Schedule of Investments (unaudited) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities |
| |||||||||||
522 Funding CLO Ltd.(a)(b) | ||||||||||||
Series 2019-4A, Class CR, (3 mo. LIBOR US + 2.40%), 2.53%, 04/20/30 | USD | 500 | $ | 498,955 | ||||||||
Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 3.78%, 04/20/30 | 600 | 600,256 | ||||||||||
AGL CLO Ltd., Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 3.43%, 01/15/33(a)(b) | 250 | 250,036 | ||||||||||
Anchorage Capital CLO Ltd.(a)(b) | ||||||||||||
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.78%, 10/13/30 | 380 | 379,829 | ||||||||||
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 3.33%, 10/13/30 | 720 | 720,079 | ||||||||||
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 3.13%, 07/28/28 | 1,000 | 1,000,066 | ||||||||||
Apidos CLO XXII, 2015-22A, (3 mo. LIBOR US + 2.95%), 3.08%, 04/20/31(a)(b) | 250 | 249,253 | ||||||||||
Assurant CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.10%), 2.23%, 10/20/29(a)(b) | 500 | 499,244 | ||||||||||
Ballyrock CLO Ltd., Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.15%), 3.28%, 10/15/28(a)(b) | 250 | 250,026 | ||||||||||
Battalion CLO VII Ltd., Series 2014-7A, Class CRR, (3 mo. LIBOR US + 2.93%), 3.06%, 07/17/28(a)(b) | 500 | 500,434 | ||||||||||
Beechwood Park CLO Ltd., | 500 | 500,231 | ||||||||||
BlueMountain CLO XXVI Ltd.(a)(b) | ||||||||||||
Series 2019-26A, Class D1, (3 mo. LIBOR US + 4.25%), 4.38%, 10/20/32 | 250 | 250,194 | ||||||||||
Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 7.83%, 10/20/32 | 250 | 251,075 | ||||||||||
Buttermilk Park CLO Ltd., (3 mo. LIBOR US + 3.10%), 3.23%, 10/15/31(a)(b) | 250 | 250,020 | ||||||||||
Canyon Capital CLO Ltd.(a)(b) | ||||||||||||
Series 2016-1A, Class CR, (3 mo. LIBOR US + 1.90%), 2.03%, 07/15/31 | 250 | 249,336 | ||||||||||
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.35%), 3.51%, 04/15/34 | 500 | 500,750 | ||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 3.47%, | 1,000 | 1,000,362 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), 3.33%, 04/20/32(a)(b) | 500 | 501,739 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.57%, 07/20/32(a)(b) | 500 | 493,778 | ||||||||||
CarVal CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.77%), 5.90%, 07/16/31(a)(b) | 500 | 486,445 | ||||||||||
CBAM Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.40%), 2.53%, | 350 | 349,103 | ||||||||||
CIFC Funding Ltd.(a)(b) | ||||||||||||
Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%), 2.93%, 04/24/30 | 750 | 750,000 | ||||||||||
Series 2014-3A, Class BR2, (3 mo. LIBOR US + 1.80%), 1.94%, 10/22/31 | 250 | 250,031 | ||||||||||
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.13%), 1.26%, 10/17/30 | 1,000 | 999,824 | ||||||||||
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.25%, 01/22/31 | 1,000 | 999,721 | ||||||||||
Series 2015-5A, Class A1R, (3 mo. LIBOR US + 0.86%), 0.99%, 10/25/27 | 816 | 815,695 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
CIFC Funding Ltd.(a)(b) (continued) | ||||||||||||
Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.10%), 3.21%, 07/15/36 | USD | 500 | $ | 499,997 | ||||||||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.01%, 02/15/29(b) | 2,000 | 2,028,076 | ||||||||||
Cumberland Park CLO Ltd., Series 2015-2A, Class DR, (3 mo. LIBOR US + 2.70%), 2.83%, 07/20/28(a)(b) | 250 | 250,318 | ||||||||||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A, (1 mo. LIBOR US + 0.14%), 0.22%, 01/15/37(a) | 1,648 | 1,579,180 | ||||||||||
Dryden 50 Senior Loan Fund, | 250 | 250,101 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.78%, 04/18/31(a)(b) | 1,250 | 1,227,752 | ||||||||||
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 3.27%, 08/15/30(a)(b) | 1,000 | 1,000,311 | ||||||||||
Eaton Vance Clo Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.25%), 1.38%, 01/20/30(a)(b) | 1,000 | 1,000,067 | ||||||||||
EDvestinU Private Education Loan Issue No 3 LLC, Series 2021-A, Class B, 3.50%, 11/25/50(b) | 110 | 110,422 | ||||||||||
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.13%, 10/15/32(a)(b) | 1,500 | 1,500,000 | ||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 2.12%, 10/20/34(a)(b) | 436 | 434,255 | ||||||||||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class C, 5.16%, 10/20/39(b) | CAD | 170 | 139,103 | |||||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class CR, (3 mo. LIBOR US + 1.75%), 1.88%, 04/20/31(a)(b) | USD | 250 | 248,083 | |||||||||
Goldentree Loan Management US Clo 3 Ltd., Series 2018-3A, Class B1, (3 mo. LIBOR US + 1.55%), 1.68%, 04/20/30(a)(b) | 250 | 249,999 | ||||||||||
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class BR2, (3 mo. LIBOR US + 1.60%), 1.73%, 10/29/29(a)(b) | 1,500 | 1,500,058 | ||||||||||
Grippen Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.30%), 3.43%, 01/20/30(a)(b) | 250 | 250,055 | ||||||||||
Highbridge Loan Management, | 1,000 | 992,653 | ||||||||||
Kayne CLO III Ltd., Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 2.88%, 04/15/32(a)(b) | 400 | 399,997 | ||||||||||
Lending Funding Trust, Series 2020-2A, Class C, 4.30%, 04/21/31(b) | 240 | 250,683 | ||||||||||
Litigation Fee Residual Funding Trust, | 1,308 | 1,289,642 | ||||||||||
Long Beach Mortgage Loan Trust, Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.48%), 0.57%, 09/25/36(a) | 6,615 | 2,633,310 | ||||||||||
Madison Park Funding X Ltd., Series | 250 | 248,824 | ||||||||||
Madison Park Funding XXIII Ltd., Series 2017-23A, Class CR, (3 mo. LIBOR US + 2.00%), 2.13%, 07/27/31(a)(b) | 600 | 599,996 | ||||||||||
Madison Park Funding XXV Ltd., Series | 250 | 249,999 |
1 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class C, (3 mo. LIBOR US + 1.90%), 2.03%, 07/17/34(a)(b) | USD | 250 | $ | 249,390 | ||||||||
Marble Point CLO XVII Ltd., | 250 | 250,344 | ||||||||||
Mariner Finance Issuance Trust(b) | ||||||||||||
Series 2021-AA, Class C, 2.96%, 03/20/36 | 190 | 192,087 | ||||||||||
Series 2021-AA, Class D, 3.83%, 03/20/36 | 180 | 184,412 | ||||||||||
Navient Private Education Refi Loan | ||||||||||||
Series 2021-DA, Class C, 3.48%, 04/15/60 | 770 | 770,000 | ||||||||||
Series 2021-DA, Class D, 4.00%, 04/15/60 | 440 | 427,680 | ||||||||||
Nelnet Student Loan Trust(b) | ||||||||||||
Series 2021-A, Class D, 4.93%, 04/20/62 | 460 | 466,503 | ||||||||||
Series 2021-BA, Class B, 2.68%, 04/20/62 | 1,983 | 1,983,957 | ||||||||||
Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.78%, 10/17/30(a)(b) | 250 | 249,999 | ||||||||||
Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class CR, (3 mo. LIBOR US + 1.80%), | 1,162 | 1,159,173 | ||||||||||
OCP CLO 2017-13 Ltd., Series 2017-13A, Class A1AR, (3 mo. LIBOR US + 0.96%), 1.08%, 07/15/30(a)(b)(c) | 1,000 | 1,000,000 | ||||||||||
OCP CLO Ltd., Series 2015-9A, Class BR, (3 mo. LIBOR US + 1.75%), 1.88%, 07/15/27(a)(b) | 250 | 249,719 | ||||||||||
Octagon Investment Partners 48 Ltd.(a)(b) | ||||||||||||
Series 2020-3A, Class C, (3 mo. LIBOR US + 2.55%), 2.68%, 10/20/31 | 1,250 | 1,250,270 | ||||||||||
Series 2020-3A, Class D, (3 mo. LIBOR US + 4.00%), 4.13%, 10/20/31 | 250 | 250,251 | ||||||||||
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 2.75%), 2.89%, | 500 | 495,000 | ||||||||||
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(b) | 2,000 | 2,067,191 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.28%, 10/17/29(a)(b) | 875 | 870,644 | ||||||||||
OZLM XXI Ltd., Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 2.80%, 01/20/31(a)(b) | 1,000 | 971,439 | ||||||||||
Palmer Square CLO Ltd.(a)(b) | ||||||||||||
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 2.88%, 07/20/30 | 250 | 249,750 | ||||||||||
Series 2018-3A, Class B, (3 mo. LIBOR US + 1.90%), 2.02%, 08/15/26 | 500 | 500,104 | ||||||||||
Palmer Square Loan Funding Ltd.(a)(b) | ||||||||||||
Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 4.38%, 01/20/27 | 1,000 | 999,031 | ||||||||||
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.38%, 04/20/27 | 1,000 | 1,000,354 | ||||||||||
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.23%, 08/20/27 | 1,750 | 1,752,623 | ||||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 3.53%, 08/20/27 | 750 | 750,544 | ||||||||||
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 3.38%, 10/24/27 | 250 | 250,060 | ||||||||||
Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), 2.63%, 02/20/28 | 250 | 250,308 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Park Avenue Institutional Advisers CLO Ltd., | USD | 1,300 | $ | 1,267,485 | ||||||||
PPM CLO 2 Ltd., Series 2019-2A, Class DR, (3 mo. LIBOR US + 3.40%), 3.53%, 04/16/32(a)(b) | 250 | 250,064 | ||||||||||
Prodigy Finance DAC, Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 3.84%, 07/25/51(a)(b) | 250 | 251,793 | ||||||||||
Regatta XI Funding Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.85%), 2.98%, 07/17/31(a)(b) | 370 | 368,891 | ||||||||||
Republic Finance Issuance Trust, Series 2020-A, Class C, 4.05%, 11/20/30(b) | 240 | 247,485 | ||||||||||
Romark CLO III Ltd., Series 2019-3A, Class C, (3 mo. LIBOR US + 3.90%), 4.03%, 07/15/32(a)(b) | 250 | 250,042 | ||||||||||
Romark CLO Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 2.15%), 2.29%, 10/23/30(a)(b) | 500 | 499,243 | ||||||||||
Shackleton CLO Ltd., Series 2015-7RA, Class C, (3 mo. LIBOR US + 2.35%), 2.48%, 07/15/31(a)(b) | 250 | 250,184 | ||||||||||
SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(b) | 425 | 425,439 | ||||||||||
SMB Private Education Loan Trust(b)(c) | ||||||||||||
Series 2021-C, Class C, 3.00%, 01/15/53 | 190 | 190,000 | ||||||||||
Series 2021-C, Class D, 3.93%, 01/15/53 | 160 | 160,000 | ||||||||||
Sterling Coofs Trust(b)(c) | ||||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | 1,181 | 11,814 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 | 1,047 | 10,472 | ||||||||||
Structured Asset Securities Corp. | 139 | 133,056 | ||||||||||
TCW CLO Ltd., Series 2020-1A, Class DRR, (3 mo. LIBOR US + 3.40%), 3.58%, 04/20/34(a)(b) | 250 | 248,251 | ||||||||||
TICP CLO IX Ltd., Series 2017-9A, Class D, (3 mo. LIBOR US + 2.90%), 3.03%, 01/20/31(a)(b) | 250 | 249,997 | ||||||||||
TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 5.87%, 07/17/31(a)(b) | 537 | 521,715 | ||||||||||
TICP CLO VIII Ltd., Class B, (3 mo. LIBOR US + 2.15%), 2.28%, 10/20/30(a)(b) | 500 | 500,015 | ||||||||||
TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. LIBOR US + 5.50%), 5.63%, 04/20/31(a)(b) | 250 | 244,907 | ||||||||||
TRESTLES CLO Ltd.(a)(b) | ||||||||||||
Series 2017-1A, Class B1R, (3 mo. LIBOR US + 1.75%), 1.88%, 04/25/32 | 1,750 | 1,743,877 | ||||||||||
Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 3.03%, 04/25/32 | 250 | 249,066 | ||||||||||
Trimaran CAVU Ltd., Series 2019-2A, Class C, (3 mo. LIBOR US + 4.72%), 4.85%, 11/26/32(a)(b) | 500 | 501,853 | ||||||||||
Unique Pub Finance Co. PLC(d) | ||||||||||||
Series M, 7.40%, 03/28/24 | GBP | 2,544 | 3,623,230 | |||||||||
Series N, 6.46%, 03/30/32 | 100 | 161,656 | ||||||||||
Voya CLO Ltd.(a)(b) | ||||||||||||
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.25%), 1.38%, 07/15/31 | USD | 1,000 | 997,768 | |||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.73%, 10/17/32 | 1,500 | 1,500,640 | ||||||||||
Whitebox Clo I Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 3.15%, 07/24/32(a)(b) | 500 | 500,004 | ||||||||||
York CLO 1 Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 2.10%), 2.24%, 10/22/29(a)(b) | 250 | 249,748 |
SCHEDULE OF INVESTMENTS | 2 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
York Clo Ltd., Series 2016-2A, Class DR, (3 mo. LIBOR US + 3.15%), 3.28%, 04/20/32(a)(b) | USD | 1,500 | $ | 1,500,200 | ||||||||
York Clo-3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 3.73%, 10/20/29(a)(b) | 1,750 | 1,750,691 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 8.2% | 70,229,782 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Pioneer Energy Services Corp. | 542 | 8,434 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
Extraction Oil & Gas, Inc., (Acquired 03/05/21, Cost: $32,643)(e) | 2,622 | 148,012 | ||||||||||
SM Energy Co. | 3,348 | 88,320 | ||||||||||
|
| |||||||||||
236,332 | ||||||||||||
|
| |||||||||||
Total Common Stocks — 0.0% | 244,766 | |||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Advertising Agencies — 0.1% | ||||||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 | USD | 500 | 673,107 | |||||||||
|
| |||||||||||
Aerospace & Defense — 1.7% | ||||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(b) | 30 | 31,306 | ||||||||||
Bombardier, Inc.(b) | ||||||||||||
7.50%, 12/01/24 | 126 | 131,040 | ||||||||||
7.50%, 03/15/25 | 25 | 25,531 | ||||||||||
7.13%, 06/15/26 | 432 | 453,600 | ||||||||||
7.88%, 04/15/27 | 237 | 245,704 | ||||||||||
6.00%, 02/15/28 | 237 | 239,666 | ||||||||||
7.45%, 05/01/34 | 100 | 116,875 | ||||||||||
Eaton Corp., 4.15%, 11/02/42 | 500 | 588,481 | ||||||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) | 200 | 206,000 | ||||||||||
General Electric Co. | ||||||||||||
6.15%, 08/07/37 | 2,150 | 2,965,367 | ||||||||||
6.88%, 01/10/39 | 18 | 26,826 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) | 371 | 384,449 | ||||||||||
Lockheed Martin Corp., 4.09%, 09/15/52 | 1,410 | 1,725,437 | ||||||||||
Raytheon Technologies Corp., 6.13%, 07/15/38 | 1,450 | 2,041,286 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b) | 600 | 663,000 | ||||||||||
Smiths Group PLC, 3.63%, 10/12/22(b) | 360 | 371,739 | ||||||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) | 121 | 127,957 | ||||||||||
TransDigm, Inc. | ||||||||||||
8.00%, 12/15/25(b) | 468 | 499,005 | ||||||||||
6.25%, 03/15/26(b) | 2,917 | 3,040,972 | ||||||||||
6.38%, 06/15/26 | 60 | 61,900 | ||||||||||
7.50%, 03/15/27 | 71 | 74,372 | ||||||||||
4.63%, 01/15/29 | 184 | 183,679 |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
TransDigm, Inc. (continued) | ||||||||||||
4.88%, 05/01/29 | USD | 203 | $ | 203,378 | ||||||||
Triumph Group, Inc., 8.88%, 06/01/24(b) | 575 | 632,500 | ||||||||||
|
| |||||||||||
15,040,070 | ||||||||||||
Airlines — 1.1% | ||||||||||||
Air Canada, 3.88%, 08/15/26(b) | 281 | 283,543 | ||||||||||
American Airlines Pass-Through Trust | ||||||||||||
Series 2013-2, Class A, 4.95%, 07/15/24 | 859 | 878,007 | ||||||||||
Series 2015-2, Class A, 4.00%, 09/22/27 | 1,109 | 1,079,363 | ||||||||||
Series 2015-2, Class AA, 3.60%, 03/22/29 | 1,109 | 1,148,608 | ||||||||||
American Airlines, Inc., 11.75%, 07/15/25(b) | 159 | 196,763 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||||||||||
5.50%, 04/20/26 | 494 | 519,223 | ||||||||||
5.75%, 04/20/29 | 539 | 581,230 | ||||||||||
Avianca Holdings SA, Series IAI, (9.00% PIK), 9.00%, 03/31/22(b)(f) | 146 | 145,130 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | 92 | 102,580 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25(b) | 200 | 189,475 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) | 168 | 175,770 | ||||||||||
Latam Finance Ltd., 6.88%, 04/11/24(b)(g)(h) | 257 | 231,669 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | 454 | 493,689 | ||||||||||
United Airlines Pass-Through Trust | ||||||||||||
Series 2020-1, Class A, 5.88%, 10/15/27 | 389 | 435,911 | ||||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 | 33 | 34,626 | ||||||||||
Series A, Class A, 4.30%, 08/15/25 | 2,612 | 2,803,682 | ||||||||||
United Airlines, Inc.(b) | ||||||||||||
4.38%, 04/15/26 | 310 | 318,138 | ||||||||||
4.63%, 04/15/29 | 281 | 290,399 | ||||||||||
|
| |||||||||||
9,907,806 | ||||||||||||
Auto Components — 0.5% | ||||||||||||
Aptiv PLC, 4.40%, 10/01/46 | 465 | 552,749 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) | 154 | 162,470 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | ||||||||||||
4.38%, 05/15/26(d) | EUR | 100 | 119,746 | |||||||||
6.25%, 05/15/26(b) | USD | 659 | 692,378 | |||||||||
8.50%, 05/15/27(b) | 1,587 | 1,688,171 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | 227 | 237,650 | ||||||||||
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(b)(i) | 75 | 75,000 | ||||||||||
Goodyear Tire & Rubber Co. | ||||||||||||
5.00%, 07/15/29(b) | 88 | 93,390 | ||||||||||
5.25%, 07/15/31(b) | 215 | 228,975 | ||||||||||
5.63%, 04/30/33 | 217 | 236,530 | ||||||||||
ZF Finance GmbH, 3.75%, 09/21/28(d) | EUR | 100 | 126,260 | |||||||||
|
| |||||||||||
4,213,319 | ||||||||||||
Automobiles — 1.1% | ||||||||||||
Allison Transmission, Inc.(b) | ||||||||||||
5.88%, 06/01/29 | USD | 139 | 151,239 | |||||||||
3.75%, 01/30/31 | 190 | 184,775 | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
4.50%, 03/01/28 | 18 | 18,473 | ||||||||||
4.75%, 03/01/30 | 84 | 87,675 | ||||||||||
Carvana Co.(b) | ||||||||||||
5.50%, 04/15/27 | 197 | 201,078 | ||||||||||
4.88%, 09/01/29 | 151 | 149,535 |
3 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Automobiles (continued) | ||||||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27(d) | GBP | 100 | $ | 133,676 | ||||||||
Ford Motor Co. | ||||||||||||
0.00%, 03/15/26(b)(j)(k) | USD | 150 | 161,719 | |||||||||
4.35%, 12/08/26 | 7 | 7,455 | ||||||||||
4.75%, 01/15/43 | 2,000 | 2,096,260 | ||||||||||
5.29%, 12/08/46 | 19 | 21,161 | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||||
4.69%, 06/09/25 | 200 | 214,000 | ||||||||||
4.13%, 08/04/25 | 279 | 295,042 | ||||||||||
4.39%, 01/08/26 | 200 | 213,250 | ||||||||||
2.70%, 08/10/26 | 200 | 200,400 | ||||||||||
3.82%, 11/02/27 | 200 | 207,500 | ||||||||||
2.90%, 02/16/28 | 200 | 199,750 | ||||||||||
General Motors Co., 6.25%, 10/02/43 | 2,506 | 3,375,450 | ||||||||||
General Motors Financial Co., Inc., 4.25%, 05/15/23 | 807 | 852,548 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28(b) | 30 | 30,525 | ||||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) | 82 | 84,255 | ||||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | 198 | 203,161 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29(b) | 89 | 92,378 | ||||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | 70 | 67,653 | ||||||||||
Penske Automotive Group, Inc. | ||||||||||||
3.50%, 09/01/25 | 45 | 46,294 | ||||||||||
3.75%, 06/15/29 | 46 | 46,259 | ||||||||||
Wabash National Corp.(b) | ||||||||||||
5.50%, 10/01/25 | 176 | 178,446 | ||||||||||
4.50%, 10/15/28(i) | 149 | 148,814 | ||||||||||
|
| |||||||||||
9,668,771 | ||||||||||||
Banks — 1.6% | ||||||||||||
American Finance Trust, Inc./American Finance Operating Partner LP, 4.50%, 09/30/28(b)(i) | 44 | 44,000 | ||||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25(d) | EUR | 100 | 118,438 | |||||||||
Banco Bilbao Vizcaya Argentaria SA, (5 year USD Swap + 3.87%), 6.13%(a)(l) | USD | 2,200 | 2,389,750 | |||||||||
Bangkok Bank PCL(a)(d) | ||||||||||||
(5 year CMT + 1.90%), 3.73%, 09/25/34 | 288 | 292,817 | ||||||||||
(5 year CMT + 4.73%), 5.00%(l) | 400 | 415,950 | ||||||||||
Bank Leumi Le-Israel BM, (5 year CMT + 1.63%), 3.28%, 01/29/31(a)(b)(d) | 281 | 286,356 | ||||||||||
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(d) | 252 | 257,698 | ||||||||||
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80%(a)(d)(l) | 518 | 536,259 | ||||||||||
Bank of East Asia Ltd., (5 year CMT + 5.53%), 5.83%(a)(d)(l) | 250 | 261,250 | ||||||||||
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25(d) | 200 | 203,772 | ||||||||||
Cooperatieve Rabobank UA, 3.95%, 11/09/22 | 1,500 | 1,557,050 | ||||||||||
Intesa Sanpaolo SpA | ||||||||||||
5.02%, 06/26/24(b) | 3,151 | 3,401,927 | ||||||||||
(5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)(d) | EUR | 100 | 129,582 | |||||||||
Itau Unibanco Holding SA/Cayman Island, 5.13%, 05/13/23(b) | USD | 200 | 209,325 | |||||||||
Krung Thai Bank PCL/Cayman Islands, (5 year CMT + 3.53%), 4.40%(a)(d)(l) | 252 | 251,370 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Standard Chartered PLC, (5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b) | USD | 500 | $ | 550,467 | ||||||||
Wells Fargo & Co. | ||||||||||||
3.90%, 05/01/45 | 2,250 | 2,618,526 | ||||||||||
(5 year CMT + 3.45%), 3.90%(a)(l) | 245 | 252,656 | ||||||||||
|
| |||||||||||
13,777,193 | ||||||||||||
Beverages — 1.1% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(m) | 4,600 | 5,654,388 | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(f) | 701 | 744,707 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh | ||||||||||||
Metal Packaging Finance PLC, 4.00%, 09/01/29(b) | 606 | 612,818 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings | ||||||||||||
USA, Inc., 5.25%, 08/15/27(b) | 442 | 449,958 | ||||||||||
Ball Corp. | ||||||||||||
5.25%, 07/01/25 | 12 | 13,395 | ||||||||||
3.13%, 09/15/31 | 279 | 275,534 | ||||||||||
Central American Bottling Corp., 5.75%, 01/31/27(b) | 222 | 227,800 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 23 | 28,405 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) | 431 | 434,771 | ||||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 | 7 | 7,193 | ||||||||||
Trivium Packaging Finance BV(b) | ||||||||||||
5.50%, 08/15/26 | 205 | 214,699 | ||||||||||
8.50%, 08/15/27 | 738 | 792,427 | ||||||||||
|
| |||||||||||
9,456,095 | ||||||||||||
Biotechnology — 0.2% | ||||||||||||
Baxalta, Inc., 5.25%, 06/23/45 | 500 | 667,418 | ||||||||||
Emergent BioSolutions, Inc., 3.88%, 08/15/28(b) | 51 | 49,597 | ||||||||||
Gilead Sciences, Inc., 4.80%, 04/01/44 | 1,000 | 1,258,521 | ||||||||||
HCRX Investments Holdco LP, 4.50%, 08/01/29(b) | 89 | 89,445 | ||||||||||
|
| |||||||||||
2,064,981 | ||||||||||||
Building Materials — 0.3% | ||||||||||||
APi Group DE, Inc., 4.13%, 07/15/29(b) | 89 | 87,207 | ||||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b) | 337 | 358,223 | ||||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | 180 | 180,450 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b) | 232 | 248,240 | ||||||||||
Griffon Corp., 5.75%, 03/01/28 | 44 | 46,200 | ||||||||||
Jeld-Wen, Inc.(b) | ||||||||||||
6.25%, 05/15/25 | 98 | 103,390 | ||||||||||
4.63%, 12/15/25 | 37 | 37,567 | ||||||||||
4.88%, 12/15/27 | 11 | 11,462 | ||||||||||
Masonite International Corp.(b) | ||||||||||||
3.50%, 02/15/30 | 145 | 143,912 | ||||||||||
Class C, 5.38%, 02/01/28 | 17 | 17,901 | ||||||||||
New Enterprise Stone & Lime Co., Inc.(b) | ||||||||||||
6.25%, 03/15/26 | 53 | 54,802 | ||||||||||
9.75%, 07/15/28(i) | 26 | 28,275 | ||||||||||
Patrick Industries, Inc., 4.75%, 05/01/29(b) | 43 | 43,860 | ||||||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28(b) | 327 | 346,211 | ||||||||||
Standard Industries, Inc.(b) | ||||||||||||
4.75%, 01/15/28 | 54 | 56,025 | ||||||||||
4.38%, 07/15/30 | 249 | 253,980 |
SCHEDULE OF INVESTMENTS | 4 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Building Materials (continued) | ||||||||||||
Standard Industries, Inc.(b) (continued) | ||||||||||||
3.38%, 01/15/31 | USD | 13 | $ | 12,372 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 117 | 122,850 | ||||||||||
Victors Merger Corp., 6.38%, 05/15/29(b) | 107 | 102,453 | ||||||||||
|
| |||||||||||
2,255,380 | ||||||||||||
Building Products — 0.7% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(b) | 248 | 258,912 | ||||||||||
BCPE Ulysses Intermediate, Inc., (7.75% Cash or 8.50% PIK), 7.75%, | 39 | 38,707 | ||||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29(b) | 68 | 67,575 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29(b) | 131 | 128,380 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29(b) | 159 | 160,789 | ||||||||||
Home Depot, Inc., 5.88%, 12/16/36 | 1,660 | 2,341,423 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29(b) | 326 | 325,837 | ||||||||||
Lowe’s Cos., Inc., 4.38%, 09/15/45 | 1,000 | 1,192,506 | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, | 76 | 76,000 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26(b) | 195 | 204,750 | ||||||||||
SRS Distribution, Inc.(b) | ||||||||||||
4.63%, 07/01/28 | 293 | 298,919 | ||||||||||
