
| |||||||||||
167,532,066 | ||||||||||||
Metals & Mining — 3.9% | ||||||||||||
Anglo American Capital PLC, | 3,225 | 3,895,564 | ||||||||||
ArcelorMittal SA: | ||||||||||||
1.75%, 11/19/25 | EUR | 100 | 106,836 | |||||||||
4.25%, 07/16/29 | USD | 88 | 88,571 | |||||||||
Arconic Corp.(d): | ||||||||||||
6.00%, 05/15/25 | 1,911 | 1,975,496 | ||||||||||
6.13%, 02/15/28 | 1,359 | 1,358,660 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(d) | 1,792 | 1,711,360 | ||||||||||
Constellium SE(d): | ||||||||||||
5.75%, 05/15/24 | 1,060 | 1,060,000 | ||||||||||
6.63%, 03/01/25 | 941 | 951,605 | ||||||||||
5.88%, 02/15/26 | 4,611 | 4,623,311 | ||||||||||
5.63%, 06/15/28 | 1,235 | 1,210,300 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.88%, 03/15/23 | 3,861 | 3,861,000 | ||||||||||
4.25%, 03/01/30 | 2,388 | 2,316,360 | ||||||||||
5.45%, 03/15/43 | 9,709 | 9,514,820 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(d) | USD | 1,645 | $ | 1,636,775 | ||||||||
Joseph T Ryerson & Son, Inc., | 335 | 342,126 | ||||||||||
Kaiser Aluminum Corp.(d): | ||||||||||||
6.50%, 05/01/25 | 861 | 890,059 | ||||||||||
4.63%, 03/01/28 | 779 | 744,973 | ||||||||||
New Gold, Inc.(d): | ||||||||||||
6.25%, 11/15/22 | 2,285 | 2,309,278 | ||||||||||
6.38%, 05/15/25 | 716 | 723,160 | ||||||||||
7.50%, 07/15/27 | 1,616 | 1,667,211 | ||||||||||
Novelis Corp.(d): | ||||||||||||
5.88%, 09/30/26 | 2,012 | 2,009,485 | ||||||||||
4.75%, 01/30/30 | 4,149 | 3,962,295 | ||||||||||
thyssenkrupp AG: | ||||||||||||
1.88%, 03/06/23 | EUR | 127 | 136,830 | |||||||||
2.88%, 02/22/24 | 737 | 796,571 | ||||||||||
2.50%, 02/25/25 | 1 | 1,056 | ||||||||||
United States Steel Corp., 12.00%, 06/01/25(d) | USD | 2,681 | 2,748,025 | |||||||||
|
| |||||||||||
50,641,727 | ||||||||||||
Multiline Retail — 0.7% | ||||||||||||
Dufry One BV: | ||||||||||||
2.50%, 10/15/24 | EUR | 100 | 93,777 | |||||||||
2.00%, 02/15/27 | 294 | 255,851 | ||||||||||
Macy’s, Inc., 8.38%, 06/15/25(d) | USD | 3,524 | 3,508,107 | |||||||||
Marks & Spencer PLC, 4.50%, 07/10/27 | GBP | 200 | 242,256 | |||||||||
Nordstrom, Inc., 8.75%, 05/15/25(d) | USD | 4,228 | 4,549,934 | |||||||||
|
| |||||||||||
8,649,925 | ||||||||||||
Office Supplies & Equipment — 0.1% | ||||||||||||
VMware, Inc., 4.70%, 05/15/30 | 1,000 | 1,102,930 | ||||||||||
|
| |||||||||||
Offshore Drilling & Other Services — 0.2% | ||||||||||||
Entegris, Inc.(d): | ||||||||||||
4.63%, 02/10/26 | 1,250 | 1,268,750 | ||||||||||
4.38%, 04/15/28 | 1,313 | 1,335,977 | ||||||||||
|
| |||||||||||
2,604,727 | ||||||||||||
Oil, Gas & Consumable Fuels — 14.1% | ||||||||||||
Apache Corp.: | ||||||||||||
3.25%, 04/15/22 | 48 | 46,447 | ||||||||||
5.25%, 02/01/42 | 135 | 110,176 | ||||||||||
4.75%, 04/15/43 | 1,832 | 1,474,920 | ||||||||||
4.25%, 01/15/44 | 1,014 | 770,970 | ||||||||||
5.35%, 07/01/49 | 305 | 243,371 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(d) | 2,770 | 2,361,425 | ||||||||||
Baytex Energy Corp., 8.75%, 04/01/27(d) | 1,746 | 925,380 | ||||||||||
BP Capital Markets PLC(f)(k): | ||||||||||||
(5 year EUR Swap + 4.12%), 3.63% | EUR | 250 | 282,078 | |||||||||
(5 year UK Government Bond + 4.17%), 4.25% | GBP | 125 | 156,049 | |||||||||
Buckeye Partners LP: | ||||||||||||
4.13%, 03/01/25(d) | USD | 151 | 144,850 | |||||||||
3.95%, 12/01/26 | 302 | 284,575 | ||||||||||
4.50%, 03/01/28(d) | 1,312 | 1,226,720 | ||||||||||
5.85%, 11/15/43 | 648 | 562,334 | ||||||||||
5.60%, 10/15/44 | 988 | 790,400 | ||||||||||
Callon Petroleum Co.: | ||||||||||||
6.13%, 10/01/24 | 2,185 | 819,921 | ||||||||||
8.25%, 07/15/25 | 739 | 258,650 | ||||||||||
Series WI, 6.38%, 07/01/26 | 796 | 262,680 | ||||||||||
Carrizo Oil & Gas, Inc., 6.25%, 04/15/23 | 2,464 | 933,289 | ||||||||||
Cenovus Energy, Inc.: | ||||||||||||
3.00%, 08/15/22 | 453 | 440,517 |
58 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
3.80%, 09/15/23 | USD | 257 | $ | 241,668 | ||||||||
5.40%, 06/15/47 | 188 | 161,394 | ||||||||||
Centennial Resource Production LLC, 6.88%, 04/01/27(d) | 1,284 | 680,520 | ||||||||||
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | 1,991 | 2,187,852 | ||||||||||
Cheniere Energy Partners LP: | ||||||||||||
5.63%, 10/01/26 | 1,400 | 1,393,000 | ||||||||||
Series WI, 5.25%, 10/01/25 | 329 | 327,914 | ||||||||||
Cheniere Energy, Inc., (4.88% PIK), 4.88%, 05/28/21(d)(g)(h)(l) | 2,154 | 2,174,894 | ||||||||||
CITGO Petroleum Corp., 7.00%, 06/15/25(d) | 1,453 | 1,454,816 | ||||||||||
CNX Resources Corp.: | ||||||||||||
5.88%, 04/15/22 | 1,260 | 1,243,431 | ||||||||||
7.25%, 03/14/27(d) | 303 | 278,760 | ||||||||||
Comstock Resources, Inc.: | ||||||||||||
7.50%, 05/15/25(d) | 2,722 | 2,466,812 | ||||||||||
9.75%, 08/15/26 | 2,119 | 1,978,062 | ||||||||||
Continental Resources, Inc.: | ||||||||||||
5.00%, 09/15/22 | 2,304 | 2,263,680 | ||||||||||
4.50%, 04/15/23 | 729 | 697,799 | ||||||||||
4.90%, 06/01/44 | 1,171 | 932,409 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | ||||||||||||
6.25%, 04/01/23 | 385 | 342,650 | ||||||||||
5.63%, 05/01/27(d) | 1,579 | 1,316,397 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d) | 5,663 | 5,075,464 | ||||||||||
CVR Energy, Inc.(d): | ||||||||||||
5.25%, 02/15/25 | 1,360 | 1,251,200 | ||||||||||
5.75%, 02/15/28 | 460 | 402,500 | ||||||||||
DCP Midstream Operating LP: | ||||||||||||
5.38%, 07/15/25 | 1,417 | 1,406,372 | ||||||||||
5.63%, 07/15/27 | 1,044 | 1,050,525 | ||||||||||
5.13%, 05/15/29 | 39 | 37,416 | ||||||||||
6.45%, 11/03/36(d) | 1,282 | 1,153,800 | ||||||||||
6.75%, 09/15/37(d) | 2,344 | 2,103,248 | ||||||||||
Diamondback Energy, Inc.: | ||||||||||||
4.75%, 05/31/25 | 710 | 759,719 | ||||||||||
3.50%, 12/01/29 | 3,200 | 3,099,424 | ||||||||||
eG Global Finance PLC: | ||||||||||||
4.38%, 02/07/25 | EUR | 133 | 137,326 | |||||||||
6.75%, 02/07/25(d) | USD | 1,047 | 1,022,134 | |||||||||
6.25%, 10/30/25 | EUR | 463 | 504,575 | |||||||||
8.50%, 10/30/25(d) | USD | 1,386 | 1,420,650 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(d): | ||||||||||||
6.63%, 07/15/25 | 1,065 | 1,073,328 | ||||||||||
5.50%, 01/30/26 | 3,633 | 3,478,597 | ||||||||||
5.75%, 01/30/28 | 2,356 | 2,261,760 | ||||||||||
Energy Transfer Operating LP: | ||||||||||||
3.75%, 05/15/30 | 320 | 317,841 | ||||||||||
4.90%, 03/15/35 | 130 | 130,644 | ||||||||||
6.50%, 02/01/42 | 1,140 | 1,234,889 | ||||||||||
6.25%, 04/15/49 | 95 | 100,711 | ||||||||||
5.00%, 05/15/50 | 2,965 | 2,816,049 | ||||||||||
Series 30Y, 6.00%, 06/15/48 | 636 | 659,645 | ||||||||||
EnLink Midstream LLC, 5.38%, 06/01/29 | 474 | 355,500 | ||||||||||
EnLink Midstream Partners LP: | ||||||||||||
4.40%, 04/01/24 | 1,638 | 1,360,359 | ||||||||||
4.15%, 06/01/25 | 108 | 83,160 | ||||||||||
4.85%, 07/15/26 | 297 | 219,869 | ||||||||||
5.60%, 04/01/44 | 1,228 | 749,080 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
5.05%, 04/01/45 | USD | 207 | $ | 128,920 | ||||||||
EOG Resources, Inc.: | ||||||||||||
4.38%, 04/15/30 | 210 | 250,538 | ||||||||||
4.95%, 04/15/50 | 120 | 153,069 | ||||||||||
EQM Midstream Partners LP: | ||||||||||||
6.00%, 07/01/25(d) | 1,658 | 1,679,421 | ||||||||||
4.13%, 12/01/26 | 361 | 330,990 | ||||||||||
6.50%, 07/01/27(d) | 1,843 | 1,887,637 | ||||||||||
EQT Corp.: | ||||||||||||
3.90%, 10/01/27 | 1,920 | 1,559,597 | ||||||||||
7.00%, 02/01/30 | 886 | 912,607 | ||||||||||
Extraction Oil & Gas, Inc.(a)(d)(i): | ||||||||||||
7.38%, 05/15/24 | 2,593 | 499,153 | ||||||||||
5.63%, 02/01/26 | 2,937 | 565,372 | ||||||||||
Exxon Mobil Corp.: | ||||||||||||
2.61%, 10/15/30 | 1,080 | 1,156,184 | ||||||||||
3.45%, 04/15/51 | 635 | 703,218 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp.: | ||||||||||||
6.00%, 05/15/23 | 579 | 521,100 | ||||||||||
5.63%, 06/15/24 | 201 | 174,870 | ||||||||||
6.50%, 10/01/25 | 350 | 299,250 | ||||||||||
7.75%, 02/01/28 | 188 | 167,320 | ||||||||||
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(d) | 1,813 | 1,087,800 | ||||||||||
Hess Corp., 5.80%, 04/01/47 | 207 | 224,981 | ||||||||||
Hess Midstream Operations LP(d): | ||||||||||||
5.63%, 02/15/26 | 1,075 | 1,063,702 | ||||||||||
5.13%, 06/15/28 | 862 | 829,606 | ||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 02/01/28(d) | 1,252 | 1,192,530 | ||||||||||
Indigo Natural Resources LLC, | 2,732 | 2,540,760 | ||||||||||
Ithaca Energy North Sea PLC, | 200 | 160,500 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
4.70%, 11/01/42 | 1,500 | 1,620,258 | ||||||||||
5.00%, 03/01/43 | 600 | 666,840 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.55%, 06/01/45 | 535 | 653,073 | ||||||||||
5.20%, 03/01/48 | 276 | 332,445 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 | 3,623 | 2,681,020 | ||||||||||
MEG Energy Corp.(d): | ||||||||||||
7.00%, 03/31/24 | 2,151 | 1,844,482 | ||||||||||
6.50%, 01/15/25 | 2,555 | 2,384,122 | ||||||||||
7.13%, 02/01/27 | 1,372 | 1,140,475 | ||||||||||
MPLX LP: | ||||||||||||
5.20%, 03/01/47 | 500 | 525,790 | ||||||||||
4.70%, 04/15/48 | 420 | 423,317 | ||||||||||
5.50%, 02/15/49 | 1,285 | 1,424,070 | ||||||||||
Murphy Oil Corp.: | ||||||||||||
5.75%, 08/15/25 | 833 | 745,535 | ||||||||||
6.38%, 12/01/42 | 141 | 109,402 | ||||||||||
Nabors Industries Ltd.(d): | ||||||||||||
7.25%, 01/15/26 | 720 | 442,800 | ||||||||||
7.50%, 01/15/28 | 592 | 364,080 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(d) | 1,640 | 2,001,615 | ||||||||||
NuStar Logistics LP, 6.00%, 06/01/26 | 908 | 880,760 | ||||||||||
Occidental Petroleum Corp.: | ||||||||||||
4.85%, 03/15/21 | 370 | 367,225 | ||||||||||
2.60%, 08/13/21 | 2,909 | 2,842,937 | ||||||||||
2.70%, 08/15/22 | 2,450 | 2,280,827 | ||||||||||
2.90%, 08/15/24 | 1,295 | 1,106,552 |
SCHEDULES OF INVESTMENTS | 59 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
3.20%, 08/15/26 | USD | 215 | $ | 174,688 | ||||||||
3.00%, 02/15/27 | 97 | 75,194 | ||||||||||
3.50%, 08/15/29 | 322 | 235,575 | ||||||||||
4.30%, 08/15/39 | 2,394 | 1,651,166 | ||||||||||
6.20%, 03/15/40 | 3,492 | 2,924,550 | ||||||||||
4.50%, 07/15/44 | 1,099 | 758,310 | ||||||||||
4.63%, 06/15/45 | 2,702 | 1,891,400 | ||||||||||
6.60%, 03/15/46 | 57 | 49,617 | ||||||||||
4.40%, 04/15/46 | 2,538 | 1,770,306 | ||||||||||
4.10%, 02/15/47 | 273 | 183,934 | ||||||||||
4.20%, 03/15/48 | 1,745 | 1,181,714 | ||||||||||
4.40%, 08/15/49 | 472 | 325,680 | ||||||||||
Series 1, 4.10%, 02/01/21 | 2,459 | 2,468,836 | ||||||||||
Parkland Fuel Corp., 5.88%, 07/15/27(d) | 1,223 | 1,268,862 | ||||||||||
Parsley Energy LLC/Parsley Finance Corp.(d): | ||||||||||||
5.38%, 01/15/25 | 1,806 | 1,756,877 | ||||||||||
5.25%, 08/15/25 | 408 | 391,823 | ||||||||||
5.63%, 10/15/27 | 937 | 922,945 | ||||||||||
4.13%, 02/15/28 | 1,738 | 1,572,890 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(d) | 3,679 | 3,927,332 | ||||||||||
PDC Energy, Inc.: | ||||||||||||
1.13%, 09/15/21(l) | 1,043 | 955,369 | ||||||||||
6.13%, 09/15/24 | 978 | 909,540 | ||||||||||
6.25%, 12/01/25 | 298 | 251,065 | ||||||||||
5.75%, 05/15/26 | 1,062 | 966,420 | ||||||||||
Plains All American Pipeline LP / PAA Finance Corp.: | ||||||||||||
3.55%, 12/15/29 | 864 | 841,756 | ||||||||||
3.80%, 09/15/30 | 930 | 911,193 | ||||||||||
6.65%, 01/15/37 | 535 | 580,771 | ||||||||||
5.15%, 06/01/42 | 215 | 208,149 | ||||||||||
4.30%, 01/31/43 | 210 | 182,734 | ||||||||||
4.90%, 02/15/45 | 440 | 408,545 | ||||||||||
QEP Resources, Inc.: | ||||||||||||
6.88%, 03/01/21 | 482 | 460,310 | ||||||||||
5.38%, 10/01/22 | 2,639 | 2,005,640 | ||||||||||
5.25%, 05/01/23 | 746 | 492,360 | ||||||||||
5.63%, 03/01/26 | 721 | 457,835 | ||||||||||
Range Resources Corp.: | ||||||||||||
5.88%, 07/01/22 | 230 | 211,600 | ||||||||||
5.00%, 08/15/22 | 1,313 | 1,194,830 | ||||||||||
5.00%, 03/15/23 | 1,396 | 1,200,560 | ||||||||||
