UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10635
Name of Fund: BlackRock Strategic Bond Trust (BHD)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Strategic Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2013
Date of reporting period: 02/28/2013
Item 1 – Report to Stockholders
SEMI-ANNUAL REPORT (UNAUDITED) | ![]() |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
Page | ||||||
Dear Shareholder | 3 | |||||
Semi-Annual Report: | ||||||
Trust Summaries | 4 | |||||
The Benefits and Risks of Leveraging | 20 | |||||
Derivative Financial Instruments | 20 | |||||
Financial Statements: | ||||||
Schedules of Investments | 21 | |||||
Statements of Assets and Liabilities | 118 | |||||
Statements of Operations | 122 | |||||
Statements of Changes in Net Assets | 124 | |||||
Statements of Cash Flows | 126 | |||||
Financial Highlights | 128 | |||||
Notes to Financial Statements | 136 | |||||
Officers and Trustees | 150 | |||||
Additional Information | 151 |
2 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Dear Shareholder |
![](https://capedge.com/proxy/N-CSRS/0000891092-13-003926/kapito_sig.jpg)
President, BlackRock Advisors, LLC
![]() |
“Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment.” |
President, BlackRock Advisors, LLC
Total Returns as of February 28, 2013
6-month | 12-month | |||||||||
US large cap equities (S&P 500® Index) | 8.95 | % | 13.46 | % | ||||||
US small cap equities (Russell 2000® Index) | 13.02 | 14.02 | ||||||||
International equities (MSCI Europe, Australasia, Far East Index) | 14.41 | 9.84 | ||||||||
Emerging market equities (MSCI Emerging Markets Index) | 12.06 | 0.28 | ||||||||
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index) | 0.05 | 0.11 | ||||||||
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) | (1.51 | ) | 3.66 | |||||||
US investment grade bonds (Barclays US Aggregate Bond Index) | 0.15 | 3.12 | ||||||||
Tax-exempt municipal bonds (S&P Municipal Bond Index) | 2.40 | 5.71 | ||||||||
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index) | 6.67 | 11.79 |
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Trust Summary as of February 28, 2013 | BlackRock Core Bond Trust |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 0.49% based on market price and 3.30% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 4.48% based on market price and 5.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Spread sectors outperformed government-related debt for the six-month period as accommodative monetary policy in the United States and Europe along with the continued recovery of the US economy drove credit spreads tighter. The Trust’s allocations to high yield and investment grade corporate credit were significant contributors to performance during the period. In particular, the Trust’s preference for banking, insurance and communication-related names contributed meaningfully to returns. |
• | Additionally, the Trust benefited from its exposure to structured products including commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”) and non-agency residential mortgage-backed securities (“MBS”). |
• | As interest rates generally trended higher during the period, the Trust’s duration profile (sensitivity to interest rate movements) detracted from performance, as did its yield curve positioning. |
• | During the six-month period, the Trust maintained a positive view on spread sectors and increased exposure to high yield credit and securitized products such as CMBS and ABS. Within investment grade credit, the Trust favored financials and industrials over utilities. In financials, the Trust rotated out of senior bank debt into subordinated bank debt to take advantage of the yield differential. In addition, the Trust added to positions in floating rate preferred securities to benefit from a potential rise in interest rates. Finally, the Trust shortened its duration profile in light of expectations that positive economic data may lead to a gradual increase in interest rates. |
• | At period end, the Trust maintained diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, ABS and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, US agency debt and agency MBS. |
4 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Core Bond Trust |
Trust Information
Symbol on New York Stock Exchange (“NYSE”) | BHK | |||
Initial Offering Date | November 27, 2001 | |||
Yield on Closing Market Price as of February 28, 2013 ($14.99)1 | 5.84% | |||
Current Monthly Distribution per Common Share2 | $0.073 | |||
Current Annualized Distribution per Common Share2 | $0.876 | |||
Economic Leverage as of February 28, 20133 | 31% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 14.99 | $ | 15.41 | (2.73 | )% | $ | 16.24 | $ | 14.10 | ||||||||||||
Net Asset Value | $ | 15.21 | $ | 15.21 | 0.00 | % | $ | 15.57 | $ | 14.96 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 58 | % | 52 | % | ||||||
US Government Sponsored Agency Securities | 12 | 13 | ||||||||
Non-Agency Mortgage-Backed Securities | 11 | 11 | ||||||||
US Treasury Obligations | 8 | 14 | ||||||||
Asset-Backed Securities | 6 | 5 | ||||||||
Taxable Municipal Bonds | 3 | 2 | ||||||||
Preferred Securities | 2 | 2 | ||||||||
Foreign Agency Obligations | — | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
AAA/Aaa5 | 26 | % | 36 | % | ||||||
AA/Aa | 3 | 3 | ||||||||
A | 24 | 20 | ||||||||
BBB/Baa | 22 | 23 | ||||||||
BB/Ba | 12 | 7 | ||||||||
B | 11 | 9 | ||||||||
CCC/Caa | 2 | 2 |
4 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings. |
5 | Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 5 |
Trust Summary as of February 28, 2013 | BlackRock Corporate High Yield Fund V, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 1.78% based on market price and 9.62% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among the lower quality tiers of high yield credit had a positive impact on performance. From an industry perspective, holdings within gaming, automotive and building materials boosted returns. The Trust’s exposure to select common stocks and preferred securities also enhanced results. |
• | Detracting from performance was security selection within middle quality tier credits, as well as within non-rated securities. On an industry basis, selection in metals, paper and wireless impaired results. The Trust’s tactical allocation to floating rate loan interests (bank loans) hindered relative performance as the asset class underperformed high yield bonds during the period. |
• | The Trust maintained its focus on higher-quality income-oriented credit names with stable fundamentals, good earnings/revenue visibility and an attractive coupon rate. The Trust remained generally cautious of cyclical credits that tend to be more vulnerable to slower economic growth and bouts of weakness, but allowed some risk in companies with positive growth catalysts or idiosyncratic characteristics. Also during the period, the Trust increased exposure to floating rate loan interests as valuations appeared increasingly attractive relative to certain segments of the high yield universe such as higher-quality short-dated paper. |
• | At period end, the Trust held 73% of its total portfolio in corporate bonds and 19% in floating rate loan interests, with the remainder in common stocks and preferred stocks. The Trust held its largest industry exposures in healthcare, wirelines and consumer services (housing-related), while reflecting less emphasis on the riskier, more volatile segments of the market such as the banking sector and supermarkets and restaurants industries. |
6 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Corporate High Yield Fund V, Inc. |
Trust Information
Symbol on NYSE | HYV | |||
Initial Offering Date | November 30, 2001 | |||
Yield on Closing Market Price as of February 28, 2013 ($13.09)1 | 8.25% | |||
Current Monthly Distribution per Common Share2 | $0.09 | |||
Current Annualized Distribution per Common Share2 | $1.08 | |||
Economic Leverage as of February 28, 20133 | 29% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 13.09 | $ | 13.51 | (3.11 | )% | $ | 13.52 | $ | 11.40 | ||||||||||||
Net Asset Value | $ | 13.18 | $ | 12.63 | 4.35 | % | $ | 13.26 | $ | 12.60 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | | ||||||||||
Corporate Bonds | 73 | % | 75 | % | ||||||||||
Floating Rate Loan Interests | 19 | 17 | ||||||||||||
Common Stocks | 7 | 6 | ||||||||||||
Preferred Stocks | 1 | 2 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | | ||||||||||
A | 1 | % | 1 | % | ||||||||||
BBB/Baa | 5 | 6 | ||||||||||||
BB/Ba | 36 | 35 | ||||||||||||
B | 46 | 43 | ||||||||||||
CCC/Caa | 10 | 13 | ||||||||||||