6.13%, 07/01/29 | 233 | 239,990 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28(b) | 277 | 292,235 | ||||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26(b)(f) | 142 | 146,615 | ||||||||||
|
| |||||||||||
5,772,638 | ||||||||||||
Capital Markets — 2.3% | ||||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(a)(l) | 5,195 | 5,358,643 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | 145 | 151,706 | ||||||||||
FMR LLC, 4.95%, 02/01/33(b) | 2,300 | 2,869,291 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||||
4.75%, 09/15/24 | 112 | 116,480 | ||||||||||
6.25%, 05/15/26 | 57 | 59,565 | ||||||||||
5.25%, 05/15/27 | 363 | 376,613 | ||||||||||
4.38%, 02/01/29 | 134 | 133,833 | ||||||||||
Intercorp Peru Ltd., 3.88%, 08/15/29(b) | 200 | 194,750 | ||||||||||
NFP Corp.(b) | ||||||||||||
4.88%, 08/15/28(i) | 293 | 297,981 | ||||||||||
6.88%, 08/15/28 | 324 | 330,820 | ||||||||||
Northern Trust Corp., 3.95%, 10/30/25(m) | 8,000 | 8,932,602 | ||||||||||
Raymond James Financial, Inc., 4.95%, 07/15/46 | 400 | 516,670 | ||||||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 104 | 106,990 | ||||||||||
|
| |||||||||||
19,445,944 | ||||||||||||
Chemicals — 0.6% | ||||||||||||
Air Liquide Finance SA, 3.50%, 09/27/46(b) | 360 | 408,235 | ||||||||||
Ashland LLC, 3.38%, 09/01/31(b) | 237 | 239,074 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | 198 | 192,555 | ||||||||||
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) | 219 | 250,796 | ||||||||||
Diamond (BC) BV, 4.63%, 10/01/29(b) | 177 | 179,655 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b) | 611 | 617,110 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) | 101 | 103,273 | ||||||||||
HB Fuller Co., 4.25%, 10/15/28 | 66 | 67,155 | ||||||||||
Herens Holdco Sarl, 4.75%, 05/15/28(b) | 200 | 201,000 |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Herens Midco Sarl, 5.25%, 05/15/29(d) | EUR | 100 | $ | 112,360 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | USD | 226 | 249,165 | |||||||||
Ingevity Corp., 3.88%, 11/01/28(b) | 57 | 56,858 | ||||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 114 | 118,275 | ||||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25(d) | EUR | 100 | 118,730 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | USD | 41 | 42,845 | |||||||||
Orbia Advance Corp. SAB de CV, 5.50%, 01/15/48(b) | 200 | 234,788 | ||||||||||
SCIH Salt Holdings, Inc.(b) | ||||||||||||
4.88%, 05/01/28 | 172 | 172,860 | ||||||||||
6.63%, 05/01/29 | 121 | 116,160 | ||||||||||
Scotts Miracle-Gro Co.(b) | ||||||||||||
4.00%, 04/01/31 | 177 | 176,667 | ||||||||||
4.38%, 02/01/32 | 18 | 18,146 | ||||||||||
Sherwin-Williams Co., 4.50%, 06/01/47 | 350 | 424,264 | ||||||||||
Valvoline, Inc., 3.63%, 06/15/31(b) | 1 | 988 | ||||||||||
WESCO Distribution, Inc.(b) | ||||||||||||
7.13%, 06/15/25 | 117 | 124,854 | ||||||||||
7.25%, 06/15/28 | 252 | 279,090 | ||||||||||
WR Grace Holdings LLC(b) | ||||||||||||
5.63%, 10/01/24 | 21 | 22,995 | ||||||||||
5.63%, 08/15/29 | 637 | 656,116 | ||||||||||
|
| |||||||||||
5,184,014 | ||||||||||||
Commercial Services & Supplies — 0.2% | ||||||||||||
ADT Security Corp., 4.88%, 07/15/32(b) | 145 | 146,269 | ||||||||||
APX Group, Inc., 5.75%, 07/15/29(b) | 181 | 178,656 | ||||||||||
ASGN, Inc., 4.63%, 05/15/28(b) | 62 | 64,170 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, | ||||||||||||
Inc., 5.38%, 03/01/29(b) | 71 | 75,040 | ||||||||||
EC Finance PLC, 3.00%, 10/15/26(d)(i) | EUR | 100 | 116,484 | |||||||||
Fortress Transportation & Infrastructure Investors LLC(b) | ||||||||||||
6.50%, 10/01/25 | USD | 50 | 51,469 | |||||||||
5.50%, 05/01/28 | 210 | 211,412 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) | 178 | 186,762 | ||||||||||
Intertrust Group BV, 3.38%, 11/15/25(d) | EUR | 100 | 117,810 | |||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | USD | 145 | 141,013 | |||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | 162 | 168,026 | ||||||||||
Prime Security Services Borrower LLC/Prime | ||||||||||||
Finance, Inc.(b) | ||||||||||||
5.75%, 04/15/26 | 78 | 84,377 | ||||||||||
3.38%, 08/31/27 | 26 | 24,944 | ||||||||||
6.25%, 01/15/28 | 3 | 3,101 | ||||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | 200 | 205,750 | ||||||||||
United Rentals North America, Inc., 5.25%, 01/15/30 | 40 | 43,800 | ||||||||||
|
| |||||||||||
1,819,083 | ||||||||||||
Communications Equipment — 0.2% | ||||||||||||
Avaya, Inc., 6.13%, 09/15/28(b) | 400 | 420,588 | ||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25(b) | 5 | 5,063 | ||||||||||
CommScope, Inc.(b) | ||||||||||||
8.25%, 03/01/27 | 130 | 136,074 | ||||||||||
7.13%, 07/01/28 | 273 | 278,588 | ||||||||||
4.75%, 09/01/29 | 341 | 340,574 | ||||||||||
Nokia OYJ | ||||||||||||
4.38%, 06/12/27 | 31 | 34,022 | ||||||||||
6.63%, 05/15/39 | 88 | 120,120 |
5 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Communications Equipment (continued) | ||||||||||||
ViaSat, Inc., 6.50%, 07/15/28(b) | USD | 216 | $ | 227,496 | ||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | 197 | 197,433 | ||||||||||
|
| |||||||||||
1,759,958 | ||||||||||||
Construction & Engineering — 0.5% | ||||||||||||
ITR Concession Co. LLC, 4.20%, 07/15/25(b) | 4,000 | 4,251,545 | ||||||||||
|
| |||||||||||
Construction Materials(b) — 0.1% | ||||||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||||||
4.00%, 01/15/28 | 75 | 76,594 | ||||||||||
3.88%, 11/15/29 | 32 | 31,910 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 74 | 73,630 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 37 | 36,856 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 | 12 | 12,540 | ||||||||||
New Enterprise Stone & Lime Co., Inc., 5.25%, 07/15/28(i) | 55 | 55,619 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 | 175 | 185,043 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 | 162 | 168,757 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 | 92 | 98,900 | ||||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26 | 32 | 29,560 | ||||||||||
|
| |||||||||||
769,409 | ||||||||||||
Consumer Discretionary — 0.5% | ||||||||||||
Carnival Corp.(b) | ||||||||||||
10.50%, 02/01/26 | 523 | 606,785 | ||||||||||
5.75%, 03/01/27 | 416 | 430,040 | ||||||||||
9.88%, 08/01/27 | 156 | 180,041 | ||||||||||
4.00%, 08/01/28 | 664 | 670,640 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28(b) | 240 | 238,500 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends | 60 | 61,500 | ||||||||||
Life Time, Inc.(b) | ||||||||||||
5.75%, 01/15/26 | 174 | 180,090 | ||||||||||
8.00%, 04/15/26 | 118 | 125,080 | ||||||||||
NCL Corp. Ltd., 5.88%, 03/15/26(b) | 159 | 162,975 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28(b) | 344 | 356,900 | ||||||||||
Nielsen Finance LLC/Nielsen Finance | ||||||||||||
5.63%, 10/01/28 | 208 | 215,800 | ||||||||||
5.88%, 10/01/30 | 149 | 156,878 | ||||||||||
4.75%, 07/15/31 | 37 | 35,992 | ||||||||||
Royal Caribbean Cruises Ltd.(b) | ||||||||||||
10.88%, 06/01/23 | 61 | 68,320 | ||||||||||
9.13%, 06/15/23 | 103 | 111,941 | ||||||||||
11.50%, 06/01/25 | 82 | 93,562 | ||||||||||
5.50%, 08/31/26 | 53 | 54,481 | ||||||||||
5.50%, 04/01/28 | 288 | 294,569 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26(d) | EUR | 88 | 104,843 | |||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | USD | 124 | 124,000 | |||||||||
WASH Multifamily Acquisition, Inc., 5.75%, 04/15/26(b) | 46 | 48,034 | ||||||||||
|
| |||||||||||
4,320,971 | ||||||||||||
Consumer Finance — 0.8% | ||||||||||||
American Express Co., (5 year CMT + 2.85%), 3.55%(a)(l) | 500 | 509,425 | ||||||||||
HealthEquity, Inc., 4.50%, 10/01/29(b)(i) | 192 | 194,880 | ||||||||||
MoneyGram International, Inc., 5.38%, 08/01/26(b) | 72 | 73,080 | ||||||||||
Moody’s Corp., 4.50%, 09/01/22 | 1,800 | 1,847,969 | ||||||||||
MPH Acquisition Holdings LLC, 5.50%, 09/01/28(b) | 220 | 219,395 |
Security | Par (000) | Value | ||||||||||
Consumer Finance (continued) | ||||||||||||
Muthoot Finance Ltd. | ||||||||||||
6.13%, 10/31/22(b) | USD | 247 | $ | 254,456 | ||||||||
4.40%, 09/02/23(d) | 400 | 406,200 | ||||||||||
Navient Corp. | ||||||||||||
7.25%, 09/25/23 | 46 | 50,164 | ||||||||||
6.13%, 03/25/24 | 67 | 71,740 | ||||||||||
5.88%, 10/25/24 | 39 | 41,633 | ||||||||||
5.00%, 03/15/27 | 58 | 59,740 | ||||||||||
OneMain Finance Corp. | ||||||||||||
7.13%, 03/15/26 | 49 | 56,779 | ||||||||||
3.50%, 01/15/27 | 206 | 206,093 | ||||||||||
6.63%, 01/15/28 | 141 | 162,150 | ||||||||||
5.38%, 11/15/29 | 36 | 39,019 | ||||||||||
Sabre GLBL, Inc.(b) | ||||||||||||
9.25%, 04/15/25 | 153 | 176,836 | ||||||||||
7.38%, 09/01/25 | 64 | 68,211 | ||||||||||
Shift4 Payments Inc., 0.00%, 12/15/25(b)(j)(k) | 236 | 283,472 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 192 | 200,400 | ||||||||||
Square, Inc., 3.50%, 06/01/31(b) | 421 | 431,832 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b) | 1,279 | 1,347,746 | ||||||||||
|
| |||||||||||
6,701,220 | ||||||||||||
Containers & Packaging — 0.2% | ||||||||||||
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30(d) | 200 | 215,225 | ||||||||||
Graphic Packaging International LLC(b) | ||||||||||||
4.75%, 07/15/27 | 53 | 57,373 | ||||||||||
3.50%, 03/15/28 | 11 | 11,165 | ||||||||||
International Paper Co., 6.00%, 11/15/41 | 870 | 1,216,338 | ||||||||||
Intertape Polymer Group, Inc., 4.38%, 06/15/29(b) | 91 | 92,512 | ||||||||||
Klabin Austria GmbH, 3.20%, 01/12/31(b) | 200 | 191,000 | ||||||||||
LABL, Inc., 10.50%, 07/15/27(b) | 161 | 173,477 | ||||||||||
Sealed Air Corp., 4.00%, 12/01/27(b) | 49 | 52,180 | ||||||||||
Suzano Austria GmbH | ||||||||||||
3.75%, 01/15/31 | 80 | 81,980 | ||||||||||
3.13%, 01/15/32 | 105 | 101,207 | ||||||||||
|
| |||||||||||
2,192,457 | ||||||||||||
Diversified Consumer Services — 0.6% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) | ||||||||||||
6.63%, 07/15/26 | 787 | 832,079 | ||||||||||
9.75%, 07/15/27 | 417 | 453,686 | ||||||||||
6.00%, 06/01/29 | 441 | 435,174 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance | ||||||||||||
Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28 | 1,041 | 1,038,649 | ||||||||||
Ascend Learning LLC, 6.88%, 08/01/25 | 461 | 469,241 | ||||||||||
Clarivate Science Holdings Corp.(b) | ||||||||||||
3.88%, 07/01/28 | 265 | 265,000 | ||||||||||
4.88%, 07/01/29 | 348 | 348,679 | ||||||||||
Garda World Security Corp.(b) | ||||||||||||
4.63%, 02/15/27 | 191 | 191,000 | ||||||||||
9.50%, 11/01/27 | 107 | 115,811 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) | 27 | 28,196 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26(d) | EUR | 100 | 124,872 | |||||||||
Service Corp. International, 4.00%, 05/15/31 | USD | 448 | 463,120 | |||||||||
Sotheby’s, 7.38%, 10/15/27(b) | 265 | 280,238 | ||||||||||
|
| |||||||||||
5,045,745 | ||||||||||||
Diversified Financial Services — 4.3% | ||||||||||||
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | 272 | 270,640 |
SCHEDULE OF INVESTMENTS | 6 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24(d) | GBP | 100 | $ | 134,740 | ||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) | USD | 200 | 196,938 | |||||||||
Bank of America Corp., 3.25%, 10/21/27(m) | 4,000 | 4,319,036 | ||||||||||
Barclays PLC, 3.65%, 03/16/25(m) | 4,320 | 4,642,075 | ||||||||||
BNP Paribas SA, (5 year CMT + 3.34%), 4.63%(a)(b)(l) | 2,000 | 2,042,500 | ||||||||||
Central Garden & Pet Co. | ||||||||||||
4.13%, 10/15/30 | 127 | 129,858 | ||||||||||
4.13%, 04/30/31(b) | 132 | 134,049 | ||||||||||
Citigroup, Inc.(a)(l) | ||||||||||||
(5 year CMT + 3.42%), 3.88% | 3,160 | 3,227,150 | ||||||||||
Series W, (5 year CMT + 3.60%), 4.00% | 105 | 108,801 | ||||||||||
Coinbase Global, Inc.(b) | ||||||||||||
3.38%, 10/01/28 | 204 | 196,009 | ||||||||||
3.63%, 10/01/31 | 197 | 187,273 | ||||||||||
Credit Agricole SA, (5 year USD Swap + 4.90%), 7.88%(a)(b)(l) | 1,000 | 1,113,790 | ||||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(d) | GBP | 100 | 140,747 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, | USD | 217 | 213,113 | |||||||||
Goldman Sachs Group, Inc. | ||||||||||||
3.75%, 05/22/25(m) | 8,965 | 9,715,101 | ||||||||||
Series R, (5 year CMT + 3.22%), | 465 | 492,900 | ||||||||||
HSBC Holdings PLC | ||||||||||||
6.10%, 01/14/42 | 610 | 876,886 | ||||||||||
(5 year CMT + 3.25%), 4.70%(a)(l) | 275 | 278,781 | ||||||||||
(5 year USD ICE Swap + 4.37%), | 1,750 | 1,909,985 | ||||||||||
Intercontinental Exchange, Inc., 4.00%, 10/15/23 | 470 | 502,590 | ||||||||||
Intrum AB, 3.00%, 09/15/27(d) | EUR | 100 | 115,269 | |||||||||
ION Trading Technologies Sarl, 5.75%, 05/15/28(b) | USD | 200 | 203,925 | |||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b) | 220 | 223,025 | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | ||||||||||||
4.25%, 02/01/27 | 94 | 93,060 | ||||||||||
4.75%, 06/15/29 | 93 | 92,344 | ||||||||||
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(l) | 595 | 684,577 | ||||||||||
Manappuram Finance Ltd., 5.90%, 01/13/23(d) | 400 | 410,575 | ||||||||||
Morgan Stanley | ||||||||||||
4.00%, 07/23/25 | 905 | 997,040 | ||||||||||
3.13%, 07/27/26 | 2,000 | 2,152,564 | ||||||||||
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b) | 200 | 201,100 | ||||||||||
Shriram Transport Finance Co. Ltd.(d) | ||||||||||||
5.95%, 10/24/22 | 200 | 203,225 | ||||||||||
5.10%, 07/16/23 | 489 | 497,038 | ||||||||||
Spectrum Brands, Inc.(b) | ||||||||||||
5.00%, 10/01/29 | 79 | 84,925 | ||||||||||
5.50%, 07/15/30 | 104 | 115,180 | ||||||||||
3.88%, 03/15/31 | 31 | 31,323 | ||||||||||
UBS Group AG, (5 year CMT + 3.31%), 4.38%(a)(b)(l) | 200 | 202,040 | ||||||||||
|
| |||||||||||
37,140,172 | ||||||||||||
Diversified Telecommunication Services — 4.0% |
| |||||||||||
AT&T, Inc. | ||||||||||||
6.10%, 07/15/40 | 830 | 1,101,885 | ||||||||||
6.38%, 03/01/41 | 520 | 736,435 | ||||||||||
5.15%, 03/15/42 | 2,400 | 2,974,204 | ||||||||||
4.75%, 05/15/46 | 2,710 | 3,241,557 | ||||||||||
3.65%, 06/01/51 | 350 | 356,646 | ||||||||||
Axtel SAB de CV, 6.38%, 11/14/24(b) | 200 | 206,037 |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Cincinnati Bell, Inc.(b) | ||||||||||||
7.00%, 07/15/24 | USD | 144 | $ | 146,553 | ||||||||
8.00%, 10/15/25 | 45 | 46,899 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | 333 | 361,721 | ||||||||||
Level 3 Financing, Inc.(b) | ||||||||||||
4.25%, 07/01/28 | 152 | 153,175 | ||||||||||
3.75%, 07/15/29 | 125 | 120,810 | ||||||||||
Lumen Technologies, Inc. | ||||||||||||
5.13%, 12/15/26(b) | 426 | 441,975 | ||||||||||
4.50%, 01/15/29(b) | 202 | 195,734 | ||||||||||
5.38%, 06/15/29(b) | 339 | 345,902 | ||||||||||
Series P, 7.60%, 09/15/39 | 75 | 84,000 | ||||||||||
Series U, 7.65%, 03/15/42 | 225 | 252,000 | ||||||||||
Series W, 6.75%, 12/01/23 | 74 | 81,123 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(f) | 157 | 146,991 | ||||||||||
Sprint Capital Corp. | ||||||||||||
6.88%, 11/15/28 | 928 | 1,187,840 | ||||||||||
8.75%, 03/15/32 | 480 | 717,053 | ||||||||||
Switch Ltd.(b) | ||||||||||||
3.75%, 09/15/28 | 234 | 237,510 | ||||||||||
4.13%, 06/15/29 | 271 | 278,114 | ||||||||||
Telecom Italia Capital SA | ||||||||||||
6.38%, 11/15/33 | 131 | 152,445 | ||||||||||
6.00%, 09/30/34 | 337 | 378,282 | ||||||||||
7.20%, 07/18/36 | 60 | 73,500 | ||||||||||
7.72%, 06/04/38 | 79 | 101,120 | ||||||||||
Telecom Italia SpA(d) | ||||||||||||
3.00%, 09/30/25 | EUR | 100 | 122,949 | |||||||||
1.63%, 01/18/29 | 100 | 113,373 | ||||||||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30(b)(i) | USD | 95 | 94,169 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(b) | 237 | 242,036 | ||||||||||
Verizon Communications, Inc. | ||||||||||||
6.40%, 02/15/38 | 5,700 | 7,921,425 | ||||||||||
6.55%, 09/15/43(m) | 6,751 | 10,517,257 | ||||||||||
Zayo Group Holdings, Inc.(b) | ||||||||||||
4.00%, 03/01/27 | 629 | 626,000 | ||||||||||
6.13%, 03/01/28 | 848 | 859,685 | ||||||||||
|
| |||||||||||
34,616,405 | ||||||||||||
Electric Utilities — 3.3% | ||||||||||||
Cleveland Electric Illuminating Co., 5.95%, 12/15/36 | 434 | 577,536 | ||||||||||
Duke Energy Carolinas LLC | ||||||||||||
6.10%, 06/01/37 | 640 | 875,435 | ||||||||||
6.00%, 01/15/38 | 1,675 | 2,328,915 | ||||||||||
Duke Energy Florida LLC | ||||||||||||
6.35%, 09/15/37 | 2,775 | 4,012,794 | ||||||||||
6.40%, 06/15/38 | 770 | 1,123,729 | ||||||||||
E.ON International Finance BV, 6.65%, 04/30/38(b) | 3,100 | 4,519,103 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) | 201 | 199,769 | ||||||||||
Energuate Trust, 5.88%, 05/03/27(b) | 201 | 208,010 | ||||||||||
FirstEnergy Corp. | ||||||||||||
2.65%, 03/01/30 | 110 | 109,450 | ||||||||||
Series B, 4.40%, 07/15/27 | 91 | 99,843 | ||||||||||
Series B, 2.25%, 09/01/30 | 14 | 13,510 | ||||||||||
Series C, 7.38%, 11/15/31 | 29 | 39,616 | ||||||||||
Series C, 5.35%, 07/15/47 | 342 | 417,026 | ||||||||||
Series C, 3.40%, 03/01/50 | 376 | 361,471 |
7 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Electric Utilities (continued) | ||||||||||||
FirstEnergy Transmission LLC(b) | ||||||||||||
5.45%, 07/15/44 | USD | 254 | $ | 323,735 | ||||||||
4.55%, 04/01/49 | 109 | 127,573 | ||||||||||
NextEra Energy Operating Partners LP, 4.25%, 09/15/24(b) | 3 | 3,165 | ||||||||||
Ohio Power Co., Series D, 6.60%, 03/01/33 | 3,000 | 4,064,076 | ||||||||||
PacifiCorp, 6.25%, 10/15/37 | 1,225 | 1,729,372 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 | 132 | 135,135 | ||||||||||
Public Power Corp SA, 3.88%, 03/30/26(d) | EUR | 100 | 120,758 | |||||||||
Southern California Edison Co., 5.63%, 02/01/36 | USD | 1,300 | 1,637,323 | |||||||||
Virginia Electric & Power Co., Series A, 6.00%, 05/15/37 | 3,920 | 5,423,079 | ||||||||||
|
| |||||||||||
28,450,423 | ||||||||||||
Electrical Equipment(b) — 0.0% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | 212 | 219,950 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 91 | 93,389 | ||||||||||
|
| |||||||||||
313,339 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||||||
Belden, Inc., 3.38%, 07/15/31(d) | EUR | 100 | 120,175 | |||||||||
BWX Technologies, Inc., 4.13%, 06/30/28(b) | USD | 169 | 173,436 | |||||||||
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 | 54 | 55,350 | ||||||||||
Corning, Inc., 4.38%, 11/15/57 | 2,000 | 2,398,940 | ||||||||||
Energizer Holdings, Inc.(b) | ||||||||||||
4.75%, 06/15/28 | 57 | 57,983 | ||||||||||
4.38%, 03/31/29 | 13 | 12,902 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29(b) | 187 | 193,455 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 | 122 | 122,024 | ||||||||||
|
| |||||||||||
3,134,265 | ||||||||||||
Energy Equipment & Services — 0.3% | ||||||||||||
Anton Oilfield Services Group/Hong Kong, 7.50%, 12/02/22(d) | 200 | 198,537 | ||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | ||||||||||||
6.88%, 04/01/27 | 227 | 238,350 | ||||||||||
6.25%, 04/01/28 | 447 | 462,299 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 | 70 | 72,800 | ||||||||||
Halliburton Co., 5.00%, 11/15/45 | 500 | 599,055 | ||||||||||
Pioneer Energy Services Corp.(b)(c)(f) | ||||||||||||
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25 | 213 | 235,517 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25(j) | 159 | 186,089 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||||
6.88%, 04/01/26 | 215 | 223,858 | ||||||||||
6.88%, 09/01/27 | 413 | 437,202 | ||||||||||
Vallourec SA, 8.50%, 06/30/26(d) | EUR | 17 | 20,157 | |||||||||
|
| |||||||||||
2,673,864 | ||||||||||||
Entertainment — 0.0% | ||||||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)(i) | USD | 152 | 148,094 | |||||||||
�� |
|
| ||||||||||
Environmental, Maintenance, & Security Service — 0.2% |
| |||||||||||
Clean Harbors, Inc., 5.13%, 07/15/29(b) | 109 | 119,355 | ||||||||||
Covanta Holding Corp., 5.00%, 09/01/30 | 93 | 93,930 | ||||||||||
GFL Environmental, Inc.(b) | ||||||||||||
4.25%, 06/01/25 | 98 | 101,062 | ||||||||||
3.75%, 08/01/25 | 18 | 18,518 | ||||||||||
5.13%, 12/15/26 | 135 | 141,765 | ||||||||||
4.00%, 08/01/28 | 272 | 269,960 | ||||||||||
3.50%, 09/01/28 | 131 | 131,819 | ||||||||||
4.75%, 06/15/29 | 223 | 229,132 |
Security | Par (000) | Value | ||||||||||
Environmental, Maintenance, & Security Service (continued) | ||||||||||||
GFL Environmental, Inc.(b) (continued) | ||||||||||||
4.38%, 08/15/29 | USD | 92 | $ | 92,920 | ||||||||
Stericycle, Inc., 3.88%, 01/15/29(b) | 108 | 108,660 | ||||||||||
Tervita Corp., 11.00%, 12/01/25(b)(n) | 82 | 92,784 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | 318 | 321,180 | ||||||||||
|
| |||||||||||
1,721,085 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||||||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 | 550 | 636,663 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(b) | 120 | 118,800 | ||||||||||
Crown Castle International Corp., 2.90%, 04/01/41 | 350 | 337,371 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28(b) | 110 | 114,125 | ||||||||||
ERP Operating LP, 4.50%, 06/01/45 | 1,155 | 1,455,475 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | 95 | 94,330 | ||||||||||
Healthpeak Properties, Inc., 4.00%, 06/01/25 | 2,000 | 2,184,008 | ||||||||||
Iron Mountain, Inc.(b) | ||||||||||||
5.25%, 03/15/28 | 77 | 80,465 | ||||||||||
5.25%, 07/15/30 | 150 | 159,185 | ||||||||||
5.63%, 07/15/32 | 179 | 191,977 | ||||||||||
LMIRT Capital Pte Ltd., 7.25%, 06/19/24(d) | 250 | 259,656 | ||||||||||
MGM Growth Properties Operating Partnership | ||||||||||||
5.63%, 05/01/24 | 42 | 45,675 | ||||||||||
4.63%, 06/15/25(b) | 145 | 156,238 | ||||||||||
4.50%, 09/01/26 | 198 | 215,325 | ||||||||||
5.75%, 02/01/27 | 16 | 18,400 | ||||||||||
4.50%, 01/15/28 | 205 | 223,962 | ||||||||||
3.88%, 02/15/29(b) | 208 | 221,520 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||||||
5.00%, 10/15/27 | 28 | 29,505 | ||||||||||
4.63%, 08/01/29 | 376 | 403,448 | ||||||||||
3.50%, 03/15/31 | 619 | 631,380 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||||
4.75%, 10/15/27 | 304 | 314,631 | ||||||||||
4.50%, 02/15/29(b) | 4 | 4,008 | ||||||||||
RLJ Lodging Trust LP(b) | ||||||||||||
3.75%, 07/01/26 | 92 | 92,460 | ||||||||||
4.00%, 09/15/29 | 66 | 65,897 | ||||||||||
Simon Property Group LP, 4.75%, 03/15/42 | 1,670 | 2,050,671 | ||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 33 | 33,066 | ||||||||||
Trust Fibra Uno, 6.95%, 01/30/44(d) | 476 | 587,354 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26 | 870 | 961,050 | ||||||||||
|
| |||||||||||
11,686,645 | ||||||||||||
Food & Staples Retailing — 0.6% |
| |||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) | ||||||||||||
3.25%, 03/15/26 | 94 | 95,410 | ||||||||||
7.50%, 03/15/26 | 65 | 70,200 | ||||||||||
4.63%, 01/15/27 | 104 | 109,100 | ||||||||||
5.88%, 02/15/28 | 219 | 233,235 | ||||||||||
4.88%, 02/15/30 | 95 | 102,363 | ||||||||||
Cydsa SAB de CV, 6.25%, 10/04/27(b) | 319 | 331,122 | ||||||||||
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) | 200 | 205,662 | ||||||||||
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24(d) | 200 | 204,850 |
SCHEDULE OF INVESTMENTS | 8 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Food & Staples Retailing (continued) | ||||||||||||
Kraft Heinz Foods Co. | ||||||||||||
4.25%, 03/01/31 | USD | 309 | $ | 349,331 | ||||||||
5.00%, 07/15/35 | 85 | 104,530 | ||||||||||
6.88%, 01/26/39 | 160 | 236,213 | ||||||||||
4.63%, 10/01/39 | 53 | 61,771 | ||||||||||
6.50%, 02/09/40 | 110 | 156,200 | ||||||||||
5.00%, 06/04/42 | 86 | 105,465 | ||||||||||
5.20%, 07/15/45 | 95 | 118,992 | ||||||||||
4.38%, 06/01/46 | 275 | 312,900 | ||||||||||
4.88%, 10/01/49 | 600 | 730,257 | ||||||||||
5.50%, 06/01/50 | 877 | 1,157,088 | ||||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b) | 53 | 58,260 | ||||||||||
Ocado Group PLC, 3.88%, 10/08/26(d)(i) | GBP | 100 | 134,740 | |||||||||
Performance Food Group, Inc., 4.25%, 08/01/29(b) | USD | 228 | 228,570 | |||||||||
Post Holdings, Inc.(b) | ||||||||||||
4.63%, 04/15/30 | 47 | 47,363 | ||||||||||
4.50%, 09/15/31 | 153 | 151,184 | ||||||||||
US Foods, Inc., 4.75%, 02/15/29(b) | 203 | 208,329 | ||||||||||
|
| |||||||||||