Sabine Pass Liquefaction LLC, | 3,489 | 3,873,503 | ||||||||||
SM Energy Co., 10.00%, 01/15/25(d) | 3,828 | 3,634,227 | ||||||||||
Southwestern Energy Co.: | ||||||||||||
4.10%, 03/15/22 | 1,362 | 1,300,165 | ||||||||||
6.20%, 01/23/25 | 573 | 490,631 | ||||||||||
7.50%, 04/01/26 | 569 | 498,046 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
4.00%, 10/01/27 | 940 | 962,963 | ||||||||||
5.30%, 04/01/44 | 600 | 574,651 | ||||||||||
5.40%, 10/01/47 | 573 | 573,294 | ||||||||||
Sunoco LP/Sunoco Finance Corp.: | ||||||||||||
6.00%, 04/15/27 | 339 | 335,610 | ||||||||||
Series WI, 4.88%, 01/15/23 | 1,170 | 1,152,450 | ||||||||||
Series WI, 5.50%, 02/15/26 | 27 | 26,190 | ||||||||||
Series WI, 5.88%, 03/15/28 | 808 | 802,069 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24(d) | 1,597 | 1,442,203 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||||||||||
4.25%, 11/15/23 | 637 | 608,335 | ||||||||||
5.13%, 02/01/25 | 245 | 235,813 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
5.88%, 04/15/26 | USD | 1,082 | $ | 1,071,180 | ||||||||
5.38%, 02/01/27 | 188 | 181,420 | ||||||||||
6.50%, 07/15/27 | 786 | 787,965 | ||||||||||
5.00%, 01/15/28 | 1,547 | 1,454,768 | ||||||||||
6.88%, 01/15/29 | 1,286 | 1,347,085 | ||||||||||
5.50%, 03/01/30(d) | 1,677 | 1,619,345 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 05/15/50(d) | 180 | 191,791 | ||||||||||
UGI International LLC, 3.25%, 11/01/25 | EUR | 100 | 109,247 | |||||||||
Viper Energy Partners LP, 5.38%, 11/01/27(d) | USD | 753 | 738,633 | |||||||||
Western Midstream Operating LP: | ||||||||||||
4.00%, 07/01/22 | 172 | 171,450 | ||||||||||
3.10%, 02/01/25 | 388 | 367,630 | ||||||||||
3.95%, 06/01/25 | 907 | 849,605 | ||||||||||
4.65%, 07/01/26 | 660 | 632,148 | ||||||||||
4.75%, 08/15/28 | 258 | 247,035 | ||||||||||
4.05%, 02/01/30 | 908 | 874,032 | ||||||||||
5.45%, 04/01/44 | 1,518 | 1,264,190 | ||||||||||
5.30%, 03/01/48 | 2,281 | 1,850,461 | ||||||||||
5.50%, 08/15/48 | 392 | 317,520 | ||||||||||
5.25%, 02/01/50 | 1,758 | 1,521,197 | ||||||||||
Williams Cos., Inc.: | ||||||||||||
5.80%, 11/15/43 | 1,500 | 1,718,989 | ||||||||||
5.10%, 09/15/45 | 340 | 373,144 | ||||||||||
WPX Energy, Inc.: | ||||||||||||
8.25%, 08/01/23 | 1,006 | 1,116,660 | ||||||||||
5.75%, 06/01/26 | 326 | 316,220 | ||||||||||
5.25%, 10/15/27 | 536 | 500,725 | ||||||||||
5.88%, 06/15/28 | 1,088 | 1,045,514 | ||||||||||
4.50%, 01/15/30 | 2,999 | 2,639,120 | ||||||||||
|
| |||||||||||
185,016,945 | ||||||||||||
Oil: Crude Producers — 0.2% | ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(d) | 2,268 | 2,217,832 | ||||||||||
|
| |||||||||||
Paper & Forest Products — 0.1% | ||||||||||||
Norbord, Inc., 6.25%, 04/15/23(d) | 1,566 | 1,644,629 | ||||||||||
WEPA Hygieneprodukte GMB, (3 mo. Euribor + 2.88%), 2.88%, 12/15/26(e) | EUR | 100 | 109,440 | |||||||||
|
| |||||||||||
1,754,069 | ||||||||||||
Personal Products — 0.1% | ||||||||||||
Coty, Inc.: | ||||||||||||
4.00%, 04/15/23 | 100 | 99,698 | ||||||||||
4.75%, 04/15/26 | 100 | 98,306 | ||||||||||
6.50%, 04/15/26(d) | USD | 100 | 85,000 | |||||||||
Edgewell Personal Care Co., 5.50%, 06/01/28(d) | 919 | 944,273 | ||||||||||
|
| |||||||||||
1,227,277 | ||||||||||||
Pharmaceuticals — 3.6% | ||||||||||||
Bausch Health Americas, Inc.(d): | ||||||||||||
8.50%, 01/31/27 | 4,211 | 4,468,924 | ||||||||||
9.25%, 04/01/26 | 306 | 331,979 | ||||||||||
Bausch Health Cos., Inc.: | ||||||||||||
5.50%, 03/01/23(d) | 533 | 533,000 | ||||||||||
4.50%, 05/15/23 | EUR | 2,565 | 2,848,780 | |||||||||
5.88%, 05/15/23(d) | USD | 128 | 127,680 | |||||||||
6.13%, 04/15/25(d) | 3,258 | 3,304,492 | ||||||||||
5.50%, 11/01/25(d) | 779 | 798,475 | ||||||||||
9.00%, 12/15/25(d) | 1,393 | 1,500,554 | ||||||||||
5.75%, 08/15/27(d) | 1,292 | 1,369,520 | ||||||||||
7.00%, 01/15/28(d) | 1,393 | 1,434,790 | ||||||||||
5.00%, 01/30/28(d) | 1,385 | 1,303,964 |
60 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
6.25%, 02/15/29(d) | USD | 2,823 | $ | 2,837,115 | ||||||||
7.25%, 05/30/29(d) | 2,892 | 3,036,600 | ||||||||||
5.25%, 01/30/30(d) | 1,265 | 1,200,169 | ||||||||||
Catalent Pharma Solutions, Inc.: | ||||||||||||
5.00%, 07/15/27(d) | 1,141 | 1,184,506 | ||||||||||
2.38%, 03/01/28 | EUR | 432 | 459,065 | |||||||||
Charles River Laboratories International, Inc.(d): | ||||||||||||
5.50%, 04/01/26 | USD | 135 | 140,400 | |||||||||
4.25%, 05/01/28 | 1,662 | 1,661,152 | ||||||||||
Cheplapharm Arzneimittel GmbH, | EUR | 166 | 180,663 | |||||||||
Elanco Animal Health, Inc., 5.65%, 08/28/28 | USD | 1,026 | 1,137,629 | |||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(d): | ||||||||||||
9.50%, 07/31/27 | 837 | 885,295 | ||||||||||
6.00%, 06/30/28 | 687 | 443,115 | ||||||||||
Jaguar Holding Co. II/PPD Development LP(d): | ||||||||||||
4.63%, 06/15/25 | 3,116 | 3,171,153 | ||||||||||
5.00%, 06/15/28 | 3,019 | 3,090,701 | ||||||||||
Nidda BondCo GmbH: | ||||||||||||
7.25%, 09/30/25 | EUR | 337 | 385,268 | |||||||||
5.00%, 09/30/25 | 100 | 110,040 | ||||||||||
Nidda Healthcare Holding GmbH, | 344 | 380,200 | ||||||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(d) | USD | 6,093 | 6,252,637 | |||||||||
Rossini Sarl, 6.75%, 10/30/25 | EUR | 201 | 240,448 | |||||||||
Synlab Bondco PLC(3 mo. Euribor + 4.75%), 4.75%, 07/01/25(e) | 275 | 308,344 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV: | ||||||||||||
1.88%, 03/31/27 | 100 | 94,620 | ||||||||||
1.63%, 10/15/28 | 100 | 91,249 | ||||||||||
West Street Merger Sub, Inc., | USD | 1,956 | 1,892,430 | |||||||||
|
| |||||||||||
47,204,957 | ||||||||||||
Producer Durables: Miscellaneous — 0.8% | ||||||||||||
Boxer Parent Co., Inc.: | ||||||||||||
6.50%, 10/02/25 | EUR | 173 | 200,002 | |||||||||
7.13%, 10/02/25(d) | USD | 2,034 | 2,132,649 | |||||||||
9.13%, 03/01/26(d) | 3,216 | 3,328,560 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(d) | 2,540 | 2,445,537 | ||||||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(d) | 2,525 | 2,480,813 | ||||||||||
|
| |||||||||||
10,587,561 | ||||||||||||
Professional Services — 0.5% | ||||||||||||
ASGN, Inc., 4.63%, 05/15/28(d) | 446 | 435,572 | ||||||||||
Dun & Bradstreet Corp.(d): | ||||||||||||
6.88%, 08/15/26 | 3,993 | 4,208,862 | ||||||||||
10.25%, 02/15/27 | 2,269 | 2,518,590 | ||||||||||
|
| |||||||||||
7,163,024 | ||||||||||||
Real Estate Management & Development — 0.4% | ||||||||||||
ADLER Real Estate AG: | ||||||||||||
1.50%, 04/17/22 | EUR | 100 | 109,118 | |||||||||
3.00%, 04/27/26 | 200 | 222,361 | ||||||||||
Consus Real Estate AG, 9.63%, 05/15/24 | 200 | 243,799 | ||||||||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28(d) | USD | 2,092 | 2,180,910 | |||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(d) | 412 | 414,142 | ||||||||||
Heimstaden Bostad AB, (5 year EUR Swap + 3.67%), 3.25%(f)(k) | EUR | 100 | 107,047 | |||||||||
Howard Hughes Corp., 5.38%, 03/15/25(d) | USD | 1,428 | 1,328,897 | |||||||||
Peach Property Finance GmbH, | EUR | 179 | 199,496 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(d) | USD | 684 | $ | 684,137 | ||||||||
Summit Properties Ltd., 2.00%, 01/31/25 | EUR | 145 | 148,581 | |||||||||
|
| |||||||||||
5,638,488 | ||||||||||||
Road & Rail — 0.3% | ||||||||||||
Autostrade per l’Italia SpA: | ||||||||||||
6.25%, 06/09/22 | GBP | 100 | 124,377 | |||||||||
5.88%, 06/09/24 | EUR | 300 | 369,884 | |||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(d) | USD | 2,667 | 2,672,734 | |||||||||
Kapla Holding SAS: | ||||||||||||
(3 mo. Euribor + 3.25%), 3.25%, 12/15/26(e) | EUR | 100 | 100,560 | |||||||||
3.38%, 12/15/26 | 200 | 198,859 | ||||||||||
Loxam SAS: | ||||||||||||
4.25%, 04/15/24 | 100 | 106,227 | ||||||||||
3.25%, 01/14/25 | 268 | 274,150 | ||||||||||
3.75%, 07/15/26 | 115 | 118,517 | ||||||||||
|
| |||||||||||
3,965,308 | ||||||||||||
Semiconductors & Semiconductor Equipment — 2.2% | ||||||||||||
AMS AG, 6.00%, 07/02/25 | 301 | 334,792 | ||||||||||
Broadcom, Inc.(d): | ||||||||||||
5.00%, 04/15/30 | USD | 5,395 | 6,200,866 | |||||||||
4.15%, 11/15/30 | 2,580 | 2,803,639 | ||||||||||
4.30%, 11/15/32 | 4,710 | 5,167,711 | ||||||||||
Infineon Technologies AG, (5 year EUR Swap + 3.39%), 2.88%(f)(k) | EUR | 200 | 218,725 | |||||||||
Microchip Technology, Inc., 4.25%, 09/01/25(d) | USD | 5,208 | 5,241,140 | |||||||||
Qorvo, Inc.: | ||||||||||||
5.50%, 07/15/26 | 285 | 296,400 | ||||||||||
4.38%, 10/15/29(d) | 1,743 | 1,784,971 | ||||||||||
Seagate HDD Cayman, 4.13%, 01/15/31(d) | 370 | 388,787 | ||||||||||
Sensata Tech, Inc., 4.38%, 02/15/30(d) | 994 | 984,060 | ||||||||||
Sensata Technologies BV(d): | ||||||||||||
5.63%, 11/01/24 | 1,400 | 1,484,000 | ||||||||||
5.00%, 10/01/25 | 3,278 | 3,490,087 | ||||||||||
|
| |||||||||||
28,395,178 | ||||||||||||
Software — 4.7% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(d) | 3,505 | 3,651,334 | ||||||||||
Castle US Holding Corp., 9.50%, 02/15/28(d) | 1,890 | 1,748,250 | ||||||||||
CDK Global, Inc.: | ||||||||||||
4.88%, 06/01/27 | 619 | 635,063 | ||||||||||
5.25%, 05/15/29(d) | 614 | 637,590 | ||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(d) | 5,286 | 5,497,440 | ||||||||||
MSCI, Inc.(d): | ||||||||||||
4.75%, 08/01/26 | 181 | 187,243 | ||||||||||
4.00%, 11/15/29 | 455 | 464,100 | ||||||||||
3.63%, 09/01/30 | 682 | 678,590 | ||||||||||
3.88%, 02/15/31 | 3,712 | 3,786,240 | ||||||||||
Nuance Communications, Inc., 5.63%, 12/15/26 | 1,127 | 1,172,080 | ||||||||||
Oracle Corp.: | ||||||||||||
3.60%, 04/01/50 | 8,780 | 9,771,083 | ||||||||||
3.85%, 04/01/60 | 7,445 | 8,714,171 | ||||||||||
PTC, Inc.(d): | ||||||||||||
3.63%, 02/15/25 | 957 | 949,823 | ||||||||||
4.00%, 02/15/28 | 1,163 | 1,151,510 | ||||||||||
RP Crown Parent LLC, 7.38%, 10/15/24(d) | 4,370 | 4,359,075 | ||||||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(d) | 11,061 | 11,254,567 | ||||||||||
Sophia LP/Sophia Finance, Inc., | 625 | 631,250 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(d) | 5,157 | 5,232,498 |
SCHEDULES OF INVESTMENTS | 61 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(d) | USD | 1,117 | $ | 1,144,925 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(d) | 707 | 696,395 | ||||||||||
|
| |||||||||||
62,363,227 | ||||||||||||
Specialty Retail — 1.1% | ||||||||||||
Asbury Automotive Group, Inc.(d): | ||||||||||||
4.50%, 03/01/28 | 542 | 525,740 | ||||||||||
4.75%, 03/01/30 | 526 | 512,850 | ||||||||||
AutoNation, Inc., 4.75%, 06/01/30 | 765 | 828,930 | ||||||||||
Douglas GmbH, 6.25%, 07/15/22 | EUR | 100 | 94,244 | |||||||||
Gap, Inc., 8.88%, 05/15/27(d) | USD | 932 | 997,165 | |||||||||
IAA, Inc., 5.50%, 06/15/27(d) | 1,538 | 1,586,632 | ||||||||||
L Brands, Inc.: | ||||||||||||
6.88%, 07/01/25(d) | 2,027 | 2,092,877 | ||||||||||
9.38%, 07/01/25(d) | 43 | 43,052 | ||||||||||
6.88%, 11/01/35 | 2,579 | 2,145,470 | ||||||||||
6.75%, 07/01/36 | 384 | 314,880 | ||||||||||
Penske Automotive Group, Inc., | 299 | 298,252 | ||||||||||
PetSmart, Inc.(d): | ||||||||||||
7.13%, 03/15/23 | 1,851 | 1,824,864 | ||||||||||
5.88%, 06/01/25 | 1,130 | 1,132,119 | ||||||||||
Staples, Inc., 7.50%, 04/15/26(d) | 3,468 | 2,724,981 | ||||||||||
|
| |||||||||||
15,122,056 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.5% | ||||||||||||
NCR Corp.(d): | ||||||||||||
5.75%, 09/01/27 | 761 | 761,000 | ||||||||||
6.13%, 09/01/29 | 926 | 923,685 | ||||||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(d) | 1,805 | 1,764,388 | ||||||||||
Western Digital Corp., 4.75%, 02/15/26 | 2,496 | 2,579,491 | ||||||||||
|
| |||||||||||
6,028,564 | ||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(d) | 702 | 709,897 | ||||||||||
Levi Strauss & Co.: | ||||||||||||
5.00%, 05/01/25 | 229 | 229,861 | ||||||||||
5.00%, 05/01/25(d) | 1,055 | 1,058,967 | ||||||||||