Not Rated | 2 | 2 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 7 |
Trust Summary as of February 28, 2013 | BlackRock Corporate High Yield Fund VI, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 2.86% based on market price and 9.31% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among the lower quality tiers of high yield credit had a positive impact on performance. From an industry perspective, holdings within gaming, automotive and building materials boosted returns. The Trust’s exposure to select common stocks and equity-correlated instruments also enhanced results. |
• | Detracting from performance was security selection within middle quality tier credits, where the Trust held its quality bias. On an industry basis, selection in metals, paper and wireless impaired results. The Trust’s tactical allocation to floating rate loan interests (bank loans) hindered relative performance as the asset class underperformed high yield bonds during the period. |
• | The Trust maintained its focus on higher-quality income-oriented credit names with stable fundamentals, good earnings/revenue visibility and an attractive coupon rate. The Trust remained generally cautious of cyclical credits that tend to be more vulnerable to slower economic growth and bouts of weakness, but allowed some risk in companies with positive growth catalysts or idiosyncratic characteristics. Also during the period, the Trust increased exposure to floating rate loan interests as valuations appeared increasingly attractive relative to certain segments of the high yield universe such as higher-quality short-dated paper. |
• | At period end, the Trust held 73% of its total portfolio in corporate bonds and 19% in floating rate loan interests, with the remainder in common stocks and preferred stocks. The Trust held its largest industry exposures in healthcare, wirelines and consumer services (housing-related), while reflecting less emphasis on the riskier, more volatile segments of the market such as the banking sector and supermarkets and restaurants industries. |
8 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Corporate High Yield Fund VI, Inc. |
Trust Information
Symbol on NYSE | HYT | |||
Initial Offering Date | May 30, 2003 | |||
Yield on Closing Market Price as of February 28, 2013 ($12.72)1 | 8.25% | |||
Current Monthly Distribution per Common Share2 | $0.0875 | |||
Current Annualized Distribution per Common Share2 | $1.0500 | |||
Economic Leverage as of February 28, 20133 | 28% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 12.72 | $ | 12.96 | (1.85 | )% | $ | 13.37 | $ | 11.31 | ||||||||||||
Net Asset Value | $ | 12.85 | $ | 12.32 | 4.30 | % | $ | 12.94 | $ | 12.28 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | | ||||||||||
Corporate Bonds | 73 | % | 75 | % | ||||||||||
Floating Rate Loan Interests | 19 | 17 | ||||||||||||
Common Stocks | 7 | 6 | ||||||||||||
Preferred Stocks | 1 | 2 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
A | — | 1 | % | |||||||
BBB/Baa | 5 | % | 6 | |||||||
BB/Ba | 36 | 35 | ||||||||
B | 47 | 43 | ||||||||
CCC/Caa | 10 | 14 | ||||||||
Not Rated | 2 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 9 |
Trust Summary as of February 28, 2013 | BlackRock High Income Shares |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 5.48% based on market price and 6.92% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among the lower quality tiers of high yield credit had a positive impact on performance. From an industry perspective, holdings within non-captive diversified (consumer credit-related businesses), automotive and building materials boosted returns. The Trust’s exposure to select common stocks and preferred securities also enhanced results. |
• | Detracting from performance was security selection within middle quality tier credits, where the Trust held its quality bias. On an industry basis, selection in metals, paper and wireless impaired results. The Trust’s tactical allocation to floating rate loan interests (bank loans) hindered relative performance as the asset class underperformed high yield bonds during the period. |
• | The Trust maintained its focus on higher-quality income-oriented credit names with stable fundamentals, good earnings/revenue visibility and an attractive coupon rate. The Trust remained generally cautious of cyclical credits that tend to be more vulnerable to slower economic growth and bouts of weakness, but allowed some risk in companies with positive growth catalysts or idiosyncratic characteristics. Also during the period, the Trust increased exposure to floating rate loan interests as valuations appeared increasingly attractive relative to certain segments of the high yield universe such as higher-quality short-dated paper. |
• | At period end, the Trust held 78% of its total portfolio in corporate bonds and 19% in floating rate loan interests, with the remainder in preferred securities and common stocks. The Trust held its largest industry exposures in healthcare, wirelines and media non-cable, while reflecting less emphasis on the riskier, more volatile segments of the market such as the banking sector and supermarkets and restaurants industries. |
10 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock High Income Shares |
Trust Information
Symbol on NYSE | HIS | |||
Initial Offering Date | August 10, 1988 | |||
Yield on Closing Market Price as of February 28, 2013 ($2.42)1 | 7.54% | |||
Current Monthly Distribution per Common Share2 | $0.0152 | |||
Current Annualized Distribution per Common Share2 | $0.1824 | |||
Economic Leverage as of February 28, 20133 | 26% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 2.42 | $ | 2.40 | 0.83 | % | $ | 2.49 | $ | 2.04 | ||||||||||||
Net Asset Value | $ | 2.31 | $ | 2.26 | 2.21 | % | $ | 2.34 | $ | 2.25 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 78 | % | 79 | % | ||||||
Floating Rate Loan Interests | 19 | 18 | ||||||||
Preferred Securities | 2 | 2 | ||||||||
Common Stocks | 1 | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
A | — | 1 | % | |||||||
BBB/Baa | 5 | % | 7 | |||||||
BB/Ba | 36 | 34 | ||||||||
B | 47 | 43 | ||||||||
CCC/Caa | 10 | 14 | ||||||||
Not Rated | 2 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 11 |
Trust Summary as of February 28, 2013 | BlackRock High Yield Trust |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 4.11% based on market price and 8.14% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among the lower quality tiers of high yield credit had a positive impact on performance. From an industry perspective, holdings within gaming, non-captive diversified (consumer credit-related businesses) and building materials boosted returns. The Trust’s exposure to select common stocks and preferred securities also enhanced results. |
• | Detracting from performance was security selection within middle quality tier credits, where the Trust held its quality bias. On an industry basis, selection in metals, paper and wireless impaired results. The Trust’s tactical allocation to floating rate loan interests (bank loans) hindered relative performance as the asset class underperformed high yield bonds during the period. |
• | The Trust maintained its focus on higher-quality income-oriented credit names with stable fundamentals, good earnings/revenue visibility and an attractive coupon rate. The Trust remained generally cautious of cyclical credits that tend to be more vulnerable to slower economic growth and bouts of weakness, but allowed some risk in companies with positive growth catalysts or idiosyncratic characteristics. Also during the period, the Trust increased exposure to floating rate loan interests as valuations appeared increasingly attractive relative to certain segments of the high yield universe such as higher-quality short-dated paper. |
• | At period end, the Trust held 76% of its total portfolio in corporate bonds and 19% in floating rate loan interests, with the remainder in common stocks and preferred securities. The Trust held its largest industry exposures in healthcare, media non-cable and wireless, while reflecting less emphasis on the riskier, more volatile segments of the market such as the banking sector and supermarkets and restaurants industries. |
12 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock High Yield Trust |
Trust Information
Symbol on NYSE | BHY | |||
Initial Offering Date | December 23, 1998 | |||
Yield on Closing Market Price as of February 28, 2013 ($8.08)1 | 6.61% | |||
Current Monthly Distribution per Common Share2 | $0.0445 | |||
Current Annualized Distribution per Common Share2 | $0.5340 | |||