5,513,135 | ||||||||||||
Food Products(b) — 0.3% | ||||||||||||
Aramark Services, Inc. | ||||||||||||
5.00%, 04/01/25 | 46 | 47,079 | ||||||||||
5.00%, 02/01/28 | 163 | 167,483 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. | ||||||||||||
7.50%, 04/15/25 | 262 | 272,611 | ||||||||||
4.63%, 11/15/28 | 162 | 167,265 | ||||||||||
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), | ||||||||||||
5.95%(a)(l) | 200 | 209,475 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28 | 93 | 100,603 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | ||||||||||||
6.50%, 04/15/29 | 196 | 219,030 | ||||||||||
3.75%, 12/01/31 | 296 | 307,997 | ||||||||||
MHP Lux SA, 6.25%, 09/19/29 | 400 | 405,180 | ||||||||||
Pilgrim’s Pride Corp., 3.50%, 03/01/32 | 348 | 353,872 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 | 193 | 194,447 | ||||||||||
|
| |||||||||||
2,445,042 | ||||||||||||
Gas Utilities — 0.0% | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b) | 90 | 93,375 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.3% |
| |||||||||||
Avantor Funding, Inc., 4.63%, 07/15/28(b) | 308 | 324,170 | ||||||||||
Hologic, Inc., 3.25%, 02/15/29(b) | 25 | 25,012 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(b) | ||||||||||||
7.38%, 06/01/25 | 240 | 253,200 | ||||||||||
7.25%, 02/01/28 | 721 | 771,560 | ||||||||||
Thermo Fisher Scientific, Inc., 5.30%, 02/01/44 | 1,000 | 1,376,389 | ||||||||||
|
| |||||||||||
2,750,331 | ||||||||||||
Health Care Providers & Services — 1.9% |
| |||||||||||
Acadia Healthcare Co., Inc.(b) | ||||||||||||
5.50%, 07/01/28 | 66 | 69,379 | ||||||||||
5.00%, 04/15/29 | 91 | 94,754 | ||||||||||
AdaptHealth LLC(b) | ||||||||||||
6.13%, 08/01/28 | 98 | 104,125 | ||||||||||
4.63%, 08/01/29 | 73 | 72,945 |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
AdaptHealth LLC(b) (continued) | ||||||||||||
5.13%, 03/01/30 | USD | 68 | $ | 68,034 | ||||||||
Aetna, Inc., 4.50%, 05/15/42 | 575 | 687,100 | ||||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | 185 | 186,850 | ||||||||||
Anthem, Inc. | ||||||||||||
2.75%, 10/15/42(j) | 86 | 453,917 | ||||||||||
4.38%, 12/01/47 | 1,000 | 1,206,445 | ||||||||||
3.60%, 03/15/51 | 600 | 655,491 | ||||||||||
Cano Health LLC, 6.25%, 10/01/28(b) | 61 | 61,610 | ||||||||||
Centene Corp. | ||||||||||||
4.25%, 12/15/27 | 66 | 69,079 | ||||||||||
2.45%, 07/15/28 | 417 | 419,085 | ||||||||||
4.63%, 12/15/29 | 666 | 725,807 | ||||||||||
3.00%, 10/15/30 | 498 | 510,450 | ||||||||||
2.50%, 03/01/31 | 807 | 795,904 | ||||||||||
2.63%, 08/01/31 | 285 | 283,073 | ||||||||||
CHS/Community Health Systems, Inc.(b) | ||||||||||||
6.63%, 02/15/25 | 386 | 403,852 | ||||||||||
8.00%, 03/15/26 | 1,093 | 1,159,099 | ||||||||||
5.63%, 03/15/27 | 419 | 438,747 | ||||||||||
6.00%, 01/15/29 | 332 | 351,920 | ||||||||||
6.13%, 04/01/30 | 203 | 197,260 | ||||||||||
DaVita, Inc., 4.63%, 06/01/30(b) | 7 | 7,200 | ||||||||||
Encompass Health Corp. | ||||||||||||
4.50%, 02/01/28 | 31 | 32,008 | ||||||||||
4.75%, 02/01/30 | 260 | 273,455 | ||||||||||
4.63%, 04/01/31 | 141 | 148,198 | ||||||||||
HCA, Inc. | ||||||||||||
5.63%, 09/01/28 | 103 | 122,539 | ||||||||||
5.88%, 02/01/29 | 126 | 151,413 | ||||||||||
3.50%, 09/01/30 | 597 | 632,456 | ||||||||||
5.50%, 06/15/47 | 1,090 | 1,413,463 | ||||||||||
Legacy LifePoint Health LLC(b) | ||||||||||||
6.75%, 04/15/25 | 130 | 136,610 | ||||||||||
4.38%, 02/15/27 | 65 | 64,838 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29(b) | 302 | 293,695 | ||||||||||
ModivCare Escrow Issuer, Inc., 5.00%, 10/01/29(b) | 113 | 117,130 | ||||||||||
ModivCare, Inc., 5.88%, 11/15/25(b) | 48 | 50,760 | ||||||||||
Molina Healthcare, Inc.(b) | ||||||||||||
4.38%, 06/15/28 | 146 | 151,895 | ||||||||||
3.88%, 11/15/30 | 189 | 197,505 | ||||||||||
Northwell Healthcare, Inc., 4.26%, 11/01/47 | 725 | 848,362 | ||||||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | 211 | 226,297 | ||||||||||
RegionalCare Hospital Partners Holdings, | ||||||||||||
Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | 68 | 71,825 | ||||||||||
Surgery Center Holdings, Inc.(b) | ||||||||||||
6.75%, 07/01/25 | 378 | 384,615 | ||||||||||
10.00%, 04/15/27 | 475 | 513,000 | ||||||||||
Tenet Healthcare Corp.(b) | ||||||||||||
4.63%, 09/01/24 | 98 | 100,205 | ||||||||||
7.50%, 04/01/25 | 119 | 126,289 | ||||||||||
4.88%, 01/01/26 | 489 | 506,076 | ||||||||||
6.25%, 02/01/27 | 13 | 13,488 | ||||||||||
5.13%, 11/01/27 | 350 | 364,875 | ||||||||||
4.63%, 06/15/28 | 55 | 56,989 | ||||||||||
6.13%, 10/01/28 | 266 | 279,426 | ||||||||||
4.25%, 06/01/29 | 202 | 205,030 | ||||||||||
|
| |||||||||||
16,504,568 | ||||||||||||
Health Care Technology — 0.2% | ||||||||||||
Catalent Pharma Solutions, Inc. 2.38%, 03/01/28(d) | EUR | 100 | 117,159 |
9 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Technology (continued) |
| |||||||||||
Catalent Pharma Solutions, Inc. (continued) | ||||||||||||
3.13%, 02/15/29(b) | USD | 123 | $ | 120,780 | ||||||||
3.50%, 04/01/30(b) | 314 | 314,000 | ||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b) | 518 | 521,885 | ||||||||||
Charles River Laboratories International, Inc.(b) | ||||||||||||
4.25%, 05/01/28 | 67 | 69,536 | ||||||||||
3.75%, 03/15/29 | 23 | 23,489 | ||||||||||
4.00%, 03/15/31 | 66 | 69,150 | ||||||||||
IQVIA, Inc.(b) | ||||||||||||
5.00%, 10/15/26 | 280 | 286,964 | ||||||||||
5.00%, 05/15/27 | 266 | 276,289 | ||||||||||
MEDNAX, Inc., 6.25%, 01/15/27(b) | 85 | 89,356 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29(b) | 216 | 215,395 | ||||||||||
|
| |||||||||||
2,104,003 | ||||||||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||||||
1011778 BC ULC/New Red Finance, Inc.(b) | ||||||||||||
3.88%, 01/15/28 | 289 | 291,847 | ||||||||||
4.38%, 01/15/28 | 170 | 172,586 | ||||||||||
Accor SA, (5 year EUR Swap + 4.56%), 4.38%(a)(d)(l) | EUR | 100 | 119,515 | |||||||||
Affinity Gaming, 6.88%, 12/15/27(b) | USD | 23 | 24,190 | |||||||||
Boyd Gaming Corp. | ||||||||||||
8.63%, 06/01/25(b) | 65 | 70,444 | ||||||||||
4.75%, 12/01/27 | 121 | 124,713 | ||||||||||
4.75%, 06/15/31(b) | 254 | 261,937 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29(b) | 166 | 171,395 | ||||||||||
Caesars Entertainment, Inc.(b) | ||||||||||||
6.25%, 07/01/25 | 652 | 686,398 | ||||||||||
8.13%, 07/01/27 | 910 | 1,023,045 | ||||||||||
4.63%, 10/15/29 | 262 | 265,275 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) | 96 | 101,206 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) | 379 | 393,686 | ||||||||||
Champion Path Holdings Ltd.(d) | ||||||||||||
4.50%, 01/27/26 | 200 | 204,000 | ||||||||||
4.85%, 01/27/28 | 400 | 404,825 | ||||||||||
Churchill Downs, Inc., 4.75%, 01/15/28(b) | 122 | 127,642 | ||||||||||
Corvias Campus Living USG LLC, 5.30%, 07/01/50(c) | 5,637 | 3,924,395 | ||||||||||
Everi Holdings, Inc., 5.00%, 07/15/29(b) | 35 | 35,864 | ||||||||||
Fortune Star BVI Ltd.(d) | ||||||||||||
5.95%, 01/29/23 | 200 | 202,975 | ||||||||||
6.75%, 07/02/23 | 250 | 258,484 | ||||||||||
5.95%, 10/19/25 | 400 | 407,000 | ||||||||||
5.00%, 05/18/26 | 400 | 395,000 | ||||||||||
5.05%, 01/27/27 | 200 | 195,500 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) | 462 | 462,601 | ||||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||||
5.38%, 05/01/25(b) | 39 | 40,755 | ||||||||||
4.88%, 01/15/30 | 254 | 272,481 | ||||||||||
4.00%, 05/01/31(b) | 184 | 186,760 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 | 44 | 45,486 | ||||||||||
McDonald’s Corp., 3.70%, 02/15/42 | 1,750 | 1,922,834 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26(d) | 250 | 251,375 | ||||||||||
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | 200 | 206,500 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26(d) | 450 | 459,647 | ||||||||||
MGM Resorts International, 7.75%, 03/15/22 | 19 | 19,523 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | USD | 175 | $ | 178,281 | ||||||||
Penn National Gaming, Inc., 4.13%, 07/01/29(b) | 61 | 60,292 | ||||||||||
Powdr Corp., 6.00%, 08/01/25(b)(n) | 240 | 252,000 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | ||||||||||||
5.63%, 09/01/29 | 79 | 79,790 | ||||||||||
5.88%, 09/01/31 | 79 | 79,813 | ||||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b) | 121 | 123,571 | ||||||||||
Scientific Games International, Inc. | ||||||||||||
8.63%, 07/01/25(b) | 136 | 147,279 | ||||||||||
3.38%, 02/15/26(d) | EUR | 100 | 116,715 | |||||||||
8.25%, 03/15/26(b) | USD | 203 | 215,434 | |||||||||
7.00%, 05/15/28(b) | 100 | 107,875 | ||||||||||
7.25%, 11/15/29(b) | 96 | 107,869 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | 402 | 428,130 | ||||||||||
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25(d) | GBP | 100 | 141,612 | |||||||||
Studio City Finance Ltd., 6.00%, 07/15/25(d) | USD | 300 | 297,000 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) | 105 | 111,038 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 104 | 108,569 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)(m) | 125 | 126,248 | ||||||||||
Wynn Macau Ltd.(d) | ||||||||||||
4.88%, 10/01/24 | 200 | 193,475 | ||||||||||
5.50%, 01/15/26 | 317 | 306,301 | ||||||||||
5.50%, 10/01/27 | 200 | 192,000 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | ||||||||||||
7.75%, 04/15/25 | 163 | 171,968 | ||||||||||
5.13%, 10/01/29 | 419 | 422,142 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
4.75%, 01/15/30(b) | 2 | 2,168 | ||||||||||
3.63%, 03/15/31 | 62 | 62,331 | ||||||||||
5.35%, 11/01/43 | 44 | 48,400 | ||||||||||
|
| |||||||||||
17,810,185 | ||||||||||||
Household Durables — 0.3% |
| |||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | ||||||||||||
4.63%, 08/01/29 | 68 | 68,662 | ||||||||||
4.63%, 04/01/30 | 68 | 68,383 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC(b) | ||||||||||||
5.00%, 06/15/29 | 141 | 144,180 | ||||||||||
4.88%, 02/15/30 | 202 | 206,040 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | 173 | 183,030 | ||||||||||
Controladora Mabe SA de CV, 5.60%, 10/23/28(b) | 215 | 249,373 | ||||||||||
Forestar Group, Inc., 3.85%, 05/15/26(b) | 70 | 69,913 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) | 206 | 216,300 | ||||||||||
KB Home, 4.00%, 06/15/31 | 65 | 66,706 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30(b) | 135 | 137,950 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 35 | 38,981 | ||||||||||
NCR Corp.(b) | ||||||||||||
5.00%, 10/01/28 | 73 | 74,592 | ||||||||||
5.13%, 04/15/29 | 107 | 110,344 | ||||||||||
6.13%, 09/01/29 | 57 | 61,845 | ||||||||||
5.25%, 10/01/30 | 74 | 77,591 | ||||||||||
Newell Brands, Inc., 6.00%, 04/01/46 | 75 | 96,937 |
SCHEDULE OF INVESTMENTS | 10 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) |
| |||||||||||
Taylor Morrison Communities, Inc.(b) | ||||||||||||
5.88%, 06/15/27 | USD | 119 | $ | 135,660 | ||||||||
5.13%, 08/01/30 | 37 | 39,822 | ||||||||||
Tempur Sealy International, Inc.(b) | ||||||||||||
4.00%, 04/15/29 | 183 | 188,490 | ||||||||||
3.88%, 10/15/31 | 186 | 186,232 | ||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 | 8 | 8,760 | ||||||||||
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | 28 | 30,240 | ||||||||||
|
| |||||||||||
2,460,031 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.4% |
| |||||||||||
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24(d) | 200 | 216,788 | ||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(d) | 200 | 210,350 | ||||||||||
Calpine Corp.(b) | ||||||||||||
4.50%, 02/15/28 | 35 | 35,700 | ||||||||||
5.13%, 03/15/28 | 650 | 658,277 | ||||||||||
4.63%, 02/01/29 | 70 | 68,950 | ||||||||||
5.00%, 02/01/31 | 46 | 46,000 | ||||||||||
3.75%, 03/01/31 | 4 | 3,850 | ||||||||||
Clearway Energy Operating LLC(b) | ||||||||||||
4.75%, 03/15/28 | 84 | 88,922 | ||||||||||
3.75%, 01/15/32(i) | 177 | 176,779 | ||||||||||
Greenko Dutch BV, 3.85%, 03/29/26(d) | 394 | 400,353 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(d) | 200 | 211,225 | ||||||||||
India Green Energy Holdings, 5.38%, 04/29/24(d) | 250 | 259,375 | ||||||||||
NRG Energy, Inc.(b) | ||||||||||||
5.25%, 06/15/29 | 47 | 49,996 | ||||||||||
3.63%, 02/15/31 | 215 | 211,184 | ||||||||||
3.88%, 02/15/32 | 239 | 236,311 | ||||||||||
ReNew Power Pvt Ltd., 5.88%, 03/05/27(d) | 306 | 320,879 | ||||||||||
ReNew Power Synthetic, 6.67%, 03/12/24(d) | 200 | 208,288 | ||||||||||
TerraForm Power Operating LLC, 4.75%, 01/15/30(b) | 121 | 126,596 | ||||||||||
|
| |||||||||||
3,529,823 | ||||||||||||
Insurance — 3.1% |
| |||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | 156 | 154,020 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b) | ||||||||||||
4.25%, 10/15/27 | 749 | 756,490 | ||||||||||
6.75%, 10/15/27 | 1,126 | 1,165,410 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 | 1,495 | 1,627,000 | ||||||||||
Allstate Corp.(a) | ||||||||||||
(3 mo. LIBOR US + 2.12%), 6.50%, 05/15/67 | 1,750 | 2,358,125 | ||||||||||
Series B, (3 mo. LIBOR US + 2.94%), 5.75%, 08/15/53 | 2,000 | 2,164,500 | ||||||||||
AmWINS Group, Inc., 4.88%, 06/30/29(b) | 180 | 182,529 | ||||||||||
Aon PLC | ||||||||||||
3.88%, 12/15/25 | 1,445 | 1,595,210 | ||||||||||
4.60%, 06/14/44 | 500 | 623,203 | ||||||||||
Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), | 333 | 357,975 | ||||||||||
AssuredPartners, Inc., 5.63%, 01/15/29(b) | 177 | 178,097 | ||||||||||
BroadStreet Partners, Inc., 5.88%, 04/15/29(b) | 130 | 129,512 | ||||||||||
Five Corners Funding Trust, 4.42%, 11/15/23(b) | 2,050 | 2,213,661 | ||||||||||
Galaxy Bidco Ltd., 6.50%, 07/31/26(d) GBP | 100 | 140,822 | ||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) USD | 185 | 195,175 | ||||||||||
HUB International Ltd., 7.00%, 05/01/26(b) | 415 | 429,006 |
Security | Par (000) | Value | ||||||||||
Insurance (continued) |
| |||||||||||
Liberty Mutual Group, Inc., 6.50%, 05/01/42(b) | USD | 2,000 | $ | 2,824,448 | ||||||||
Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b) | 720 | 786,714 | ||||||||||
Prudential Financial, Inc. | ||||||||||||
5.90%, 03/17/36 | 500 | 633,347 | ||||||||||
5.70%, 12/14/36 | 1,625 | 2,187,112 | ||||||||||
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b) | 700 | 845,819 | ||||||||||
Unipol Gruppo SpA, 3.25%, 09/23/30(d) | EUR | 100 | 134,606 | |||||||||
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53(a) | USD | 4,500 | 4,747,500 | |||||||||
|
| |||||||||||
26,430,281 | ||||||||||||
Interactive Media & Services — 0.2% |
| |||||||||||
21Vianet Group, Inc., 7.88%, 10/15/21(d) | 200 | 199,680 | ||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28(b) | 73 | 74,014 | ||||||||||
Cablevision Lightpath LLC(b) | ||||||||||||
3.88%, 09/15/27 | 220 | 215,897 | ||||||||||
5.63%, 09/15/28 | 200 | 200,725 | ||||||||||
Netflix, Inc. | ||||||||||||
5.88%, 11/15/28 | 121 | 148,273 | ||||||||||
6.38%, 05/15/29 | 23 | 29,095 | ||||||||||
5.38%, 11/15/29(b) | 386 | 467,542 | ||||||||||
4.88%, 06/15/30(b) | 2 | 2,355 | ||||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.(b) | ||||||||||||
4.75%, 04/30/27 | 158 | 158,000 | ||||||||||
6.00%, 02/15/28 | 166 | 165,117 | ||||||||||
Twitter, Inc., 3.88%, 12/15/27(b) | 195 | 208,163 | ||||||||||
|
| |||||||||||
1,868,861 | ||||||||||||
Internet Software & Services — 0.4% |
| |||||||||||
Airbnb, Inc., 0.00%, 03/15/26(b)(j)(k) | 383 | 376,297 | ||||||||||
ANGI Group LLC, 3.88%, 08/15/28(b) | 174 | 173,130 | ||||||||||
Booking Holdings, Inc., 0.75%, 05/01/25(j) | 256 | 375,936 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) | ||||||||||||
5.25%, 12/01/27 | 27 | 28,148 | ||||||||||
3.50%, 03/01/29 | 84 | 83,265 | ||||||||||
Match Group Holdings II LLC(b) | ||||||||||||
4.13%, 08/01/30 | 36 | 37,485 | ||||||||||
3.63%, 10/01/31(i) | 73 | 72,133 | ||||||||||
Uber Technologies, Inc.(b) | ||||||||||||
7.50%, 05/15/25 | 44 | 46,904 | ||||||||||
0.00%, 12/15/25(j)(k) | 1,068 | 1,038,769 | ||||||||||
8.00%, 11/01/26 | 132 | 139,508 | ||||||||||
7.50%, 09/15/27 | 412 | 449,852 | ||||||||||
6.25%, 01/15/28 | 133 | 142,641 | ||||||||||
4.50%, 08/15/29 | 316 | 318,173 | ||||||||||
Zillow Group, Inc., 1.38%, 09/01/26(j) | 37 | 77,885 | ||||||||||
|
| |||||||||||
3,360,126 | ||||||||||||
IT Services — 0.5% |
| |||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | 74 | 74,555 | ||||||||||
Austin BidCo, Inc., 7.13%, 12/15/28(b) | 48 | 48,360 | ||||||||||
Booz Allen Hamilton, Inc.(b) | ||||||||||||
3.88%, 09/01/28 | 190 | 194,773 | ||||||||||
4.00%, 07/01/29 | 279 | 285,975 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(b) | 97 | 100,759 | ||||||||||
Castle US Holding Corp., 9.50%, 02/15/28(b) | 171 | 178,695 | ||||||||||
Dun & Bradstreet Corp.(b) | ||||||||||||
6.88%, 08/15/26 | 162 | 169,897 | ||||||||||
10.25%, 02/15/27 | 131 | 140,825 |
11 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
IT Services (continued) |
| |||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) | USD | 107 | $ | 109,675 | ||||||||
Fidelity National Information Services, Inc., 4.50%, 08/15/46 | 1,000 | 1,213,438 | ||||||||||
Fiserv, Inc., 4.40%, 07/01/49 | 500 | 598,672 | ||||||||||
Gartner, Inc.(b) | ||||||||||||
4.50%, 07/01/28 | 199 | 208,950 | ||||||||||
3.63%, 06/15/29 | 209 | 210,588 | ||||||||||
3.75%, 10/01/30 | 99 | 101,891 | ||||||||||
KBR, Inc., 4.75%, 09/30/28(b) | 124 | 125,550 | ||||||||||
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b)(m) | 157 | 154,253 | ||||||||||
Science Applications International Corp., 4.88%, 04/01/28(b) | 63 | 65,107 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b) | 168 | 176,400 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 | 237 | 242,643 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | 263 | 261,685 | ||||||||||
|
| |||||||||||
4,662,691 | ||||||||||||
Leisure Products — 0.1% |
| |||||||||||
Mattel, Inc. | ||||||||||||
5.88%, 12/15/27(b) | 77 | 83,449 | ||||||||||
3.75%, 04/01/29(b) | 69 | 71,932 | ||||||||||
6.20%, 10/01/40 | 166 | 213,310 | ||||||||||
5.45%, 11/01/41 | 95 | 112,575 | ||||||||||
|
| |||||||||||
481,266 | ||||||||||||
Machinery — 0.3% |
| |||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b) | 71 | 72,813 | ||||||||||
Colfax Corp., 6.38%, 02/15/26(b) | 79 | 83,084 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(f) | 241 | 256,062 | ||||||||||
Madison IAQ LLC(b) | ||||||||||||
4.13%, 06/30/28 | 36 | 36,000 | ||||||||||
5.88%, 06/30/29 | 296 | 298,220 | ||||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29(b) | 94 | 97,309 | ||||||||||
Platin 1426 GmbH, 5.38%, 06/15/23(d) | EUR | 100 | 116,704 | |||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b) | USD | 4 | 4,098 | |||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) | 90 | 97,087 | ||||||||||
Terex Corp., 5.00%, 05/15/29(b) | 201 | 208,286 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b) | 434 | 443,429 | ||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27(d) | EUR | 100 | 120,904 | |||||||||
TK Elevator US Newco Inc., 5.25%, 07/15/27(b) | USD | 266 | 278,761 | |||||||||
Vertical Holdco GmbH, 7.63%, 07/15/28(b) | 200 | 213,750 | ||||||||||
|
| |||||||||||
2,326,507 | ||||||||||||
Media — 5.5% |
| |||||||||||
Altice Financing SA | ||||||||||||
3.00%, 01/15/28(d) | EUR | 100 | 109,035 | |||||||||
5.00%, 01/15/28(b) | USD | 239 | 230,450 | |||||||||
5.75%, 08/15/29(b)(i) | 730 | 707,100 | ||||||||||
Altice France Holding SA(b) | ||||||||||||
10.50%, 05/15/27 | 1,088 | 1,189,837 | ||||||||||
6.00%, 02/15/28 | 257 | 246,842 | ||||||||||
AMC Networks, Inc. | ||||||||||||
5.00%, 04/01/24 | 2 | 2,023 | ||||||||||
4.75%, 08/01/25 | 135 | 138,375 | ||||||||||
4.25%, 02/15/29 | 83 | 82,585 | ||||||||||
Bell Canada, 3.65%, 03/17/51 | 335 | 363,889 |
Security | Par (000) | Value | ||||||||||
Media (continued) |
| |||||||||||
Block Communications, Inc., 4.88%, 03/01/28(b) | USD | 87 | $ | 88,958 | ||||||||
Cable One, Inc., 1.13%, 03/15/28(b)(j) | 694 | 704,153 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
5.00%, 02/01/28(b) | 189 | 197,297 | ||||||||||
5.38%, 06/01/29(b) | 49 | 52,920 | ||||||||||
4.75%, 03/01/30(b) | 132 | 138,003 | ||||||||||
4.50%, 08/15/30(b) | 380 | 392,054 | ||||||||||
4.25%, 02/01/31(b) | 419 | 426,270 | ||||||||||
4.50%, 05/01/32 | 435 | 448,050 | ||||||||||
4.50%, 06/01/33(b) | 199 | 202,526 | ||||||||||
4.25%, 01/15/34(b) | 693 | 686,503 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||||||
4.91%, 07/23/25 | 4,700 | 5,285,735 | ||||||||||
5.38%, 05/01/47 | 1,100 | 1,317,025 | ||||||||||
4.80%, 03/01/50 | 1,000 | 1,122,205 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25(b) | 256 | 266,560 | ||||||||||
Clear Channel Outdoor Holdings, | ||||||||||||
7.75%, 04/15/28 | 372 | 391,530 | ||||||||||
7.50%, 06/01/29 | 514 | 534,560 | ||||||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b) | 764 | 790,595 | ||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 | 2,600 | 2,865,187 | ||||||||||
Comcast Corp. | ||||||||||||
6.45%, 03/15/37 | 790 | 1,160,011 | ||||||||||
4.60%, 08/15/45 | 2,000 | 2,504,847 | ||||||||||
4.70%, 10/15/48 | 3,000 | 3,831,252 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b) | 1,493 | 1,562,051 | ||||||||||
CSC Holdings LLC | ||||||||||||
5.25%, 06/01/24 | 166 | 177,816 | ||||||||||
5.75%, 01/15/30(b) | 443 | 450,409 | ||||||||||
4.63%, 12/01/30(b) | 454 | 430,381 | ||||||||||
4.50%, 11/15/31(b) | 316 | 312,050 | ||||||||||
5.00%, 11/15/31(b) | 200 | 191,690 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, 08/15/27(b) | 275 | 287,031 | ||||||||||
Discovery Communications LLC | ||||||||||||
3.25%, 04/01/23 | 1,850 | 1,908,878 | ||||||||||
3.45%, 03/15/25 | 210 | 224,404 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.00%, 03/15/23 | 111 | 115,024 | ||||||||||
7.75%, 07/01/26 | 513 | 579,292 | ||||||||||
5.13%, 06/01/29 | 388 | 380,159 | ||||||||||
DISH Network Corp.(j) | ||||||||||||
2.38%, 03/15/24 | 210 | 204,619 | ||||||||||
3.38%, 08/15/26 | 623 | 647,608 | ||||||||||
Frontier Communications Holdings LLC(b) | ||||||||||||
5.88%, 10/15/27 | 311 | 330,437 | ||||||||||
5.00%, 05/01/28 | 561 | 589,050 | ||||||||||
6.75%, 05/01/29 | 294 | 309,802 | ||||||||||
GCI LLC, 4.75%, 10/15/28(b) | 61 | 64,038 | ||||||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | 70 | 78,925 | ||||||||||
iHeartCommunications, Inc. | ||||||||||||
6.38%, 05/01/26 | 91 | 96,406 | ||||||||||
8.38%, 05/01/27 | 24 | 25,294 | ||||||||||
5.25%, 08/15/27(b) | 66 | 68,578 | ||||||||||
4.75%, 01/15/28(b) | 50 | 51,525 |
SCHEDULE OF INVESTMENTS | 12 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) |
| |||||||||||
LCPR Senior Secured Financing DAC, 5.13%, 07/15/29(b) | USD | 449 | $ | 462,448 | ||||||||
Liberty Broadband Corp.(b)(j) | ||||||||||||
1.25%, 09/30/50 | 279 | 283,324 | ||||||||||
2.75%, 09/30/50 | 537 | 566,881 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(f) | 239 | 231,721 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | 96 | 99,242 | ||||||||||
Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b) | 200 | 206,000 | ||||||||||
Live Nation Entertainment, Inc.(b) | ||||||||||||
4.88%, 11/01/24 | 21 | 21,235 | ||||||||||
6.50%, 05/15/27 | 452 | 497,200 | ||||||||||
4.75%, 10/15/27 | 61 | 61,990 | ||||||||||
3.75%, 01/15/28 | 126 | 125,252 | ||||||||||
Lorca Telecom Bondco SA, 4.00%, 09/18/27(d) | EUR | 100 | 116,427 | |||||||||
Midas OpCo Holdings LLC, 5.63%, 08/15/29(b) | USD | 69 | 71,398 | |||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | 108 | 112,375 | ||||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(a)(d)(l) | 648 | 689,431 | ||||||||||
News Corp., 3.88%, 05/15/29(b) | 84 | 86,310 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | ||||||||||||
5.00%, 08/15/27 | 103 | 105,642 | ||||||||||
4.25%, 01/15/29 | 81 | 80,283 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b) | ||||||||||||
4.50%, 09/15/26 | 273 | 281,873 | ||||||||||
6.50%, 09/15/28 | 1,050 | 1,070,643 | ||||||||||
Sable International Finance Ltd. | ||||||||||||
5.75%, 09/07/27(d) | 202 | 212,100 | ||||||||||
5.75%, 09/07/27(b) | 200 | 210,000 | ||||||||||