William Carter Co.(d): | ||||||||||||
5.50%, 05/15/25 | 377 | 388,781 | ||||||||||
5.63%, 03/15/27 | 543 | 559,290 | ||||||||||
Wolverine World Wide, Inc., 6.38%, 05/15/25(d) | 391 | 409,573 | ||||||||||
|
| |||||||||||
3,356,369 | ||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27(d) | 92 | 87,400 | ||||||||||
Transportation Infrastructure — 0.1% | ||||||||||||
Atlantia SpA, 1.63%, 02/03/25 | EUR | 100 | 105,606 | |||||||||
CMA CGM SA, 6.50%, 07/15/22 | 100 | 103,924 | ||||||||||
Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(f)(k) | 400 | 420,181 | ||||||||||
Heathrow Finance PLC, 4.13%, 09/01/29 | GBP | 215 | 248,158 | |||||||||
|
| |||||||||||
877,869 | ||||||||||||
Utilities — 0.0% | ||||||||||||
ContourGlobal Power Holdings SA: | ||||||||||||
3.38%, 08/01/23 | EUR | 100 | 113,361 | |||||||||
4.13%, 08/01/25 | 227 | 260,836 | ||||||||||
Drax Finco PLC, 4.25%, 05/01/22 | GBP | 100 | 123,935 | |||||||||
Vistra Operations Co. LLC, 3.55%, 07/15/24(d) | USD | 30 | 30,962 | |||||||||
|
| |||||||||||
529,094 |
Security | Par (000) | Value | ||||||||||
Wireless Telecommunication Services — 4.2% | ||||||||||||
Matterhorn Telecom SA: | ||||||||||||
2.63%, 09/15/24 | EUR | 100 | $ | 109,513 | ||||||||
4.00%, 11/15/27 | 200 | 225,720 | ||||||||||
SBA Communications Corp., 3.88%, 02/15/27(d) | USD | 6,927 | 6,901,024 | |||||||||
Sprint Capital Corp.: | ||||||||||||
6.88%, 11/15/28 | 2,450 | 2,982,875 | ||||||||||
8.75%, 03/15/32 | 5,408 | 7,740,200 | ||||||||||
Sprint Corp.: | ||||||||||||
7.88%, 09/15/23 | 2,705 | 3,046,506 | ||||||||||
7.13%, 06/15/24 | 2,623 | 2,961,734 | ||||||||||
7.63%, 02/15/25 | 1,642 | 1,894,457 | ||||||||||
7.63%, 03/01/26 | 1,050 | 1,239,389 | ||||||||||
T-Mobile USA, Inc.: | ||||||||||||
6.50%, 01/15/24 | 2,638 | 2,695,245 | ||||||||||
6.50%, 01/15/26 | 1,494 | 1,561,394 | ||||||||||
4.50%, 02/01/26 | 1,408 | 1,424,840 | ||||||||||
4.75%, 02/01/28 | 2,710 | 2,862,844 | ||||||||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 02/15/25(d) | 1,089 | 1,103,451 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | ||||||||||||
6.00%, 04/15/23(d) | 698 | 680,550 | ||||||||||
8.25%, 10/15/23 | 622 | 587,790 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(d): | ||||||||||||
3.50%, 02/15/25 | 2,376 | 2,233,440 | ||||||||||
4.25%, 12/01/26 | 3,568 | 3,416,360 | ||||||||||
3.75%, 02/15/27 | 2,568 | 2,413,920 | ||||||||||
4.63%, 12/01/29 | 1,423 | 1,387,425 | ||||||||||
4.13%, 08/15/30 | 6,460 | 6,161,225 | ||||||||||
VTR Comunicaciones SpA, | 1,065 | 1,086,833 | ||||||||||
|
| |||||||||||
54,716,735 | ||||||||||||
Total Corporate Bonds — 124.7% |
| 1,635,909,394 | ||||||||||
|
| |||||||||||
Floating Rate Loan Interests(e) — 12.1% |
| |||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
WP CPP Holdings LLC, 2018 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), | 324 | 279,097 | ||||||||||
|
| |||||||||||
Airlines — 0.1% | ||||||||||||
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 | 315 | 307,912 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, 06/25/27(m) | 962 | 954,381 | ||||||||||
|
| |||||||||||
1,262,293 | ||||||||||||
Auto Components — 0.1% | ||||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/12/25 | 495 | 471,436 | ||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 04/30/26 | 1,458 | 1,385,190 | ||||||||||
|
| |||||||||||
1,856,626 | ||||||||||||
Banks — 0.0% | ||||||||||||
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 11/01/24 | 57 | 54,547 | ||||||||||
|
| |||||||||||
Capital Markets — 0.1% | ||||||||||||
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 | 653 | 615,586 | ||||||||||
|
|
62 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals — 0.6% | ||||||||||||
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 | USD | 2,365 | $ | 2,272,152 | ||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 | 2,368 | 2,318,777 | ||||||||||
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 05/16/24 | 470 | 448,252 | ||||||||||
Illuminate Buyer LLC, Term Loan, 06/30/27(m) | 2,177 | 2,141,080 | ||||||||||
Invictus US LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.53%, 03/30/26 | 327 | 259,074 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 05/15/24 | 463 | 432,557 | ||||||||||
|
| |||||||||||
7,871,892 | ||||||||||||
Commercial Services & Supplies — 0.9% | ||||||||||||
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.00%, 11/10/23 | 248 | 244,767 | ||||||||||
Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.68%, 08/04/25 | 2,968 | 2,945,740 | ||||||||||
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 09/06/24 | 1,233 | 1,130,575 | ||||||||||
GFL Environmental, Inc., 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25 | 859 | 833,142 | ||||||||||
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/27/25 | 6,211 | 5,988,546 | ||||||||||
|
| |||||||||||
11,142,770 | ||||||||||||
Construction & Engineering — 0.8% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.45%, 06/21/24 | 9,520 | 8,686,817 | ||||||||||
SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.32%, 05/23/25 | 1,789 | 1,686,271 | ||||||||||
|
| |||||||||||
10,373,088 | ||||||||||||
Containers & Packaging — 0.1% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, 04/03/24(m) | 1,664 | 1,490,172 | ||||||||||
Diversified Consumer Services — 0.4% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 02/01/27 | 369 | 361,465 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), | 353 | 334,839 | ||||||||||
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), | 750 | 699,017 | ||||||||||
Gol LuxCo SA, 1st Lien Term Loan, (Fixed + 6.50%), 6.50%, 08/31/20(b)(n) | 3,885 | 3,729,600 | ||||||||||
|
| |||||||||||
5,124,921 | ||||||||||||
Diversified Telecommunication Services — 0.4% | ||||||||||||
Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.75%), | 4,534 | 4,407,102 | ||||||||||
Northwest Fiber LLC, Term Loan B, (3 mo. LIBOR + 5.50%), 5.67%, 04/30/27(b) | 1,328 | 1,314,720 | ||||||||||
|
| |||||||||||
5,721,822 | ||||||||||||
Electric Utilities — 0.1% | ||||||||||||
Pacific Gas & Electric Co., 2020 Exit Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25 | 1,559 | 1,529,769 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Food Products — 0.0% | ||||||||||||
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23 | USD | 486 | $ | 465,982 | ||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), | 4,682 | 4,494,538 | ||||||||||
Ortho-Clinical Diagnostics SA: | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 06/30/25 | 780 | 727,624 | ||||||||||
EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25 | EUR | 998 | 1,047,846 | |||||||||
|
| |||||||||||
6,270,008 | ||||||||||||
Health Care Providers & Services — 0.8% | ||||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 | USD | 943 | 905,627 | |||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (6 mo. LIBOR + 4.00%, 1.00% Floor), | 1,149 | 1,115,966 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), | 3,849 | 2,511,797 | ||||||||||
EyeCare Partners LLC, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 8.56%, 02/18/28 | 3,500 | 2,975,000 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 | 1,297 | 1,253,595 | ||||||||||
Quorum Health Corp., Term Loan B, (2 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 04/29/22 | 1,271 | 1,132,499 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 11/16/25 | 511 | 477,324 | ||||||||||
Surgery Center Holdings, Inc., 2020 Term Loan B, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 08/31/24 | 92 | 91,770 | ||||||||||
|
| |||||||||||
10,463,578 | ||||||||||||
Health Care Services — 0.1% | ||||||||||||
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.26%, 07/25/26(b) | 993 | 960,646 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23 | 1,581 | 1,248,652 | ||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, 10/04/23(b)(m) | 292 | 291,768 | ||||||||||
|
| |||||||||||
1,540,420 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.18%, 08/12/26 | 94 | 90,394 | ||||||||||
|
| |||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||
PSAV Holdings LLC, 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 | 1,279 | 764,302 | ||||||||||
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/28/21 | 1,830 | 1,665,264 | ||||||||||
|
| |||||||||||
2,429,566 | ||||||||||||
Insurance — 0.3% | ||||||||||||
Sedgwick Claims Management Services, Inc.: | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 09/03/26 | 1,270 | 1,216,188 |
SCHEDULES OF INVESTMENTS | 63 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | USD | 1,093 | $ | 1,058,385 | ||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/31/25 | 2,122 | 1,998,284 | ||||||||||
|
| |||||||||||
4,272,857 | ||||||||||||
Interactive Media & Services — 0.1% | ||||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 | 123 | 116,659 | ||||||||||
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), | 913 | 866,537 | ||||||||||
|
| |||||||||||
983,196 | ||||||||||||
IT Services — 0.2% | ||||||||||||
Airbnb, Inc., Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 04/17/25(b) | 383 | 396,405 | ||||||||||
Flexential Intermediate Corp.: | ||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 3.81%, 08/01/24 | 872 | 694,009 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 7.59%, 08/01/25 | 420 | 179,374 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27 | 1,090 | 944,270 | ||||||||||
|
| |||||||||||
2,214,058 | ||||||||||||
Life Sciences Tools & Services — 0.3% | ||||||||||||
Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 09/27/24 | 1,402 | 1,325,773 | ||||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 | 3,047 | 2,970,525 | ||||||||||
|
| |||||||||||
4,296,298 | ||||||||||||
Machinery — 0.4% | ||||||||||||
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.18%, 09/21/26(b) | 1,212 | 1,157,374 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.36%, 03/28/25 | 4,215 | 3,845,036 | ||||||||||
|
| |||||||||||
5,002,410 | ||||||||||||
Media — 2.2% | ||||||||||||
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.18%, 08/14/26 | 1,011 | 969,547 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.26%, 08/21/26 | 4,328 | 3,912,371 | ||||||||||
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 | 1,170 | 1,097,442 | ||||||||||
Intelsat Jackson Holdings SA, : | ||||||||||||
2017 Term Loan B3, 11/27/23(m) | 904 | 897,949 | ||||||||||
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24 | 1,899 | 1,894,445 | ||||||||||
2017 Term Loan B5, (Fixed + 8.62%), 8.63%, 01/02/24(n) | 10,040 | 10,019,353 | ||||||||||
2020 DIP Term Loan, 07/13/21(m) | 2,266 | 2,296,089 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 3.43%, 12/01/23 | 479 | 356,730 | ||||||||||
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 02/01/24 | 221 | 210,762 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/17/26 | 857 | 815,193 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/09/27 | 6,898 | 6,531,582 | ||||||||||
|
| |||||||||||
29,001,463 |
Security | Par (000) | Value | ||||||||||
Metals & Mining — 0.0% | ||||||||||||
Big River Steel LLC, Term Loan B, 08/23/23(m) | USD | 394 | $ | 369,550 | ||||||||
|
| |||||||||||
Oil & Gas Equipment & Services — 0.1% | ||||||||||||
McDermott Technology Americas, Inc., 2020 SP DIP Roll Up Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 10/21/20 | 1,660 | 1,644,651 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||||||
Chesapeake Energy Corp., 2019 Last Out Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 06/24/24 | 6,976 | 4,001,392 | ||||||||||
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 4.68%, 09/27/24 | 906 | 716,102 | ||||||||||