Economic Leverage as of February 28, 20133 | 27% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 8.08 | $ | 8.04 | 0.50 | % | $ | 8.54 | $ | 6.64 | ||||||||||||
Net Asset Value | $ | 7.61 | $ | 7.29 | 4.39 | % | $ | 7.66 | $ | 7.26 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 76 | % | 78 | % | ||||||
Floating Rate Loan Interests | 19 | 17 | ||||||||
Common Stocks | 4 | 3 | ||||||||
Preferred Securities | 1 | 2 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
A | 1 | % | 1 | % | ||||||
BBB/Baa | 7 | 7 | ||||||||
BB/Ba | 33 | 35 | ||||||||
B | 47 | 44 | ||||||||
CCC/Caa | 10 | 12 | ||||||||
Not Rated | 2 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 13 |
Trust Summary as of February 28, 2013 | BlackRock Income Opportunity Trust, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned (0.39)% based on market price and 3.33% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 4.48% based on market price and 5.05% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Spread sectors outperformed government-related debt for the six-month period as accommodative monetary policy in the United States and Europe along with the continued recovery of the US economy drove credit spreads tighter. The Trust’s allocations to high yield and investment grade corporate credit were significant contributors to performance during the period. In particular, the Trust’s preference for banking, insurance and communication-related names contributed meaningfully to returns. |
• | Additionally, the Trust benefited from its exposure to structured products including commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”) and non-agency residential mortgage-backed securities (“MBS”). |
• | As interest rates generally trended higher during the period, the Trust’s duration profile (sensitivity to interest rate movements) detracted from performance, as did its yield curve positioning. |
• | During the six-month period, the Trust maintained a positive view on spread sectors and increased exposure to high yield credit and securitized products such as CMBS and ABS. Within investment grade credit, the Trust favored financials and industrials over utilities. In financials, the Trust rotated out of senior bank debt into subordinated bank debt to take advantage of the yield differential. In addition, the Trust added to positions in floating rate preferred securities to benefit from a potential rise in interest rates. Finally, the Trust shortened its duration profile in light of expectations that positive economic data may lead to a gradual increase in interest rates. |
• | At period end, the Trust maintained diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, ABS and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, US agency debt and agency MBS. |
14 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Income Opportunity Trust, Inc. |
Trust Information
Symbol on NYSE | BNA | |||
Initial Offering Date | December 20, 1991 | |||
Yield on Closing Market Price as of February 28, 2013 ($11.20)1 | 6.11% | |||
Current Monthly Distribution per Common Share2 | $0.057 | |||
Current Annualized Distribution per Common Share2 | $0.684 | |||
Economic Leverage as of February 28, 20133 | 31% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 11.20 | $ | 11.58 | (3.28 | )% | $ | 12.07 | $ | 10.95 | ||||||||||||
Net Asset Value | $ | 11.88 | $ | 11.84 | 0.34 | % | $ | 12.12 | $ | 11.63 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 58 | % | 51 | % | ||||||
US Government Sponsored Agency Securities | 13 | 14 | ||||||||
Non-Agency Mortgage-Backed Securities | 12 | 11 | ||||||||
US Treasury Obligations | 7 | 15 | ||||||||
Asset-Backed Securities | 5 | 4 | ||||||||
Preferred Securities | 3 | 2 | ||||||||
Taxable Municipal Bonds | 2 | 2 | ||||||||
Foreign Agency Obligations | — | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
AAA/Aaa5 | 26 | % | 37 | % | ||||||
AA/Aa | 3 | 3 | ||||||||
A | 22 | 19 | ||||||||
BBB/Baa | 24 | 23 | ||||||||
BB/Ba | 11 | 6 | ||||||||
B | 11 | 9 | ||||||||
CCC/Caa | 3 | 2 | ||||||||
Not Rated | — | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
5 | Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 15 |
Trust Summary as of February 28, 2013 | BlackRock Income Trust, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned (3.47)% based on market price and (0.60)% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 5.02% based on market price and 6.93% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | The Trust’s focus on high quality agency mortgage-backed securities (“MBS”) detracted from returns as the sector lagged other credit-sensitive fixed income assets during a period of rising interest rates. It should be noted that the Lipper US Mortgage Funds category experienced a wide dispersion of returns primarily determined by the extent to which a fund allocated to non-agency residential MBS. |
• | Also detracting from performance during the period was the Trust’s yield curve positioning. Exposure to the long end of the US Treasury curve hurt returns as the yield curve steepened and interest rates moved higher in early 2013. |
• | Contributing positively to performance was the Trust’s leveraged exposure to agency pass-through MBS, despite uncertainty around how long the US Federal Reserve would maintain its accommodative monetary policy programs. Further enhancing performance was the Trust’s positioning within the agency MBS coupon range, where heavier weightings in middle- and high-coupon issues proved beneficial. Higher coupons outperformed as rising interest rates led to reduced prepayment risk, making these issues more appealing to mortgage market participants. |
• | The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions in US Treasury futures in order to reduce the overall duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. |
• | During the six-month period, the economy continued to show signs of growth despite higher tax rates and reduced government spending. As the economy’s resilience coupled with an improving housing market could cause interest rates to gradually move higher, the Trust increased exposure to agency MBS while reducing its strategic exposure to long-term US Treasuries. |
• | The Trust maintained a strong level of yield by increasing exposure to stable-cash-flow collateralized mortgage obligations (“CMOs”), which tend to outperform pass-through agency MBS in a rising interest rate environment. The Trust also continued to maintain small allocations to commercial mortgage-backed securities (“CMBS”) and non-agency residential MBS, which have performed well primarily due to improving underlying fundamentals. |
• | Despite higher prices in agency MBS, the backdrop for the sector continued to appear constructive given the presence of the US Federal Reserve’s large asset purchase program, which has the effect of limiting net supply and is supportive of valuations. However, the Trust continued to maintain a cautious stance as prepayment risk for higher-coupon agency MBS still remains high as borrowers organically take advantage of historically low mortgage rates. As of period end, the Trust maintained leveraged exposure to high quality agency MBS with varying maturities and coupon rates. The Trust continued to hold positions in intermediate and longer dated stable-cash-flow CMOs as well as small allocations to non-agency MBS and CMBS. |
16 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Income Trust, Inc. |
Trust Information
Symbol on NYSE | BKT | |||
Initial Offering Date | July 22, 1988 | |||
Yield on Closing Market Price as of February 28, 2013 ($7.13)1 | 6.82% | |||
Current Monthly Distribution per Common Share2 | $0.0405 | |||
Current Annualized Distribution per Common Share2 | $0.4860 | |||
Economic Leverage as of February 28, 20133 | 30% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 7.13 | $ | 7.63 | (6.55 | )% | $ | 7.74 | $ | 7.07 | ||||||||||||
Net Asset Value | $ | 7.64 | $ | 7.94 | (3.78 | )% | $ | 7.96 | $ | 7.63 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
US Government Sponsored Agency Securities | 96 | % | 86 | % | ||||||
US Treasury Obligations | 2 | 11 | ||||||||
Non-Agency Mortgage-Backed Securities | 1 | 2 | ||||||||
Asset-Backed Securities | 1 | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
AAA/Aaa5 | 100 | % | 100 | % |
4 | Using the higher of S&P’s or Moody’s ratings. |
5 | Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 17 |
Trust Summary as of February 28, 2013 | BlackRock Strategic Bond Trust |
Trust Overview