Scripps Escrow II, Inc., 3.88%, 01/15/29(b) | 11 | 11,038 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | 159 | 155,423 | ||||||||||
Sirius XM Radio, Inc.(b) | ||||||||||||
3.13%, 09/01/26 | 331 | 335,551 | ||||||||||
4.00%, 07/15/28 | 321 | 326,417 | ||||||||||
4.13%, 07/01/30 | 91 | 91,422 | ||||||||||
3.88%, 09/01/31 | 455 | 444,478 | ||||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26(d) | EUR | 100 | 121,337 | |||||||||
TCI Communications, Inc., 7.88%, 02/15/26 | USD | 610 | 777,375 | |||||||||
TEGNA, Inc., 5.50%, 09/15/24(b) | 19 | 19,213 | ||||||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) | 86 | 79,120 | ||||||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) | 587 | 620,682 | ||||||||||
Univision Communications, Inc., 5.13%, 02/15/25(b) | 52 | 52,759 | ||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | 303 | 310,230 | ||||||||||
UPCB Finance VII Ltd., 3.63%, 06/15/29(d) | EUR | 100 | 118,876 | |||||||||
ViacomCBS, Inc., 5.85%, 09/01/43 | USD | 645 | 878,991 | |||||||||
Videotron Ltd., 3.63%, 06/15/29(b) | 244 | 247,355 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) | 307 | 317,085 | ||||||||||
VTR Comunicaciones SpA, 4.38%, 04/15/29(b) | 200 | 205,000 | ||||||||||
Walt Disney Co., 7.63%, 11/30/28 | 385 | 526,843 | ||||||||||
WMG Acquisition Corp., 3.88%, 07/15/30(b) | 37 | 38,480 | ||||||||||
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) | 150 | 155,072 | ||||||||||
Ziggo BV, 5.50%, 01/15/27(b) | 249 | 257,404 | ||||||||||
|
| |||||||||||
47,243,770 | ||||||||||||
Metals & Mining — 1.0% |
| |||||||||||
ABJA Investment Co. Pte Ltd.(d) | ||||||||||||
5.95%, 07/31/24 | 450 | 486,084 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) |
| |||||||||||
ABJA Investment Co. Pte Ltd.(d) (continued) | ||||||||||||
5.45%, 01/24/28 | USD | 200 | $ | 217,558 | ||||||||
Allegheny Technologies, Inc. | ||||||||||||
7.88%, 08/15/23 | 82 | 92,250 | ||||||||||
4.88%, 10/01/29 | 68 | 68,255 | ||||||||||
5.13%, 10/01/31 | 77 | 77,593 | ||||||||||
Arconic Corp.(b) | ||||||||||||
6.00%, 05/15/25 | 87 | 91,369 | ||||||||||
6.13%, 02/15/28 | 233 | 246,985 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | 668 | 722,275 | ||||||||||
Constellium SE(b) | ||||||||||||
5.63%, 06/15/28 | 250 | 262,649 | ||||||||||
3.75%, 04/15/29 | 341 | 332,107 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
5.40%, 11/14/34 | 22 | 26,427 | ||||||||||
5.45%, 03/15/43 | 667 | 821,244 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b) | 200 | 214,787 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b) | 164 | 167,198 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24(d) | 200 | 211,412 | ||||||||||
Kaiser Aluminum Corp.(b) | ||||||||||||
4.63%, 03/01/28 | 38 | 39,235 | ||||||||||
4.50%, 06/01/31 | 87 | 89,175 | ||||||||||
Mongolian Mining Corp/Energy Resources LLC, 9.25%, 04/15/24(b) | 200 | 179,500 | ||||||||||
New Gold, Inc.(b) | ||||||||||||
6.38%, 05/15/25 | 13 | 13,390 | ||||||||||
7.50%, 07/15/27 | 470 | 483,574 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27(b) | 299 | 312,698 | ||||||||||
Novelis Corp.(b) | ||||||||||||
3.25%, 11/15/26 | 304 | 308,311 | ||||||||||
4.75%, 01/30/30 | 540 | 568,458 | ||||||||||
3.88%, 08/15/31 | 406 | 401,554 | ||||||||||
Periama Holdings LLC, 5.95%, 04/19/26(d) | 400 | 428,200 | ||||||||||
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 | 400 | 512,640 | ||||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b)(i) | 82 | 84,050 | ||||||||||
thyssenkrupp AG, 2.88%, 02/22/24(d) | EUR | 51 | 60,553 | |||||||||
Vale Overseas Ltd. | ||||||||||||
6.25%, 08/10/26 | USD | 133 | 157,512 | |||||||||
3.75%, 07/08/30 | 120 | 123,864 | ||||||||||
Vedanta Resources Finance II PLC | ||||||||||||
8.00%, 04/23/23(d) | 313 | 303,962 | ||||||||||
13.88%, 01/21/24(d) | 400 | 429,500 | ||||||||||
8.95%, 03/11/25(b) | 200 | 199,500 | ||||||||||
8.95%, 03/11/25(d) | 200 | 199,500 | ||||||||||
|
| |||||||||||
8,933,369 | ||||||||||||
Multi-line Retail — 0.1% |
| |||||||||||
Bath & Body Works, Inc. | ||||||||||||
6.88%, 11/01/35 | 215 | 269,825 | ||||||||||
6.75%, 07/01/36 | 49 | 60,760 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | 268 | 284,415 | ||||||||||
|
| |||||||||||
615,000 | ||||||||||||
Multi-Utilities — 0.2% |
| |||||||||||
KeySpan Gas East Corp., 5.82%, 04/01/41(b) | 1,010 | 1,337,859 | ||||||||||
|
|
13 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Offshore Drilling & Other Services — 0.1% |
| |||||||||||
Entegris, Inc.(b) | ||||||||||||
4.38%, 04/15/28 | USD | 113 | $ | 118,368 | ||||||||
3.63%, 05/01/29 | 66 | 67,329 | ||||||||||
KLA Corp., 3.30%, 03/01/50 | 500 | 526,067 | ||||||||||
|
| |||||||||||
711,764 | ||||||||||||
Oil, Gas & Consumable Fuels — 7.0% |
| |||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | 557 | 601,560 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | ||||||||||||
7.88%, 05/15/26 | 139 | 151,990 | ||||||||||
5.75%, 03/01/27 | 153 | 158,057 | ||||||||||
5.75%, 01/15/28 | 39 | 40,414 | ||||||||||
5.38%, 06/15/29 | 140 | 144,200 | ||||||||||
Antero Resources Corp.(b) | ||||||||||||
7.63%, 02/01/29 | 254 | 283,972 | ||||||||||
5.38%, 03/01/30 | 30 | 31,595 | ||||||||||
Apache Corp. | ||||||||||||
4.25%, 01/15/30 | 125 | 134,690 | ||||||||||
5.10%, 09/01/40 | 319 | 357,274 | ||||||||||
5.25%, 02/01/42 | 25 | 27,438 | ||||||||||
5.35%, 07/01/49 | 48 | 53,314 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29(b) | 254 | 257,175 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | ||||||||||||
9.00%, 11/01/27 | 384 | 526,080 | ||||||||||
8.25%, 12/31/28 | 9 | 9,810 | ||||||||||
5.88%, 06/30/29 | 286 | 292,213 | ||||||||||
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(d)(k) | 146 | 110,862 | ||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) | 194 | 194,727 | ||||||||||
Buckeye Partners LP | ||||||||||||
4.13%, 03/01/25(b) | 179 | 185,491 | ||||||||||
5.85%, 11/15/43 | 94 | 94,085 | ||||||||||
5.60%, 10/15/44 | 119 | 115,727 | ||||||||||
Burlington Resources LLC, 5.95%, 10/15/36 | 685 | 936,402 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.13%, 10/01/24 | 85 | 83,532 | ||||||||||
9.00%, 04/01/25(b) | 645 | 697,442 | ||||||||||
8.00%, 08/01/28(b) | 380 | 375,250 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(d)(j) | EUR | 100 | 113,816 | |||||||||
Cenovus Energy, Inc. | ||||||||||||
4.25%, 04/15/27 | USD | 400 | 444,602 | |||||||||
5.40%, 06/15/47 | 76 | 93,241 | ||||||||||
Centennial Resource Production LLC | ||||||||||||
6.88%, 04/01/27(b) | 171 | 174,204 | ||||||||||
3.25%, 04/01/28(j) | 322 | 422,076 | ||||||||||
Cheniere Energy Partners LP | ||||||||||||
4.50%, 10/01/29 | 354 | 376,348 | ||||||||||
4.00%, 03/01/31(b) | 455 | 476,476 | ||||||||||
3.25%, 01/31/32(b) | 331 | 332,092 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 | 976 | 1,028,460 | ||||||||||
Chesapeake Energy Corp., 5.88%, 02/01/29(b) | 28 | 29,917 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24(b) | 298 | 300,235 | ||||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 63 | 63,975 | ||||||||||
CNX Resources Corp. | ||||||||||||
2.25%, 05/01/26(j) | 337 | 419,565 | ||||||||||
6.00%, 01/15/29(b) | 44 | 46,530 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||||
Colgate Energy Partners III LLC(b) | ||||||||||||
7.75%, 02/15/26 | USD | 181 | $ | 190,502 | ||||||||
5.88%, 07/01/29 | 200 | 201,500 | ||||||||||
Comstock Resources, Inc.(b) | ||||||||||||
7.50%, 05/15/25 | 102 | 106,037 | ||||||||||
6.75%, 03/01/29 | 454 | 490,320 | ||||||||||
5.88%, 01/15/30 | 200 | 208,000 | ||||||||||
ConocoPhillips, 6.50%, 02/01/39 | 600 | 874,915 | ||||||||||
Continental Resources, Inc. | ||||||||||||
4.50%, 04/15/23 | 20 | 20,725 | ||||||||||
4.90%, 06/01/44 | 131 | 146,720 | ||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | 250 | 265,887 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) | 557 | 570,062 | ||||||||||
DCP Midstream Operating LP | ||||||||||||
6.45%, 11/03/36(b) | 148 | 183,902 | ||||||||||
6.75%, 09/15/37(b) | 222 | 286,380 | ||||||||||
5.60%, 04/01/44 | 2 | 2,330 | ||||||||||
Devon Energy Corp. | ||||||||||||
5.85%, 12/15/25 | 1,000 | 1,157,054 | ||||||||||
4.75%, 05/15/42 | 300 | 342,380 | ||||||||||
DT Midstream, Inc.(b) | ||||||||||||
4.13%, 06/15/29 | 293 | 297,120 | ||||||||||
4.38%, 06/15/31 | 379 | 390,370 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29(b) | 69 | 69,292 | ||||||||||
eG Global Finance PLC | ||||||||||||
6.75%, 02/07/25(b) | 441 | 450,922 | ||||||||||
6.25%, 10/30/25(d) | EUR | 142 | 168,022 | |||||||||
8.50%, 10/30/25(b) | USD | 200 | 208,250 | |||||||||
Enbridge, Inc.(a) | ||||||||||||
(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 | 1,935 | 2,156,545 | ||||||||||
Series 20-A, (5 year CMT + 5.31%), 5.75%, 07/15/80 | 950 | 1,073,452 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(b) | ||||||||||||
6.63%, 07/15/25 | 128 | 134,880 | ||||||||||
5.50%, 01/30/26 | 463 | 482,631 | ||||||||||
5.75%, 01/30/28 | 239 | 251,547 | ||||||||||
Energy Transfer LP | ||||||||||||
4.05%, 03/15/25 | 500 | 539,366 | ||||||||||
4.75%, 01/15/26 | 1,250 | 1,397,048 | ||||||||||
3.90%, 07/15/26 | 310 | 338,439 | ||||||||||
5.30%, 04/15/47 | 540 | 632,604 | ||||||||||
Series H, (5 year CMT + 5.69%), 6.50%(a)(l) | 433 | 450,913 | ||||||||||
EnLink Midstream LLC | ||||||||||||
5.63%, 01/15/28(b) | 116 | 123,510 | ||||||||||
5.38%, 06/01/29 | 50 | 52,899 | ||||||||||
EnLink Midstream Partners LP | ||||||||||||
4.40%, 04/01/24 | 144 | 149,676 | ||||||||||
4.15%, 06/01/25 | 10 | 10,305 | ||||||||||
4.85%, 07/15/26 | 67 | 70,330 | ||||||||||
5.60%, 04/01/44 | 135 | 128,925 | ||||||||||
5.05%, 04/01/45 | 22 | 20,075 | ||||||||||
Enterprise Products Operating LLC, 6.13%, 10/15/39 | 1,400 | 1,929,717 | ||||||||||
EOG Resources, Inc., 5.10%, 01/15/36 | 200 | 245,814 | ||||||||||
EQM Midstream Partners LP | ||||||||||||
6.00%, 07/01/25(b) | 176 | 192,931 | ||||||||||
4.13%, 12/01/26 | 68 | 69,850 | ||||||||||
6.50%, 07/01/27(b) | 245 | 275,564 | ||||||||||
4.50%, 01/15/29(b) | 89 | 92,337 |
SCHEDULE OF INVESTMENTS | 14 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||||
EQM Midstream Partners LP (continued) | ||||||||||||
4.75%, 01/15/31(b) | USD | 544 | $ | 565,771 | ||||||||
EQT Corp. | ||||||||||||
1.75%, 05/01/26(j) | 288 | 454,032 | ||||||||||
3.13%, 05/15/26(b) | 120 | 123,014 | ||||||||||
3.90%, 10/01/27 | 162 | 175,321 | ||||||||||
5.00%, 01/15/29 | 23 | 25,897 | ||||||||||
7.50%, 02/01/30 | 116 | 149,315 | ||||||||||
3.63%, 05/15/31(b) | 34 | 35,428 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||||
6.50%, 10/01/25 | 29 | 28,855 | ||||||||||
7.75%, 02/01/28 | 75 | 74,929 | ||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(d) | 200 | 191,037 | ||||||||||
Great Western Petroleum LLC/Great Western | ||||||||||||
Finance Corp., 12.00%, 09/01/25(b) | 130 | 131,987 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) | 40 | 42,606 | ||||||||||
Hess Corp., 4.30%, 04/01/27 | 1,100 | 1,221,726 | ||||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | 172 | 173,935 | ||||||||||
Hilong Holding Ltd., 9.75%, 11/18/24(d) | 207 | 182,160 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(d) | 200 | 207,600 | ||||||||||
Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(c) | 1,681 | 1,631,018 | ||||||||||
Independence Energy Finance LLC, 7.25%, 05/01/26(b) | 318 | 327,448 | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29(b) | 232 | 234,030 | ||||||||||
Kinder Morgan, Inc., 5.05%, 02/15/46 | 1,400 | 1,692,858 | ||||||||||
Leviathan Bond Ltd., 5.75%, 06/30/23(b)(d) | 131 | 136,198 | ||||||||||
Marathon Petroleum Corp., 6.50%, 03/01/41 | 1,150 | 1,591,312 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 | 896 | 926,195 | ||||||||||
Medco Bell Pte Ltd., 6.38%, 01/30/27(d) | 250 | 251,094 | ||||||||||
Medco Oak Tree Pte Ltd., 7.38%, 05/14/26(d) | 288 | 306,324 | ||||||||||
MEG Energy Corp., 6.50%, 01/15/25(b) | 497 | 511,398 | ||||||||||
MPLX LP, 4.25%, 12/01/27 | 250 | 280,902 | ||||||||||
Murphy Oil Corp. | ||||||||||||
5.75%, 08/15/25 | 82 | 84,642 | ||||||||||
6.38%, 12/01/42 | 18 | 18,137 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 95 | 100,581 | ||||||||||
New Fortress Energy, Inc.(b) | ||||||||||||
6.75%, 09/15/25 | 766 | 737,275 | ||||||||||
6.50%, 09/30/26 | 868 | 830,025 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | 137 | 139,569 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | 138 | 197,770 | ||||||||||
Northern Oil and Gas, Inc., 8.13%, 03/01/28(b) | 393 | 419,822 | ||||||||||
NuStar Logistics LP | ||||||||||||
6.00%, 06/01/26 | 99 | 106,920 | ||||||||||
6.38%, 10/01/30 | 17 | 18,700 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
6.95%, 07/01/24 | 43 | 48,590 | ||||||||||
5.50%, 12/01/25 | 66 | 73,095 | ||||||||||
5.55%, 03/15/26 | 24 | 26,640 | ||||||||||
3.00%, 02/15/27 | 3 | 2,998 | ||||||||||
8.88%, 07/15/30 | 22 | 29,885 | ||||||||||
6.13%, 01/01/31 | 319 | 382,952 | ||||||||||
4.30%, 08/15/39 | 323 | 318,568 | ||||||||||
6.20%, 03/15/40 | 614 | 723,108 | ||||||||||
4.50%, 07/15/44 | 328 | 329,578 | ||||||||||
4.63%, 06/15/45 | 293 | 299,592 | ||||||||||
6.60%, 03/15/46 | 18 | 22,590 | ||||||||||
4.40%, 04/15/46 | 294 | 293,221 | ||||||||||
4.10%, 02/15/47 | 44 | 41,840 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||||
Occidental Petroleum Corp. (continued) | ||||||||||||
4.20%, 03/15/48 | USD | 199 | $ | 190,542 | ||||||||
4.40%, 08/15/49 | 71 | 69,669 | ||||||||||
Oil and Gas Holding Co., 7.63%, 11/07/24(d) | 200 | 218,690 | ||||||||||
OQ SAOC, 5.13%, 05/06/28(b) | 200 | 201,750 | ||||||||||
Ovintiv Exploration, Inc., 5.38%, 01/01/26 | 22 | 24,875 | ||||||||||
Ovintiv, Inc. | ||||||||||||
7.38%, 11/01/31 | 52 | 70,536 | ||||||||||
6.50%, 08/15/34 | 33 | 44,506 | ||||||||||
PDC Energy, Inc. | ||||||||||||
6.13%, 09/15/24 | 117 | 118,755 | ||||||||||
6.25%, 12/01/25 | 34 | 34,510 | ||||||||||
5.75%, 05/15/26 | 164 | 170,765 | ||||||||||
Pertamina Persero PT, 3.65%, 07/30/29(d) | 239 | 255,252 | ||||||||||
Petrobras Global Finance BV | ||||||||||||
5.30%, 01/27/25 | 178 | 198,371 | ||||||||||
8.75%, 05/23/26 | 222 | 280,330 | ||||||||||
6.00%, 01/27/28 | 18 | 20,225 | ||||||||||
Petroleos Mexicanos | ||||||||||||
6.50%, 03/13/27 | 255 | 267,750 | ||||||||||
6.35%, 02/12/48 | 101 | 86,254 | ||||||||||
Pioneer Natural Resources Co., 0.25%, 05/15/25(j) | 191 | 308,274 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24(b) | 200 | 200,750 | ||||||||||
Range Resources Corp. | ||||||||||||
5.88%, 07/01/22 | 30 | 30,488 | ||||||||||
5.00%, 08/15/22 | 170 | 173,028 | ||||||||||
5.00%, 03/15/23 | 122 | 126,575 | ||||||||||
4.88%, 05/15/25 | 10 | 10,558 | ||||||||||
9.25%, 02/01/26 | 42 | 45,782 | ||||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29(b)(i) | 137 | 139,055 | ||||||||||
Sabine Pass Liquefaction LLC, 5.88%, 06/30/26 | 1,750 | 2,059,570 | ||||||||||
Saudi Arabian Oil Co., 2.25%, 11/24/30(b) | 220 | 214,390 | ||||||||||
SM Energy Co. | ||||||||||||
10.00%, 01/15/25(b) | 600 | 669,228 | ||||||||||
5.63%, 06/01/25 | 38 | 38,218 | ||||||||||
6.75%, 09/15/26 | 67 | 68,426 | ||||||||||
6.50%, 07/15/28 | 58 | 60,049 | ||||||||||
Southwestern Energy Co. | ||||||||||||
4.10%, 03/15/22 | 153 | 153,382 | ||||||||||
8.38%, 09/15/28 | 52 | 58,902 | ||||||||||
5.38%, 02/01/29(b) | 363 | 388,341 | ||||||||||
Stoneway Capital Corp., 10.00%, 03/01/27(b)(g)(h) | 469 | 119,687 | ||||||||||
Suncor Energy, Inc., 6.50%, 06/15/38 | 1,000 | 1,389,317 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||||||
6.00%, 04/15/27 | 38 | 39,567 | ||||||||||
5.88%, 03/15/28 | 4 | 4,220 | ||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | 397 | 406,429 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||||||
5.88%, 04/15/26 | 111 | 115,926 | ||||||||||
5.38%, 02/01/27 | 2 | 2,072 | ||||||||||
6.50%, 07/15/27 | 105 | 113,214 | ||||||||||
6.88%, 01/15/29 | 142 | 159,107 | ||||||||||
5.50%, 03/01/30 | 255 | 278,827 | ||||||||||
4.88%, 02/01/31 | 184 | 198,490 | ||||||||||
4.00%, 01/15/32(b) | 119 | 122,981 | ||||||||||
TransCanada PipeLines Ltd., 4.63%, 03/01/34 | 500 | 588,966 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27(b) | 81 | 83,430 | ||||||||||
Venture Global Calcasieu Pass LLC(b) | ||||||||||||
3.88%, 08/15/29 | 528 | 543,866 | ||||||||||
4.13%, 08/15/31 | 472 | 492,060 |
15 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||||
Vine Energy Holdings LLC, 6.75%, 04/15/29(b) | USD | 397 | $ | 428,514 | ||||||||
Western Midstream Operating LP | ||||||||||||
4.75%, 08/15/28 | 25 | 27,257 | ||||||||||
5.45%, 04/01/44 | 229 | 263,039 | ||||||||||
5.30%, 03/01/48 | 154 | 177,485 | ||||||||||
5.50%, 08/15/48 | 58 | 67,860 | ||||||||||
6.50%, 02/01/50 | 635 | 747,255 | ||||||||||
Williams Cos., Inc. | ||||||||||||
3.90%, 01/15/25 | 1,150 | 1,242,537 | ||||||||||
4.00%, 09/15/25 | 750 | 821,900 | ||||||||||
|
| |||||||||||
59,985,175 | ||||||||||||
Personal Products — 0.0% |
| |||||||||||
Edgewell Personal Care Co., 5.50%, 06/01/28(b) | 77 | 81,322 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 2.4% |
| |||||||||||
AbbVie, Inc. | ||||||||||||
3.80%, 03/15/25 | 3,250 | 3,529,021 | ||||||||||
3.60%, 05/14/25 | 870 | 941,122 | ||||||||||
3.20%, 05/14/26 | 500 | 539,449 | ||||||||||
4.55%, 03/15/35 | 2,140 | 2,564,599 | ||||||||||
4.45%, 05/14/46 | 2,095 | 2,524,562 | ||||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/27(b) | 525 | 559,230 | ||||||||||
Bausch Health Cos., Inc.(b) | ||||||||||||
9.00%, 12/15/25 | 106 | 111,880 | ||||||||||
5.75%, 08/15/27 | 134 | 140,365 | ||||||||||
7.00%, 01/15/28 | 29 | 29,716 | ||||||||||
5.00%, 01/30/28 | 132 | 125,231 | ||||||||||
4.88%, 06/01/28 | 95 | 98,444 | ||||||||||
5.00%, 02/15/29 | 279 | 259,819 | ||||||||||
6.25%, 02/15/29 | 357 | 353,259 | ||||||||||
7.25%, 05/30/29 | 159 | 162,951 | ||||||||||
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27(d) | .EUR | 100 | 117,138 | |||||||||
CVS Health Corp. | ||||||||||||
5.13%, 07/20/45 | USD | 700 | 902,110 | |||||||||
5.05%, 03/25/48 | 1,821 | 2,343,995 | ||||||||||
Elanco Animal Health, Inc., 5.90%, 08/28/28 | 6 | 7,020 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(b)(m) | 420 | 420,932 | ||||||||||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(b) | 326 | 326,000 | ||||||||||
Gruenenthal GmbH, 4.13%, 05/15/28(d) | EUR | 100 | 121,363 | |||||||||
Jaguar Holding Co. II/PPD Development LP(b) | ||||||||||||
4.63%, 06/15/25 | USD | 69 | 71,674 | |||||||||
5.00%, 06/15/28 | 271 | 291,688 | ||||||||||
Jazz Securities DAC, 4.38%, 01/15/29(b) | 200 | 207,260 | ||||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(d) | .EUR | 100 | 115,024 | |||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) | ||||||||||||
4.13%, 04/30/28 | USD | 598 | 609,960 | |||||||||
5.13%, 04/30/31 | 387 | 406,485 | ||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(b) | 180 | 186,966 | ||||||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) | 536 | 546,050 | ||||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) | 400 | 404,000 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31(b) | 101 | 97,465 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 01/31/25 | EUR | 100 | 125,196 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) |
| |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 01/31/25 | USD | 200 | $ | 217,475 | ||||||||
Utah Acquisition Sub, Inc., 3.95%, 06/15/26 | 750 | 826,199 | ||||||||||
|
| |||||||||||
20,283,648 | ||||||||||||
Producer Durables: Miscellaneous — 0.6% |
| |||||||||||
Oracle Corp. | ||||||||||||
5.38%, 07/15/40 | 3,025 | 3,811,394 | ||||||||||
4.00%, 11/15/47 | 400 | 427,149 | ||||||||||
3.60%, 04/01/50 | 1,250 | 1,251,498 | ||||||||||
|
| |||||||||||
5,490,041 | ||||||||||||
Professional Services(b) — 0.1% |
| |||||||||||
Mozart Debt Merger Sub, Inc. | ||||||||||||
3.88%, 04/01/29 | 322 | 322,000 | ||||||||||
5.25%, 10/01/29 | 698 | 698,000 | ||||||||||
|
| |||||||||||
1,020,000 | ||||||||||||
Real Estate Management & Development — 2.8% |
| |||||||||||
Adler Group SA, 2.75%, 11/13/26(d) | EUR | 100 | 99,039 | |||||||||
Agile Group Holdings Ltd.(d) | ||||||||||||
5.75%, 01/02/25 | USD | 200 | 187,500 | |||||||||
6.05%, 10/13/25 | 450 | 421,875 | ||||||||||
(5 year CMT + 11.29%), 7.88%(a)(l) | 200 | 181,000 | ||||||||||
Central China Real Estate Ltd.(d) | ||||||||||||
6.88%, 08/08/22 | 200 | 144,000 | ||||||||||
7.65%, 08/27/23 | 252 | 158,760 | ||||||||||
CFLD Cayman Investment Ltd.(d)(g)(h) | ||||||||||||
8.63%, 02/28/21 | 200 | 80,000 | ||||||||||
6.90%, 01/13/23 | 200 | 87,000 | ||||||||||
8.60%, 04/08/24 | 200 | 82,350 | ||||||||||
China Aoyuan Group Ltd.(d) | ||||||||||||
6.35%, 02/08/24 | 296 | 251,008 | ||||||||||
5.98%, 08/18/25 | 489 | 376,530 | ||||||||||
6.20%, 03/24/26 | 450 | 342,000 | ||||||||||
China Evergrande Group(d)(g)(h) | ||||||||||||
8.25%, 03/23/22 | 400 | 103,500 | ||||||||||
9.50%, 04/11/22 | 400 | 99,500 | ||||||||||
11.50%, 01/22/23 | 450 | 108,000 | ||||||||||
12.00%, 01/22/24 | 250 | 59,375 | ||||||||||
China SCE Group Holdings Ltd.(d) | ||||||||||||
7.25%, 04/19/23 | 200 | 194,350 | ||||||||||
7.38%, 04/09/24 | 200 | 192,000 | ||||||||||
5.95%, 09/29/24 | 288 | 264,960 | ||||||||||
7.00%, 05/02/25 | 441 | 412,335 | ||||||||||
CIFI Holdings Group Co. Ltd.(d) | ||||||||||||
6.55%, 03/28/24 | 200 | 200,750 | ||||||||||
6.45%, 11/07/24 | 200 | 199,500 | ||||||||||
5.95%, 10/20/25 | 500 | 495,000 | ||||||||||
Country Garden Holdings Co. Ltd.(d) | ||||||||||||
6.50%, 04/08/24 | 200 | 203,350 | ||||||||||
6.15%, 09/17/25 | 200 | 209,000 | ||||||||||
5.13%, 01/14/27 | 200 | 202,287 | ||||||||||
DIC Asset AG, 2.25%, 09/22/26(d) | EUR | 100 | 113,860 | |||||||||
Easy Tactic Ltd.(d) | ||||||||||||
9.13%, 07/28/22 | USD | 200 | 157,400 | |||||||||
5.88%, 02/13/23 | 288 | 208,800 | ||||||||||
8.13%, 02/27/23 | 200 | 145,000 | ||||||||||
11.75%, 08/02/23 | 200 | 145,000 | ||||||||||
8.63%, 02/27/24 | 200 | 133,000 | ||||||||||
Fantasia Holdings Group Co. Ltd.(d) 11.75%, 04/17/22 | 200 | 78,000 |
SCHEDULE OF INVESTMENTS | 16 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) |
| |||||||||||
Fantasia Holdings Group Co. Ltd.(d) (continued) | ||||||||||||
10.88%, 01/09/23 | USD | 307 | $ | 95,170 | ||||||||
11.88%, 06/01/23 | 400 | 124,000 | ||||||||||
9.25%, 07/28/23 | 300 | 95,250 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) | 150 | 156,750 | ||||||||||
Global Prime Capital Pte Ltd.(d) | ||||||||||||
5.50%, 10/18/23 | 200 | 203,287 | ||||||||||
5.95%, 01/23/25 | 200 | 206,100 | ||||||||||
Howard Hughes Corp.(b) | ||||||||||||
5.38%, 08/01/28 | 19 | 20,021 | ||||||||||
4.13%, 02/01/29 | 74 | 74,093 | ||||||||||
4.38%, 02/01/31 | 123 | 123,727 | ||||||||||
Kaisa Group Holdings Ltd.(d) | ||||||||||||
11.95%, 10/22/22 | 200 | 169,760 | ||||||||||
11.50%, 01/30/23 | 400 | 337,700 | ||||||||||
10.88%, 07/23/23 | 434 | 356,911 | ||||||||||
9.75%, 09/28/23 | 288 | 226,800 | ||||||||||
11.95%, 11/12/23 | 259 | 212,380 | ||||||||||
11.70%, 11/11/25 | 300 | 228,750 | ||||||||||
Kennedy-Wilson, Inc., 4.75%, 02/01/30 | 92 | 93,403 | ||||||||||
KWG Group Holdings Ltd.(d) | ||||||||||||
7.88%, 09/01/23 | 200 | 193,000 | ||||||||||
7.40%, 03/05/24 | 200 | 193,000 | ||||||||||
5.88%, 11/10/24 | 400 | 364,000 | ||||||||||
Logan Group Co. Ltd.(d) | ||||||||||||
6.50%, 07/16/23 | 200 | 199,350 | ||||||||||
6.90%, 06/09/24 | 200 | 200,788 | ||||||||||
5.75%, 01/14/25 | 200 | 198,500 | ||||||||||
4.50%, 01/13/28 | 328 | 300,940 | ||||||||||
MAF Sukuk Ltd., 4.64%, 05/14/29(d) | 200 | 227,162 | ||||||||||
Modern Land China Co. Ltd., 9.80%, 04/11/23(d) | 200 | 166,000 | ||||||||||
New Metro Global Ltd.(d) | ||||||||||||
6.80%, 08/05/23 | 400 | 395,575 | ||||||||||
4.50%, 05/02/26 | 400 | 367,000 | ||||||||||
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22(d) | 200 | 199,163 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29(b) | 196 | 203,303 | ||||||||||
Redsun Properties Group Ltd.(d) | ||||||||||||
9.95%, 04/11/22 | 200 | 193,600 | ||||||||||