|
| |||||||||||
4,717,494 | ||||||||||||
Pharmaceuticals — 0.1% | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.00%, 04/29/24 | 1,138 | 1,072,299 | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22 | 412 | 406,134 | ||||||||||
|
| |||||||||||
1,478,433 | ||||||||||||
Professional Services — 0.2% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 02/06/26 | 2,067 | 2,009,944 | ||||||||||
|
| |||||||||||
Software — 1.6% | ||||||||||||
BMC Software Finance, Inc., 2017 Term Loan, 10/02/25(m) | 1,265 | 1,193,393 | ||||||||||
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.06%, 01/31/27 | 1,191 | 1,083,368 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 | 987 | 951,953 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 4.25%, 05/27/24 | 1,725 | 1,442,928 | ||||||||||
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 10/01/25 | 1,200 | 1,171,322 | ||||||||||
Informatica LLC: | ||||||||||||
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25(n) | 2,634 | 2,630,707 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/25/27 | 1,277 | 1,219,344 | ||||||||||
Kronos, Inc.: | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 11/01/23 | 349 | 348,449 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 11/01/24 | 3,635 | 3,632,247 | ||||||||||
Mitchell International, Inc.: | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 11/29/24 | 889 | 827,561 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 12/01/25 | 613 | 542,800 | ||||||||||
Renaissance Holding Corp., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), | 46 | 43,720 | ||||||||||
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), | 262 | 253,882 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 08/01/25 | 718 | 687,266 | ||||||||||
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 03/03/23 | 575 | 554,057 |
64 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/30/22 | USD | 83 | $ | 80,803 | ||||||||
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/01/24 | 196 | 186,172 | ||||||||||
Tibco Software Inc.: | ||||||||||||
2020 2nd Lien Term Loan, 03/04/28(m) | 1,576 | 1,510,013 | ||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 06/30/26(b) | 1,584 | 1,492,566 | ||||||||||
Ultimate Software Group, Inc.: | ||||||||||||
2020 Incremental Term Loan B, 05/04/26(m) | 887 | 874,946 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 05/03/26 | 570 | 551,092 | ||||||||||
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 07/02/25 | 188 | 176,766 | ||||||||||
|
| |||||||||||
21,455,355 | ||||||||||||
Specialty Retail — 0.2% | ||||||||||||
PetSmart, Inc., Term Loan B2, 03/11/22(m) | 2,892 | 2,849,329 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.7% | ||||||||||||
Ligado Networks LLC: | ||||||||||||
2015 2nd Lien Term Loan, 0.00%, 12/07/20 | 9,530 | 4,136,082 | ||||||||||
PIK Exit Term Loan (12.20% Cash or 9.75% PIK), 0.00%, 12/07/20(g) | 3,772 | 3,326,539 | ||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.93%, 05/29/27 | 1,535 | 1,462,087 | ||||||||||
|
| |||||||||||
8,924,708 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 12.1% |
| 158,762,923 | ||||||||||
|
| |||||||||||
Investment Value (000) | ||||||||||||
Other Interests(o) — 0.0% |
| |||||||||||
Auto Components — 0.0% | ||||||||||||
Lear Corp. Escrow(a)(b)(i) | 1,250 | 12 | ||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| 12 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Preferred Securities—5.5% |
| |||||||||||
Capital Trusts — 5.3% |
| |||||||||||
Banks — 0.8% | ||||||||||||
AIB Group PLC, 5.25%(f)(k) | EUR | 400 | 422,934 | |||||||||
Allied Irish Banks PLC, 7.38%(f)(k) | 210 | 237,604 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA, 8.88%(f)(k) | 200 | 231,722 | ||||||||||
Banco de Sabadell SA, 6.50%(f)(k) | 200 | 183,602 | ||||||||||
Banco Santander SA(f)(k): | ||||||||||||
4.38% | 200 | 202,776 | ||||||||||
6.75% | 200 | 230,178 | ||||||||||
Bankia SA, 6.38%(f)(k) | 400 | 424,052 | ||||||||||
CaixaBank SA(f)(k): | ||||||||||||
5.25% | 200 | 199,390 | ||||||||||
6.75% | 400 | 449,400 | ||||||||||
CIT Group, Inc., Series A, 5.80%(f)(k) | USD | 1,647 | 1,267,169 | |||||||||
Erste Group Bank AG, 6.50%(f)(k) | EUR | 200 | 233,688 | |||||||||
ING Groep NV, 6.75%(f)(k) | USD | 200 | 204,500 | |||||||||
Intesa Sanpaolo SpA, 7.75%(f)(k) | EUR | 200 | 244,923 | |||||||||
National Westminster Bank PLC, | USD | 200 | 173,924 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Stichting AK Rabobank Certificaten, 0.00%(k) | EUR | 82 | $ | 97,357 | ||||||||
Wells Fargo & Co., Series U, 5.88%(f)(k) | USD | 5,131 | 5,333,007 | |||||||||
|
| |||||||||||
10,136,226 | ||||||||||||
Building Materials — 0.0% | ||||||||||||
Holcim Finance Luxembourg SA, 3.00%(f)(k) | EUR | 100 | 112,631 | |||||||||
|
| |||||||||||
Capital Markets — 0.3% | ||||||||||||
Morgan Stanley,(f)(k): | ||||||||||||
Series H, 3.89% | USD | 3,309 | 2,977,946 | |||||||||
Series J, 4.09% | 440 | 404,445 | ||||||||||
UBS Group AG, 5.75%(f)(k) | EUR | 250 | 287,446 | |||||||||
|
| |||||||||||
3,669,837 | ||||||||||||
Diversified Financial Services — 3.9% | ||||||||||||
Bank of America Corp.,(f)(k): | ||||||||||||
Series AA, 6.10% | USD | 8,608 | 9,081,440 | |||||||||
Series DD, 6.30% | 432 | 479,399 | ||||||||||
Series X, 6.25% | 3,534 | 3,657,937 | ||||||||||
Series Z, 6.50% | 1,634 | 1,755,994 | ||||||||||
BNP Paribas SA, 4.50%(d)(f)(k) | 1,230 | 1,077,788 | ||||||||||
Credit Suisse Group AG(d)(f)(k): | ||||||||||||
5.10% | 860 | 814,850 | ||||||||||
6.25% | 200 | 208,336 | ||||||||||
6.38% | 3,145 | 3,193,747 | ||||||||||
7.50% | 750 | 779,183 | ||||||||||
HBOS Capital Funding LP, 6.85%(k) | 800 | 808,720 | ||||||||||
HSBC Holdings PLC, 6.00%(f)(k) | 2,298 | 2,283,638 | ||||||||||
JPMorgan Chase & Co.,(f)(k): | ||||||||||||
Series 1, 4.23% | 1,046 | 952,174 | ||||||||||
Series FF, 5.00% | 7,650 | 7,317,225 | ||||||||||
Series HH, 4.60% | 3,186 | 2,843,505 | ||||||||||
Series Q, 5.15% | 850 | 826,625 | ||||||||||
Series S, 6.75% | 5,589 | 6,008,175 | ||||||||||
Series U, 6.13% | 4,228 | 4,314,674 | ||||||||||
Series V, 3.62% | 3,075 | 2,713,687 | ||||||||||
Series X, 6.10% | 640 | 654,941 | ||||||||||
Royal Bank of Scotland Group PLC, 8.63%(f)(k) | 607 | 631,128 | ||||||||||
Societe Generale SA, 7.38%(d)(f)(k) | 200 | 201,500 | ||||||||||
UniCredit SpA(f)(k): | ||||||||||||
6.75% | EUR | 200 | 219,644 | |||||||||
9.25% | 225 | 267,968 | ||||||||||
|
| |||||||||||
51,092,278 | ||||||||||||
Diversified Telecommunication Services — 0.1% | ||||||||||||
Koninklijke KPN NV, 2.00%(f)(k) | 300 | 316,827 | ||||||||||
Telefonica Europe BV(f)(k): | ||||||||||||
4.38% | 600 | 694,323 | ||||||||||
5.88% | 200 | 242,132 | ||||||||||
|
| |||||||||||
1,253,282 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.0% | ||||||||||||
Belden, Inc., 4.13%, 10/15/26 | 320 | 357,708 | ||||||||||
|
| |||||||||||
Insurance — 0.0% | ||||||||||||
Achmea BV, 4.63%(f)(k) | 200 | 217,307 | ||||||||||
Assicurazioni Generali SpA, 4.60%(f)(k) | 100 | 116,729 | ||||||||||
Legal & General Group PLC, 5.63%(f)(k) | GBP | 200 | 244,784 | |||||||||
|
| |||||||||||
578,820 | ||||||||||||
Media — 0.0% | ||||||||||||
NBCUniversal Enterprise, Inc., 5.25%(d)(k) | USD | 400 | 401,000 | |||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
BP Capital Markets PLC, 3.25%(f)(k) | EUR | 250 | 282,035 | |||||||||
Naturgy Finance BV(f)(k): | ||||||||||||
3.38% | 100 | 112,631 | ||||||||||
4.13% | 100 | 115,159 |
SCHEDULES OF INVESTMENTS | 65 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Repsol International Finance BV(f)(k): | ||||||||||||
3.75% | EUR | 100 | $ | 111,788 | ||||||||
4.25% | 100 | 113,536 | ||||||||||
|
| |||||||||||
735,149 | ||||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
Citycon OYJ, 4.50%(f)(k) | 100 | 95,808 | ||||||||||
TLG Finance Sarl, 3.38%(f)(k) | 200 | 212,341 | ||||||||||
|
| |||||||||||
308,149 | ||||||||||||
Utilities — 0.0% | ||||||||||||
Electricite de France SA(f)(k): | ||||||||||||
3.00% | 200 | 214,067 | ||||||||||
4.00% | 200 | 230,400 | ||||||||||
6.00% | GBP | 100 | 130,681 | |||||||||
|
| |||||||||||
575,148 | ||||||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||||
Vodafone Group PLC: | ||||||||||||
4.20%, 10/03/78(f) | 200 | 243,116 | ||||||||||
3.10%, 01/03/79 | 500 | 561,750 | ||||||||||
|
| |||||||||||
804,866 | ||||||||||||
Total Capital Trusts — 5.3% |
| 70,025,094 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.2% | ||||||||||||
Auto Components — 0.2% | ||||||||||||
UCI International, Inc., 0.00%(b) | 109,729 | 2,523,767 | ||||||||||
|
| |||||||||||
Banks — 0.0% | ||||||||||||
CF-B L2 (D) LLC, | 671,058 | 64,958 | ||||||||||
|
| |||||||||||
Total Preferred Stocks — 0.2% |
| 2,588,725 | ||||||||||
|
| |||||||||||
Total Preferred Securities— 5.5% |
| 72,613,819 | ||||||||||
|
| |||||||||||
Warrants — 0.0% |
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
SM Energy Co., (Expires 06/30/23)(a) | 106,505 | 398,329 | ||||||||||
|
| |||||||||||
Total Warrants — 0.0% |
| 398,329 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 144.2% |
| 1,892,323,712 | ||||||||||
|
|
Shares | Value | |||||||||||
Short-Term Securities — 0.3% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, | 3,394,178 | $ | 3,394,178 | |||||||||
|
| |||||||||||
Total Short-Term Securities — 0.3% |
| 3,394,178 | ||||||||||
|
| |||||||||||
Options Purchased — 0.0% |
| 7,980 | ||||||||||
|
| |||||||||||
Total Investments Before Options Written — 144.5% |
| 1,895,725,870 | ||||||||||
|
| |||||||||||
Options Written — (0.0)% |
| (4,020 | ) | |||||||||
|
| |||||||||||
Total Investments, Net of Options Written — 144.5% |
| 1,895,721,850 | ||||||||||
Liabilities in Excess of Other Assets — (44.5)% |
| (583,600,765 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 1,312,121,085 | |||||||||
|
|
(a) | Non-income producing security. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
(d) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(e) | Variable rate security. Rate shown is the rate in effect as of period end. |
(f) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(g) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) | When-issued security. |
(i) | Issuer filed for bankruptcy and/or is in default. |
(j) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(k) | Perpetual security with no stated maturity date. |
(l) | Convertible security. |
(m) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(n) | Fixed rate. |
(o) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(p) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $64,958, representing less than 0.05% of its net assets as of period end, and an original cost of $656,673. |
(q) | Annualized 7-day yield as of period end. |
(r) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliated Issuer | Shares Held at 12/31/19 | Shares Purchased | Shares Sold | Shares Held at 06/30/20 | Value at 06/30/20 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | — | 3,394,178 | (b) | — | 3,394,178 | $ | 3,394,178 | $ | 8,706 | $ | — | $ | — | |||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF (c) | 427,751 | 330,000 | (757,751 | ) | — | — | 156,483 | 177,865 | (426,425 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 3,394,178 | $ | 165,189 | $ | 177,865 | $ | (426,425 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares purchased (sold). |
(c) | As of period end, the entity is no longer held by the Trust. |
66 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
For Trust compliance purposes, the Trust’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
10-Year U.S. Treasury Note | 571 | 09/21/20 | $ | 79,467 | $ | (279,691 | ) | |||||||||