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Trust returned 7.60% based on market price and 6.12% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection within investment-grade credits had a positive impact on performance. From an industry perspective, holdings within gaming, non-captive diversified (consumer credit-related businesses) and wirelines boosted returns. The Trust’s exposure to select equity positions also enhanced results. |
• | Detracting from performance was security selection within middle quality tier credits, where the Trust held its quality bias. On an industry basis, selection in metals, paper and wireless impaired results. The Trust’s tactical allocation to floating rate loan interests (bank loans) hindered relative performance as the asset class underperformed high yield bonds during the period. |
• | The Trust maintained its focus on higher-quality income-oriented credit names with stable fundamentals, good earnings/revenue visibility and an attractive coupon rate. The Trust remained generally cautious of cyclical credits that tend to be more vulnerable to slower economic growth and bouts of weakness, but allowed some risk in companies with positive growth catalysts or idiosyncratic characteristics. Also during the period, the Trust increased exposure to floating rate loan interests as valuations appeared increasingly attractive relative to certain segments of the high yield universe such as higher-quality short-dated paper. |
• | At period end, the Trust held 79% of its total portfolio in corporate bonds and 19% in floating rate loan interests, with the remainder in preferred securities and US treasury obligations. The Trust held its largest industry exposures in healthcare, media non-cable and wireless, while reflecting less emphasis on the riskier, more volatile segments of the market such as the supermarkets and restaurants industries. |
18 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Strategic Bond Trust |
Trust Information
Symbol on NYSE | BHD | |||
Initial Offering Date | February 26, 2002 | |||
Yield on Closing Market Price as of February 28, 2013 ($15.09)1 | 6.72% | |||
Current Monthly Distribution per Common Share2 | $0.0845 | |||
Current Annualized Distribution per Common Share2 | $1.0140 | |||
Economic Leverage as of February 28, 20133 | 21% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 15.09 | $ | 14.52 | 3.93 | % | $ | 16.01 | $ | 13.25 | ||||||||||||
Net Asset Value | $ | 14.76 | $ | 14.40 | 2.50 | % | $ | 14.89 | $ | 14.40 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 79 | % | 79 | % | ||||||
Floating Rate Loan Interests | 19 | 17 | ||||||||
Preferred Securities | 1 | 2 | ||||||||
US Treasury Obligations | 1 | 1 | ||||||||
Common Stocks | — | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
AAA/Aaa | 1 | % | — | |||||||
AA/Aa | 1 | 1 | % | |||||||
A | 14 | 12 | ||||||||
BBB/Baa | 19 | 21 | ||||||||
BB/Ba | 28 | 26 | ||||||||
B | 32 | 32 | ||||||||
CCC/Caa | 4 | 7 | ||||||||
Not Rated | 1 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 19 |
The Benefits and Risks of Leveraging | |
| Percent of Economic Leverage | |||||
BHK | 31 | % | ||||
HYV | 29 | % | ||||
HYT | 28 | % | ||||
HIS | 26 | % | ||||
BHY | 27 | % | ||||
BNA | 31 | % | ||||
BKT | 30 | % | ||||
BHD | 21 | % |
20 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | ||||||||||||
Asset-Backed Securities — 8.1% | ||||||||||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a) | USD | 719 | $ | 779,656 | ||||||||||
ACAS CLO Ltd., Series 2013-1A, Class C, 3.04%, 4/20/25 (a)(b)(c) | 500 | 487,800 | ||||||||||||
AH Mortgage Advance Co. Ltd., Series SART-3, Class 1A1, 2.98%, 3/13/43 (a) | 630 | 631,104 | ||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17 | 400 | 419,704 | ||||||||||||
Apidos CDO, Series 2012-11A, Class D, 4.74%, 1/17/23 (a)(b) | 600 | 600,900 | ||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 500 | 483,500 | ||||||||||||
CarMax Auto Owner Trust, Series 2012-1: | ||||||||||||||
Class B, 1.76%, 8/15/17 | 210 | 214,781 | ||||||||||||
Class C, 2.20%, 10/16/17 | 125 | 127,980 | ||||||||||||
Class D, 3.09%, 8/15/18 | 155 | 160,475 | ||||||||||||
Cavalry CLO Ltd., Series 2A (a)(b): | ||||||||||||||
Class C, 3.23%, 1/17/24 | 1,035 | 1,014,300 | ||||||||||||
Class D, 4.38%, 1/17/24 | 770 | 749,595 | ||||||||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25 | 1,105 | 1,165,103 | ||||||||||||
CIFC Funding Ltd. (a)(b): | ||||||||||||||
Series 2012-1A, Class B1L, 5.54%, 8/14/24 | 750 | 757,500 | ||||||||||||
Series 2013-1A, Class B, 3.10%, 4/16/25 (c) | 500 | 493,750 | ||||||||||||
Series 2013-1A, Class C, 3.89%, 4/16/25 (c) | 500 | 486,500 | ||||||||||||
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.35%, 1/25/37 (b) | 1,039 | 897,095 | ||||||||||||
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a) | 1,980 | 1,991,739 | ||||||||||||
DT Auto Owner Trust (a): | ||||||||||||||
Series 2011-2A, Class C, 3.05%, 2/16/16 | 1,500 | 1,504,674 | ||||||||||||
Series 2011-3A, Class C, 4.03%, 2/15/17 | 255 | 259,733 | ||||||||||||
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.54%, 11/14/21 (a)(b) | 500 | 445,000 | ||||||||||||
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.94%, 3/21/24 (a)(b)(c) | 500 | 477,500 | ||||||||||||
Ford Credit Floorplan Master Owner Trust: | ||||||||||||||
Series 2012-1, Class B, 1.10%, 1/15/16 (b) | 180 | 180,720 | ||||||||||||
Series 2012-1, Class C, 1.70%, 1/15/16 (b) | 475 | 478,373 | ||||||||||||
Series 2012-1, Class D, 2.30%, 1/15/16 (b) | 445 | 447,953 | ||||||||||||
Series 2012-2, Class B, 2.32%, 1/15/19 | 245 | 252,913 | ||||||||||||
Series 2012-2, Class C, 2.86%, 1/15/19 | 105 | 110,368 | ||||||||||||
Series 2012-2, Class D, 3.50%, 1/15/19 | 200 | 211,127 | ||||||||||||
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.89%, 4/15/25 (a)(b)(c) | 500 | 490,510 | ||||||||||||
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.31%, 7/25/37 (b) | 36 | 36,026 | ||||||||||||
Mountain Hawk I CLO Ltd., Series 2013-1A, Class C, 3.12%, 1/20/24 (a)(b) | 750 | 723,750 | ||||||||||||
Nelnet Student Loan Trust (b): | ||||||||||||||
Series 2006-1, Class A5, 0.40%, 8/23/27 | 525 | 514,436 | ||||||||||||
Series 2008-3, Class A4, 1.94%, 11/25/24 | 615 | 654,947 | ||||||||||||
OZLM Funding Ltd., Series 2013-3A (a)(b): | ||||||||||||||
Class B, 3.35%, 1/22/25 | 750 | 754,725 | ||||||||||||
Class C, 4.15%, 1/22/25 | 500 | 488,850 |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities (concluded) | |||||||||||||||
PFS Financing Corp., Series 2012-AA, Class A, 1.40%, 2/15/16 (a)(b) | USD | 480 | $ | 483,831 | |||||||||||
Santander Consumer Acquired Receivables Trust (a): | |||||||||||||||
Series 2011-S1A, Class B, 1.66%, 8/15/16 | 460 | 463,693 | |||||||||||||
Series 2011-S1A, Class C, 2.01%, 8/15/16 | 311 | 314,223 | |||||||||||||
Series 2011-S1A, Class D, 3.15%, 8/15/16 | 325 | 330,281 | |||||||||||||
Series 2011-WO, Class C, 3.19%, 10/15/15 | 580 | 596,183 | |||||||||||||
Santander Drive Auto Receivables Trust: | |||||||||||||||
Series 2010-2, Class B, 2.24%, 12/15/14 | 777 | 780,844 | |||||||||||||
Series 2010-2, Class C, 3.89%, 7/17/17 | 1,010 | 1,044,275 | |||||||||||||
Series 2010-B, Class B, 2.10%, 9/15/14 (a) | 419 | 419,672 | |||||||||||||
Series 2010-B, Class C, 3.02%, 10/17/16 (a) | 740 | 752,697 | |||||||||||||
Series 2011-1, Class D, 4.01%, 2/15/17 | 940 | 988,523 | |||||||||||||
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) | 197 | 198,187 | |||||||||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) | 175 | 175,521 | |||||||||||||
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a) | 511 | 515,497 | |||||||||||||
Series 2012-1, Class B, 2.72%, 5/16/16 | 240 | 246,372 | |||||||||||||
Series 2012-1, Class C, 3.78%, 11/15/17 | 325 | 341,443 | |||||||||||||
SLM Student Loan Trust: | |||||||||||||||
Series 2004-B, Class A2, 0.51%, 6/15/21 (b) | 171 | 167,923 | |||||||||||||
Series 2008-5, Class A3, 1.60%, 1/25/18 (b) | 515 | 524,047 | |||||||||||||
Series 2008-5, Class A4, 2.00%, 7/25/23 (b) | 615 | 648,482 | |||||||||||||
Series 2012-A, Class A1, 1.60%, 8/15/25 (a)(b) | 296 | 300,469 | |||||||||||||
Series 2012-A, Class A2, 3.83%, 1/17/45 (a) | 345 | 378,332 | |||||||||||||
Small Business Administration, Class 1: | |||||||||||||||
Series 2003-P10B, 5.14%, 8/10/13 | 56 | 57,379 | |||||||||||||
Series 2004-P10B, 4.75%, 8/10/14 | 96 | 98,780 | |||||||||||||
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32 | 1,219 | 1,219,733 | |||||||||||||
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.90%, 7/28/21 (a)(b) | 750 | 727,500 | |||||||||||||
Venture CDO Ltd., Series 2012-12A, Class D, 4.01%, 2/28/24 (a)(b) | 770 | 723,800 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22 | 1,180 | 1,286,930 | |||||||||||||