9.70%, 04/16/23 | 432 | 396,360 | ||||||||||
7.30%, 01/13/25 | 200 | 165,750 | ||||||||||
RKPF Overseas Ltd.(d) | ||||||||||||
Series 2019-A, 6.70%, 09/30/24 | 513 | 509,152 | ||||||||||
Series 2019-A, 6.00%, 09/04/25 | 288 | 277,920 | ||||||||||
Series 2020-A, 5.20%, 01/12/26 | 400 | 369,500 | ||||||||||
Ronshine China Holdings Ltd.(d) | ||||||||||||
10.50%, 03/01/22 | 200 | 165,538 | ||||||||||
8.95%, 01/22/23 | 200 | 146,000 | ||||||||||
7.35%, 12/15/23 | 433 | 322,585 | ||||||||||
Scenery Journey Ltd.(d)(g) | ||||||||||||
11.50%, 10/24/22 | 419 | 74,373 | ||||||||||
13.00%, 11/06/22 | 400 | 69,075 | ||||||||||
12.00%, 10/24/23 | 330 | 61,050 | ||||||||||
Seazen Group Ltd.(d) | ||||||||||||
6.45%, 06/11/22 | 200 | 197,000 | ||||||||||
6.00%, 08/12/24 | 400 | 386,000 | ||||||||||
Shimao Group Holdings Ltd.(d) | ||||||||||||
5.60%, 07/15/26 | 200 | 197,913 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) |
| |||||||||||
Shimao Group Holdings Ltd.(d) (continued) | ||||||||||||
3.45%, 01/11/31 | USD | 200 | $ | 178,750 | ||||||||
Shui On Development Holding Ltd.(d) | ||||||||||||
5.75%, 11/12/23 | 200 | 198,500 | ||||||||||
5.50%, 03/03/25 | 482 | 468,745 | ||||||||||
Sino-Ocean Land Treasure III Ltd., (5 year CMT + 3.26%), 4.90%(a)(d)(l) | 200 | 168,000 | ||||||||||
Sunac China Holdings Ltd.(d) | ||||||||||||
7.95%, 10/11/23 | 200 | 163,000 | ||||||||||
7.50%, 02/01/24 | �� | 200 | 162,500 | |||||||||
6.65%, 08/03/24 | 360 | 288,000 | ||||||||||
6.50%, 01/10/25 | 400 | 324,000 | ||||||||||
7.00%, 07/09/25 | 450 | 358,875 | ||||||||||
Theta Capital Pte Ltd., 8.13%, 01/22/25(d) | 200 | 207,725 | ||||||||||
Times China Holdings Ltd.(d) | ||||||||||||
6.75%, 07/16/23 | 513 | 497,065 | ||||||||||
6.75%, 07/08/25 | 200 | 183,000 | ||||||||||
6.20%, 03/22/26 | 611 | 551,427 | ||||||||||
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27(d) | GBP | 697 | 1,063,669 | |||||||||
Wanda Group Overseas Ltd., 7.50%, 07/24/22(d) | USD | 200 | 188,000 | |||||||||
Wanda Properties International Co. Ltd., 7.25%, 01/29/24(d) | 200 | 193,000 | ||||||||||
Wanda Properties Overseas Ltd., 6.88%, 07/23/23(d) | 200 | 193,038 | ||||||||||
Yango Justice International Ltd.(d) | ||||||||||||
10.00%, 02/12/23 | 400 | 372,000 | ||||||||||
7.50%, 04/15/24 | 450 | 346,500 | ||||||||||
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(d) | 200 | 199,500 | ||||||||||
Yuzhou Group Holdings Co. Ltd.(d) | ||||||||||||
8.50%, 02/04/23 | 200 | 170,350 | ||||||||||
8.50%, 02/26/24 | 400 | 314,000 | ||||||||||
8.38%, 10/30/24 | 400 | 307,000 | ||||||||||
7.70%, 02/20/25 | 263 | 188,045 | ||||||||||
7.38%, 01/13/26 | 200 | 134,000 | ||||||||||
6.35%, 01/13/27 | 200 | 128,000 | ||||||||||
Zhenro Properties Group Ltd.(d) | ||||||||||||
8.35%, 03/10/24 | 288 | 275,094 | ||||||||||
7.88%, 04/14/24 | 600 | 541,612 | ||||||||||
|
| |||||||||||
24,163,123 | ||||||||||||
Road & Rail — 1.1% |
| |||||||||||
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40 | 1,890 | 2,649,133 | ||||||||||
CSX Corp., 4.75%, 05/30/42 | 350 | 441,224 | ||||||||||
Danaos Corp., 8.50%, 03/01/28(b) | 100 | 110,500 | ||||||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) | 2,534 | 2,962,655 | ||||||||||
Norfolk Southern Corp. | ||||||||||||
4.15%, 02/28/48 | 1,300 | 1,536,684 | ||||||||||
3.16%, 05/15/55 | 400 | 400,369 | ||||||||||
Seaspan Corp., 5.50%, 08/01/29(b) | 246 | 251,122 | ||||||||||
Union Pacific Corp., 3.84%, 03/20/60 | 800 | 917,832 | ||||||||||
|
| |||||||||||
9,269,519 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.8% |
| |||||||||||
Analog Devices, Inc., 3.90%, 12/15/25 | 470 | 521,593 | ||||||||||
Atkore, Inc., 4.25%, 06/01/31(b) | 112 | 115,360 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | 2,850 | 3,131,922 | ||||||||||
Broadcom, Inc., 3.46%, 09/15/26 | 735 | 794,145 | ||||||||||
Microchip Technology, Inc. | ||||||||||||
0.13%, 11/15/24(j) | 220 | 248,698 | ||||||||||
1.63%, 02/15/25(j) | 53 | 179,736 | ||||||||||
4.25%, 09/01/25 | 197 | 206,009 |
17 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||||||
ON Semiconductor Corp., 3.88%, 09/01/28(b) | USD | 191 | $ | 197,207 | ||||||||
QUALCOMM, Inc., 4.65%, 05/20/35 | 250 | 311,338 | ||||||||||
Sensata Technologies BV(b) | ||||||||||||
5.00%, 10/01/25 | 70 | 77,087 | ||||||||||
4.00%, 04/15/29 | 275 | 279,936 | ||||||||||
Sensata Technologies, Inc.(b) | ||||||||||||
4.38%, 02/15/30 | 286 | 307,725 | ||||||||||
3.75%, 02/15/31 | 13 | 13,089 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29(b) | 129 | 131,976 | ||||||||||
|
| |||||||||||
6,515,821 | ||||||||||||
Software — 1.1% |
| |||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b) | 433 | 452,485 | ||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) | 255 | 256,275 | ||||||||||
Boxer Parent Co., Inc. | ||||||||||||
6.50%, 10/02/25(d) | EUR | 100 | 121,616 | |||||||||
7.13%, 10/02/25(b) | USD | 174 | 185,719 | |||||||||
9.13%, 03/01/26(b) | 467 | 489,677 | ||||||||||
CDK Global, Inc., 4.88%, 06/01/27 | 5 | 5,236 | ||||||||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | 163 | 162,454 | ||||||||||
Elastic NV, 4.13%, 07/15/29(b) | 254 | 255,270 | ||||||||||
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl, 4.63%, 05/01/28(b) | 200 | 197,000 | ||||||||||
Microsoft Corp., 3.50%, 11/15/42 | 4,000 | 4,603,380 | ||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28(b) | 217 | 219,170 | ||||||||||
MSCI, Inc.(b) | ||||||||||||
4.00%, 11/15/29 | 51 | 53,994 | ||||||||||
3.63%, 09/01/30 | 81 | 83,734 | ||||||||||
3.88%, 02/15/31 | 43 | 45,096 | ||||||||||
3.63%, 11/01/31 | 87 | 90,530 | ||||||||||
3.25%, 08/15/33 | 124 | 125,421 | ||||||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(b) | 83 | 85,282 | ||||||||||
Playtika Holding Corp., 4.25%, 03/15/29(b) | 280 | 280,893 | ||||||||||
PTC, Inc., 4.00%, 02/15/28(b) | 35 | 35,919 | ||||||||||
Rocket Software, Inc., 6.50%, 02/15/29(b) | 277 | 274,230 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b) | 494 | 521,631 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | 657 | 683,280 | ||||||||||
|
| |||||||||||
9,228,292 | ||||||||||||
Specialty Retail — 0.3% |
| |||||||||||
National Vision Holdings, Inc., 2.50%, 05/15/25(j) | 165 | 316,839 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp.(b) | ||||||||||||
4.75%, 02/15/28 | 271 | 278,452 | ||||||||||
7.75%, 02/15/29 | 1,003 | 1,094,524 | ||||||||||
Staples, Inc.(b) | ||||||||||||
7.50%, 04/15/26 | 455 | 461,472 | ||||||||||
10.75%, 04/15/27 | 134 | 130,483 | ||||||||||
Tendam Brands SAU, (3 mo. Euribor + 5.25%), 5.25%, 09/15/24(a)(d) | EUR | 100 | 115,105 | |||||||||
|
| |||||||||||
2,396,875 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||||||
Apple, Inc., 4.65%, 02/23/46 | USD | 2,400 | 3,123,372 | |||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods(b) — 0.0% |
| |||||||||||
Crocs, Inc. | ||||||||||||
4.25%, 03/15/29 | 106 | 109,081 | ||||||||||
4.13%, 08/15/31 | 133 | 133,997 | ||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25 | 29 | 30,360 |
Security | Par (000) | Value | ||||||||||
Textiles, Apparel & Luxury Goods (continued) |
| |||||||||||
Levi Strauss & Co., 3.50%, 03/01/31 | USD | 75 | $ | 75,750 | ||||||||
Wolverine World Wide, Inc., 4.00%, 08/15/29 | 69 | 69,690 | ||||||||||
|
| |||||||||||
418,878 | ||||||||||||
Thrifts & Mortgage Finance(b) — 0.1% |
| |||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26 | 142 | 128,726 | ||||||||||
Nationstar Mortgage Holdings, Inc. | ||||||||||||
6.00%, 01/15/27 | 94 | 98,399 | ||||||||||
5.50%, 08/15/28 | 92 | 94,760 | ||||||||||
5.13%, 12/15/30 | 92 | 92,203 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(i) | ||||||||||||
2.88%, 10/15/26 | 128 | 125,082 | ||||||||||
4.00%, 10/15/33 | 129 | 128,032 | ||||||||||
|
| |||||||||||
667,202 | ||||||||||||
Tobacco — 0.9% |
| |||||||||||
Altria Group, Inc. | ||||||||||||
5.38%, 01/31/44 | 2,000 | 2,354,450 | ||||||||||
3.88%, 09/16/46 | 1,250 | 1,217,462 | ||||||||||
Reynolds American, Inc. | ||||||||||||
4.45%, 06/12/25 | 635 | 700,037 | ||||||||||
7.00%, 08/04/41 | 1,000 | 1,316,153 | ||||||||||
5.85%, 08/15/45 | 1,500 | 1,799,785 | ||||||||||
|
| |||||||||||
7,387,887 | ||||||||||||
Transportation — 0.0% |
| |||||||||||
Autostrade per l’Italia SpA, 2.00%, 12/04/28(d) | EUR | 100 | 121,570 | |||||||||
|
| |||||||||||
Transportation Infrastructure — 0.4% |
| |||||||||||
Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b) | USD | 200 | 209,788 | |||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | 200 | 208,788 | ||||||||||
FedEx Corp., 4.75%, 11/15/45 | 1,250 | 1,523,781 | ||||||||||
I 595 Express LLC, 3.31%, 12/31/31(c) | 740 | 778,167 | ||||||||||
Simpar Europe SA, 5.20%, 01/26/31(b) | 200 | 198,790 | ||||||||||
Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b) | 580 | 640,648 | ||||||||||
|
| |||||||||||
3,559,962 | ||||||||||||
Utilities — 1.2% |
| |||||||||||
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30(b) | 237 | 235,459 | ||||||||||
Consensus Cloud Solutions, Inc.(b)(i) | ||||||||||||
6.00%, 10/15/26 | 48 | 49,320 | ||||||||||
6.50%, 10/15/28 | 45 | 46,699 | ||||||||||
Electricite de France SA(b) | ||||||||||||
5.60%, 01/27/40 | 2,800 | 3,735,447 | ||||||||||
(10 year USD Swap + 3.71%), 5.25%(a)(l) | 4,200 | 4,357,500 | ||||||||||
Genneia SA, 8.75%, 09/02/27(b) | 246 | 235,776 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(b) | 200 | 206,680 | ||||||||||
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29(d) | 576 | 573,414 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | 144 | 150,120 | ||||||||||
Solaris Midstream Holdings LLC, 7.63%, 04/01/26(b) | 72 | 77,159 | ||||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b) | 215 | 240,034 | ||||||||||
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(d) | 231 | 264,014 | ||||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26(d) | GBP | 168 | 235,834 | |||||||||
Vistra Operations Co. LLC, 4.38%, 05/01/29(b) | USD | 154 | 154,944 | |||||||||
|
| |||||||||||
10,562,400 |
SCHEDULE OF INVESTMENTS | 18 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Wireless Telecommunication Services — 1.4% |
| |||||||||||
Altice France SA(b) | ||||||||||||
7.38%, 05/01/26 | USD | 200 | $ | 207,520 | ||||||||
8.13%, 02/01/27 | 211 | 227,036 | ||||||||||
5.13%, 07/15/29 | 944 | 925,568 | ||||||||||
5.50%, 10/15/29(i) | 321 | 317,752 | ||||||||||
Crown Castle International Corp., 3.10%, 11/15/29 | 1,000 | 1,050,613 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24(b) | 210 | 220,868 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27(d) | EUR | 100 | 118,525 | |||||||||
Millicom International Cellular SA, 4.50%, 04/27/31(b) | USD | 200 | 210,000 | |||||||||
Rogers Communications, Inc., 7.50%, 08/15/38 | 2,325 | 3,536,678 | ||||||||||
SBA Communications Corp. | ||||||||||||
4.88%, 09/01/24 | 86 | 87,438 | ||||||||||
3.88%, 02/15/27 | 367 | 380,304 | ||||||||||
Sprint Corp., 7.63%, 03/01/26 | 255 | 308,990 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
2.63%, 02/15/29 | 308 | 311,252 | ||||||||||
2.88%, 02/15/31 | 348 | 350,958 | ||||||||||
3.50%, 04/15/31 | 255 | 268,932 | ||||||||||
3.50%, 04/15/31(b) | 245 | 258,385 | ||||||||||
4.50%, 04/15/50 | 500 | 582,884 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(b) | 308 | 316,829 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(b) | ||||||||||||
4.25%, 12/01/26 | 169 | 176,492 | ||||||||||
3.75%, 02/15/27 | 277 | 286,695 | ||||||||||
4.63%, 12/01/29 | 320 | 344,000 | ||||||||||
4.13%, 08/15/30 | 366 | 387,960 | ||||||||||
Vmed O2 UK Financing I PLC | ||||||||||||
4.50%, 07/15/31(d) | GBP | 100 | 137,435 | |||||||||
4.75%, 07/15/31(b) | USD | 452 | 461,799 | |||||||||
Vodafone Group PLC, 4.25%, 09/17/50 | 700 | 806,685 | ||||||||||
|
| |||||||||||
12,281,598 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 66.5% | 571,942,670 | |||||||||||
|
| |||||||||||
Floating Rate Loan Interests(a) |
| |||||||||||
Aerospace & Defense — 0.1% | ||||||||||||
Peraton Holding Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 02/01/29 | 195 | 198,656 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/01/28 | 575 | 574,740 | ||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 | 125 | 125,420 | ||||||||||
|
| |||||||||||
898,816 | ||||||||||||
Air Freight & Logistics — 0.0% |
| |||||||||||
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 03/31/28 | 48 | 48,120 | ||||||||||
|
| |||||||||||
Airlines — 0.2% | ||||||||||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | 417 | 430,936 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 | 237 | 237,789 |
Security | Par (000) | Value | ||||||||||
Airlines (continued) | ||||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27 | USD | 117 | $ | 124,240 | ||||||||
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27 | 201 | 213,651 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28 | 437 | 439,487 | ||||||||||
|
| |||||||||||
1,446,103 | ||||||||||||
Auto Components — 0.0% | ||||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.33%, 04/30/26 | 148 | 146,818 | ||||||||||
|
| |||||||||||
Banks — 0.0% | ||||||||||||
Directv Financing LLC, (3 mo. LIBOR + 5.00%, 0.75% Floor), 5.75%, 07/22/27 | 339 | 339,105 | ||||||||||
|
| |||||||||||
Building Products — 0.1% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 11/23/27 | 63 | 62,450 | ||||||||||
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 05/05/24 | 66 | 65,860 | ||||||||||
Standard Industries, Inc., 2021 Term Loan B, 09/22/28(o) | 323 | 323,174 | ||||||||||
|
| |||||||||||
451,484 | ||||||||||||
Capital Markets — 0.0% | ||||||||||||
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (2 mo. LIBOR + 6.50%, 0.50% Floor), 7.00%, 08/02/29(c) | 90 | 89,100 | ||||||||||
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 04/07/28 | 145 | 149,350 | ||||||||||
|
| |||||||||||
238,450 | ||||||||||||
Chemicals — 0.2% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 08/27/26 | 252 | 254,677 | ||||||||||
Atotech BV, 2021 USD Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 3.00%, 03/18/28 | 311 | 310,766 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.58%, 06/30/27 | 173 | 172,556 | ||||||||||
Invictus Technical Solutions LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.83%, 03/30/26 | 34 | 33,434 | ||||||||||
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.75%, 0.50% Floor), 5.25%, 02/12/26 | 67 | 66,790 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.34%, 05/15/24 | 122 | 122,004 | ||||||||||
New Arclin U.S. Holding Corp.(o) | ||||||||||||
2021 Delayed Draw Term Loan, 09/30/28 | 16 | 16,187 | ||||||||||
2021 Term Loan, 09/30/28 | 111 | 110,884 | ||||||||||
WR Grace & Co., 2021 Term Loan B, 09/22/28(o) | 213 | 213,667 | ||||||||||
|
| |||||||||||
1,300,965 | ||||||||||||
Commercial Services & Supplies — 0.1% |
| |||||||||||
Asurion LLC, 2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.33%, 12/23/26 | 48 | 47,659 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.33%, 12/12/25 | 48 | 48,122 |
19 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) |
| |||||||||||
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 05/30/25 | USD | 60 | $ | 59,802 | ||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(c) | 34 | 33,008 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.08%, 08/27/25 | 755 | 755,797 | ||||||||||
|
| |||||||||||
944,388 | ||||||||||||
Construction & Engineering — 0.2% | ||||||||||||
Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24(i) | 1,247 | 1,235,140 | ||||||||||
|
| |||||||||||
Construction Materials — 0.0% | ||||||||||||
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 | 59 | 58,826 | ||||||||||
|
| |||||||||||
Containers & Packaging — 0.1% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.33%, 04/03/24 | 299 | 292,579 | ||||||||||
Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 130 | 130,540 | ||||||||||
|
| |||||||||||
423,119 | ||||||||||||
Diversified Consumer Services — 0.0% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.58%, 01/29/27 | 41 | 41,371 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 | 59 | 58,437 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%, 0.50% Floor), 5.00%, 01/15/27 | 114 | 113,946 | ||||||||||
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%), 9.50%, 11/02/28(c) | 106 | 107,325 | ||||||||||
|
| |||||||||||
321,079 | ||||||||||||
Diversified Financial Services — 0.2% | ||||||||||||
Delta TopCo, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 276 | 275,857 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (1 Week LIBOR + 4.00%, 0.50% Floor), 4.50%, 02/16/28 | 66 | 65,853 | ||||||||||
KKR Apple Bidco LLC(o) | ||||||||||||
2021 2nd Lien Term Loan, 07/13/29 | 18 | 18,259 | ||||||||||
2021 Term Loan, 09/22/28 | 72 | 71,897 | ||||||||||
LBM Acquisition LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/17/27 | 31 | 31,306 | ||||||||||
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 | 513 | 513,398 | ||||||||||
Sovos Compliance, LLC, 2021 Term Loan, (3 mo. LIBOR + 4.50%), 5.00%, 08/11/28 | 101 | 101,828 | ||||||||||
Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25 | 555 | 556,897 | ||||||||||
White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 10/19/27 | 354 | 355,127 | ||||||||||
|
| |||||||||||
1,990,422 | ||||||||||||
Diversified Telecommunication Services — 0.2% |
| |||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/01/28 | 198 | 197,073 | ||||||||||
Intelsat Jackson Holdings SA 2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | 123 | 124,766 |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Intelsat Jackson Holdings SA (continued) | ||||||||||||
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24 | USD | 198 | $ | 200,953 | ||||||||
2017 Term Loan B5, (Fixed + 8.62%), 8.63%, 01/02/24 | 1,070 | 1,085,665 | ||||||||||
Northwest Fiber LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%), 3.83%, 04/30/27 | 126 | 125,578 | ||||||||||
|
| |||||||||||
1,734,035 | ||||||||||||
Entertainment — 0.0% | ||||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(c) | 256 | 261,826 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.0% |
| |||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.08%, 06/30/25 | 52 | 51,795 | ||||||||||
|
| |||||||||||
Health Care Providers & Services — 0.1% | ||||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 | 119 | 119,899 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.83%, 10/10/25 | 403 | 357,466 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.75%), 2.88%, 07/02/25 | 82 | 79,566 | ||||||||||
LifePoint Health, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.83%, 11/16/25 | 76 | 76,331 | ||||||||||
Quorum Health Corp., 2020 Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 04/29/25 | 116 | 115,658 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 12/11/26 | 254 | 253,154 | ||||||||||
|
| |||||||||||
1,002,074 | ||||||||||||
Health Care Services — 0.0% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 3.63%, 07/24/26 | 105 | 104,410 | ||||||||||
Medical Solutions LLC, 2021 2nd Lien Term Loan, 10/01/29(o) | 92 | 91,080 | ||||||||||
|
| |||||||||||
195,490 | ||||||||||||
Health Care Technology — 0.0% | ||||||||||||
Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.38%, 02/11/26 | 83 | 82,750 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (6 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 06/02/28 | 254 | 254,478 | ||||||||||
|
| |||||||||||
337,228 | ||||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
Caesars Resort Collection LLC, 2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.58%, 07/21/25 | 116 | 116,038 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 | 258 | 257,281 | ||||||||||
Great Canadian Gaming Corp., Term Loan, 11/01/26(o) | 38 | 38,105 | ||||||||||
IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | 246 | 246,448 | ||||||||||
Life Time Fitness, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 12/16/24 | 162 | 162,881 | ||||||||||
|
| |||||||||||
820,753 | ||||||||||||
Household Durables — 0.0% | ||||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, 10/06/28(o) | 184 | 182,506 | ||||||||||
|
|
SCHEDULE OF INVESTMENTS | 20 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers — 0.0% |
| |||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.08%, 08/12/26 | USD | 27 | $ | 26,390 | ||||||||
|
| |||||||||||
Industrial Conglomerates — 0.1% | ||||||||||||
PSAV Holdings Corp., 2018 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 | 313 | 242,551 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | 109 | 110,918 | ||||||||||
|
| |||||||||||
353,469 | ||||||||||||
Insurance — 0.1% | ||||||||||||
Alliant Holdings Intermediate LLC, 2020 Term Loan B3, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 11/05/27 | 93 | 93,592 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27 | 124 | 123,626 | ||||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.33%, 12/31/25 | 390 | 386,518 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.83%, 09/03/26 | 141 | 140,321 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | 52 | 52,477 | ||||||||||
|
| |||||||||||
796,534 | ||||||||||||
Interactive Media & Services — 0.0% | ||||||||||||
Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26 | 79 | 79,574 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | 110 | 110,362 | ||||||||||
|
| |||||||||||
189,936 | ||||||||||||
Internet & Direct Marketing Retail — 0.0% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 | 154 | 154,322 | ||||||||||
|
| |||||||||||
IT Services — 0.1% | ||||||||||||
Banff Merger Sub Inc, 2021 USD 2nd Lien Term Loan, 02/27/26(c)(o) | 279 | 282,139 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.88%, 10/02/25 | 246 | 244,614 | ||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 | 178 | 178,394 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.58%, 02/12/27 | 111 | 108,181 | ||||||||||
|
| |||||||||||
813,328 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||
ICON Luxembourg Sarl | ||||||||||||
LUX Term Loan, (3 mo. LIBOR + 2.50%, 0.50% Floor), 3.00%, 07/03/28 | 264 | 264,911 | ||||||||||
US Term Loan, (3 mo. LIBOR + 2.50%, 0.50% Floor), 3.00%, 07/03/28 | 66 | 66,226 | ||||||||||
Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 2.83%, 09/27/24 | 223 | 222,384 | ||||||||||
|
| |||||||||||
553,521 |
Security | Par (000) | Value | ||||||||||
Machinery — 0.1% | ||||||||||||
Madison IAQ LLC, Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 06/21/28 | USD | 67 | $ | 66,721 | ||||||||
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.08%, 09/21/26 | 268 | 269,418 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.17%, 03/28/25 | 809 | 793,735 | ||||||||||
|
| |||||||||||
1,129,874 | ||||||||||||
Media — 0.2% | ||||||||||||
Altice Financing SA, 2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.88%, 07/15/25 | 23 | 22,688 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.12%, 08/14/26 | 107 | 106,541 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26 | 489 | 478,797 | ||||||||||
Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/11/26 | 108 | 107,579 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | 46 | 44,376 | ||||||||||
MH Sub I LLC, 2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.34%, 02/12/29 | 35 | 35,492 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 | 24 | 23,690 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.08%, 03/09/27 | 387 | 382,996 | ||||||||||
|
| |||||||||||
1,202,159 | ||||||||||||
Metals & Mining — 0.0% | ||||||||||||
Grinding Media Inc., 2021 Term Loan B, 09/22/28(c)(o) | 64 | 64,080 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25 | 1,133 | 1,238,729 | ||||||||||
Citgo Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23 | 156 | 153,639 | ||||||||||
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.08%, 06/30/24(c) | 8 | 4,595 | ||||||||||
|
| |||||||||||
1,396,963 | ||||||||||||