Long U.S. Treasury Bond | 55 | 09/21/20 | 9,821 | (117,118 | ) | |||||||||||
U.S. Treasury Ultra Bond | 178 | 09/21/20 | 38,832 | (460,297 | ) | |||||||||||
5-Year U.S. Treasury Note | 252 | 09/30/20 | 31,687 | (86,117 | ) | |||||||||||
|
| |||||||||||||||
$ | (943,223 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
AUD | 957,000 | USD | 657,854 | Deutsche Bank AG | 07/06/20 | $ | 2,588 | |||||||||||||
CAD | 1,943,000 | USD | 1,419,347 | JPMorgan Chase Bank N.A. | 07/06/20 | 11,873 | ||||||||||||||
EUR | 43,490,000 | USD | 48,752,290 | Goldman Sachs International | 07/06/20 | 112,682 | ||||||||||||||
GBP | 3,965,000 | USD | 4,876,914 | State Street Bank and Trust Co. | 07/06/20 | 36,233 | ||||||||||||||
USD | 38,248 | EUR | 34,000 | Barclays Bank PLC | 07/06/20 | 46 | ||||||||||||||
USD | 156,900 | GBP | 125,000 | Bank of America N.A. | 07/06/20 | 2,009 | ||||||||||||||
USD | 125,177 | GBP | 99,000 | Goldman Sachs International | 07/06/20 | 2,504 | ||||||||||||||
USD | 118,677 | GBP | 94,000 | UBS AG | 07/06/20 | 2,198 | ||||||||||||||
USD | 157,903 | GBP | 125,000 | UBS AG | 07/06/20 | 3,012 | ||||||||||||||
|
| |||||||||||||||||||
173,145 | ||||||||||||||||||||
|
| |||||||||||||||||||
USD | 634,943 | AUD | 957,000 | Bank of America N.A. | 07/06/20 | (25,500 | ) | |||||||||||||
USD | 1,411,975 | CAD | 1,943,000 | BNP Paribas S.A. | 07/06/20 | (19,245 | ) | |||||||||||||
USD | 206,540 | CHF | 200,000 | State Street Bank and Trust Co. | 07/06/20 | (4,576 | ) | |||||||||||||
USD | 210,248 | EUR | 189,000 | Canadian Imperial Bank of Commerce | 07/06/20 | (2,110 | ) | |||||||||||||
USD | 93,931 | EUR | 84,000 | Citibank N.A. | 07/06/20 | (450 | ) | |||||||||||||
USD | 62,819 | EUR | 56,000 | Natwest Markets PLC | 07/06/20 | (102 | ) | |||||||||||||
USD | 48,005,479 | EUR | 43,128,000 | UBS AG | 07/06/20 | (452,753 | ) | |||||||||||||
USD | 247,405 | GBP | 200,000 | Citibank N.A. | 07/06/20 | (421 | ) | |||||||||||||
USD | 4,092,660 | GBP | 3,323,000 | UBS AG | 07/06/20 | (24,966 | ) | |||||||||||||
USD | 657,913 | AUD | 957,000 | Deutsche Bank AG | 08/05/20 | (2,639 | ) | |||||||||||||
USD | 1,419,477 | CAD | 1,943,000 | JPMorgan Chase Bank N.A. | 08/05/20 | (11,854 | ) | |||||||||||||
USD | 48,783,777 | EUR | 43,490,000 | Goldman Sachs International | 08/05/20 | (113,286 | ) | |||||||||||||
USD | 4,877,788 | GBP | 3,965,000 | State Street Bank and Trust Co. | 08/05/20 | (36,327 | ) | |||||||||||||
|
| |||||||||||||||||||
(694,229 | ) | |||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
S&P 500 Index | 4 | 09/18/20 | USD | 3,400.00 | USD | 1,240 | $ | 7,980 | ||||||||||||||||
|
|
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
S&P 500 Index | 4 | 09/18/20 | USD | 3,500.00 | USD | 1,240 | $ | (4,020 | ) | |||||||||||||||
|
|
SCHEDULES OF INVESTMENTS | 67 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CDX.NA.HY.34.V6 | 5.00 | % | Quarterly | 06/20/25 | USD | 21,528 | $ | (121,590 | ) | $ | (1,158,053 | ) | $ | 1,036,463 | ||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Altice Finco SA | 5.00 | % | Quarterly | Credit Suisse International | 12/20/24 | EUR | 180 | $ | (12,780 | ) | $ | (22,093 | ) | $ | 9,313 | |||||||||||||||||||
Altice Finco SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | EUR | 140 | (9,940 | ) | (14,201 | ) | 4,261 | |||||||||||||||||||||||
Nordstrom Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/25 | USD | 318 | 53,255 | 75,489 | (22,234 | ) | ||||||||||||||||||||||||
SES SA | 1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 87 | 1,162 | 2,075 | (913 | ) | ||||||||||||||||||||||||
SES SA | 1.00 | Quarterly | Credit Suisse International | 06/20/25 | EUR | 83 | 1,111 | 2,191 | (1,080 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 32,808 | $ | 43,461 | $ | (10,653 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
Casino Guichard Perrachon SA | 1.00 | % | Quarterly | Barclays Bank PLC | 06/20/23 | B | EUR | 124 | $ | (18,859 | ) | $ | (10,317 | ) | $ | (8,542 | ) | |||||||||||||||||||||
Casino Guichard Perrachon SA | 1.00 | Quarterly | Citibank N.A. | 06/20/23 | B | EUR | 88 | (13,425 | ) | (8,175 | ) | (5,250 | ) | |||||||||||||||||||||||||
Casino Guichard Perrachon SA | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/23 | B | EUR | 90 | (13,678 | ) | (5,751 | ) | (7,927 | ) | |||||||||||||||||||||||||
Casino Guichard Perrachon SA | 1.00 | Quarterly | Goldman Sachs International | 12/20/23 | B | EUR | 60 | (10,858 | ) | (6,900 | ) | (3,958 | ) | |||||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 12/20/23 | NR | USD | 856 | (56,237 | ) | (46,801 | ) | (9,436 | ) | |||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 50 | (9,706 | ) | (605 | ) | (9,101 | ) | |||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 140 | (27,177 | ) | — | (27,177 | ) | ||||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 30 | (5,824 | ) | 959 | (6,783 | ) | ||||||||||||||||||||||||||
Garfunkelux Holdco 2 SA | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 70 | (13,589 | ) | 3,906 | (17,495 | ) | ||||||||||||||||||||||||||
Intrum Justitia AB | 5.00 | Quarterly | Credit Suisse International | 12/20/24 | BB | EUR | 90 | (7,681 | ) | 2,689 | (10,370 | ) | ||||||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/25 | NR | USD | 1,221 | (139,796 | ) | (165,785 | ) | 25,989 | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB | EUR | 38 | (5,909 | ) | (6,776 | ) | 867 | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB | EUR | 82 | (12,958 | ) | (14,903 | ) | 1,945 | ||||||||||||||||||||||||||
Rolls-Royce PLC | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | BB | EUR | 90 | (14,150 | ) | (13,241 | ) | (909 | ) | |||||||||||||||||||||||||
Tesco PLC | 1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | BBB- | EUR | 200 | 619 | (4,802 | ) | 5,421 | |||||||||||||||||||||||||||
Tesco PLC | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/28 | BBB- | EUR | 290 | (11,432 | ) | (25,477 | ) | 14,045 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (360,660 | ) | $ | (301,979 | ) | $ | (58,681 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
68 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
OTC Total Return Swaps
Paid by the Trust | Received by the Trust | Counterparty | Effective Date | Termination Date | Notional Amount/ Contract Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||
Rate/Reference | Frequency | Reference | Frequency | |||||||||||||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Goldman Sachs International | N/A | 09/20/20 | USD | 10,153 | $ | 336,200 | $ | 315 | $ | 335,885 | ||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | JPMorgan Chase Bank N.A. | N/A | 09/20/20 | USD | 2,000 | (1,817 | ) | 17 | (1,834 | ) | |||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Morgan Stanley & Co. International PLC | N/A | 09/20/20 | USD | 1,000 | 3,003 | 9 | 2,994 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Morgan Stanley & Co. International PLC | N/A | 09/20/20 | USD | 1,695 | 56,912 | 210 | 56,702 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Goldman Sachs International | N/A | 12/20/20 | USD | 3,413 | 144,899 | 317 | 144,582 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Goldman Sachs International | N/A | 12/20/20 | USD | 3,413 | 141,684 | 317 | 141,367 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Morgan Stanley & Co. International PLC | N/A | 12/20/20 | USD | 3,389 | 113,006 | 420 | 112,586 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | Morgan Stanley & Co. International PLC | N/A | 12/20/20 | USD | 1,707 | 64,462 | 212 | 64,250 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | JPMorgan Chase Bank N.A. | N/A | 12/20/20 | USD | 3,000 | 125,952 | 372 | 125,580 | |||||||||||||||||||||||||
3-Month LIBOR, 0.30% | Quarterly | | IBOXX US Dollar Liquid High Yield | | At Maturity | JPMorgan Chase Bank N.A. | N/A | 12/20/20 | USD | 3,413 | 135,274 | 423 | 134,851 | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
$ | 1,119,575 | $ | 2,612 | $ | 1,116,963 | |||||||||||||||||||||||||||||||||
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Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | (1,158,053 | ) | $ | 1,036,463 | $ | — | $ | — | |||||||||
OTC Swaps | 89,921 | (345,827 | ) | 1,180,638 | (133,009 | ) | — | |||||||||||||
Options Written | N/A | N/A | 2,151 | — | (4,020 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 173,145 | $ | — | $ | — | $ | 173,145 | ||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(a) | — | — | 7,980 | — | — | — | 7,980 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(b) | — | 1,036,463 | — | — | — | — | 1,036,463 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 149,150 | — | — | 1,121,409 | — | 1,270,559 | |||||||||||||||||||||
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$ | — | $ | 1,185,613 | $ | 7,980 | $ | 173,145 | $ | 1,121,409 | $ | — | $ | 2,488,147 | |||||||||||||||
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SCHEDULES OF INVESTMENTS | 69 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Derivative Financial Instruments Categorized by Risk Exposure (continued)
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(b) | $ | — | $ | — | $ | — | $ | — | $ | 943,223 | $ | — | $ | 943,223 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 694,229 | — | — | 694,229 | |||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written at value | — | — | 4,020 | — | — | — | 4,020 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 477,002 | — | — | 1,834 | — | 478,836 | |||||||||||||||||||||
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$ | — | $ | 477,002 | $ | 4,020 | $ | 694,229 | $ | 945,057 | $ | — | $ | 2,120,308 | |||||||||||||||
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(a) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
(b) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (2,636,659 | ) | $ | — | $ | (308,869 | ) | $ | — | $ | (2,945,528 | ) | |||||||||||
Forward foreign currency exchange contracts | — | — | — | 205,974 | — | — | 205,974 | |||||||||||||||||||||
Options purchased(a) | — | (341,596 | ) | 239,293 | — | (455,260 | ) | — | (557,563 | ) | ||||||||||||||||||
Options written | — | — | (231,136 | ) | — | (4,505,328 | ) | — | (4,736,464 | ) | ||||||||||||||||||
Swaps | — | (4,722,792 | ) | — | — | (33,204 | ) | — | (4,755,996 | ) | ||||||||||||||||||
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| |||||||||||||||
$ | — | $ | (5,064,388 | ) | $ | (2,628,502 | ) | $ | 205,974 | $ | (5,302,661 | ) | $ | — | $ | (12,789,577 | ) | |||||||||||
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(a) | Options purchased are included in net realized gain (loss) from investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 853 | $ | — | $ | (978,402 | ) | $ | — | $ | (977,549 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 514,955 | — | — | 514,955 | |||||||||||||||||||||
Options purchased(a) | — | — | (3,989 | ) | — | 13,958 | — | 9,969 | ||||||||||||||||||||
Options written | — | — | 2,151 | — | 1,271 | — | 3,422 | |||||||||||||||||||||
Swaps | — | 256,511 | — | — | 1,116,963 | — | 1,373,474 | |||||||||||||||||||||
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| |||||||||||||||
$ | — | $ | 256,511 | $ | (985 | ) | $ | 514,955 | $ | 153,790 | $ | — | $ | 924,271 | ||||||||||||||
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(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments |
70 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: |
| |||
Average notional value of contracts — long | $ | — | (a) | |
Average notional value of contracts — short | 97,052,211 | |||
Forward foreign currency exchange contracts: |