33,277,704 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | 3,590 | 277,179 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, 2.36%, 4/15/29 (a) | 5,591 | 408,845 | |||||||||||||
686,024 | |||||||||||||||
Total Asset-Backed Securities — 8.3% | 33,963,728 | ||||||||||||||
Common Stocks (d) | Shares | ||||||||||||||
Paper & Forest Products — 0.1% | |||||||||||||||
NewPage Corp. | 1,720 | 146,200 | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. | 135 | 1 | |||||||||||||
Total Common Stocks — 0.1% | 146,201 |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | AUD | Australian Dollar | FKA | Formerly Known As |
CAD | Canadian Dollar | FNMA | Federal National Mortgage Association | |
DIP | Debtor-In-Possession | GBP | British Pound | |
EBITDA | Earnings Before Interest, Taxes, Depreciation and Amortization | GO | General Obligation Bonds | |
EUR | Euro | LIBOR | London Interbank Offered Rate | |
EURIBOR | Euro Interbank Offered Rate | RB | Revenue Bonds | |
TBA | To Be Announced | |||
USD | US Dollar |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 21 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Aerospace & Defense — 0.7% | ||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a) | USD | 335 | $ | 347,563 | ||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 230 | 250,700 | ||||||||||||
United Technologies Corp. (e): | ||||||||||||||
4.88%, 5/01/15 | 1,125 | 1,230,691 | ||||||||||||
6.13%, 7/15/38 | 700 | 909,242 | ||||||||||||
2,738,196 | ||||||||||||||
Airlines — 0.7% | ||||||||||||||
Continental Airlines Pass-Through Trust: | ||||||||||||||
Series 2010-1, Class B, 6.00%, 1/12/19 | 571 | 588,248 | ||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 500 | 498,750 | ||||||||||||
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 | 1,553 | 1,661,710 | ||||||||||||
2,748,708 | ||||||||||||||
Auto Components — 1.1% | ||||||||||||||
Icahn Enterprises LP (b)(f): | ||||||||||||||
4.00%, 8/15/13 | 1,455 | 1,458,637 | ||||||||||||
4.00%, 8/15/13 (a) | 2,900 | 2,907,250 | ||||||||||||
4,365,887 | ||||||||||||||
Automobiles — 0.5% | ||||||||||||||
Ford Motor Co., 4.75%, 1/15/43 | 1,995 | 1,894,813 | ||||||||||||
Beverages — 0.1% | ||||||||||||||
Crown European Holdings SA, 7.13%, 8/15/18 (a) | EUR | 287 | 405,605 | |||||||||||
Building Products — 0.1% | ||||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | USD | 255 | 261,694 | |||||||||||
Capital Markets — 3.8% | ||||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39 (a)(e) | 2,935 | 3,559,768 | ||||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||||
5.38%, 3/15/20 | 1,220 | 1,402,524 | ||||||||||||
5.25%, 7/27/21 (e) | 3,165 | 3,602,254 | ||||||||||||
5.75%, 1/24/22 (e) | 1,800 | 2,111,742 | ||||||||||||
Morgan Stanley: | ||||||||||||||
4.20%, 11/20/14 | 490 | 513,514 | ||||||||||||
4.00%, 7/24/15 | 410 | 432,664 | ||||||||||||
6.25%, 8/28/17 (e) | 1,930 | 2,239,229 | ||||||||||||
Murray Street Investment Trust I, 4.65%, 3/09/17 (g) | 1,650 | 1,806,722 | ||||||||||||
15,668,417 | ||||||||||||||
Chemicals — 1.7% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 248 | 251,720 | ||||||||||||
The Dow Chemical Co., 4.13%, 11/15/21 | 350 | 378,147 | ||||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (a) | 527 | 535,564 | ||||||||||||
Huntsman International LLC, 4.88%, 11/15/20 (a) | 727 | 719,730 | ||||||||||||
Methanex Corp., 3.25%, 12/15/19 | 2,074 | 2,107,825 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 245 | 259,700 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,390 | 1,438,650 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a) | 991 | 984,806 | ||||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.38%, 5/01/21 (a) | 151 | 156,285 | ||||||||||||
6,832,427 | ||||||||||||||
Commercial Banks — 3.0% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.38%, 5/15/20 | 1,650 | 1,798,500 | ||||||||||||
5.00%, 8/15/22 | 360 | 385,200 | ||||||||||||
Depfa ACS Bank, 5.13%, 3/16/37 (a) | 3,775 | 3,086,063 | ||||||||||||
HSBC Bank Brasil SA—Banco Multiplo, 4.00%, 5/11/16 (a) | 1,400 | 1,456,000 | ||||||||||||
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e) | 700 | 743,324 | ||||||||||||
HSBC Holdings Plc, 6.10%, 1/14/42 (e) | 305 | 392,960 | ||||||||||||
Rabobank Nederland (e): | ||||||||||||||
3.88%, 2/08/22 | 1,390 | 1,476,819 | ||||||||||||
3.95%, 11/09/22 | 1,500 | 1,524,342 | ||||||||||||
Wells Fargo & Co., 3.50%, 3/08/22 (e) | 1,390 | 1,466,087 | ||||||||||||
12,329,295 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Commercial Services & Supplies — 0.7% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | USD | 246 | $ | 264,450 | ||||||||||
The ADT Corp., 4.88%, 7/15/42 (a) | 539 | 513,286 | ||||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (a) | 650 | 660,118 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 391 | 402,730 | ||||||||||||
HDTFS, Inc. (a): | ||||||||||||||
5.88%, 10/15/20 | 230 | 239,200 | ||||||||||||
6.25%, 10/15/22 | 385 | 413,875 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 320 | 356,000 | ||||||||||||
2,849,659 | ||||||||||||||
Communications Equipment — 1.2% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (f) | 4,330 | 4,332,165 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 530 | 592,275 | ||||||||||||
4,924,440 | ||||||||||||||
Construction & Engineering — 0.0% | ||||||||||||||
ABB Finance USA, Inc., 4.38%, 5/08/42 | 192 | 201,667 | ||||||||||||
Construction Materials — 0.6% | ||||||||||||||
HD Supply, Inc. (a): | ||||||||||||||
8.13%, 4/15/19 | 570 | 641,962 | ||||||||||||
7.50%, 7/15/20 | 1,544 | 1,545,930 | ||||||||||||
11.50%, 7/15/20 | 255 | 293,888 | ||||||||||||
Lafarge SA, 7.13%, 7/15/36 | 135 | 141,075 | ||||||||||||
2,622,855 | ||||||||||||||
Consumer Finance — 1.1% | ||||||||||||||
Discover Financial Services, 3.85%, 11/21/22 (a) | 250 | 255,733 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
8.13%, 1/15/20 | 1,265 | 1,593,667 | ||||||||||||
4.25%, 9/20/22 | 800 | 824,824 | ||||||||||||
SLM Corp.: | ||||||||||||||
6.25%, 1/25/16 | 661 | 715,533 | ||||||||||||
Series A, 0.60%, 1/27/14 (b) | 550 | 546,015 | ||||||||||||
Toll Brothers Finance Corp., 5.88%, 2/15/22 | 345 | 384,940 | ||||||||||||
4,320,712 | ||||||||||||||
Containers & Packaging — 1.1% | ||||||||||||||
Ardagh Packaging Finance Plc (a): | ||||||||||||||
7.38%, 10/15/17 | EUR | 425 | 602,022 | |||||||||||
7.38%, 10/15/17 | USD | 200 | 217,750 | |||||||||||
4.88%, 11/15/22 | 209 | 205,865 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | 61 | 66,490 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (a) | 662 | 647,105 | ||||||||||||
Sealed Air Corp. (a): | ||||||||||||||
6.50%, 12/01/20 | 550 | 598,125 | ||||||||||||
8.38%, 9/15/21 | 225 | 256,500 | ||||||||||||
Smurfit Kappa Acquisitions (a): | ||||||||||||||
7.25%, 11/15/17 | EUR | 725 | 1,008,047 | |||||||||||
4.88%, 9/15/18 | USD | 410 | 420,250 | |||||||||||
7.75%, 11/15/19 | EUR | 410 | 587,465 | |||||||||||
4,609,619 | ||||||||||||||
Diversified Consumer Services — 0.5% | ||||||||||||||
313 Group, Inc., 6.38%, 12/01/19 (a) | USD | 636 | 620,100 | |||||||||||
Service Corp. International, 4.50%, 11/15/20 | 1,243 | 1,238,339 | ||||||||||||
1,858,439 | ||||||||||||||
Diversified Financial Services — 7.6% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 708 | 762,870 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
8.30%, 2/12/15 | 1,500 | 1,668,750 | ||||||||||||
5.50%, 2/15/17 | 1,500 | 1,626,261 | ||||||||||||
6.25%, 12/01/17 | 160 | 178,681 | ||||||||||||
8.00%, 3/15/20 | 560 | 687,400 | ||||||||||||
8.00%, 11/01/31 | 300 | 376,875 | ||||||||||||
Bank of America Corp. (e): | ||||||||||||||
5.63%, 7/01/20 | 1,100 | 1,287,086 | ||||||||||||
3.30%, 1/11/23 | 4,990 | 4,974,052 | ||||||||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 960 | 1,092,672 |
22 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Diversified Financial Services (concluded) | ||||||||||||||
FMR LLC, 4.95%, 2/01/33 (a)(e) | USD | 1,150 | $ | 1,167,765 | ||||||||||
General Electric Capital Corp. (e): | ||||||||||||||
6.15%, 8/07/37 | 2,150 | 2,611,308 | ||||||||||||
6.88%, 1/10/39 | 135 | 177,972 | ||||||||||||
JPMorgan Chase & Co.: | ||||||||||||||
3.70%, 1/20/15 | 3,425 | 3,606,957 | ||||||||||||
6.30%, 4/23/19 (e) | 2,000 | 2,449,740 | ||||||||||||
JPMorgan Chase Bank NA, 6.00%, 10/01/17 (e) | 2,050 | 2,427,040 | ||||||||||||
Moody’s Corp., 4.50%, 9/01/22 | 900 | 904,224 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.88%, 8/15/19 | 560 | 618,800 | ||||||||||||
5.75%, 10/15/20 | 1,000 | 1,032,500 | ||||||||||||
6.88%, 2/15/21 | 680 | 725,900 | ||||||||||||
Spirit Issuer Plc, 5.86%, 12/28/21 | GBP | 1,620 | 2,371,604 | |||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | USD | 562 | 652,623 | |||||||||||