Pharmaceuticals — 0.1% | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2021 Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 5.75%, 03/27/28 | 388 | 378,586 | ||||||||||
|
| |||||||||||
Professional Services — 0.0% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.34%, 02/06/26 | 285 | 285,152 | ||||||||||
|
| |||||||||||
Software — 0.5% | ||||||||||||
Barracuda Networks, Inc., 2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28 | 121 | 122,062 | ||||||||||
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.88%, 01/29/27 | 135 | 134,085 | ||||||||||
Cloudera, Inc.(o) | ||||||||||||
2021 2nd Lien Term Loan, 08/10/29(c) | 180 | 179,100 | ||||||||||
2021 Term Loan, 08/10/28 | 515 | 514,037 | ||||||||||
Epicor Software Corp. | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 | 62 | 63,628 |
21 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Epicor Software Corp. (continued) | ||||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 07/30/27 | USD | 168 | $ | 168,201 | ||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.88%, 03/11/28 | 80 | 80,251 | ||||||||||
Informatica LLC | ||||||||||||
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25 | 278 | 281,614 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.33%, 02/25/27 | 129 | 128,551 | ||||||||||
Magenta Buyer LLC | ||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 5.75%, 07/27/28 | 536 | 535,834 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29(c) | 280 | 279,650 | ||||||||||
Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.33%, 11/29/24 | 87 | 87,225 | ||||||||||
Planview Parent, Inc., 2nd Lien Term Loan, (1 Week LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/17/28 | 103 | 102,485 | ||||||||||
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.09%, 04/26/24 | 122 | 121,969 | ||||||||||
Proof Point, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 6.25%, 0.50% Floor), 6.75%, 08/31/29(c) | 242 | 244,420 | ||||||||||
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 08/31/28 | 164 | 163,098 | ||||||||||
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/24/28 | 220 | 219,243 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.33%, 05/30/25 | 10 | 9,386 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
2021 Term Loan B1, (1 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 12/17/27 | 108 | 107,692 | ||||||||||
2021 Term Loan B2, (1 mo. LIBOR + 3.50%), 4.00%, 12/17/27 | 173 | 171,234 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 | 410 | 411,267 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 | 21 | 20,542 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.34%, 03/03/28 | 189 | 190,796 | ||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 05/04/26 | 122 | 121,934 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.83%, 05/04/26 | 146 | 145,978 | ||||||||||
|
| |||||||||||
4,604,282 | ||||||||||||
Specialty Retail — 0.1% | ||||||||||||
PetSmart, Inc., 2021 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 | 389 | 389,556 | ||||||||||
Staples, Inc., 7 Year Term Loan, (3 mo. LIBOR + 5.00%), 5.13%, 04/16/26 | 96 | 91,857 | ||||||||||
|
| |||||||||||
481,413 |
Security | Par (000) | Value | ||||||||||
Trading Companies & Distributors — 0.0% |
| |||||||||||
Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 3.75%, 02/03/28 | USD | 69 | $ | 68,358 | ||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% |
| |||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.84%, 06/10/27 | 304 | 304,108 | ||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 3.2% | 27,231,017 | |||||||||||
|
| |||||||||||
Foreign Agency Obligations | ||||||||||||
Argentina — 0.0% | ||||||||||||
Argentine Republic Government International Bond, 3.50%, 07/09/41(p) | 317 | 115,547 | ||||||||||
|
| |||||||||||
Bahrain — 0.1% | ||||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29(d) | 200 | 214,225 | ||||||||||
CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25(d) | 200 | 228,000 | ||||||||||
|
| |||||||||||
442,225 | ||||||||||||
Canada — 1.0% | ||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39(b)(m) | 5,890 | 8,296,909 | ||||||||||
|
| |||||||||||
Colombia — 0.1% | ||||||||||||
Colombia Government International Bond | ||||||||||||
4.50%, 01/28/26 | 600 | 642,488 | ||||||||||
3.88%, 04/25/27 | 268 | 277,849 | ||||||||||
3.13%, 04/15/31 | 230 | 215,021 | ||||||||||
|
| |||||||||||
1,135,358 | ||||||||||||
Dominican Republic — 0.1% | ||||||||||||
Dominican Republic International Bond | ||||||||||||
5.95%, 01/25/27(d) | 230 | 258,175 | ||||||||||
4.50%, 01/30/30(b) | 226 | 229,291 | ||||||||||
4.88%, 09/23/32(b) | 150 | 153,028 | ||||||||||
6.40%, 06/05/49(d) | 150 | 158,841 | ||||||||||
|
| |||||||||||
799,335 | ||||||||||||
Egypt — 0.1% | ||||||||||||
Egypt Government International Bond | ||||||||||||
5.58%, 02/21/23(b) | 200 | 205,270 | ||||||||||
5.88%, 06/11/25(d) | 410 | 422,259 | ||||||||||
8.50%, 01/31/47(b) | 400 | 383,000 | ||||||||||
|
| |||||||||||
1,010,529 | ||||||||||||
Ghana — 0.1% | ||||||||||||
Ghana Government International Bond, 7.75%, 04/07/29(b) | 330 | 313,500 | ||||||||||
|
| |||||||||||
Iceland — 0.4% | ||||||||||||
Iceland Government International Bond, 5.88%, 05/11/22(d) | 3,555 | 3,647,914 | ||||||||||
|
| |||||||||||
Indonesia — 0.1% | ||||||||||||
Indonesia Government International Bond, 4.10%, 04/24/28 | 600 | 673,237 | ||||||||||
|
|
SCHEDULE OF INVESTMENTS | 22 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Italy — 0.4% | ||||||||||||
Republic of Italy Government International Bond, 5.38%, 06/15/33 | USD | 2,925 | $ | 3,673,170 | ||||||||
|
| |||||||||||
Mexico — 0.0% | ||||||||||||
Mexico Government International Bond, 2.66%, 05/24/31 | 269 | 259,467 | ||||||||||
|
| |||||||||||
Mongolia — 0.0% | ||||||||||||
Mongolia Government International Bond, 5.13%, 04/07/26(d) | 250 | 261,903 | ||||||||||
|
| |||||||||||
Morocco — 0.0% | ||||||||||||
Morocco Government International Bond, 3.00%, 12/15/32(b) | 221 | 209,674 | ||||||||||
|
| |||||||||||
Oman — 0.0% | ||||||||||||
Oman Government International Bond, 6.50%, 03/08/47(d) | 228 | 219,279 | ||||||||||
|
| |||||||||||
Pakistan — 0.1% | ||||||||||||
Pakistan Government International Bond(d) | ||||||||||||
6.00%, 04/08/26 | 200 | 198,022 | ||||||||||
7.38%, 04/08/31 | 200 | 199,272 | ||||||||||
Pakistan Water & Power Development Authority, 7.50%, 06/04/31(d) | 200 | 197,820 | ||||||||||
|
| |||||||||||
595,114 | ||||||||||||
Panama — 0.1% | ||||||||||||
Panama Government International Bond | ||||||||||||
3.16%, 01/23/30 | 212 | 218,532 | ||||||||||
4.50%, 04/16/50 | 200 | 217,163 | ||||||||||
|
| |||||||||||
435,695 | ||||||||||||
Paraguay — 0.0% | ||||||||||||
Paraguay Government International Bond, 5.40%, 03/30/50(b) | 200 | 229,225 | ||||||||||
|
| |||||||||||
Peru — 0.1% | ||||||||||||
Peruvian Government International Bond | ||||||||||||
1.86%, 12/01/32 | 171 | 155,322 | ||||||||||
5.63%, 11/18/50 | 139 | 188,588 | ||||||||||
|
| |||||||||||
343,910 | ||||||||||||
Portugal — 0.5% | ||||||||||||
Portugal Government International Bond, 5.13%, 10/15/24(b) | 3,970 | 4,472,069 | ||||||||||
|
| |||||||||||
Qatar — 0.0% | ||||||||||||
Qatar Government International Bond, 4.00%, 03/14/29(b) | 240 | 272,640 | ||||||||||
|
| |||||||||||
Romania — 0.0% | ||||||||||||
Romanian Government International Bond, 3.00%, 02/14/31(b) | 220 | 224,235 | ||||||||||
|
| |||||||||||
Russia — 0.0% | ||||||||||||
Russian Foreign Bond - Eurobond, 4.25%, 06/23/27(d) | 200 | 222,900 | ||||||||||
|
| |||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Saudi Government International Bond, 4.50%, 04/17/30(d) | 278 | 325,260 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.1% | ||||||||||||
Sri Lanka Government International Bond(d) 6.85%, 03/14/24 | 432 | 274,401 |
Security | Par (000) | Value | ||||||||||
Sri Lanka (continued) | ||||||||||||
Sri Lanka Government International Bond(d) (continued) | ||||||||||||
6.35%, 06/28/24 | USD | 600 | $ | 382,612 | ||||||||
7.85%, 03/14/29 | 200 | 121,725 | ||||||||||
|
| |||||||||||
778,738 | ||||||||||||
Ukraine — 0.1% | ||||||||||||
Ukraine Government International Bond | ||||||||||||
7.75%, 09/01/23(d) | 100 | 106,900 | ||||||||||
7.75%, 09/01/25(d) | 385 | 418,495 | ||||||||||
7.25%, 03/15/33(b) | 400 | 403,450 | ||||||||||
|
| |||||||||||
928,845 | ||||||||||||
Uruguay — 0.0% | ||||||||||||
Uruguay Government International Bond, 4.98%, 04/20/55 | 162 | 202,212 | ||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 3.5% | 30,088,890 | |||||||||||
|
| |||||||||||
Municipal Bonds | ||||||||||||
California — 0.9% | ||||||||||||
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | 1,900 | 2,709,932 | ||||||||||
State of California, GO, BAB | ||||||||||||
7.55%, 04/01/39 | 280 | 471,318 | ||||||||||
7.63%, 03/01/40 | 1,720 | 2,874,688 | ||||||||||
University of California, RB, BAB, 5.95%, 05/15/45 | 885 | 1,261,028 | ||||||||||
|
| |||||||||||
7,316,966 | ||||||||||||
Georgia — 0.3% | ||||||||||||
Municipal Electric Authority of Georgia, Refunding RB, BAB, 7.06%, 04/01/57 | 1,950 | 2,855,190 | ||||||||||
|
| |||||||||||
Illinois — 0.3% | ||||||||||||
State of Illinois, GO, 5.10%, 06/01/33 | 2,000 | 2,331,780 | ||||||||||
|
| |||||||||||
Indiana — 0.4% | ||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Series B-2, 6.12%, 01/15/40 | 2,535 | 3,537,364 | ||||||||||
|
| |||||||||||
New Jersey — 0.1% | ||||||||||||
State of New Jersey, GO | ||||||||||||
Series A, 4.00%, 06/01/30 | 250 | 304,570 | ||||||||||
Series A, 4.00%, 06/01/31 | 190 | 234,173 | ||||||||||
Series A, 4.00%, 06/01/32 | 180 | 223,803 | ||||||||||
|
| |||||||||||
762,546 | ||||||||||||
New York — 1.2% | ||||||||||||
Metropolitan Transportation Authority, RB, BAB, 7.34%, 11/15/39 | 1,295 | 2,092,953 | ||||||||||
New York City Industrial Development Agency, Refunding RB | ||||||||||||
(AGM), 3.19%, 03/01/40 | 165 | 168,569 | ||||||||||
Class A, (AGM), 3.00%, 01/01/46 | 50 | 52,351 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Series E-1, 4.00%, 02/01/41 | 1,000 | 1,176,170 | ||||||||||
New York City Water & Sewer System, Refunding RB, BAB, 5.72%, 06/15/42 | 1,390 | 2,064,386 | ||||||||||
New York State Dormitory Authority, RB, BAB Series D, 5.60%, 03/15/40 | 1,900 | 2,567,926 |
23 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
New York (continued) | ||||||||||||
New York State Dormitory Authority, RB, BAB (continued) | ||||||||||||
Series F, 5.63%, 03/15/39 | USD | 1,100 | $ | 1,422,377 | ||||||||
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 | 780 | 1,016,403 | ||||||||||
|
| |||||||||||
10,561,135 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds — 3.2% | 27,364,981 | |||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities |
| |||||||||||
Collateralized Mortgage Obligations — 2.4% |
| |||||||||||
Alternative Loan Trust | ||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 535 | 542,022 | ||||||||||
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.28%, 03/20/47(a) | 493 | 425,675 | ||||||||||
Series 2007-OA10, Class 2A1, (1 mo. LIBOR US + 0.25%), 0.34%, 09/25/47(a) | 4,987 | 4,039,363 | ||||||||||
Banc of America Funding Trust, Series 2007-2, Class 1A2, 6.00%, 03/25/37 | 271 | 245,834 | ||||||||||
COLT Mortgage Loan Trust(a)(b) | ||||||||||||
Series 2020-2, Class M1, 5.25%, 03/25/65 | 3,050 | 3,122,769 | ||||||||||
Series 2020-3, Class M1, 3.36%, 04/27/65 | 3,820 | 3,875,309 | ||||||||||
Ellington Financial Mortgage Trust, Series 2020-1, Class M1, 5.24%, 05/25/65(a)(b) | 1,500 | 1,555,882 | ||||||||||
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 2.79%, 06/19/35(a) | 139 | 138,897 | ||||||||||
GSR Mortgage Loan Trust, Series 2007-4F, Class 3A1, 6.00%, 07/25/37 | 91 | 77,501 | ||||||||||
JP Morgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | 45 | 25,207 | ||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2006- A3, Class 3A1, 2.69%, 05/25/36(a) | 196 | 167,345 | ||||||||||
MFA Trust, Series 2021-NQM1, Class M1, 2.31%, 04/25/65(a)(b) | 2,750 | 2,745,643 | ||||||||||
STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b) | 2,050 | 2,043,675 | ||||||||||
Starwood Mortgage Residential Trust, Series 2020-3, Class M1, 3.54%, 04/25/65(a)(b) | 2,000 | 2,034,107 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 0.86%, 05/25/47(a) | 110 | 107,372 | ||||||||||
|
| |||||||||||
21,146,601 | ||||||||||||
Commercial Mortgage-Backed Securities(a) — 4.0% |
| |||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(b) | 4,170 | 4,419,734 | ||||||||||
Bayview Commercial Asset Trust, Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.36%, 07/25/37(b) | 873 | 840,273 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
Series 2013-GC15, Class B, 5.35%, 09/10/46 | 7,183 | 7,656,816 | ||||||||||
Series 2020-420K, Class D, 3.42%, 11/10/42(b) | 270 | 263,639 | ||||||||||
COMM Mortgage Trust | ||||||||||||
Series 2015-CR22, Class C, 4.24%, 03/10/48 | 5,000 | 5,291,758 | ||||||||||
Series 2015-LC19, Class C, 4.37%, 02/10/48 | 3,500 | 3,725,413 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR11, Class B, 5.28%, 08/10/50 | 7,000 | 7,508,591 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||||||
CSMC-FACT, Series 2020-FACT, Class D, (1 mo. LIBOR US + 3.71%), 3.79%, 10/15/37(b) | USD | 900 | $ | 908,958 | ||||||||
Extended Stay America Trust, Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 2.33%, 07/15/38(b) | 826 | 835,940 | ||||||||||
GS Mortgage Securities Corp. Trust, Series 2020- TWN3, Class D, (1 mo. LIBOR US + 3.70%), 3.78%, 11/15/37(b) | 1,500 | 1,518,503 | ||||||||||
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-1A, Class B, (1 mo. LIBOR US + 1.00%), 1.09%, 04/25/31(b) | 1,366 | 1,344,619 | ||||||||||
|
| |||||||||||
34,314,244 | ||||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 6.4% |
| 55,460,845 | ||||||||||
|
| |||||||||||
Preferred Securities | ||||||||||||
Capital Trusts — 5.8% | ||||||||||||
Banks(a) — 1.6% | ||||||||||||
Bank of East Asia Ltd., 5.88%(d)(l) | 500 | 516,875 | ||||||||||
BBVA Bancomer SA, 5.13%, 01/18/33(d) | 271 | 281,501 | ||||||||||
CaixaBank SA, 6.38%(d)(l) | EUR | 200 | 250,165 | |||||||||
CIT Group, Inc., Series A, 5.80%(l) | USD | 163 | 166,464 | |||||||||
Industrial & Commercial Bank of China Ltd., 3.20%(d)(l) | 250 | 250,625 | ||||||||||
ING Groep NV, 3.88%(l) | 2,000 | 1,939,800 | ||||||||||
Kasikornbank PCL, 5.28%(d)(l) | 600 | 627,862 | ||||||||||
Nanyang Commercial Bank Ltd., 5.00%(d)(l) | 200 | 201,938 | ||||||||||
Nordea Bank Abp, 6.13%(b)(l) | 2,960 | 3,237,500 | ||||||||||
Rizal Commercial Banking Corp., 6.50%(d)(l) | 200 | 211,537 | ||||||||||
SVB Financial Group, Series C, 4.00%(l) | 2,000 | 2,050,000 | ||||||||||
TMBThanachart Bank PCL, 4.90%(d)(l) | 250 | 252,391 | ||||||||||
Wells Fargo & Co., Series S, 5.90%(l) | 3,390 | 3,648,487 | ||||||||||
|
| |||||||||||
13,635,145 | ||||||||||||
Building Materials — 0.0% | ||||||||||||
Cemex SAB de CV, 5.13%(a)(b)(l) | 200 | 202,500 | ||||||||||
|
| |||||||||||
Diversified Financial Services(a)(l) — 3.3% | ||||||||||||
Bank of America Corp. | ||||||||||||
Series AA, 6.10% | 7 | 7,806 | ||||||||||
Series FF, 5.88% | 3,500 | 3,994,725 | ||||||||||
Series X, 6.25% | 1,050 | 1,155,000 | ||||||||||
Barclays PLC, 4.38% | 310 | 309,783 | ||||||||||
Credit Suisse Group AG, 6.38%(b) | 300 | 329,250 | ||||||||||
HSBC Holdings PLC | ||||||||||||
6.50% | 1,090 | 1,227,841 | ||||||||||
6.00% | 435 | 476,869 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
Series FF, 5.00% | 3,027 | 3,159,431 | ||||||||||
Series HH, 4.60% | 165 | 168,713 | ||||||||||
Series I, 3.60% | 3,581 | 3,600,597 | ||||||||||
Series R, 6.00% | 70 | 73,850 | ||||||||||
Series V, 3.45% | 3,640 | 3,653,650 | ||||||||||
Lloyds Banking Group PLC, 7.50% | 1,750 | 2,030,190 | ||||||||||
Morgan Stanley, Series H, 3.74% | 3,030 | 3,057,270 | ||||||||||
Natwest Group PLC, 6.00% | 1,575 | 1,762,630 | ||||||||||
Societe Generale SA, 7.88%(b) | 1,000 | 1,101,990 |
SCHEDULE OF INVESTMENTS | 24 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) |
| |||||||||||
UBS Group AG, 3.88%(b) | USD | 2,000 | $ | 1,999,780 | ||||||||
Woori Bank, 4.25%(d) | 250 | 259,812 | ||||||||||
|
| |||||||||||
28,369,187 | ||||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Telefonica Europe BV, 5.88%(a)(d)(l) | EUR | 100 | 128,432 | |||||||||
|
| |||||||||||
Electric Utilities — 0.4% | ||||||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(a) | USD | 2,750 | 3,225,749 | |||||||||
|
| |||||||||||
Insurance — 0.4% | ||||||||||||
Heungkuk Life Insurance Co. Ltd., 4.48%(a)(d)(l) | 200 | 202,662 | ||||||||||
MetLife, Inc., 6.40%, 12/15/66 | 2,554 | 3,280,238 | ||||||||||
|
| |||||||||||
3,482,900 | ||||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
Aroundtown SA, 3.38%(a)(d)(l) | EUR | 100 | 121,192 | |||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
Electricite de France SA, 3.38%(a)(d)(l) | 200 | 243,557 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
Vodafone Group PLC, 3.10%, 01/03/79(a)(d) |
| 100 | 120,273 | |||||||||
|
| |||||||||||
Total Capital Trusts — 5.8% | 49,528,935 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.5% | ||||||||||||
Capital Markets(a)(h) — 0.5% | ||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% | 92,000 | 2,495,040 | ||||||||||
Morgan Stanley, Series K, 5.85% | 66,567 | 1,972,380 | ||||||||||
|
| |||||||||||
4,467,420 | ||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Fannie Mae, Series S | 10,000 | 26,000 | ||||||||||
|
| |||||||||||
Total Preferred Stocks — 0.5% | 4,493,420 | |||||||||||
|
| |||||||||||
Trust Preferred — 0.1% | ||||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
Citigroup Capital XIII, 6.50%, 10/30/40(a) | 29,583 | 820,928 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 6.4% | 54,843,283 | |||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Government Sponsored Agency Securities |
| |||||||||||
Agency Obligations — 1.6% | ||||||||||||
Fannie Mae, 5.63%, 07/15/37(m) | USD | 1,600 | 2,386,857 | |||||||||
Federal Home Loan Bank(m) | ||||||||||||
5.25%, 12/09/22 | 1,375 | 1,458,710 | ||||||||||
5.37%, 09/09/24 | 4,025 | 4,591,606 | ||||||||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(k) | 6,055 | 5,248,775 | ||||||||||
|
| |||||||||||
13,685,948 | ||||||||||||
Collateralized Mortgage Obligations — 2.3% | ||||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
Series 1254, Class Z, 8.50%, 04/15/22 | 1 | 9 | ||||||||||
Series 2015-47, Class GL, 3.50%, 07/25/45 | 1,636 | 1,833,503 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) |
| |||||||||||
Uniform Mortgage-Backed Securities (continued) |
| |||||||||||
Series 4350, Class DY, 4.00%, 06/15/44 | USD | 2,469 | $ | 2,701,173 | ||||||||
Series 4398, Class ZX, 4.00%, 09/15/54 | 10,149 | 11,710,169 | ||||||||||
Series 4549, Class TZ, 4.00%, 11/15/45 | 3,093 | 3,429,727 | ||||||||||
|
| |||||||||||
19,674,581 | ||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.2% | ||||||||||||
Ginnie Mae Mortgage-Backed Securities(a) | ||||||||||||
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.39%, 12/16/39 | 840 | 132,231 | ||||||||||
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.59%, 04/16/41 | 7,309 | 1,357,929 | ||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(a) | 3 | 19 | ||||||||||
Series 2012-47, Class NI, 4.50%, 04/25/42 | 1,615 | 281,493 | ||||||||||
Series 2012-96, Class DI, 4.00%, 02/25/27 | 520 | 6,178 | ||||||||||
|
| |||||||||||
1,777,850 | ||||||||||||
Mortgage-Backed Securities — 15.4% | ||||||||||||
Ginnie Mae Mortgage-Backed Securities, 5.50%, 08/15/33(m) | 28 | 31,037 | ||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
2.50%, 10/14/21 - 11/01/51(q) | 59,800 | 61,641,836 | ||||||||||
3.00%, 04/01/33 - 09/01/43(m) | 9,061 | 9,637,933 | ||||||||||
5.00%, 08/01/34(m) | 769 | 874,562 | ||||||||||
5.50%, 06/01/38(m) | 408 | 475,694 | ||||||||||
6.00%, 12/01/38(m) | 320 | 378,655 | ||||||||||
4.50%, 07/01/41 - 07/01/55(m) | 9,047 | 10,170,323 | ||||||||||
4.00%, 12/01/41 - 04/01/56(m) | 15,565 | 17,333,583 | ||||||||||
3.50%, 07/01/49 - 08/01/49(m) | 9,491 | 10,263,691 | ||||||||||
2.00%, 03/01/51 - 06/01/51(m) | 21,357 | 21,430,922 | ||||||||||
|
| |||||||||||
132,238,236 | ||||||||||||
Principal Only Collateralized Mortgage Obligations(r) — 0.0% | ||||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
Series 1993-51, Class E, 0.00%, 02/25/23 | 1 | 778 | ||||||||||
Series 1993-70, Class A, 0.00%, 05/25/23 | — | (s) | 170 | |||||||||
Series 203, Class 1, 0.00%, 02/25/23 | 1 | 235 | ||||||||||
Series 228, Class 1, 0.00%, 06/25/23 | — | (s) | 161 | |||||||||
|
| |||||||||||
1,344 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency Securities — 19.5% |
| 167,377,959 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations |
| |||||||||||
U.S. Treasury Bonds(m) | ||||||||||||
1.88%, 02/15/41 - 02/15/51 | 29,800 | 28,515,219 | ||||||||||
3.00%, 11/15/44 | 61,400 | 72,089,836 | ||||||||||
2.50%, 02/15/46 | 66,500 | 71,918,711 | ||||||||||
2.75%, 11/15/47 | 2,000 | 2,272,344 | ||||||||||
U.S. Treasury Notes(m) | ||||||||||||
0.13%, 08/31/22 - 03/31/23(t) | 74,300 | 74,253,234 | ||||||||||
2.75%, 04/30/23 - 08/31/25(t) | 19,300 | 20,619,043 | ||||||||||
3.00%, 09/30/25 | 2,400 | 2,608,969 | ||||||||||
2.88%, 08/15/28 | 1,000 | 1,104,648 |
25 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
U.S. Treasury Obligations (continued) |
| |||||||||||
U.S. Treasury Notes(m) (continued) | ||||||||||||
3.13%, 11/15/28 | USD | 3,000 | $ | 3,370,547 | ||||||||
1.13%, 02/15/31 | 19,000 | 18,403,281 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 34.3% |
| 295,155,832 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 151.2% |
| 1,299,940,025 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds — 2.2% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(u)(v) | 19,428,725 | 19,428,725 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 2.2% |
| 19,428,725 | ||||||||||
|
| |||||||||||
Options Purchased — 0.8% |
| 6,988,485 | ||||||||||
|
| |||||||||||
Total Investments Before TBA Sale Commitments and Options Written — 154.2% |
| 1,326,357,235 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
TBA Sale Commitments | ||||||||||||
Mortgage-Backed Securities — (0.9)% |
| |||||||||||
Uniform Mortgage-Backed Securities, 2.50%, 10/14/51(q) | USD | (7,800 | ) | (8,042,227 | ) | |||||||
|
| |||||||||||
Total TBA Sale Commitments — (0.9)% |
| (8,042,227 | ) | |||||||||
|
| |||||||||||
Options Written — (0.6)% |
| (5,570,373 | ) | |||||||||
|
| |||||||||||
Total Investments, Net of TBA Sale Commitments and Options Written — 152.7% |
| 1,312,744,635 | ||||||||||
Liabilities in Excess of Other Assets — (52.7)% | (453,061,914) | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $859,682,721 | |||||||||||
|
|
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | 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. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $148,012, representing less than 0.05% of its net assets as of period end, and an original cost of $32,643. |
(f) | 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. |
(g) | Issuer filed for bankruptcy and/or is in default. |
(h) | Non-income producing security. |
(i) | When-issued security. |
(j) | Convertible security. |
(k) | Zero-coupon bond. |
(l) | Perpetual security with no stated maturity date. |
(m) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(n) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(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) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(q) | Represents or includes a TBA transaction. |
(r) | Rates are discount rates or a range of discount rates as of period end. |
(s) | Rounds to less than 1,000. |
(t) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(u) | Affiliate of the Trust. |
(v) | Annualized 7-day yield as of period end. |
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.