| |||
Average amounts purchased — in USD | 110,109,668 | |||
Average amounts sold — in USD | 54,977,351 | |||
Options: | ||||
Average value of option contracts purchased | 769,308 | |||
Average value of option contracts written | 473,580 | |||
Average notional value of swaption contracts purchased | 64,805,000 | |||
Average notional value of swaption contracts written | 25,805,000 | |||
Credit default swaps: | ||||
Average notional value — buy protection | 610,815 | |||
Average notional value — sell protection | 41,324,470 | |||
Total return swaps: |
| |||
Average notional value | 16,591,500 |
(a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | 315,912 | $ | — | ||||
Forward foreign currency exchange contracts | 173,145 | 694,229 | ||||||
Options | 7,980 | (a) | 4,020 | |||||
Swaps — Centrally cleared | 11,000 | — | ||||||
Swaps — OTC(b) | 1,270,559 | 478,836 | ||||||
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| |||||
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | $ | 1,778,596 | $ | 1,177,085 | ||||
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| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (334,892 | ) | (4,020 | ) | ||||
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| |||||
Total derivative assets and liabilities subject to an MNA | $ | 1,443,704 | $ | 1,173,065 | ||||
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|
(a) | Includes options purchased at value which is included in Investments at value—unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Consolidated Statement of Assets and Liabilities. |
The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received (b) | Net Amount of Derivative Assets | |||||||||||||||
Bank of America N.A.. | $ | 2,009 | $ | (2,009 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 106,945 | (106,945 | ) | — | — | — | ||||||||||||||
Citibank N.A. | 2,812 | (2,812 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 25,394 | (25,394 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 2,588 | (2,588 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 737,969 | (124,144 | ) | — | (613,825 | ) | — | |||||||||||||
JPMorgan Chase Bank N.A. | 273,116 | (41,516 | ) | — | (231,600 | ) | — | |||||||||||||
Morgan Stanley & Co. International PLC | 251,428 | (25,477 | ) | — | (225,951 | ) | — | |||||||||||||
State Street Bank and Trust Co. | 36,233 | (36,233 | ) | — | — | — | ||||||||||||||
UBS AG | 5,210 | (5,210 | ) | — | — | — | ||||||||||||||
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| |||||||||||
$ | 1,443,704 | $ | (372,328 | ) | $ | — | $ | (1,071,376 | ) | $ | — | |||||||||
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SCHEDULES OF INVESTMENTS | 71 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged (c) | Net Amount of Derivative Liabilities (d)(e) | |||||||||||||||
Bank of America N.A. | $ | 25,500 | $ | (2,009 | ) | $ | — | $ | — | $ | 23,491 | |||||||||
Barclays Bank PLC | 267,917 | (106,945 | ) | — | (160,972 | ) | — | |||||||||||||
BNP Paribas S.A. | 19,245 | — | — | — | 19,245 | |||||||||||||||
Canadian Imperial Bank of Commerce | 2,110 | — | — | — | 2,110 | |||||||||||||||
Citibank N.A. | 35,975 | (2,812 | ) | — | — | 33,163 | ||||||||||||||
Credit Suisse International | 109,818 | (25,394 | ) | — | — | 84,424 | ||||||||||||||
Deutsche Bank AG | 2,639 | (2,588 | ) | — | — | 51 | ||||||||||||||
Goldman Sachs International | 124,144 | (124,144 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 41,516 | (41,516 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 25,477 | (25,477 | ) | — | — | — | ||||||||||||||
Natwest Markets PLC | 102 | — | — | — | 102 | |||||||||||||||
State Street Bank and Trust Co. | 40,903 | (36,233 | ) | — | — | 4,670 | ||||||||||||||
UBS AG | 477,719 | (5,210 | ) | — | — | 472,509 | ||||||||||||||
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| |||||||||||
$ | 1,173,065 | $ | (372,328 | ) | $ | — | $ | (160,972 | ) | $ | 639,765 | |||||||||
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(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statement of Assets and Liabilities. |
(e) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments: |
| |||||||||||||||
Long-Term Investments: |
| |||||||||||||||
Common Stocks | $ | 20,987,185 | $ | 56,625 | $ | 660,764 | $ | 21,704,574 | ||||||||
Asset-Backed Securities | — | 2,934,661 | — | 2,934,661 | ||||||||||||
Corporate Bonds | 119,832 | 1,635,765,143 | 24,419 | 1,635,909,394 | ||||||||||||
Floating Rate Loan Interests | — | 149,419,844 | 9,343,079 | 158,762,923 | ||||||||||||
Other Interests | — | — | 12 | 12 | ||||||||||||
Preferred Securities | — | 70,025,094 | 2,523,767 | 72,548,861 | ||||||||||||
Warrants | — | 398,329 | — | 398,329 | ||||||||||||
Options Purchased: |
| |||||||||||||||
Equity Contracts | 7,980 | — | — | 7,980 | ||||||||||||
Short-Term Securities | 3,394,178 | — | — | 3,394,178 | ||||||||||||
Unfunded floating rate loan interests (a) | — | 28,709 | — | 28,709 | ||||||||||||
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| |||||||||
Subtotal | $ | 24,509,175 | $ | 1,858,628,405 | $ | 12,552,041 | $ | 1,895,689,621 | ||||||||
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|
| |||||||||
Investments Valued at NAV(b) | 64,958 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 1,895,754,579 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments (c) |
| |||||||||||||||
Assets: |
| |||||||||||||||
Credit contracts | $ | — | $ | 1,098,304 | $ | — | $ | 1,098,304 | ||||||||
Foreign currency exchange contracts | — | 173,145 | — | 173,145 | ||||||||||||
Interest rate contracts | — | 1,118,797 | — | 1,118,797 | ||||||||||||
Liabilities: |
| |||||||||||||||
Credit contracts | — | (131,175 | ) | — | (131,175 | ) | ||||||||||
Equity contracts | (4,020 | ) | — | — | (4,020 | ) | ||||||||||
Foreign currency exchange contracts | — | (694,229 | ) | — | (694,229 | ) | ||||||||||
Interest rate contracts | (943,223 | ) | (1,834 | ) | — | (945,057 | ) | |||||||||
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|
| |||||||||
$ | (947,243 | ) | $ | 1,563,008 | $ | — | $ | 615,765 | ||||||||
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|
72 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
The breakdown of the Trust’s investments into major categories is disclosed in the Consolidated Schedule of Investments above.
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Trust were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $617,000,000 are categorized as Level 2 within the disclosure hierarchy.
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Preferred Securities | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Opening Balance, as of December 31, 2019 | $ | 2,297,448 | $ | 25,016 | $ | 12,707,738 | $ | 12 | $ | 2,496,335 | $ | 17,526,549 | ||||||||||||
Transfers into Level 3 | — | — | 3,253,906 | — | — | 3,253,906 | ||||||||||||||||||
Transfers out of Level 3 | — | — | (2,985,152 | ) | — | — | (2,985,152 | ) | ||||||||||||||||
Accrued discounts/premiums | — | — | 5,359 | — | — | 5,359 | ||||||||||||||||||
Net realized gain (loss) | — | 1,838 | (259,639 | ) | — | — | (257,801 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) | (1,704,161 | ) | (597 | ) | (152,642 | ) | — | 27,432 | (1,829,968 | ) | ||||||||||||||
Purchases | 67,477 | — | 3,504,731 | — | — | 3,572,208 | ||||||||||||||||||
Sales | — | (1,838 | ) | (6,731,222 | ) | — | — | (6,733,060 | ) | |||||||||||||||
|
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|
|
|
|
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| |||||||||||||
Closing Balance, as June 30, 2020 | $ | 660,764 | $ | 24,419 | $ | 9,343,079 | $ | 12 | $ | 2,523,767 | $ | 12,552,041 | ||||||||||||
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| |||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 (b) | $ | (1,704,161 | ) | $ | (597 | ) | $ | (304,551 | ) | $ | — | $ | 27,432 | $ | (1,981,877 | ) | ||||||||
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|
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 73 |
Statements of Assets and Liabilities (unaudited)
June 30, 2020
BHK | HYT(a) | |||||||
ASSETS | ||||||||
Investments at value — unaffiliated(b) | $ | 1,278,045,003 | $ | 1,892,331,692 | ||||
Investments at value — affiliated(c) | 39,727,383 | 3,394,178 | ||||||
Cash | — | 363,948 | ||||||
Cash pledged: | ||||||||
Collateral — OTC derivatives | 13,398,000 | 240,000 | ||||||
Futures contracts | 1,508,970 | 3,450,000 | ||||||
Centrally cleared swaps | 1,941,940 | 2,990,000 | ||||||
Foreign currency at value(d) | 2,096,407 | 1,204,597 | ||||||
Receivables: | ||||||||
Investments sold | 4,279,746 | 44,050,141 | ||||||
Options written | 128,074 | — | ||||||
TBA sale commitments | 61,974,988 | — | ||||||
Dividends — affiliated | 3,262 | 230 | ||||||
Dividends — unaffiliated | 24,339 | 64,679 | ||||||
Interest — unaffiliated | 10,616,482 | 26,523,417 | ||||||
Principal paydowns | 17,455 | — | ||||||
Variation margin on futures contracts | 41,375 | 315,912 | ||||||
Variation margin on centrally cleared swaps | 88,122 | 11,000 | ||||||
Swap premiums paid | 1,060 | 89,921 | ||||||
Unrealized appreciation on: | ||||||||
Forward foreign currency exchange contracts | 60,984 | 173,145 | ||||||
OTC swaps | 656,635 | 1,180,638 | ||||||
Unfunded floating rate loan interests | — | 28,709 | ||||||
Prepaid expenses | 11,651 | 38,155 | ||||||
|
|
|
| |||||
Total assets | 1,414,621,876 | 1,976,450,362 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Bank overdraft | 577,502 | — | ||||||
Cash received: | ||||||||
Collateral — reverse repurchase agreements | 28,527,475 | — | ||||||
Collateral — OTC derivatives | 330,000 | 1,670,000 | ||||||
Options written at value(e) | 8,837,148 | 4,020 | ||||||
TBA sale commitments at value(f) | 62,315,625 | — | ||||||
Reverse repurchase agreements at value | 274,674,153 | — | ||||||
Payables: | ||||||||
Investments purchased | 169,628,331 | 40,789,245 | ||||||
Bank borrowings | — | 617,000,000 | ||||||
Income dividend distributions | 85,853 | 903,257 | ||||||
Interest expense | — | 502,185 | ||||||
Investment advisory fees | 460,678 | 945,391 | ||||||
Trustees’ and Officer’s | 220,802 | 593,603 | ||||||
Options written | 34,861 | — | ||||||
Other accrued expenses | 423,625 | 748,511 | ||||||
Variation margin on futures contracts | 159,742 | — | ||||||
Swap premiums received | 7,096,252 | 345,827 | ||||||
Unrealized depreciation on: | ||||||||
Forward foreign currency exchange contracts | 196,435 | 694,229 | ||||||
OTC swaps | 3,928,925 | 133,009 | ||||||
|
|
|
| |||||
Total liabilities | 557,497,407 | 664,329,277 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 857,124,469 | $ | 1,312,121,085 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF | ||||||||
Paid-in capital(g)(h)(i) | $ | 754,357,286 | $ | 1,576,025,774 | ||||
Accumulated earnings (loss) | 102,767,183 | (263,904,689 | ) | |||||
|
|
|
| |||||
NET ASSETS | $ | 857,124,469 | $ | 1,312,121,085 | ||||
|
|
|
| |||||
Net asset value | $ | 15.89 | $ | 10.76 | ||||
|
|
|
| |||||
(a) Consolidated Statement of Assets and Liabilities | ||||||||
(b) Investments at cost — unaffiliated | $ | 1,175,550,741 | $ | 1,943,124,287 | ||||
(c) Investments at cost — affiliated | $ | 39,727,383 | $ | 3,394,178 | ||||
(d) Foreign currency at cost | $ | 2,076,354 | $ | 1,203,000 | ||||
(e) Premiums received | $ | 8,550,224 | $ | 6,171 | ||||
(f) Proceeds from TBA sale commitments | $ | 61,974,988 | $ | — | ||||
(g) Par value | $ | 0.001 | $ | 0.100 | ||||
(h) Shares outstanding | 53,935,126 | 121,904,056 | ||||||
(i) Shares authorized | Unlimited | 200 million |
See notes to financial statements.