31,401,080 | ||||||||||||||
Diversified Telecommunication Services — 2.3% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 698 | 760,820 | ||||||||||||
8.63%, 7/15/20 | 650 | 721,500 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 395 | 404,875 | ||||||||||||
Telecom Italia Capital SA: | ||||||||||||||
4.95%, 9/30/14 | 1,075 | 1,112,625 | ||||||||||||
6.00%, 9/30/34 | 1,550 | 1,420,790 | ||||||||||||
Verizon Communications, Inc. (e): | ||||||||||||||
3.50%, 11/01/21 | 500 | 525,624 | ||||||||||||
6.40%, 2/15/38 | 3,483 | 4,378,438 | ||||||||||||
Windstream Corp., 7.88%, 11/01/17 | 40 | 45,300 | ||||||||||||
9,369,972 | ||||||||||||||
Electric Utilities — 6.1% | ||||||||||||||
The Cleveland Electric Illuminating Co.: | ||||||||||||||
8.88%, 11/15/18 | 121 | 161,303 | ||||||||||||
5.95%, 12/15/36 | 217 | 246,849 | ||||||||||||
CMS Energy Corp., 5.05%, 3/15/22 | 915 | 1,029,661 | ||||||||||||
Duke Energy Carolinas LLC: | ||||||||||||||
6.10%, 6/01/37 | 315 | 398,262 | ||||||||||||
6.00%, 1/15/38 (e) | 825 | 1,059,048 | ||||||||||||
4.25%, 12/15/41 (e) | 375 | 393,690 | ||||||||||||
E.ON International Finance BV, 6.65%, 4/30/38 (a)(e) | 1,525 | 2,042,539 | ||||||||||||
Electricite de France SA, 5.60%, 1/27/40 (a)(e) | 1,400 | 1,582,339 | ||||||||||||
Florida Power Corp. (e): | ||||||||||||||
6.35%, 9/15/37 | 1,325 | 1,744,352 | ||||||||||||
6.40%, 6/15/38 | 430 | 574,148 | ||||||||||||
Hydro-Quebec (e): | ||||||||||||||
9.40%, 2/01/21 | 390 | 582,362 | ||||||||||||
8.40%, 1/15/22 | 730 | 1,043,297 | ||||||||||||
8.05%, 7/07/24 | 1,900 | 2,773,230 | ||||||||||||
Jersey Central Power & Light Co., 7.35%, 2/01/19 | 245 | 313,698 | ||||||||||||
Nisource Finance Corp.: | ||||||||||||||
6.40%, 3/15/18 | 280 | 336,096 | ||||||||||||
5.25%, 2/15/43 | 500 | 530,513 | ||||||||||||
Ohio Power Co., Series D, 6.60%, 3/01/33 | 1,500 | 1,933,883 | ||||||||||||
PacifiCorp., 6.25%, 10/15/37 (e) | 575 | 770,007 | ||||||||||||
Public Service Co. of Colorado, 6.25%, 9/01/37 (e) | 1,200 | 1,617,247 | ||||||||||||
Southern California Edison Co. (e): | ||||||||||||||
5.63%, 2/01/36 | 625 | 775,524 | ||||||||||||
Series 08-A, 5.95%, 2/01/38 | 1,075 | 1,395,897 | ||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 (e) | EUR | 1,000 | 1,333,358 | |||||||||||
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (e) | USD | 2,000 | 2,613,318 | |||||||||||
25,250,621 | ||||||||||||||
Electrical Equipment — 0.1% | ||||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 (a) | 580 | 616,250 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Energy Equipment & Services — 3.0% | ||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(e) | USD | 565 | $ | 567,825 | ||||||||||
Ensco Plc: | ||||||||||||||
3.25%, 3/15/16 | 160 | 170,029 | ||||||||||||
4.70%, 3/15/21 | 1,745 | 1,952,852 | ||||||||||||
EOG Resources, Inc., 2.63%, 3/15/23 (e) | 1,902 | 1,886,556 | ||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 807 | 835,245 | ||||||||||||
Genesis Energy LP, 5.75%, 2/15/21 (a) | 236 | 244,260 | ||||||||||||
Noble Holding International Ltd., 5.25%, 3/15/42 | 350 | 353,231 | ||||||||||||
Peabody Energy Corp.: | ||||||||||||||
6.00%, 11/15/18 | 429 | 455,812 | ||||||||||||
6.25%, 11/15/21 | 2,171 | 2,257,840 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 1,590 | 1,609,875 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 516 | 531,480 | ||||||||||||
Transocean, Inc.: | ||||||||||||||
5.05%, 12/15/16 | 850 | 946,873 | ||||||||||||
6.50%, 11/15/20 | 350 | 407,990 | ||||||||||||
12,219,868 | ||||||||||||||
Food Products — 1.4% | ||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | 335 | 381,063 | ||||||||||||
Kraft Foods Group, Inc.: | ||||||||||||||
5.38%, 2/10/20 | 1,570 | 1,874,520 | ||||||||||||
5.00%, 6/04/42 | 997 | 1,088,216 | ||||||||||||
Mondelez International, Inc. (FKA Kraft Foods, Inc.), 5.38%, 2/10/20 | 1,430 | 1,705,346 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 749 | 808,920 | ||||||||||||
5,858,065 | ||||||||||||||
Gas Utilities — 0.5% | ||||||||||||||
CenterPoint Energy Resources Corp., 5.85%, 1/15/41 | 1,600 | 1,982,877 | ||||||||||||
Health Care Equipment & Supplies — 0.7% | ||||||||||||||
Boston Scientific Corp., 6.25%, 11/15/15 | 1,251 | 1,407,734 | ||||||||||||
DJO Finance LLC, 7.75%, 4/15/18 | 735 | 731,325 | ||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (a) | 152 | 164,540 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 385 | 418,688 | ||||||||||||
2,722,287 | ||||||||||||||
Health Care Providers & Services — 4.3% | ||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 175 | 187,688 | ||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 400 | 420,500 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 494 | 683,638 | |||||||||||
HCA, Inc.: | ||||||||||||||
6.50%, 2/15/20 | USD | 1,990 | 2,228,800 | |||||||||||
7.88%, 2/15/20 | 205 | �� | 227,294 | |||||||||||
7.25%, 9/15/20 | 900 | 999,000 | ||||||||||||
4.75%, 5/01/23 | 1,289 | 1,285,777 | ||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 550 | 566,500 | ||||||||||||
INC Research LLC, 11.50%, 7/15/19 (a) | 465 | 496,387 | ||||||||||||
inVentiv Health, Inc. (a): | ||||||||||||||
9.00%, 1/15/18 | 310 | 323,175 | ||||||||||||
11.00%, 8/15/18 | 40 | 34,700 | ||||||||||||
Omnicare, Inc., 7.75%, 6/01/20 | 805 | 893,550 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 455 | 475,475 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 769 | 851,667 | ||||||||||||
8.88%, 7/01/19 | 1,150 | 1,299,500 | ||||||||||||
4.50%, 4/01/21 (a) | 588 | 579,915 | ||||||||||||
UnitedHealth Group, Inc., 2.88%, 3/15/22 (e) | 2,000 | 2,019,720 | ||||||||||||
WellPoint, Inc., 4.65%, 1/15/43 (e) | 4,005 | 4,050,425 | ||||||||||||
17,623,711 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 23 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Technology — 0.6% | |||||||||||||||
Amgen, Inc. (e): | |||||||||||||||
6.40%, 2/01/39 | USD | 750 | $ | 948,013 | |||||||||||
5.15%, 11/15/41 | 1,500 | 1,642,570 | |||||||||||||
2,590,583 | |||||||||||||||
Hotels, Restaurants & Leisure — 1.7% | |||||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (a) | 398 | 393,025 | |||||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (a) | 180 | 178,875 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 935 | 935,000 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 865 | 847,700 | |||||||||||||
The Unique Pub Finance Co. Plc: | |||||||||||||||
Series A3, 6.54%, 3/30/21 | GBP | 900 | 1,361,931 | ||||||||||||
Series A4, 5.66%, 6/30/27 | 1,327 | 1,867,174 | |||||||||||||
Series N, 6.46%, 3/30/32 | 1,195 | 1,350,592 | |||||||||||||
6,934,297 | |||||||||||||||
Household Durables — 0.8% | |||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | USD | 580 | 619,875 | ||||||||||||
Standard Pacific Corp., 10.75%, 9/15/16 | 2,100 | 2,614,500 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 194 | 208,792 | |||||||||||||
3,443,167 | |||||||||||||||
Household Products — 0.2% | |||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 190 | 257,977 | ||||||||||||
Spectrum Brands Escrow Corp. (a): | |||||||||||||||
6.38%, 11/15/20 | USD | 200 | 212,750 | ||||||||||||
6.63%, 11/15/22 | 275 | 296,312 | |||||||||||||
767,039 | |||||||||||||||
Independent Power Producers & Energy Traders — 0.8% | |||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (a) | 157 | 170,737 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
10.00%, 12/01/20 | 922 | 1,046,470 | |||||||||||||
10.00%, 12/01/20 (a) | 890 | 1,003,475 | |||||||||||||
GenOn REMA LLC, Series C, 9.68%, 7/02/26 | 415 | 452,350 | |||||||||||||
NRG Energy, Inc., 6.63%, 3/15/23 (a) | 435 | 463,275 | |||||||||||||
3,136,307 | |||||||||||||||
Industrial Conglomerates — 0.0% | |||||||||||||||
Smiths Group Plc, 3.63%, 10/12/22 (a) | 180 | 178,797 | |||||||||||||
Insurance — 4.5% | |||||||||||||||
Alliant Holdings I, Inc., 7.88%, 12/15/20 (a) | 613 | 616,065 | |||||||||||||
Allianz Finance II BV, 5.75%, 7/08/41 | EUR | 500 | 733,220 | ||||||||||||
American International Group, Inc. (e): | |||||||||||||||
3.80%, 3/22/17 | USD | 5,580 | 6,058,747 | ||||||||||||
5.45%, 5/18/17 | 800 | 917,591 | |||||||||||||
AXA SA, 5.25%, 4/16/40 | EUR | 250 | 338,835 | ||||||||||||
Hartford Financial Services Group, Inc.: | |||||||||||||||
6.00%, 1/15/19 | USD | 345 | 407,716 | ||||||||||||
5.13%, 4/15/22 | 930 | 1,071,440 | |||||||||||||
Hartford Life Global Funding Trusts, 0.49%, 6/16/14 (b) | 425 | 424,730 | |||||||||||||
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) | 1,000 | 1,135,115 | |||||||||||||
Lincoln National Corp., 6.25%, 2/15/20 | 630 | 764,436 | |||||||||||||