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/20 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 09/30/21 | Shares Held at 09/30/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 8,065,454 | $ | 11,363,271 | (a) | $ | — | $ | — | $ | — | $ | 19,428,725 | 19,428,725 | $ | 1,492 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
SCHEDULE OF INVESTMENTS | 26 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
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. | 0.07 | %(b) | 11/25/20 | Open | $ | 2,607,281 | $ 2,609,542 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 11/25/20 | Open | 1,548,594 | 1,549,936 | U.S. Government Sponsored Agency Securities | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 11/25/20 | Open | 2,586,000 | 2,588,242 | U.S. Government Sponsored Agency Securities | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.03 | (b) | 04/07/21 | Open | 1,910,000 | 1,909,324 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/07/21 | Open | 1,500,000 | 1,500,414 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/07/21 | Open | 7,049,250 | 7,047,398 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 1,117,500 | 1,117,796 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 3,435,000 | 3,435,910 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 2,649,000 | 2,649,702 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 43,028,175 | 43,039,577 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 2,227,500 | 2,228,090 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 1,808,375 | 1,808,854 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 04/20/21 | Open | 15,839,687 | 15,843,885 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.08 | (b) | 04/21/21 | Open | 3,840,000 | 3,839,164 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. | 0.08 | (b) | 05/06/21 | Open | 8,000,000 | 8,001,947 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.03 | (b) | 05/12/21 | Open | 952,500 | 952,453 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.07 | (b) | 05/12/21 | Open | 2,234,375 | 2,234,114 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.08 | (b) | 05/12/21 | Open | 3,000,000 | 3,000,595 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.08 | (b) | 05/12/21 | Open | 735,556 | 735,754 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.08 | (b) | 05/12/21 | Open | 3,000,000 | 3,000,363 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.29 | (b) | 06/04/21 | Open | 6,796,680 | 6,803,031 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.29 | (b) | 06/04/21 | Open | 9,856,460 | 9,865,670 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.29 | (b) | 06/04/21 | Open | 8,650,000 | 8,658,083 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.19 | (b) | 06/09/21 | Open | 4,195,000 | 4,197,502 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
TD Securities (USA) LLC | 0.25 | (b) | 06/29/21 | Open | 7,826,337 | 7,831,392 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||
Credit Suisse Securities (USA) LLC | (0.50 | )(b) | 07/21/21 | Open | 328,650 | 328,326 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.25 | (b) | 07/29/21 | Open | 4,509,000 | 4,510,973 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.25 | (b) | 07/29/21 | Open | 5,715,500 | 5,718,000 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/05/21 | Open | 28,500,000 | 28,503,341 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/05/21 | Open | 75,445,250 | 75,461,439 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/05/21 | Open | 2,943,500 | 2,943,845 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | (0.06 | )(b) | 08/09/21 | Open | 15,840,000 | 15,840,537 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/09/21 | Open | 5,506,875 | 5,507,542 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/09/21 | Open | 39,000,000 | 39,004,723 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/09/21 | Open | 13,331,250 | 13,332,398 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | (3.00 | )(b) | 08/16/21 | Open | 25,653 | 25,554 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 08/27/21 | Open | 1,970,000 | 1,970,153 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Credit Suisse Securities (USA) LLC | (3.00 | )(b) | 08/27/21 | Open | 94,815 | 94,562 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Royal Bank of Canada | 0.08 | 09/13/21 | 10/14/21 | 3,070,015 | 3,070,131 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||
Royal Bank of Canada | 0.08 | 09/13/21 | 10/14/21 | 4,413,049 | 4,413,215 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||
Royal Bank of Canada | 0.08 | 09/13/21 | 10/14/21 | 1,351,751 | 1,351,802 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 6,542,059 | 6,542,306 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 1,112,352 | 1,112,394 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
27 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | 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) |
| ||||||||||||
TD Securities (USA) LLC | 0.08 | % | 09/13/21 | 10/14/21 | $ | 30,203 | $ | 30,204 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 12,537,605 | 12,538,079 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 2,817,068 | 2,817,174 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 1,259,998 | 1,260,046 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 8,453,435 | 8,453,754 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 369,889 | 369,903 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 851,103 | 851,135 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 461,886 | 461,903 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 897,637 | 897,671 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 5,152,961 | 5,153,156 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 1,088,887 | 1,088,928 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 10,065,554 | 10,065,935 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 4,824,941 | 4,825,124 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
TD Securities (USA) LLC | 0.08 | 09/13/21 | 10/14/21 | 3,465,747 | 3,465,878 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||||||
BNP Paribas S.A. | (0.50 | )(b) | 09/17/21 | Open | 117,344 | 117,321 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
$ | 408,487,247 | $ | 408,576,190 | |||||||||||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
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 | ||||||||||||||||
Euro Bund | 6 | 12/08/21 | $ | 1,180 | $ | (19,952 | ) | |||||||||
Euro OAT | 27 | 12/08/21 | 5,190 | (93,260 | ) | |||||||||||
10-Year U.S. Ultra Long Treasury Note | 557 | 12/21/21 | 80,904 | (1,371,614 | ) | |||||||||||
Ultra U.S. Treasury Bond | 206 | 12/21/21 | 39,359 | (1,084,667 | ) | |||||||||||
2-Year U.S. Treasury Note | 129 | 12/31/21 | 28,387 | (12,257 | ) | |||||||||||
5-Year U.S. Treasury Note | 79 | 12/31/21 | 9,697 | 7,302 | ||||||||||||
90-Day Eurodollar | 532 | 12/18/23 | 131,477 | (201,522 | ) | |||||||||||
|
| |||||||||||||||
(2,775,970 | ) | |||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
10-Year U.S. Treasury Note | 907 | 12/21/21 | 119,370 | 1,424,060 | ||||||||||||
U.S. Long Bond | 18 | 12/21/21 | 2,866 | 56,954 | ||||||||||||
90-Day Eurodollar | 605 | 12/16/24 | 148,822 | 341,219 | ||||||||||||
|
| |||||||||||||||
1,822,233 | ||||||||||||||||
|
| |||||||||||||||
$ | (953,737 | ) | ||||||||||||||
|
|
SCHEDULE OF INVESTMENTS | 28 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 227,189 | CAD | 286,000 | Bank of America N.A. | 12/15/21 | $ | 1,391 | |||||||||||||
USD | 2,699,478 | EUR | 2,276,000 | Bank of America N.A. | 12/15/21 | 59,171 | ||||||||||||||
USD | 2,695,981 | EUR | 2,276,000 | BNP Paribas SA | 12/15/21 | 55,675 | ||||||||||||||
USD | 97,359 | EUR | 83,000 | Morgan Stanley & Co. International PLC | 12/15/21 | 1,074 | ||||||||||||||
USD | 1,091,668 | GBP | 788,000 | Natwest Markets PLC | 12/15/21 | 29,808 | ||||||||||||||
USD | 5,020,563 | GBP | 3,624,000 | Natwest Markets PLC | 12/15/21 | 137,087 | ||||||||||||||
|
| |||||||||||||||||||
284,206 | ||||||||||||||||||||
|
| |||||||||||||||||||
USD | 131,781 | GBP | 98,000 | Bank of America N.A. | 12/15/21 | (277 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 283,929 | |||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||
Put | ||||||||||||||||||||
90-Day Eurodollar Future | 244 | 10/15/21 | USD 99.25 | USD 60,698 | $ | 1,525 | ||||||||||||||
10-Year U.S. Treasury Note Future | 61 | 11/26/21 | USD 133.00 | USD 8,035 | 99,125 | |||||||||||||||
|
| |||||||||||||||||||
$ | 100,650 | |||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 03/30/27 | 3-Month LIBOR, 0.13% | Quarterly | 1.31% | Semi-Annual | Barclays Bank PLC | 03/28/22 | 1.31 | % | USD | 13,310 | $ | 145,379 | ||||||||||||||||
5-Year Interest Rate Swap, 04/07/27 | 3-Month LIBOR, 0.13% | Quarterly | 1.53% | Semi-Annual | JPMorgan Chase Bank N.A. | 04/05/22 | 1.53 | USD | 6,960 | 128,263 | ||||||||||||||||||
5-Year Interest Rate Swap, 04/10/27 | 3-Month LIBOR, 0.13% | Quarterly | 1.39% | Semi-Annual | Morgan Stanley & Co. International PLC | 04/08/22 | 1.39 | USD | 13,700 | 183,162 | ||||||||||||||||||
5-Year Interest Rate Swap, 04/30/27 | 3-Month LIBOR, 0.13% | Quarterly | 1.20% | Semi-Annual | Bank of America N.A. | 04/28/22 | 1.20 | USD | 19,220 | 153,556 | ||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 | 3-Month LIBOR, 0.13% | Quarterly | 2.98% | Semi-Annual | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,510 | 379,414 | ||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 | 3-Month LIBOR, 0.13% | Quarterly | 2.95% | Semi-Annual | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 371,818 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | 3-Month LIBOR, 0.13% | Quarterly | 1.97% | Semi-Annual | Goldman Sachs Bank USA | 06/24/24 | 1.97 | USD | 2,455 | 106,918 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | 3-Month LIBOR, 0.13% | Quarterly | 2.00% | Semi-Annual | Goldman Sachs Bank USA | 06/28/24 | 2.00 | USD | 2,455 | 110,538 | ||||||||||||||||||
10-Year Interest Rate Swap, 07/24/34 | 3-Month LIBOR, 0.13% | Quarterly | 1.68% | Semi-Annual | Goldman Sachs Bank USA | 07/22/24 | 1.67 | USD | 3,090 | 96,100 | ||||||||||||||||||
10-Year Interest Rate Swap, 07/31/34 | 3-Month LIBOR, 0.13% | Quarterly | 1.55% | Semi-Annual | Bank of America N.A. | 07/29/24 | 1.55 | USD | 4,280 | 114,437 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/04/34 | 3-Month LIBOR, 0.13% | Quarterly | 1.68% | Semi-Annual | Wells Fargo Bank, National Association | 08/02/24 | 1.68 | USD | 3,100 | 97,285 | ||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 | 3-Month LIBOR, 0.13% | Quarterly | 1.49% | Semi-Annual | Citibank N.A. | 02/25/25 | 1.49 | USD | 2,570 | 68,868 | ||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 | 3-Month LIBOR, 0.13% | Quarterly | 0.89% | Semi-Annual | Deutsche Bank AG | 04/30/25 | 0.89 | USD | 1,640 | 21,880 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 | 3-Month LIBOR, 0.13% | Quarterly | 1.28% | Semi-Annual | Goldman Sachs Bank USA | 06/04/25 | 1.28 | USD | 1,120 | 24,351 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 | 3-Month LIBOR, 0.13% | Quarterly | 1.43% | Semi-Annual | UBS AG | 06/05/25 | 1.43 | USD | 1,120 | 28,849 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 3-Month LIBOR, 0.13% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 1,930 | 27,923 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 3-Month LIBOR, 0.13% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 620 | 8,970 |
29 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Purchased (continued)
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/36 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.60% | Semi-Annual | Deutsche Bank AG | 04/07/26 | 2.60 | % | USD | 3,560 | $ | 288,047 | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/29/38(a) | | 3-Month LIBOR, 0.13% | | Quarterly | 3.05% | Semi-Annual | Deutsche Bank AG | 06/27/28 | 3.05 | USD | 3,125 | 131,532 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.04% | Semi-Annual | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 108,886 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.04% | Semi-Annual | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 108,712 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.08% | Semi-Annual | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 113,832 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.05% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/30 | 1.05 | USD | 1,210 | 33,152 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.99% | Semi-Annual | JPMorgan Chase Bank N.A. | 04/27/38 | 2.98 | USD | 910 | 98,537 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.86% | Semi-Annual | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 95,132 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/40 | 0.91 | USD | 730 | 25,733 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
3,071,274 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 11/17/26 | (0.15%) | Annual | | 6-Month EURIBOR, (0.53%) | | Semi-Annual | Barclays Bank PLC | 11/15/21 | (0.15) | EUR | 12,150 | 26,710 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/32 | 1.25% | Semi-Annual | | 6-Month JPY LIBOR, (0.04%) | | Semi-Annual | Credit Suisse International | 01/11/22 | 1.25 | JPY | 250,000 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 | 1.55% | Semi-Annual | | 6-Month JPY LIBOR, (0.04%) | | Semi-Annual | Credit Suisse International | 02/22/22 | 1.55 | JPY | 250,000 | — | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/18/32 | 1.60% | Semi-Annual | | 6-Month JPY LIBOR, (0.04%) | | Semi-Annual | JPMorgan Chase Bank N.A. | 03/16/22 | 1.60 | JPY | 250,000 | — | ||||||||||||||||||||||
5-Year Interest Rate Swap, 03/30/27 | 1.31% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Barclays Bank PLC | 03/28/22 | 1.31 | USD | 13,310 | 101,278 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/06/32 | 1.45% | Semi-Annual | | 6-Month JPY LIBOR, (0.04%) | | Semi-Annual | JPMorgan Chase Bank N.A. | 04/04/22 | 1.45 | JPY | 250,000 | — | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/07/27 | 1.53% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | JPMorgan Chase Bank N.A. | 04/05/22 | 1.53 | USD | 6,960 | 32,789 | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/10/27 | 1.39% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 04/08/22 | 1.39 | USD | 13,700 | 92,406 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/23/32 | 1.90% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Deutsche Bank AG | 04/21/22 | 1.90 | USD | 46,450 | 546,293 | ||||||||||||||||||||||
5-Year Interest Rate Swap, 05/05/37 | 3.25% | Quarterly | | 3-Month LIBOR, 0.13% | | Semi-Annual | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 8,100 | 5,200 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 05/11/52 | 2.85% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Nomura International PLC | 05/09/22 | 2.85 | USD | 4,750 | 23,916 | ||||||||||||||||||||||
5-Year Interest Rate Swap, 07/17/27 | 1.25% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Bank of America N.A. | 07/15/22 | 1.25 | USD | 16,670 | 233,558 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | 2.25% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | JPMorgan Chase Bank N.A. | 08/02/22 | 2.25 | USD | 4,160 | 39,411 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | 2.25% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Barclays Bank PLC | 08/08/22 | 2.25 | USD | 4,270 | 41,462 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 | 2.98% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,510 | 48,580 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 | 2.95% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 50,306 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | 2.50% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 06/13/24 | 2.50 | USD | 3,950 | 100,775 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | 2.50% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 06/20/24 | 2.50 | USD | 3,950 | 101,381 |
SCHEDULE OF INVESTMENTS | 30 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Purchased (continued)
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | 1.97% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Goldman Sachs Bank USA | 06/24/24 | 1.97 | % | USD | 2,455 | $ | 107,564 | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | 2.00% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Goldman Sachs Bank USA | 06/28/24 | 2.00 | USD | 2,455 | 104,794 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/24/34 | 1.68% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Goldman Sachs Bank USA | 07/22/24 | 1.67 | USD | 3,090 | 181,441 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/34 | 1.68% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Wells Fargo Bank, National Association | 08/02/24 | 1.68 | USD | 3,100 | 182,267 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/34 | 1.80% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Deutsche Bank AG | 08/05/24 | 1.80 | USD | 6,130 | 323,358 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 | 1.49% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Citibank N.A. | 02/25/25 | 1.49 | USD | 2,570 | 190,996 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 | 0.89% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Deutsche Bank AG | 04/30/25 | 0.89 | USD | 1,640 | 189,475 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 | 1.28% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Goldman Sachs Bank USA | 06/04/25 | 1.28 | USD | 1,120 | 99,786 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 | 1.43% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | UBS AG | 06/05/25 | 1.43 | USD | 1,120 | 89,673 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 620 | 71,575 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 1,930 | 222,807 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/36 | 2.60% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Deutsche Bank AG | 04/07/26 | 2.60 | USD | 3,560 | 122,165 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/14/37 | 3.00% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | JPMorgan Chase Bank N.A. | 04/12/27 | 3.00 | USD | 2,590 | 73,631 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 | 3.04% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 31,758 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 | 3.04% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 31,849 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 | 3.08% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 31,555 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 | 1.05% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/30 | 1.05 | USD | 1,210 | 139,584 | ||||||||||||||||||||||
6-Month | ||||||||||||||||||||||||||||||||||
20-Year Interest Rate Swap, 08/11/53 | 4.00% | Annual | | EURIBOR, (0.53%) | | Semi-Annual | Barclays Bank PLC | 08/09/33 | 4.00 | EUR | 2,410 | 31,723 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 | 2.99% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | JPMorgan Chase Bank N.A. | 04/27/38 | 2.98 | USD | 910 | 33,538 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 | 2.86% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 36,602 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.13% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/40 | 0.91 | USD | 730 | 76,355 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
3,816,561 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 6,887,835 | |||||||||||||||||||||||||||||||||
|
|
(a) | Forward settling swaption. |
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
10-Year U.S. Treasury Note Future | 61 | 11/26/21 | USD | 136.00 | USD | 8,035 | $ | (1,906 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
10-Year U.S. Treasury Note Future | 122 | 11/26/21 | USD | 131.00 | USD | 16,070 | (78,156 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (80,062 | ) | ||||||||||||||||||||||||||
|
|
31 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||
Call | ||||||||||||||||||||
10-Year Interest Rate Swap, 10/16/31 | 1.78% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Goldman Sachs Bank USA | 10/14/21 | 1.78% | USD | 3,040 | $ (68,842) | ||||||||||
10-Year Interest Rate Swap, 11/06/31 | 1.00% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 11/04/21 | 1.00 | USD | 6,130 | (552) | ||||||||||
10-Year Interest Rate Swap, 11/14/31 | 1.30% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 11/12/21 | 1.30 | USD | 6,320 | (11,292) | ||||||||||
2-Year Interest Rate Swap, 01/12/24 | 0.51% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Morgan Stanley & Co. International PLC | 01/10/22 | 0.51 | USD | 38,450 | (61,203) | ||||||||||
10-Year Interest Rate Swap, 01/29/32 | 1.00% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 01/27/22 | 1.00 | USD | 3,880 | (6,481) | ||||||||||
10-Year Interest Rate Swap, 01/29/32 | 1.25% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Bank of America N.A. | 01/27/22 | 1.25 | USD | 3,560 | (16,173) | ||||||||||
10-Year Interest Rate Swap, 02/20/32 | 1.62% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Bank of America N.A. | 02/18/22 | 1.62 | USD | 3,350 | (59,805) | ||||||||||
2-Year Interest Rate Swap, 02/25/24 | 0.41% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Goldman Sachs Bank USA | 02/23/22 | 0.41 | USD | 38,130 | (25,365) | ||||||||||
2-Year Interest Rate Swap, 03/03/24 | 0.51% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 03/01/22 | 0.51 | USD | 33,910 | (49,467) | ||||||||||
2-Year Interest Rate Swap, 03/04/24 | 0.49% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | JPMorgan Chase Bank N.A. | 03/02/22 | 0.49 | USD | 25,335 | (31,744) | ||||||||||
2-Year Interest Rate Swap, 03/05/24 | 0.52% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Citibank N.A. | 03/03/22 | 0.52 | USD | 17,280 | (26,579) | ||||||||||
2-Year Interest Rate Swap, 03/23/24 | 0.56% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 03/21/22 | 0.56 | USD | 17,280 | (34,007) | ||||||||||
2-Year Interest Rate Swap, 03/25/24 | 0.57% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 03/23/22 | 0.57 | USD | 33,470 | (68,151) | ||||||||||
10-Year Interest Rate Swap, 04/23/32 | 1.25% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 04/21/22 | 1.25 | USD | 46,450 | (319,640) | ||||||||||
5-Year Interest Rate Swap, 04/24/27 | 0.90% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Bank of America N.A. | 04/22/22 | 0.90 | USD | 9,610 | (26,059) | ||||||||||
5-Year Interest Rate Swap, 04/30/27 | 0.90% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Bank of America N.A. | 04/28/22 | 0.90 | USD | 28,830 | (79,023) | ||||||||||
10-Year Interest Rate Swap, 05/04/32 | 0.74% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 05/02/22 | 0.74 | USD | 2,540 | (3,816) | ||||||||||
10-Year Interest Rate Swap, 06/09/32 | 1.40% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | JPMorgan Chase Bank N.A. | 06/07/22 | 1.40 | USD | 4,475 | (53,594) | ||||||||||
10-Year Interest Rate Swap, 08/10/32 | 0.72% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 08/08/22 | 0.72 | USD | 485 | (1,120) | ||||||||||
10-Year Interest Rate Swap, 09/03/32 | 1.53% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Morgan Stanley & Co. International PLC | 09/01/22 | 1.52 | USD | 7,210 | (129,069) | ||||||||||
10-Year Interest Rate Swap, 10/13/32 | 1.06% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 10/11/22 | 1.06 | USD | 2,780 | (18,300) | ||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.23% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.23 | USD | 2,560 | (27,630) | ||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.25% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.24 | USD | 2,560 | (28,366) | ||||||||||
10-Year Interest Rate Swap, 01/01/33 | 1.25% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Citibank N.A. | 12/30/22 | 1.25 | USD | 2,820 | (32,428) | ||||||||||
10-Year Interest Rate Swap, 01/11/33 | 1.44% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Barclays Bank PLC | 01/09/23 | 1.44 | USD | 5,090 | (85,448) | ||||||||||
10-Year Interest Rate Swap, 03/03/33 | 2.01% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Bank of America N.A. | 03/01/23 | 2.01 | USD | 5,170 | (224,862) | ||||||||||
30-Year Interest Rate Swap, 09/19/54 | 1.85% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Deutsche Bank AG | 09/17/24 | 1.85 | USD | 1,700 | (155,656) | ||||||||||
30-Year Interest Rate Swap, 10/02/54 | 2.00% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Barclays Bank PLC | 09/30/24 | 2.00 | USD | 1,170 | (127,762) | ||||||||||
10-Year Interest Rate Swap, 03/14/39 | 3.05% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (310,962) | ||||||||||
| ||||||||||||||||||||
(2,083,396) | ||||||||||||||||||||
|
SCHEDULE OF INVESTMENTS | 32 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 10/16/31 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.78% | Semi-Annual | Goldman Sachs Bank USA | 10/14/21 | 1.77 | % | USD | 3,040 | $ | (974) | ||||||||||||||||||||
10-Year Interest Rate Swap, 11/14/31 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.50% | Semi-Annual | Deutsche Bank AG | 11/12/21 | 1.50 | USD | 6,320 | (76,263) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/08/23 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.50% | Semi-Annual | Barclays Bank PLC | 12/06/21 | 0.50 | USD | 14,380 | (9,481) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/12/23 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.45% | Semi-Annual | Deutsche Bank AG | 12/10/21 | 0.45 | USD | 14,430 | (16,323) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 01/12/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.51% | Semi-Annual | Morgan Stanley & Co. International PLC | 01/10/22 | 0.51 | USD | 38,450 | (51,487) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 01/21/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.50% | Semi-Annual | Deutsche Bank AG | 01/19/22 | 0.50 | USD | 10,190 | (16,534) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.25% | Semi-Annual | Bank of America N.A. | 01/27/22 | 1.25 | USD | 3,560 | (133,774) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.50% | Semi-Annual | Deutsche Bank AG | 01/27/22 | 1.50 | USD | 3,880 | (80,824) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/20/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.62% | Semi-Annual | Bank of America N.A. | 02/18/22 | 1.62 | USD | 3,350 | (56,731) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 02/27/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.75% | Semi-Annual | Deutsche Bank AG | 02/25/22 | 0.75 | USD | 38,130 | (36,282) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/02/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.60% | Semi-Annual | Deutsche Bank AG | 02/28/22 | 1.60 | USD | 2,840 | (52,889) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/03/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.51% | Semi-Annual | Deutsche Bank AG | 03/01/22 | 0.51 | USD | 33,910 | (87,844) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/04/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.49% | Semi-Annual | JPMorgan Chase Bank N.A. | 03/02/22 | 0.49 | USD | 25,335 | (72,143) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/05/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.52% | Semi-Annual | Citibank N.A. | 03/03/22 | 0.52 | USD | 17,280 | (44,119) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/23/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.56% | Semi-Annual | Deutsche Bank AG | 03/21/22 | 0.56 | USD | 17,280 | (45,071) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/25/24 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.57% | Semi-Annual | Deutsche Bank AG | 03/23/22 | 0.57 | USD | 33,470 | (86,597) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.74% | Semi-Annual | Deutsche Bank AG | 05/02/22 | 0.74 | USD | 2,540 | (221,512) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 05/05/27 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.25% | Semi-Annual | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 20,260 | (2,466) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/11/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.75% | Semi-Annual | Nomura International PLC | 05/09/22 | 2.75 | USD | 10,350 | (22,367) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.40% | Semi-Annual | JPMorgan Chase Bank N.A. | 06/07/22 | 2.40 | USD | 4,475 | (23,992) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.75% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 2.75 | USD | 4,160 | (16,315) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.25% | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 3.25 | USD | 4,160 | (7,220) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 0.72% | Semi-Annual | Deutsche Bank AG | 08/08/22 | 0.72 | USD | 485 | (46,094) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.75% | Semi-Annual | Barclays Bank PLC | 08/08/22 | 2.75 | USD | 4,270 | (17,277) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.25% | Semi-Annual | Barclays Bank PLC | 08/08/22 | 3.25 | USD | 4,270 | (7,679) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 09/03/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.53% | Semi-Annual | Morgan Stanley & Co. International PLC | 09/01/22 | 1.52 | USD | 7,210 | (260,675) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.06% | Semi-Annual | Deutsche Bank AG | 10/11/22 | 1.06 | USD | 2,780 | (193,926) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.23% | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.23 | USD | 2,560 | (157,090) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.25% | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.24 | USD | 2,560 | (154,842) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.25% | Semi-Annual | Citibank N.A. | 12/30/22 | 1.25 | USD | 2,820 | (171,164) |