74 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Operations (unaudited)
Six Months Ended June 30, 2020
BHK | HYT(a) | |||||||
INVESTMENT INCOME |
| |||||||
Dividends — affiliated | $ | 98,252 | $ | 165,189 | ||||
Dividends — unaffiliated | 197,687 | 223,252 | ||||||
Interest — unaffiliated | 23,215,180 | 58,016,618 | ||||||
Other income | — | 314,140 | ||||||
Foreign taxes withheld | (5,845 | ) | (675 | ) | ||||
|
|
|
| |||||
Total investment income | 23,505,274 | 58,718,524 | ||||||
|
|
|
| |||||
EXPENSES |
| |||||||
Investment advisory | 2,756,417 | 5,682,732 | ||||||
Professional | 89,580 | 151,105 | ||||||
Accounting services | 72,913 | 107,066 | ||||||
Custodian | 48,771 | 41,308 | ||||||
Transfer agent | 39,910 | 71,622 | ||||||
Printing | 12,408 | 17,109 | ||||||
Registration | 9,826 | 24,426 | ||||||
Trustees and Officer | 6,607 | — | ||||||
Miscellaneous | 92,808 | 49,278 | ||||||
|
|
|
| |||||
Total expenses excluding interest expense | 3,129,240 | 6,144,646 | ||||||
Interest expense | 1,166,900 | 4,675,910 | ||||||
|
|
|
| |||||
Total expenses | 4,296,140 | 10,820,556 | ||||||
Less fees waived and/or reimbursed by the Manager | (12,392 | ) | (32,822 | ) | ||||
|
|
|
| |||||
Total expenses after fees waived and/or reimbursed | 4,283,748 | 10,787,734 | ||||||
|
|
|
| |||||
Net investment income | 19,221,526 | 47,930,790 | ||||||
|
|
|
| |||||
REALIZED AND UNREALIZED GAIN (LOSS) |
| |||||||
Net realized gain (loss) from: |
| |||||||
Futures contracts | 14,720,931 | (2,945,528 | ) | |||||
Forward foreign currency exchange contracts | 478,481 | 205,974 | ||||||
Foreign currency transactions | (72,035 | ) | 3,295 | |||||
Investments — affiliated | — | 177,865 | ||||||
Investments — unaffiliated | (1,276,146 | ) | (43,313,164 | ) | ||||
Options written | 1,374,897 | (4,736,464 | ) | |||||
Swaps | (2,494,136 | ) | (4,755,996 | ) | ||||
|
|
|
| |||||
12,731,992 | (55,364,018 | ) | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Futures contracts | 1,471,310 | (977,549 | ) | |||||
Forward foreign currency exchange contracts | 30,441 | 514,955 | ||||||
Foreign currency translations | 1,204 | (9,353 | ) | |||||
Investments — affiliated | — | (426,425 | ) | |||||
Investments — unaffiliated | 25,853,258 | (85,259,055 | ) | |||||
Options written | (2,756,973 | ) | 3,422 | |||||
Swaps | (7,539,813 | ) | 1,373,474 | |||||
Unfunded floating rate loan interests | (7,384 | ) | (51,291 | ) | ||||
|
|
|
| |||||
17,052,043 | (84,831,822 | ) | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 29,784,035 | (140,195,840 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 49,005,561 | $ | (92,265,050 | ) | |||
|
|
|
|
(a) | Consolidated Statement of Operations. |
See notes to financial statements.
FINANCIAL STATEMENTS | 75 |
Statements of Changes in Net Assets
BHK | HYT(a) | |||||||||||||||||||||||||||||||||||
Six Months Ended 06/30/20 (unaudited) | Period from 09/01/19 to | Year Ended 08/31/19 | Six Months (unaudited) | Period from 09/01/19 to | Year Ended 08/31/19 | |||||||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 19,221,526 | $ | 11,549,998 | $ | 35,463,470 | $ | 47,930,790 | $ | 30,768,015 | $ | 97,471,136 | ||||||||||||||||||||||||
Net realized gain (loss) | 12,731,992 | (3,632,135 | ) | 7,295,704 | (55,364,018 | ) | (141,412 | ) | (67,566,669 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 17,052,043 | (15,398,745 | ) | 91,036,294 | (84,831,822 | ) | 27,567,317 | 60,848,469 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 49,005,561 | (7,480,882 | ) | 133,795,468 | (92,265,050 | ) | 58,193,920 | 90,752,936 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||||||||||||||||||||||||||||||||||
From net investment income and net realized gain | (18,230,072 | ) | (16,633,478 | ) | (41,530,051 | ) | (47,481,630 | )(c) | (43,177,944 | ) | (106,289,272 | ) | ||||||||||||||||||||||||
From return of capital | — | (1,186,687 | ) | — | — | (3,584,451 | ) | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Decrease in net assets resulting from distributions to Common shareholders | (18,230,072 | ) | (17,820,165 | ) | (41,530,051 | ) | (47,481,630 | ) | (46,762,395 | ) | (106,289,272 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||||||||||||||||||
Redemption of shares resulting from share repurchase program (including transaction costs) | — | — | — | — | — | (26,449,511 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||||||||||
Total increase (decrease) in net assets | 30,775,489 | (25,301,047 | ) | 92,265,417 | (139,746,680 | ) | 11,431,525 | (41,985,847 | ) | |||||||||||||||||||||||||||
Beginning of period | 826,348,980 | 851,650,027 | 759,384,610 | 1,451,867,765 | 1,440,436,240 | 1,482,422,087 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
End of period | $ | 857,124,469 | $ | 826,348,980 | $ | 851,650,027 | $ | 1,312,121,085 | $ | 1,451,867,765 | $ | 1,440,436,240 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Consolidated Statement of Changes. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end. |
See notes to financial statements.
76 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Cash Flows (unaudited)
Six Months Ended June 30, 2020
BHK | HYT(a) | |||||||
CASH PROVIDED BY OPERATING ACTIVITIES |
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 49,005,561 | $ | (92,265,050 | ) | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |
| |||||||
Proceeds from sales of long-term investments and principal paydowns | 454,598,784 | 1,029,926,293 | ||||||
Purchases of long-term investments | (459,992,734 | ) | (1,008,826,790 | ) | ||||
Net proceeds from purchases of short-term securities | (27,353,097 | ) | (7,026,889 | ) | ||||
Amortization of premium and accretion of discount on investments and other fees | 1,422,047 | (49,508 | ) | |||||
Premiums received from options written | 4,575,558 | 5,910,723 | ||||||
Premiums paid on closing options written | (3,896,733 | ) | (10,692,626 | ) | ||||
Net realized (gain) loss on investments | (98,751 | ) | 47,871,763 | |||||
Net unrealized (appreciation) depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | (15,578,741 | ) | 84,046,091 | |||||
(Increase) Decrease in Assets: |
| |||||||
Receivables: |
| |||||||
Dividends — affiliated | 16,083 | 2,838 | ||||||
Dividends — unaffiliated | (3 | ) | (64,679 | ) | ||||
Interest — unaffiliated | 239,262 | 2,568,938 | ||||||
Variation margin on futures contracts | 100,952 | (313,599 | ) | |||||
Variation margin on centrally cleared swaps | 104,073 | (11,000 | ) | |||||
Swap premiums paid | 3,072 | (62,375 | ) | |||||
Prepaid expenses | (5,286 | ) | (27,232 | ) | ||||
Increase (Decrease) in Liabilities: |
| |||||||
Cash received |
| |||||||
Collateral — OTC derivatives | — | 1,670,000 | ||||||
Collateral — reverse repurchase agreements | 24,532,188 | — | ||||||
Payables: |
| |||||||
Investment advisory fees | (453,078 | ) | (1,047,619 | ) | ||||
Interest expense and fees | (1,135,110 | ) | (764,058 | ) | ||||
Trustees’ and Officer’s fees | (14,882 | ) | (80,343 | ) | ||||
Variation margin on futures contracts | (198,528 | ) | (3,827 | ) | ||||
Variation margin on centrally cleared swaps | — | (2,395 | ) | |||||
Other accrued expenses | (92,673 | ) | (107,507 | ) | ||||
Swap premiums received | 2,286,576 | (19,905 | ) | |||||
|
|
|
| |||||
Net cash provided by operating activities | 28,064,540 | 50,631,244 | ||||||
|
|
|
| |||||
CASH USED FOR FINANCING ACTIVITIES |
| |||||||
Cash dividends paid to Common Shareholders | (21,790,234 | ) | (56,074,699 | ) | ||||
Payments for bank borrowings | — | (468,000,000 | ) | |||||
Proceeds from bank borrowings | — | 478,000,000 | ||||||
Increase in bank overdraft | 577,502 | — | ||||||
Net borrowing of reverse repurchase agreements | 4,060,552 | — | ||||||
|
|
|
| |||||
Net cash used for financing activities | (17,152,180 | ) | (46,074,699 | ) | ||||
|
|
|
| |||||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |
| |||||||
Cash impact from foreign exchange fluctuations | $ | 2,590 | $ | (8,722 | ) | |||
|
|
|
| |||||
CASH AND FOREIGN CURRENCY | ||||||||
Net increase in restricted and unrestricted cash and foreign currency | 10,914,950 | 4,547,823 | ||||||
Restricted and unrestricted cash and foreign currency at beginning of period | 8,030,367 | 3,700,722 | ||||||
|
|
|
| |||||
Restricted and unrestricted cash and foreign currency at end of period | $ | 18,945,317 | $ | 8,248,545 | ||||
|
|
|
| |||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
| |||||||
Cash paid during the period for interest expense | $ | 2,302,010 | $ | 6,444,338 | ||||
|
|
|
|
See notes to financial statements.
FINANCIAL STATEMENTS | 77 |
Statements of Cash Flows (unaudited) (continued)
Six Months Ended June 30, 2020
BHK | HYT(a) | |||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||
Cash | $ | — | $ | 363,948 | ||||
Cash pledged: |
| |||||||
Collateral — OTC derivatives | 13,398,000 | 240,000 | ||||||
Futures contracts | 1,508,970 | 3,450,000 | ||||||
Centrally cleared swaps | 1,941,940 | 2,990,000 | ||||||
Foreign currency at value | 2,096,407 | 1,204,597 | ||||||
|
|
|
| |||||
$ | 18,945,317 | $ | 8,248,545 | |||||
|
|
|
| |||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||
Cash | $ | 94,669 | $ | 782,055 | ||||
Cash pledged: |
| |||||||
Collateral — OTC derivatives | 1,788,000 | 410,000 | ||||||
Futures contracts | 1,981,092 | 47,150 | ||||||
Centrally cleared swaps | 3,264,940 | 1,418,000 | ||||||
Foreign currency at value | 901,666 | 1,043,517 | ||||||
|
|
|
| |||||
$ | 8,030,367 | $ | 3,700,722 | |||||
|
|
|
|
(a) | Consolidated Statement of Cash Flows. |
See notes to financial statements.
78 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
(For a share outstanding throughout each period)
BHK | ||||||||||||||||||||||||||||||||
Six Months Ended 06/30/20 (unaudited) | Period from 09/01/19 | Year Ended August 31, | ||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.32 | $ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | $ | 14.29 | $ | 15.24 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income(a) | 0.36 | 0.22 | 0.66 | 0.72 | 0.76 | 0.79 | 0.86 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.55 | (0.36 | ) | 1.82 | (0.82 | ) | (0.27 | ) | 1.01 | (0.73 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase (decrease) from investment operations | 0.91 | (0.14 | ) | 2.48 | (0.10 | ) | 0.49 | 1.80 | 0.13 | |||||||||||||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||||||||
Distributions(b) |
| |||||||||||||||||||||||||||||||
From net investment income | (0.34 | ) | (0.27 | ) | (0.73 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | (1.04 | ) | ||||||||||||||||||
From net realized gain | — | (0.04 | ) | (0.04 | ) | — | — | — | — | |||||||||||||||||||||||
From return of capital | — | (0.02 | ) | — | — | — | — | — | ||||||||||||||||||||||||
In excess of net investment income(c) | — | — | — | — | — | — | (0.04 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions | (0.34 | ) | (0.33 | ) | (0.77 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | (1.08 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 15.89 | $ | 15.32 | $ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | $ | 14.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Market price, end of period | $ | 15.37 | $ | 14.58 | $ | 14.56 | $ | 12.85 | $ | 14.10 | $ | 14.33 | $ | 12.63 | ||||||||||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Total Return(d) |
| |||||||||||||||||||||||||||||||
Based on net asset value | 6.10 | %(e) | (0.75 | )%(e) | 18.86 | % | (0.24 | )% | 3.88 | % | 13.67 | % | 1.62 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Based on market price | 7.84 | %(e) | 2.43 | %(e) | 20.09 | % | (3.40 | )% | 4.20 | % | 20.85 | % | 0.35 | % | ||||||||||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Ratios to Average Net Assets |
| |||||||||||||||||||||||||||||||
Total expenses | 1.04 | %(f)(g) | 1.42 | %(f)(h) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | 0.95 | %(i) | ||||||||||||||||||
|
|
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 1.03 | %(f)(g) | 1.42 | %(f) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | 0.95 | %(i) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.75 | %(f)(g) | 0.79 | %(f) | 0.77 | % | 0.82 | % | 0.78 | % | 0.78 | % | 0.82 | %(i) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income | 4.63 | %(f)(g) | 4.15 | %(f) | 4.63 | % | 4.99 | % | 5.19 | % | 5.48 | % | 5.83 | % | ||||||||||||||||||
|
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|
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|
|
|
|
| |||||||||||||||||||
Supplemental Data |
| |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 857,124 | $ | 826,349 | $ | 851,650 | $ | 759,385 | $ | 806,848 | $ | 822,549 | $ | 770,822 | ||||||||||||||||||
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 274,674 | $ | 271,749 | $ | 273,621 | $ | 316,216 | $ | 289,078 | $ | 288,239 | $ | 303,651 | ||||||||||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Portfolio turnover rate(j) | 44 | % | 21 | % | 27 | % | 28 | % | 32 | % | 35 | % | 55 | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Taxable distribution. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Aggregate total return. |
(f) | Annualized. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
(h) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.45%. |
(i) | Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015. |
(j) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/20 (unaudited) |
| Period from 09/01/19 | Year Ended August 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 30 | % | 11 | % | 27 | % | 28 | % | 32 | % | 35 | % | 51 | % | ||||||||||||||||||||||
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See notes to financial statements.