Manulife Financial Corp., 3.40%, 9/17/15 | 1,630 | 1,715,528 | |||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (a)(e) | 775 | 819,711 | |||||||||||||
Montpelier Re Holdings Ltd., 4.70%, 10/15/22 | 450 | 453,858 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 340 | 336,600 | |||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 200 | 302,077 | ||||||||||||
Prudential Financial, Inc. (e): | |||||||||||||||
7.38%, 6/15/19 | USD | 250 | 320,523 | ||||||||||||
5.38%, 6/21/20 | 250 | 294,761 | |||||||||||||
4.50%, 11/15/20 | 450 | 504,328 | |||||||||||||
5.90%, 3/17/36 | 500 | 579,371 | |||||||||||||
5.70%, 12/14/36 | 675 | 770,128 | |||||||||||||
18,564,780 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Internet Software & Services — 0.0% | |||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 86 | $ | 86,000 | |||||||||||
IT Services — 0.7% | |||||||||||||||
First Data Corp. (a): | |||||||||||||||
7.38%, 6/15/19 | 775 | 814,719 | |||||||||||||
6.75%, 11/01/20 | 680 | 697,850 | |||||||||||||
8.25%, 1/15/21 | 30 | 30,675 | |||||||||||||
SunGard Data Systems, Inc., 7.38%, 11/15/18 | 1,080 | 1,159,650 | |||||||||||||
2,702,894 | |||||||||||||||
Life Sciences Tools & Services — 0.1% | |||||||||||||||
Agilent Technologies, Inc., 3.20%, 10/01/22 | 250 | 249,832 | |||||||||||||
Machinery — 0.3% | |||||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
7.38%, 5/15/20 | 495 | 542,025 | |||||||||||||
7.63%, 4/15/22 | 452 | 500,590 | |||||||||||||
1,042,615 | |||||||||||||||
Marine — 0.3% | |||||||||||||||
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(e) | 1,050 | 1,275,750 | |||||||||||||
Media — 6.6% | |||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 (e) | 507 | 385,320 | |||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 320 | 363,200 | |||||||||||||
4.75%, 12/15/22 | 343 | 341,714 | |||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 (a) | 175 | 175,875 | |||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a) | 305 | 283,650 | |||||||||||||
Clear Channel Worldwide Holdings, Inc. (a): | |||||||||||||||
6.50%, 11/15/22 | 674 | 704,330 | |||||||||||||
6.50%, 11/15/22 | 1,821 | 1,916,603 | |||||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 | 600 | 910,124 | |||||||||||||
Comcast Corp., 6.45%, 3/15/37 | 790 | 1,013,708 | |||||||||||||
Cox Communications, Inc., 8.38%, 3/01/39 (a) | 1,740 | 2,569,510 | |||||||||||||
DIRECTV Holdings LLC: | |||||||||||||||
6.38%, 3/01/41 | 260 | 285,254 | |||||||||||||
5.15%, 3/15/42 | 2,100 | 2,021,063 | |||||||||||||
Intelsat Luxembourg SA: | |||||||||||||||
11.25%, 2/04/17 | 750 | 796,875 | |||||||||||||
11.50%, 2/04/17 | 415 | 441,456 | |||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 1,330 | 1,507,888 | |||||||||||||
NBC Universal Media LLC (e): | |||||||||||||||
5.15%, 4/30/20 | 1,983 | 2,354,009 | |||||||||||||
4.38%, 4/01/21 | 1,015 | 1,143,202 | |||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 1,800 | 1,966,500 | |||||||||||||
News America, Inc., 7.63%, 11/30/28 | 385 | 504,734 | |||||||||||||
Omnicom Group, Inc., 3.63%, 5/01/22 | 2,355 | 2,398,544 | |||||||||||||
TCI Communications, Inc., 7.88%, 2/15/26 | 610 | 841,889 | |||||||||||||
Time Warner Cable, Inc.: | |||||||||||||||
7.30%, 7/01/38 | 930 | 1,164,988 | |||||||||||||
5.88%, 11/15/40 | 465 | 499,450 | |||||||||||||
5.50%, 9/01/41 | 920 | 963,869 | |||||||||||||
Time Warner, Inc.: | |||||||||||||||
4.70%, 1/15/21 | 350 | 392,996 | |||||||||||||
6.10%, 7/15/40 | 215 | 251,539 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG, 5.50%, 1/15/23 (a) | 255 | 257,550 | |||||||||||||
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 | 525 | 560,438 | |||||||||||||
27,016,278 | |||||||||||||||
Metals & Mining — 4.3% | |||||||||||||||
Alcoa, Inc., 5.40%, 4/15/21 | 1,450 | 1,523,909 | |||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | 410 | 462,788 | |||||||||||||
4.25%, 2/25/15 | 174 | 179,660 | |||||||||||||
4.25%, 8/05/15 | 233 | 241,235 | |||||||||||||
4.25%, 3/01/16 | 175 | 180,250 | |||||||||||||
5.00%, 2/25/17 | 243 | 252,842 |
24 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Metals & Mining (concluded) | |||||||||||||||
ArcelorMittal (concluded): | |||||||||||||||
6.13%, 6/01/18 | USD | 313 | $ | 337,507 | |||||||||||
6.75%, 2/25/22 (e) | 252 | 277,479 | |||||||||||||
Barrick Gold Corp., 2.90%, 5/30/16 | 1,690 | 1,775,507 | |||||||||||||
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a) | 1,565 | 1,543,799 | |||||||||||||
Falconbridge Ltd., 6.20%, 6/15/35 | 1,250 | 1,361,800 | |||||||||||||
Freeport-McMoRan Copper & Gold, Inc.: | |||||||||||||||
3.55%, 3/01/22 | 540 | 537,202 | |||||||||||||
5.45%, 3/15/43 (a) | 450 | 447,948 | |||||||||||||
New Gold, Inc. (a): | |||||||||||||||
7.00%, 4/15/20 | 105 | 113,400 | |||||||||||||
6.25%, 11/15/22 | 440 | 463,100 | |||||||||||||
New World Resources NV, 7.88%, 5/01/18 | EUR | 165 | 220,904 | ||||||||||||
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a) | USD | 475 | 504,598 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,120 | 4,614,400 | |||||||||||||
Teck Resources Ltd., 5.38%, 10/01/15 | 2,359 | 2,598,979 | |||||||||||||
17,637,307 | |||||||||||||||
Multiline Retail — 0.3% | |||||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 1,260 | 1,313,550 | |||||||||||||
Oil, Gas & Consumable Fuels — 11.2% | |||||||||||||||
Access Midstream Partners LP, 6.13%, 7/15/22 | 400 | 429,000 | |||||||||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 1,916 | 2,203,042 | |||||||||||||
BP Capital Markets Plc, 3.13%, 10/01/15 (e) | 330 | 349,598 | |||||||||||||
Burlington Resources Finance Co., 7.40%, 12/01/31 (e) | 875 | 1,223,184 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 400 | 420,000 | |||||||||||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 750 | 988,233 | |||||||||||||
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (e) | 535 | 678,285 | |||||||||||||
Continental Resources, Inc., 5.00%, 9/15/22 | 486 | 522,450 | |||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 623 | 611,319 | |||||||||||||
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32 | 275 | 390,763 | |||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20 | 240 | 289,967 | |||||||||||||
Energy Transfer Partners LP, 6.50%, 2/01/42 | 500 | 577,145 | |||||||||||||
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | 455 | 514,150 | |||||||||||||
Enterprise Products Operating LLC: | |||||||||||||||
4.05%, 2/15/22 | 1,250 | 1,359,645 | |||||||||||||
6.13%, 10/15/39 | 700 | 825,763 | |||||||||||||
5.95%, 2/01/41 | 500 | 585,478 | |||||||||||||
Series L, 6.30%, 9/15/17 | 575 | 693,642 | |||||||||||||
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(e) | 505 | 633,385 | |||||||||||||
Kinder Morgan Energy Partners LP: | |||||||||||||||
5.95%, 2/15/18 | 1,300 | 1,550,585 | |||||||||||||
6.50%, 9/01/39 | 3,000 | 3,627,495 | |||||||||||||
6.55%, 9/15/40 | 110 | 134,430 | |||||||||||||
6.38%, 3/01/41 | 150 | 180,688 | |||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 110 | 123,750 | |||||||||||||
Linn Energy LLC, 6.25%, 11/01/19 (a) | 355 | 362,100 | |||||||||||||
Marathon Petroleum Corp., 6.50%, 3/01/41 | 997 | 1,252,804 | |||||||||||||
MarkWest Energy Partners LP: | |||||||||||||||
5.50%, 2/15/23 | 160 | 168,000 | |||||||||||||
4.50%, 7/15/23 | 206 | 201,365 | |||||||||||||
MidAmerican Energy Co., 5.80%, 10/15/36 | 700 | 877,932 | |||||||||||||
MidAmerican Energy Holdings Co.: | |||||||||||||||
5.95%, 5/15/37 | 800 | 989,205 | |||||||||||||
6.50%, 9/15/37 | 1,900 | 2,492,217 | |||||||||||||
Newfield Exploration Co., 5.63%, 7/01/24 | 710 | 741,950 | |||||||||||||
Nexen, Inc., 7.50%, 7/30/39 | 1,000 | 1,433,105 | |||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 163 | 177,670 | |||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (a) | 110 | 119,625 | |||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (a) | 300 | 317,250 | |||||||||||||
Petrobras International Finance Co.: | |||||||||||||||
3.88%, 1/27/16 | 1,340 | 1,400,741 | |||||||||||||
5.75%, 1/20/20 | 1,725 | 1,914,862 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Pioneer Natural Resources Co., 3.95%, 7/15/22 | USD | 350 | $ | 364,750 | |||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 950 | 1,094,875 | |||||||||||||
Premier Oil Plc, 5.00%, 6/09/18 | 1,900 | 1,992,625 | |||||||||||||
Range Resources Corp., 5.75%, 6/01/21 | 935 | 995,775 | |||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (a) | 2,246 | 2,318,995 | |||||||||||||
Sabine Pass Liquified Natural Gas LP: | |||||||||||||||
7.50%, 11/30/16 | 1,475 | 1,629,875 | |||||||||||||