33 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
| Paid by the Trust | Received by the Trust |
| Expiration | Exercise | Notional |
| |||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/11/33 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.44% | Semi-Annual | Barclays Bank PLC | 01/09/23 | 1.44 | % | USD | 5,090 | $ | (250,291) | ||||||||||||||||||
10-Year Interest Rate Swap, 03/03/33 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.01% | Semi-Annual | Bank of America N.A. | 03/01/23 | 2.01 | USD | 5,170 | (128,635) | ||||||||||||||||||||
10-Year Interest Rate Swap, 05/17/33 | | 6-Month EURIBOR, (0.53%) | | Semi-Annual | 0.70% | Annual | Barclays Bank PLC | 05/15/23 | 0.70 | EUR | 6,070 | (101,127) | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.00 | USD | 3,950 | (60,321) | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.50% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.50 | USD | 3,950 | (36,563) | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.00 | USD | 3,950 | (60,780) | ||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.50% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.50 | USD | 3,950 | (36,892) | ||||||||||||||||||||
10-Year Interest Rate Swap, 08/22/34 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.25% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/20/24 | 2.25 | USD | 4,410 | (152,607) | ||||||||||||||||||||
30-Year Interest Rate Swap, 09/19/54 | | 3-Month LIBOR, 0.13% | | Quarterly | 1.85% | Semi-Annual | Deutsche Bank AG | 09/17/24 | 1.85 | USD | 1,700 | (201,033) | ||||||||||||||||||||
30-Year Interest Rate Swap, 10/02/54 | | 3-Month LIBOR, 0.13% | | Quarterly | 2.00% | Semi-Annual | Barclays Bank PLC | 09/30/24 | 2.00 | USD | 1,170 | (118,256) | ||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 | | 3-Month LIBOR, 0.13% | | Quarterly | 3.05% | Semi-Annual | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (90,455) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
(3,406,915) | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (5,490,311) | |||||||||||||||||||||||||||||||
|
|
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 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CDX.NA.HY.37.V1 | 5.00 | % | Quarterly | 12/20/26 | USD | 10,330 | $ | (973,819 | ) | $ | (995,090) | $ | 21,271 | |||||||||||||||||||
CDX.NA.IG.37.V1 | 1.00 | Quarterly | 12/20/26 | USD | 50,350 | (1,216,935 | ) | (1,187,301) | (29,634 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (2,190,754 | ) | $ | (2,182,391) | $ | (8,363 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Paid (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.07% | Semi-Annual | N/A | 03/01/23 | USD | 3,350 | $ | 42,234 | $ | 28 | $ | 42,206 | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.10% | Semi-Annual | N/A | 03/01/23 | USD | 13,390 | 174,543 | 113 | 174,430 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.88% | Semi-Annual | N/A | 03/02/23 | USD | 6,665 | 65,414 | 56 | 65,358 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.88% | Semi-Annual | N/A | 03/02/23 | USD | 6,700 | 65,407 | 57 | 65,350 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.90% | Semi-Annual | N/A | 03/02/23 | USD | 2,230 | 22,640 | 19 | 22,621 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.98% | Semi-Annual | N/A | 03/02/23 | USD | 3,360 | 37,896 | 28 | 37,868 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.99% | Semi-Annual | N/A | 03/02/23 | USD | 3,360 | 38,325 | 28 | 38,297 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.25% | Semi-Annual | 07/08/22 | (a) | 07/08/23 | USD | 5,380 | (10,076 | ) | 58 | (10,134 | ) | |||||||||||||||||||||
1.61% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 11/01/21 | (a) | 11/01/23 | USD | 2,090 | (50,064 | ) | 25 | (50,089 | ) | |||||||||||||||||||||
0.40% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 11/22/22 | (a) | 11/22/23 | USD | 2,280 | 6,151 | 25 | 6,126 | |||||||||||||||||||||||
0.52% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 12/30/21 | (a) | 12/30/23 | USD | 1,250 | (989 | ) | 15 | (1,004 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.44% | Semi-Annual | 01/25/22 | (a) | 01/25/24 | USD | 2,560 | (3,810 | ) | 30 | (3,840 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.38% | Semi-Annual | 02/07/22 | (a) | 02/07/24 | USD | 8,860 | (26,565 | ) | 105 | (26,670 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.40% | Semi-Annual | 02/08/22 | (a) | 02/08/24 | USD | 10,070 | (26,914 | ) | 120 | (27,034 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.45% | Semi-Annual | 03/01/22 | (a) | 03/01/24 | USD | 5,850 | (13,505 | ) | 70 | (13,575 | ) | |||||||||||||||||||||
0.56% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/24/22 | (a) | 03/24/24 | USD | 8,790 | 5,821 | 104 | 5,717 | |||||||||||||||||||||||
0.60% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/25/22 | (a) | 03/25/24 | USD | 4,410 | (541 | ) | 52 | (593 | ) |
SCHEDULE OF INVESTMENTS | 34 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust | Received by the Trust | Effective | Termination | Notional |
| Upfront Paid | Unrealized Appreciation | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||
0.61% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/28/22 | (a) | 03/28/24 | USD | 5,960 | $ | (869 | ) | $ | 71 | $ | (940 | ) | ||||||||||||||||||
0.63% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/29/22 | (a) | 03/29/24 | USD | 4,380 | (2,917 | ) | 52 | (2,969 | ) | |||||||||||||||||||||
0.64% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/29/22 | (a) | 03/29/24 | USD | 7,560 | (5,677 | ) | 90 | (5,767 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.63% | Semi- Annual | 03/30/22 | (a) | 03/30/24 | USD | 8,700 | 5,291 | 103 | 5,188 | |||||||||||||||||||||||
0.65% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/30/22 | (a) | 03/30/24 | USD | 4,370 | (4,198 | ) | 52 | (4,250 | ) | |||||||||||||||||||||
0.62% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/31/22 | (a) | 03/31/24 | USD | 2,630 | (1,034 | ) | 31 | (1,065 | ) | |||||||||||||||||||||
0.63% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/31/22 | (a) | 03/31/24 | USD | 4,690 | (2,518 | ) | 56 | (2,574 | ) | |||||||||||||||||||||
0.73% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 06/21/22 | (a) | 06/21/24 | USD | 4,790 | 642 | 57 | 585 | |||||||||||||||||||||||
0.74% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/12/22 | (a) | 08/12/24 | USD | 10,580 | 16,445 | 126 | 16,319 | |||||||||||||||||||||||
0.78% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/15/22 | (a) | 08/15/24 | USD | 5,755 | 5,022 | 68 | 4,954 | |||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.45% | Semi- Annual | N/A | 11/12/25 | USD | 4,330 | (75,659 | ) | 48 | (75,707 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.48% | Semi- Annual | N/A | 01/21/26 | USD | 7,710 | (151,489 | ) | 90 | (151,579 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.93% | Semi- Annual | N/A | 09/17/26 | USD | 9,710 | (63,057 | ) | 129 | (63,186 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.15%) | Annual | 11/16/21 | (a) | 11/16/26 | EUR | 6,070 | 9,829 | 113 | 9,716 | |||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.28% | Semi- Annual | 03/31/22 | (a) | 03/31/27 | USD | 3,860 | 4,533 | 52 | 4,481 | |||||||||||||||||||||||
0.65% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 530 | 16,065 | 7 | 16,058 | |||||||||||||||||||||||
1.29% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 3,520 | (2,363 | ) | 48 | (2,411 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.19% | Semi- Annual | 07/19/22 | (a) | 07/19/27 | USD | 2,570 | (21,483 | ) | 34 | (21,517 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.22% | Semi- Annual | 08/16/22 | (a) | 08/16/27 | USD | 1,790 | (14,394 | ) | 24 | (14,418 | ) | |||||||||||||||||||||
0.50% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 08/19/27 | USD | 1,310 | 52,384 | 16 | 52,368 | ||||||||||||||||||||||||
0.84% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 11/15/27 | USD | 7,990 | 162,108 | 108 | 162,000 | ||||||||||||||||||||||||
1.27% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 02/15/28 | USD | 7,600 | (13,933 | ) | 107 | (14,040 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.05% | Semi- Annual | 09/30/21 | (a) | 05/15/28 | USD | 16,420 | (254,018 | ) | 238 | (254,256 | ) | |||||||||||||||||||||
1.16% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 02/04/31 | USD | 500 | 14,820 | 8 | 14,812 | ||||||||||||||||||||||||
2.79% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 03/10/31 | USD | 5,266 | (609,264 | ) | 81 | (609,345 | ) | ||||||||||||||||||||||
1.58% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 03/12/31 | USD | 640 | (3,871 | ) | 10 | (3,881 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.11% | Annual | 12/31/21 | (a) | 05/15/31 | USD | 5,780 | (96,653 | ) | 93 | (96,746 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 2.45% | Semi- Annual | N/A | 05/18/31 | USD | 860 | 79,759 | 13 | 79,746 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 2.10% | Semi- Annual | N/A | 06/22/31 | USD | 430 | 24,885 | 7 | 24,878 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.18% | Semi- Annual | N/A | 07/28/31 | USD | 1,640 | (53,017 | ) | 26 | (53,043 | ) | ||||||||||||||||||||||
1.14% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/10/31 | USD | 510 | 6,453 | 8 | 6,445 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.12% | Annual | N/A | 09/14/31 | USD | 290 | (4,335 | ) | 5 | (4,340 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.08% | Annual | N/A | 09/16/31 | USD | 905 | (16,597 | ) | 14 | (16,611 | ) | ||||||||||||||||||||||
1.12% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/20/31 | USD | 180 | 2,624 | 3 | 2,621 | ||||||||||||||||||||||||
1.15% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/20/31 | USD | 905 | 10,843 | 14 | 10,829 | ||||||||||||||||||||||||
1.15% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/20/31 | USD | 905 | 11,238 | 14 | 11,224 | ||||||||||||||||||||||||
1.19% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/21/31 | USD | 1,210 | 9,832 | 19 | 9,813 | ||||||||||||||||||||||||
1.20% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/21/31 | USD | 850 | 6,329 | 14 | 6,315 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.40% | Semi- Annual | N/A | 09/21/31 | USD | 5,410 | (76,717 | ) | 86 | (76,803 | ) | ||||||||||||||||||||||
1.43% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 09/21/31 | USD | 2,705 | 30,906 | 43 | 30,863 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.12% | Annual | N/A | 09/22/31 | USD | 910 | (13,317 | ) | 15 | (13,332 | ) | ||||||||||||||||||||||
1.39% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 09/22/31 | USD | 2,705 | 40,765 | 43 | 40,722 | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.11% | Annual | N/A | 09/24/31 | USD | 1,810 | (28,396 | ) | 29 | (28,425 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.12% | Annual | N/A | 09/24/31 | USD | 905 | (14,025 | ) | 14 | (14,039 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.14% | Annual | N/A | 09/24/31 | USD | 750 | (10,182 | ) | 12 | (10,194 | ) | ||||||||||||||||||||||
1.52% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 09/24/31 | USD | 5,730 | 16,346 | 92 | 16,254 | ||||||||||||||||||||||||
1.14% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/27/31 | USD | 900 | 11,771 | 14 | 11,757 | ||||||||||||||||||||||||
1.21% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/27/31 | USD | 900 | 5,807 | 14 | 5,793 | ||||||||||||||||||||||||
1.24% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/27/31 | USD | 900 | 3,732 | 14 | 3,718 | ||||||||||||||||||||||||
1.25% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/28/31 | USD | 900 | 2,408 | 14 | 2,394 | ||||||||||||||||||||||||
1.26% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/28/31 | USD | 900 | 1,406 | 14 | 1,392 | ||||||||||||||||||||||||
1.29% | Annual | 3-Month LIBOR, 0.13% | Annual | N/A | 09/29/31 | USD | 900 | (1,303 | ) | 14 | (1,317 | ) | ||||||||||||||||||||||
1.34% | Annual | 3-Month LIBOR, 0.13% | Annual | 09/30/21 | (a) | 09/30/31 | USD | 900 | (5,323 | ) | 14 | (5,337 | ) | |||||||||||||||||||||
1.32% | Annual | 3-Month LIBOR, 0.13% | Annual | 10/01/21 | (a) | 10/01/31 | USD | 970 | (3,482 | ) | 16 | (3,498 | ) | |||||||||||||||||||||
1.32% | Annual | 3-Month LIBOR, 0.13% | Annual | 10/01/21 | (a) | 10/01/31 | USD | 900 | (3,742 | ) | 14 | (3,756 | ) | |||||||||||||||||||||
1.61% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 03/28/22 | (a) | 03/28/32 | USD | 26,000 | 115,013 | 416 | 114,597 | |||||||||||||||||||||||
0.77% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 05/06/22 | (a) | 05/06/32 | USD | 2,650 | 226,732 | 42 | 226,690 | |||||||||||||||||||||||
0.85% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/15/22 | (a) | 08/15/32 | USD | 9,220 | 766,534 | 38,204 | 728,330 | |||||||||||||||||||||||
0.44% | Annual | 6-Month EURIBOR, (0.53%) | Semi- Annual | 05/16/23 | (a) | 05/16/33 | EUR | 2,140 | (19,013 | ) | 47 | (19,060 | ) | |||||||||||||||||||||
2.33% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 06/24/24 | (a) | 06/24/34 | USD | 310 | (8,999 | ) | 5 | (9,004 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.67% | Semi- Annual | 08/06/24 | (a) | 08/06/34 | USD | 2,450 | (76,898 | ) | 39 | (76,937 | ) |
35 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust | Received by the Trust | Effective | Termination | Notional |
| Upfront Paid | Unrealized Appreciation | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||
1.65% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/22/24 | (a) | 08/22/34 | USD | 1,355 | $ | 45,994 | $ | 21 | $ | 45,973 | ||||||||||||||||||
2.82% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 04/04/29 | (a) | 04/04/39 | USD | 1,560 | (86,544 | ) | 24 | (86,568 | ) | |||||||||||||||||||
1.01% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 04/02/30 | (a) | 04/02/40 | USD | 4,100 | 384,320 | 66 | 384,254 | |||||||||||||||||||||
3-Month LIBOR, 0.13% | Annual | 1.43% | Annual | 12/31/21 | (a) | 02/15/47 | USD | 2,680 | (79,272 | ) | 57 | (79,329 | ) | |||||||||||||||||||
1.45% | Annual | 3-Month LIBOR, 0.13% | Annual | 12/31/21 | (a) | 02/15/47 | USD | 10,780 | 278,447 | (33,068 | ) | 311,515 | ||||||||||||||||||||
3.02% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 12/08/38 | (a) | 12/08/48 | USD | 400 | (28,817 | ) | 6 | (28,823 | ) | |||||||||||||||||||
2.38% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 07/05/39 | (a) | 07/05/49 | USD | 620 | (17,077 | ) | 10 | (17,087 | ) | |||||||||||||||||||
1.71% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 600 | 11,240 | 9 | 11,231 | |||||||||||||||||||||
1.78% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 500 | 6,768 | 8 | 6,760 | |||||||||||||||||||||
1.67% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 08/17/39 | (a) | 08/17/49 | USD | 460 | 9,971 | 7 | 9,964 | |||||||||||||||||||||
1.25% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 03/06/50 | USD | 460 | 64,536 | 10 | 64,526 | ||||||||||||||||||||||
1.10% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 11/25/50 | USD | 750 | 130,801 | 17 | 130,784 | ||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.93% | Semi-Annual | 12/01/26 | (a) | 12/01/56 | USD | 110 | (1,589 | ) | 2 | (1,591 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,046,524 | $ | 9,366 | $ | 1,037,158 | |||||||||||||||||||||||||||
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|
|
|
|
|
(a) | Forward Swap. |
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 | | |||||||||||||||||
Adler Real Estate AG | 5.00 | % | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | BB+ | EUR | 10 | $ | (737 | ) | $ | 1,458 | $ | (2,195 | ) | ||||||||||||||||||||||
| Virgin Media Finance PLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B | EUR | 10 | 1,391 | 1,126 | 265 | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/26 | N/R | EUR | 10 | (718 | ) | 979 | (1,697 | ) | ||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/26 | N/R | EUR | 10 | (718 | ) | 1,100 | (1,818 | ) | ||||||||||||||||||||||||||
Trust Fibrauno | 1.00 | Quarterly | Citibank N.A. | 06/20/26 | N/R | USD | 228 | (15,390 | ) | (24,012 | ) | 8,622 | ||||||||||||||||||||||||||
Trust Fibrauno | 1.00 | Quarterly | Citibank N.A. | 06/20/26 | N/R | USD | 63 | (4,253 | ) | (6,648 | ) | 2,395 | ||||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Barclays Bank PLC | 10/17/57 | N/R | USD | 5,000 | (646,451 | ) | (489,439 | ) | (157,012 | ) | |||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Credit Suisse International | 10/17/57 | N/R | USD | 2,500 | (323,225 | ) | (242,122 | ) | (81,103 | ) | |||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 10/17/57 | N/R | USD | 5,550 | (717,560 | ) | (712,333 | ) | (5,227 | ) | |||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (383,909 | ) | (525,016 | ) | 141,107 | ||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 2,500 | (191,955 | ) | (262,508 | ) | 70,553 | ||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (383,909 | ) | (524,966 | ) | 141,057 | ||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 2,153 | (165,312 | ) | (237,355 | ) | 72,043 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (2,832,746 | ) | $ | (3,019,736 | ) | $ | 186,990 | |||||||||||||||||||||||||||||||
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|
|
|
|
(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. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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); and |
SCHEDULE OF INVESTMENTS | 36 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Fair Value Hierarchy as of Period End (continued)
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 66,370,174 | $ | 3,859,608 | $ | 70,229,782 | ||||||||
Common Stocks | ||||||||||||||||
Energy Equipment & Services | — | 8,434 | — | 8,434 | ||||||||||||
Oil, Gas & Consumable Fuels | 88,320 | 148,012 | — | 236,332 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Advertising Agencies | — | 673,107 | — | 673,107 | ||||||||||||
Aerospace & Defense | — | 15,040,070 | — | 15,040,070 | ||||||||||||
Airlines | — | 9,907,806 | — | 9,907,806 | ||||||||||||
Auto Components | — | 4,213,319 | — | 4,213,319 | ||||||||||||
Automobiles | — | 9,668,771 | — | 9,668,771 | ||||||||||||
Banks | — | 13,777,193 | — | 13,777,193 | ||||||||||||
Beverages | — | 9,456,095 | — | 9,456,095 | ||||||||||||
Biotechnology | — | 2,064,981 | — | 2,064,981 | ||||||||||||
Building Materials | — | 2,255,380 | — | 2,255,380 | ||||||||||||
Building Products | — | 5,772,638 | — | 5,772,638 | ||||||||||||
Capital Markets | — | 19,445,944 | — | 19,445,944 | ||||||||||||
Chemicals | — | 5,184,014 | — | 5,184,014 | ||||||||||||
Commercial Services & Supplies | — | 1,819,083 | — | 1,819,083 | ||||||||||||
Communications Equipment | — | 1,759,958 | — | 1,759,958 | ||||||||||||
Construction & Engineering | — | 4,251,545 | — | 4,251,545 | ||||||||||||
Construction Materials | — | 769,409 | — | 769,409 | ||||||||||||
Consumer Discretionary | — | 4,320,971 | — | 4,320,971 | ||||||||||||
Consumer Finance | — | 6,701,220 | — | 6,701,220 | ||||||||||||
Containers & Packaging | — | 2,192,457 | — | 2,192,457 | ||||||||||||
Diversified Consumer Services | — | 5,045,745 | — | 5,045,745 | ||||||||||||
Diversified Financial Services | — | 37,140,172 | — | 37,140,172 | ||||||||||||
Diversified Telecommunication Services | — | 34,616,405 | — | 34,616,405 | ||||||||||||
Electric Utilities | — | 28,450,423 | — | 28,450,423 | ||||||||||||
Electrical Equipment | — | 313,339 | — | 313,339 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 3,134,265 | — | 3,134,265 | ||||||||||||
Energy Equipment & Services | — | 2,252,258 | 421,606 | 2,673,864 | ||||||||||||
Entertainment | — | 148,094 | — | 148,094 | ||||||||||||
Environmental, Maintenance, & Security Service | — | 1,721,085 | — | 1,721,085 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 11,686,645 | — | 11,686,645 | ||||||||||||
Food & Staples Retailing | — | 5,513,135 | — | 5,513,135 | ||||||||||||
Food Products | — | 2,445,042 | — | 2,445,042 | ||||||||||||
Gas Utilities | — | 93,375 | — | 93,375 | ||||||||||||
Health Care Equipment & Supplies | — | 2,750,331 | — | 2,750,331 | ||||||||||||
Health Care Providers & Services | — | 16,504,568 | — | 16,504,568 | ||||||||||||
Health Care Technology | — | 2,104,003 | — | 2,104,003 | ||||||||||||
Hotels, Restaurants & Leisure | — | 13,885,790 | 3,924,395 | 17,810,185 | ||||||||||||
Household Durables | — | 2,460,031 | — | 2,460,031 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 3,529,823 | — | 3,529,823 | ||||||||||||
Insurance | — | 26,430,281 | — | 26,430,281 |
37 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Interactive Media & Services | $ | — | $ | 1,868,861 | $ | — | $ | 1,868,861 | ||||||||
Internet Software & Services | — | 3,360,126 | — | 3,360,126 | ||||||||||||
IT Services | — | 4,662,691 | — | 4,662,691 | ||||||||||||
Leisure Products | — | 481,266 | — | 481,266 | ||||||||||||
Machinery | — | 2,326,507 | — | 2,326,507 | ||||||||||||
Media | — | 47,243,770 | — | 47,243,770 | ||||||||||||
Metals & Mining | — | 8,933,369 | — | 8,933,369 | ||||||||||||
Multi-line Retail | — | 615,000 | — | 615,000 | ||||||||||||
Multi-Utilities | — | 1,337,859 | — | 1,337,859 | ||||||||||||
Offshore Drilling & Other Services | — | 711,764 | — | 711,764 | ||||||||||||
Oil, Gas & Consumable Fuels | 113,816 | 58,240,341 | 1,631,018 | 59,985,175 | ||||||||||||
Personal Products | — | 81,322 | — | 81,322 | ||||||||||||
Pharmaceuticals | — | 20,283,648 | — | 20,283,648 | ||||||||||||
Producer Durables: Miscellaneous | — | 5,490,041 | — | 5,490,041 | ||||||||||||
Professional Services | — | 1,020,000 | — | 1,020,000 | ||||||||||||
Real Estate Management & Development | — | 24,163,123 | — | 24,163,123 | ||||||||||||
Road & Rail | — | 9,269,519 | — | 9,269,519 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 6,515,821 | — | 6,515,821 | ||||||||||||
Software | — | 9,228,292 | — | 9,228,292 | ||||||||||||
Specialty Retail | — | 2,396,875 | — | 2,396,875 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 3,123,372 | — | 3,123,372 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 418,878 | — | 418,878 | ||||||||||||
Thrifts & Mortgage Finance | — | 667,202 | — | 667,202 | ||||||||||||
Tobacco | — | 7,387,887 | — | 7,387,887 | ||||||||||||
Transportation | — | 121,570 | — | 121,570 | ||||||||||||
Transportation Infrastructure | — | 2,781,795 | 778,167 | 3,559,962 | ||||||||||||
Utilities | — | 10,562,400 | — | 10,562,400 | ||||||||||||
Wireless Telecommunication Services | — | 12,281,598 | — | 12,281,598 | ||||||||||||
Floating Rate Loan Interests | — | 25,685,774 | 1,545,243 | 27,231,017 | ||||||||||||
Foreign Agency Obligations | — | 30,088,890 | — | 30,088,890 | ||||||||||||
Municipal Bonds | — | 27,364,981 | — | 27,364,981 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 55,460,845 | — | 55,460,845 | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 49,528,935 | — | 49,528,935 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Capital Markets | 4,467,420 | — | — | 4,467,420 | ||||||||||||
Thrifts & Mortgage Finance | — | 26,000 | — | 26,000 | ||||||||||||
Trust Preferred | 820,928 | — | — | 820,928 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 167,377,959 | — | 167,377,959 | ||||||||||||
U.S. Treasury Obligations | — | 295,155,832 | — | 295,155,832 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 19,428,725 | — | — | 19,428,725 | ||||||||||||
Options Purchased | ||||||||||||||||
Interest Rate Contracts | 100,650 | 6,887,835 | — | 6,988,485 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | 95 | — | 95 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
TBA Sale Commitments | — | (8,042,227 | ) | — | (8,042,227 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 25,019,859 | $ | 1,281,135,207 | $ | 12,160,037 | $ | 1,318,315,103 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 457,313 | $ | — | $ | 457,313 | ||||||||
Foreign Currency Exchange Contracts | — | 284,206 | — | 284,206 | ||||||||||||
Interest Rate Contracts | 1,829,535 | 3,043,842 | — | 4,873,377 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (278,686 | ) | — | (278,686 | ) |
SCHEDULE OF INVESTMENTS | 38 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | BlackRock Core Bond Trust (BHK)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities (continued) | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (277 | ) | $ | — | $ | (277 | ) | ||||||
Interest Rate Contracts | (2,863,334 | ) | (7,496,995 | ) | — | (10,360,329 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (1,033,799 | ) | $ | (3,990,597 | ) | $ | — | $ | (5,024,396 | ) | ||||||
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|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | 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 $408,576,190 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments 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:
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan | Total | ||||||||||||||||
Assets | ||||||||||||||||||||
Opening balance, as of December 31, 2020 | $ | 27,859 | $ | 21,047 | $ | 7,038,030 | $ | 617,454 | $ | 7,704,390 | ||||||||||
Transfers into Level 3 | 1,286,514 | — | — | — | 1,286,514 | |||||||||||||||
Transfers out of Level 3 | — | (21,047 | ) | — | (211,965 | ) | (233,012 | ) | ||||||||||||
Accrued discounts/premiums | (70,706 | ) | — | 11,631 | 1,272 | (57,803 | ) | |||||||||||||
Net realized gain (loss) | — | — | 1,003 | 52 | 1,055 | |||||||||||||||
Net change in unrealized appreciation (depreciation)(a) | 68,457 | — | (200,342 | ) | 13,199 | (118,686 | ) | |||||||||||||
Purchases | 2,547,484 | — | 6,891 | 1,127,425 | 3,681,800 | |||||||||||||||
Sales | — | — | (102,027 | ) | (2,194 | ) | (104,221 | ) | ||||||||||||
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| |||||||||||
Closing balance, as of September 30, 2021 | $ | 3,859,608 | $ | — | $ | 6,755,186 | $ | 1,545,243 | $ | 12,160,037 | ||||||||||
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|
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|
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| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2021(a) | $ | 68,457 | $ | — | $ | (200,342 | ) | $ | 13,199 | $ | (118,686 | ) | ||||||||
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(a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
Currency Abbreviation
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
USD | United States Dollar |
Portfolio Abbreviation (continued)
MSCI | Morgan Stanley Capital International | |
PCL | Public Company Limited | |
PIK | Payment-in-Kind | |
RB | Revenue Bond | |
REIT | Real Estate Investment Trust | |
SAB | Special Assessment Bonds | |
TBA | To-Be-Announced |
Portfolio Abbreviation
AGM | Assured Guaranty Municipal Corp. | |
BAB | Build America Bond | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
CR | Custodian Receipt | |
DAC | Designated Activity Company | |
DIP | Debtor-In-Possession | |
EURIBOR | Euro Interbank Offered Rate | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate |
39 |