FINANCIAL HIGHLIGHTS | 79 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
HYT | ||||||||||||||||||||||||||||||||
Six Months Ended 06/30/20 (unaudited) | Period from 09/01/19 | Year Ended August 31, | ||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.91 | $ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | $ | 12.06 | $ | 13.47 | ||||||||||||||||||
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Net investment income(a) | 0.39 | 0.25 | 0.79 | 0.83 | 0.85 | 0.82 | 0.87 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.15 | ) | 0.22 | (0.01 | ) | (0.31 | ) | 0.47 | (0.10 | ) | (1.31 | ) | ||||||||||||||||||||
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Net increase (decrease) from investment operations | (0.76 | ) | 0.47 | 0.78 | 0.52 | 1.32 | 0.72 | (0.44 | ) | |||||||||||||||||||||||
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Distributions(b) |
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From net investment income | (0.39 | )(c) | (0.35 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | (0.97 | ) | ||||||||||||||||||
From return of capital | — | (0.03 | ) | — | — | — | — | — | ||||||||||||||||||||||||
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Total distributions | (0.39 | ) | (0.38 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | (0.97 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 10.76 | $ | 11.91 | $ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | $ | 12.06 | (d) | |||||||||||||||||
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Market price, end of period | $ | 10.17 | $ | 11.20 | $ | 10.51 | $ | 10.70 | $ | 11.13 | $ | 10.88 | $ | 9.97 | ||||||||||||||||||
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Total Return(e) |
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Based on net asset value | (6.04 | )%(f) | 4.28 | %(f) | 8.06 | % | 5.25 | % | 12.41 | %(g) | 7.76 | % | (2.40 | )%(d) | ||||||||||||||||||
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Based on market price | (5.56 | )%(f) | 10.28 | %(f) | 6.86 | % | 3.91 | % | 10.94 | % | 20.29 | % | (9.96 | )% | ||||||||||||||||||
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Ratios to Average Net Assets(h) |
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Total expenses | 1.64 | %(i) | 1.92 | %(i)(j) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | %(k) | 1.37 | % | ||||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 1.64 | %(i) | 1.92 | %(i) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | % | 1.37 | % | ||||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.93 | %(i) | 0.93 | %(i) | 0.92 | % | 0.94 | % | 0.91 | % | 0.93 | % | 0.96 | % | ||||||||||||||||||
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Net investment income | 7.28 | %(i) | 6.39 | %(i) | 6.87 | % | 6.88 | % | 7.04 | % | 7.30 | % | 6.88 | % | ||||||||||||||||||
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Supplemental Data |
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Net assets, end of period (000) | $ | 1,312,121 | $ | 1,451,868 | $ | 1,440,436 | $ | 1,482,422 | $ | 1,545,622 | $ | 1,492,948 | $ | 1,527,307 | ||||||||||||||||||
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Borrowings outstanding, end of period (000) | $ | 617,000 | $ | 607,000 | $ | 486,000 | $ | 647,000 | $ | 649,000 | $ | 604,000 | $ | 631,000 | ||||||||||||||||||
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Asset coverage, end of period per $1,000 of bank borrowings | 3,128 | 3,392 | 3,965 | 3,292 | 3,382 | 3,472 | 3,419 | |||||||||||||||||||||||||
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Portfolio turnover rate | 54 | % | 20 | % | 64 | % | 65 | % | 75 | % | 66 | % | 57 | % | ||||||||||||||||||
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(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end. |
(d) | For financial reporting purposes, the market value of certain total return swaps were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on August 31, 2015. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Aggregate total return. |
(g) | Includes payment received from an affiliate, which had no impact on the Trust’s total return. |
(h) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/20 (unaudited) |
| Period from 09/01/19 | Year Ended August 31, | |||||||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | — | % | 0.01 | % | 0.04 | % | 0.11 | % | — | % | ||||||||||||||||||||||
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(i) | Annualized. |
(j) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.95%. |
(k) | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively. |
See notes to financial statements.
80 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) |
1. | ORGANIZATION |
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:
Trust Name | Herein Referred To As | Organized | Diversification Classification | |||
BlackRock Core Bond Trust | BHK | Delaware | Diversified | |||
BlackRock Corporate High Yield Fund, Inc. | HYT | Maryland | Diversified |
The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
On September 5, 2019, the Board approved a change in the fiscal year-end of BHK and HYT, effective as of December 31, 2019, from August 31 to December 31.
Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (collectively, the “Taxable Subsidiaries”), which are wholly-owned taxable subsidiaries of HYT and which hold shares of private Canadian companies. Gains on the sale of such shares will generally not be subject to capital gains taxes in Canada. Income earned on the investments held by the Taxable Subsidiaries may be taxable to such subsidiary in Luxembourg. An income tax provision for income, is shown as income tax in the Consolidated Statement of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiaries as of period end were $307,351, which is less than 0.1% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to HYT.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Trusts are recorded on the ex-dividend dates. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income and net realized and unrealized gains on investments and/or return of capital.
NOTESTO FINANCIAL STATEMENTS | 81 |
Notes to Financial Statements (unaudited) (continued)
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.
Recent Accounting Standards: The Trusts have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Trusts have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Trusts applied the amendments on a modified retrospective basis beginning with the fiscal period ended June 30, 2020. The adjusted cost basis of securities at December 31, 2019 are as follows:
BHK | $ | 1,090,384,851 | ||
HYT | 2,017,057,740 |
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of the Trusts.
Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
82 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
• | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. |
• | Investments in open-end U.S. mutual funds are valued at NAV each business day. |
• | Futures contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
• | Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
• | To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services | ||
Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. | |
Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.
NOTESTO FINANCIAL STATEMENTS | 83 |
Notes to Financial Statements (unaudited) (continued)
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2020, certain investments of HYT were fair valued using net asset value per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
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Notes to Financial Statements (unaudited) (continued)
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, certain trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a trust earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, HYT had the following unfunded floating rate loan interests:
Trust Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
HYT | Intelsat Jackson Holdings SA. | $ | 2,174,127 | $ | 2,173,964 | $ | 2,202,673 | $ | 28,709 |
Forward Commitments, When-Issued and Delayed Delivery Securities: Certain funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the
NOTESTO FINANCIAL STATEMENTS | 85 |
Notes to Financial Statements (unaudited) (continued)
settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended June 30, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BHK were $ 274,724,086 and 0.85%, respectively.
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
86 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of BHK’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
BHK | ||||||||||||||||
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-cash Collateral Pledged Including Accrued Interest (a) | Cash Collateral Pledged/Received | Net Amount (b) | ||||||||||||
BNP Paribas S.A. | $ | 120,527,411 | $ | (120,527,411 | ) | $ | — | $ | — | |||||||
BofA Securities, Inc. | 63,515 | (63,515 | ) | — | — | |||||||||||
Credit Agricole Corporate And Inves | 69,177,322 | (69,177,322 | ) | — | — | |||||||||||
Nomura Securities International, Inc. | 84,905,905 | (84,905,905 | ) | — | — | |||||||||||
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$ | 274,674,153 | $ | (274,674,153 | ) | $ | — | $ | — | ||||||||
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(a) | Net collateral, including accrued interest, with a value of $276,649,010 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amounts reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.
Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
NOTESTO FINANCIAL STATEMENTS | 87 |
Notes to Financial Statements (unaudited) (continued)
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
• | Swaptions — Certain Trusts purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
• | Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Trust would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into. |
• | Foreign currency options — Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
88 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.
Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.
For such services, BHK pays the Manager a monthly fee at an annual rate equal to 0.50% of the average weekly value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” are determined as total assets of the Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
For such services, HYT pays the Manager a monthly fee at an annual rate equal to 0.60% of the average daily value of the Trust’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” mean the total assets of the Trust minus the sum of its accrued liabilities.
The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, HYT pays the Manager based on HYT’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiaries.
Effective November 21, 2019, with respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and, with respect to BHK, BlackRock (Singapore) Limited (“BRS”) (together, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide for that portion of each Trust for which BIL and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.
NOTESTO FINANCIAL STATEMENTS | 89 |
Notes to Financial Statements (unaudited) (continued)
Expense Waivers and Reimbursements: With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2021. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived were as follows:
BHK | HYT | |||||||
Amounts waived | $ | 12,392 | $ | 705 |
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2021. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. This amount is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the six months ended June 30, 2020, HYT waived $32,117 in investment advisory fees pursuant to these arrangements.
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2020, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
Purchases | Sales | Net Realized Gain (Loss) | ||||||||||
BHK | $ | 1,144,866 | $ | 2,814,471 | $ | (2,944 | ) | |||||
HYT | 9,330,226 | 16,366,807 | 47,461 |
7. | PURCHASES AND SALES |
For the six months ended June 30, 2020, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls, excluding short-term securities, were as follows:
BHK * | HYT | |||||||
Purchases | $ | 523,364,634 | $ | 1,030,785,842 | ||||
Sales | 495,070,101 | 1,068,036,631 |
* | Includes paydowns/payups. |
For the six months ended June 30, 2020, purchases and sales related to mortgage dollar rolls were as follows:
Purchases | Sales | |||||||
BHK | $ | 157,539,503 | $ | 157,736,657 |
8. | INCOME TAX INFORMATION |
It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.
Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for the period ended December 31, 2019 and each of the four years ended August 31, 2019. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.
As of December 31, 2019, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
BHK | HYT | |||||||
$ | 5,785,613 | $ | 143,923,343 |
90 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
BHK | HYT | |||||||
Tax cost | $ | 1,216,233,411 | $ | 1,949,517,955 | ||||
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| |||||
Gross unrealized appreciation | $ | 132,842,579 | $ | 55,601,611 | ||||
Gross unrealized depreciation | (35,175,531 | ) | (108,771,760 | ) | ||||
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Net unrealized appreciation (depreciation) | $ | 97,667,048 | $ | (53,170,149 | ) | |||
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9. | BANK BORROWINGS |
HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. As of period end, HYT has not received any notice to terminate. HYT has granted a security interest in substantially all of its assets to SSB.
The SSB Agreement allows for the maximum commitment of $732,000,000 for HYT.
Advances will be made by SSB to HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.
In addition, HYT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.
HYT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
For the six months ended June 30, 2020, the average amount of bank borrowings and the daily weighted average interest rates for HYT for loans under the revolving credit agreements were $ 581,637,363 and 1.61%, respectively.
10. | PRINCIPAL RISKS |
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.
Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Trust’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods
NOTESTO FINANCIAL STATEMENTS | 91 |
Notes to Financial Statements (unaudited) (continued)
in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.
The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.
For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.
With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.
Concentration Risk: Certain Trusts may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”) or are unrated, which are predominantly speculative, have greater credit risk and generally are less liquid than, and have more volatile prices than higher quality securities.
Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
11. | CAPITAL SHARE TRANSACTIONS |
BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
Each Trust participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2018 through November 30, 2019, each Trust was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, each Trust may repurchase up to 5% of its outstanding common
92 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.
The total cost of the shares repurchased is reflected in the Trusts’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:
BHK | HYT | |||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||
Year ended August 31, 2019 | — | $ | — | 2,645,529 | $ | 26,449,511 |
For the six months ended June 30, 2020 and period ended December 31, 2019, the Trusts did not repurchase any shares.
12. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:
Dividend Per Common Share | ||||||||
Paid (a) | Declared (b) | |||||||
BHK | $ | 0.067600 | $ | 0.067600 | ||||
HYT | 0.077900 | 0.077900 |
(a) | Net investment income dividend paid on July 31, 2020 to Common Shareholders of record on July 15, 2020. |
(b) | Net investment income dividend declared on August 3, 2020, payable to shareholders of record on August 14, 2020. |
NOTESTO FINANCIAL STATEMENTS | 93 |
Disclosure of Investment Advisory Agreements |
The Boards of Directors/Trustees, as applicable (together, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Core Bond Trust (“BHK”) and BlackRock Corporate High Yield Fund, Inc. (“HYT” and together with BHK, the “Funds” and each, a “Fund”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements” or the “Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of each Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreements
Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) fund expenses and potential fee waivers; (c) differences in services provided and management fees between closed-end funds and other product channels; and (d) BlackRock’s option overwrite strategy.
94 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreements (continued)
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third-parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and the performance of BHK as compared with its custom benchmark. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, BHK outperformed its customized benchmark. The Board noted that BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BHK, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, HYT ranked in the first, first and second quartiles, respectively, against its Performance Peers.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets,
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-ADVISORY AGREEMENT | 95 |
Disclosure of Investment Advisory Agreements (continued)
which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that BHK’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to the Expense Peers.
The Board noted that HYT’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.
Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.
The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.
96 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreements (continued)
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS | 97 |
Trustee and Officer Information
Richard E. Cavanagh, Co-Chair of the Board and Trustee
Karen P. Robards, Co-Chair of the Board and Trustee
Michael J. Castellano, Trustee
Cynthia L. Egan, Trustee
Frank J. Fabozzi, Trustee
R. Glenn Hubbard, Trustee
W. Carl Kester, Trustee
Catherine A. Lynch, Trustee
Robert Fairbairn, Trustee
John M. Perlowski, Trustee, President and Chief Executive Officer
Jonathan Diorio, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
Janey Ahn, Secretary
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisers
BlackRock International Limited
Edinburgh EH3 8BL
United Kingdom
BlackRock (Singapore) Limited(a)
079912 Singapore
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02111
Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Address of the Trusts
100 Bellevue Parkway
Wilmington, DE 19809
(a) | For BHK only. |
98 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Trust Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.
Dividend Policy
Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.
The distributions paid by each Trust for any particular month may be more or less than the amount of net investment income earned by each Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of each Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.
General Information
The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.
During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.
In accordance with Section 23(c) of the Investment Company Act of 1940, the Trusts may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.
ADDITIONAL INFORMATION | 99 |
Additional Information (continued)
Householding
The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.
Availability of Quarterly Schedule of Investments
The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.
Availability of Proxy Voting Record
Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at sec.gov.
Availability of Trust Updates
BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
100 | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
Currency | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
JPY | Japanese Yen | |
NGN | Nigerian Naira | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
SEK | Swedish Krona | |
USD | United States Dollar |
Portfolio Abbreviations | ||
CLO | Collateralized Loan Obligation | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium-Term Note | |
PIK | Payment-In-Kind | |
RB | Revenue Bonds |
GLOSSARYOF TERMS USEDINTHIS REPORT | 101 |
Want to know more?
blackrock.com | 800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.
CEFBHK-6/20-SAR
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report |
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) | Not Applicable to this semi-annual report. |
(b) | As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR. |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers — Not Applicable due to no such purchases during the period covered by this report. |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 13 – Exhibits attached hereto
2
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Section 302 Certifications are attached
(a)(3) – Not Applicable
(a)(4) – Not Applicable
(b) – Section 906 Certifications are attached
1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.
3
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Core Bond Trust | ||
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Core Bond Trust |
Date: September 4, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Core Bond Trust |
Date: September 4, 2020
By: | /s/ Neal J. Andrews | |
Neal J. Andrews | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Core Bond Trust |
Date: September 4, 2020
4