6.50%, 11/01/20 (a) | 475 | 501,125 | |||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 588 | 615,930 | |||||||||||||
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17 | 1,040 | 1,278,551 | |||||||||||||
Western Gas Partners LP: | |||||||||||||||
5.38%, 6/01/21 | 710 | 802,705 | |||||||||||||
4.00%, 7/01/22 | 200 | 207,069 | |||||||||||||
The Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 2,500 | 3,077,585 | |||||||||||||
46,240,683 | |||||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
Boise Paper Holdings LLC: | |||||||||||||||
9.00%, 11/01/17 | 180 | �� | 194,625 | ||||||||||||
8.00%, 4/01/20 | 155 | 170,887 | |||||||||||||
International Paper Co.: | |||||||||||||||
7.50%, 8/15/21 | 75 | 97,868 | |||||||||||||
4.75%, 2/15/22 | 420 | 471,177 | |||||||||||||
6.00%, 11/15/41 | 435 | 507,082 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (d)(h) | 397 | — | |||||||||||||
1,441,639 | |||||||||||||||
Pharmaceuticals — 0.4% | |||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) | EUR | 200 | 293,748 | ||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 520 | 596,700 | ||||||||||||
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a) | 575 | 618,844 | |||||||||||||
1,509,292 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||||||
Felcor Lodging LP, 5.63%, 3/01/23 (a) | 247 | 248,544 | |||||||||||||
Simon Property Group LP, 4.75%, 3/15/42 | 835 | 885,314 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 | 275 | 304,264 | |||||||||||||
Vornado Realty LP, 5.00%, 1/15/22 | 1,185 | 1,315,747 | |||||||||||||
2,753,869 | |||||||||||||||
Real Estate Management & Development — 0.8% | |||||||||||||||
Lennar Corp., 4.75%, 11/15/22 (a) | 440 | 425,150 | |||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (a) | 540 | 537,975 | |||||||||||||
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 | GBP | 704 | 1,076,013 | ||||||||||||
Realogy Corp. (a)(e): | |||||||||||||||
7.88%, 2/15/19 | USD | 374 | 406,725 | ||||||||||||
7.63%, 1/15/20 | 520 | 586,300 | |||||||||||||
WEA Finance LLC, 4.63%, 5/10/21 (a) | 305 | 338,649 | |||||||||||||
3,370,812 | |||||||||||||||
Road & Rail — 0.4% | |||||||||||||||
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 | 950 | 1,147,220 | |||||||||||||
The Hertz Corp., 7.38%, 1/15/21 | 620 | 683,550 | |||||||||||||
1,830,770 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) | 470 | 480,575 | |||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 390 | 411,450 | |||||||||||||
892,025 | |||||||||||||||
Software — 0.5% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (a) | 598 | 584,545 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 555 | 561,938 | |||||||||||||
Oracle Corp., 5.38%, 7/15/40 (e) | 775 | 935,416 | |||||||||||||
2,081,899 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 25 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail — 0.5% | |||||||||||||||
The Home Depot, Inc., 5.88%, 12/16/36 (e) | USD | 830 | $ | 1,052,685 | |||||||||||
New Academy Finance Co. LLC, 8.00%, 6/15/18 (a)(i) | 244 | 251,930 | |||||||||||||
QVC, Inc. (a): | |||||||||||||||
7.50%, 10/01/19 | 395 | 435,958 | |||||||||||||
7.38%, 10/15/20 | 275 | 304,821 | |||||||||||||
5.13%, 7/02/22 | 35 | 37,009 | |||||||||||||
2,082,403 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||||||||
PVH Corp., 4.50%, 12/15/22 | 490 | 483,262 | |||||||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||||||
Radian Group, Inc., 5.38%, 6/15/15 | 1,400 | 1,400,000 | |||||||||||||
Tobacco — 1.1% | |||||||||||||||
Altria Group, Inc.: | |||||||||||||||
9.95%, 11/10/38 | 800 | 1,330,455 | |||||||||||||
10.20%, 2/06/39 | 1,388 | 2,352,645 | |||||||||||||
Reynolds American, Inc., 4.75%, 11/01/42 | 1,050 | 1,027,370 | |||||||||||||
4,710,470 | |||||||||||||||
Wireless Telecommunication Services — 2.2% | |||||||||||||||
America Movil SAB de CV, 2.38%, 9/08/16 | 795 | 823,162 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (a) | 465 | 476,625 | |||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) | 1,560 | 1,894,428 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 460 | 490,590 | |||||||||||||
Digicel Ltd. (a): | |||||||||||||||
8.25%, 9/01/17 | 150 | 158,250 | |||||||||||||
6.00%, 4/15/21 (c) | 445 | 443,887 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 660 | 690,525 | |||||||||||||
Rogers Communications, Inc., 7.50%, 8/15/38 | 1,150 | 1,590,971 | |||||||||||||
SBA Tower Trust, 5.10%, 4/15/42 (a) | 360 | 403,894 | |||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 570 | 575,700 | |||||||||||||
Sprint Nextel Corp. (a): | |||||||||||||||
9.00%, 11/15/18 | 530 | 657,200 | |||||||||||||
7.00%, 3/01/20 | 770 | 900,900 | |||||||||||||
9,106,132 | |||||||||||||||
Total Corporate Bonds — 82.8% | 340,519,616 | ||||||||||||||
Foreign Agency Obligations — 0.1% | |||||||||||||||
Italy Government International Bond, 5.38%, 6/15/33 | 455 | 462,708 | |||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.4% | |||||||||||||||
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37 | 953 | 860,374 | |||||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 1,344 | 1,186,368 | |||||||||||||
Series 2006-OA21, Class A1, 0.39%, 3/20/47 (b) | 757 | 514,744 | |||||||||||||
Series 2007-HY4, Class 4A1, 5.05%, 6/25/47 (b) | 684 | 553,527 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2006-OA5, Class 2A1, 0.40%, 4/25/46 (b) | 306 | 206,062 | |||||||||||||
Series 2007-10, Class A22, 6.00%, 7/25/37 | 528 | 471,869 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b) | 1,204 | 1,185,366 | |||||||||||||
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.20%, 6/19/35 (b) | 911 | 924,132 | |||||||||||||
GSR Mortgage Loan Trust: | |||||||||||||||
Series 2006-4F, Class 1A1, 5.00%, 5/25/36 | 484 | 463,503 | |||||||||||||
Series 2007-4F, Class 3A1, 6.00%, 7/25/37 | 645 | 608,839 |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | ||||||||||||
Collateralized Mortgage Obligations (concluded) | ||||||||||||||
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.38%, 12/25/36 (b) | USD | 557 | $ | 451,768 | ||||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | 771 | 658,967 | ||||||||||||
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36 | 232 | 212,285 | ||||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.97%, 5/25/36 (b) | 619 | 493,468 | ||||||||||||
Monastery BV, Series 2004-I, Class A2, 0.52%, 3/17/37 (b) | EUR | 957 | 1,070,896 | |||||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 | USD | 43 | 42,417 | |||||||||||
9,904,585 | ||||||||||||||
Commercial Mortgage-Backed Securities — 12.3% | ||||||||||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4: | ||||||||||||||
Series 2007-1, 5.45%, 1/15/49 | 500 | 570,795 | ||||||||||||
Series 2007-2, 5.63%, 4/10/49 (b) | 750 | 868,175 | ||||||||||||
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 | 800 | 867,762 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.06%, 12/10/49 (b) | 1,370 | 1,626,675 | ||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 1,093 | 1,228,286 | ||||||||||||
Commercial Mortgage Pass-Through Certificates: | ||||||||||||||
Series 2006-C7, Class AM, 5.77%, 6/10/46 (b) | 1,750 | 1,924,666 | ||||||||||||
Series 2013-LC6, Class B, 3.74%, 1/10/46 | 695 | 715,320 | ||||||||||||
Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b) | 835 | 762,006 | ||||||||||||
Credit Suisse Mortgage Capital Certificates: | ||||||||||||||
Series 2006-C3, Class AM, 5.80%, 6/15/38 (b) | 1,000 | 1,098,945 | ||||||||||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,750 | 1,925,779 | ||||||||||||
Series 2010-RR2, Class 2A, 5.76%, 9/15/39 (a)(b) | 1,010 | 1,159,595 | ||||||||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | 705 | 730,171 | ||||||||||||
DBRR Trust, Series 2011-C32, Class A3A, 5.74%, 6/17/49 (a)(b) | 365 | 417,394 | ||||||||||||
Greenwich Capital Commercial Funding Corp.: | ||||||||||||||
Series 2006-GG7, Class A4, 5.86%, 7/10/38 (b) | 1,165 | 1,318,213 | ||||||||||||
Series 2007-GG9, Class A4, 5.44%, 3/10/39 | 2,190 | 2,495,188 | ||||||||||||
GS Mortgage Securities Corp. II: | ||||||||||||||
Series 2007-GG10, Class A4, 5.79%, 8/10/45 (b)(e) | 435 | 497,085 | ||||||||||||
Series 2013-GC10, Class B, 3.68%, 2/10/46 (a) | 1,250 | 1,285,841 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||||||||||||
Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a) | 2,248 | 2,298,647 | ||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 820 | 859,954 | ||||||||||||
Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | 330 | 356,979 | ||||||||||||
Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | 730 | 694,324 | ||||||||||||
LB-UBS Commercial Mortgage Trust (b): | ||||||||||||||
Series 2004-C8, Class C, 4.93%, 12/15/39 | 1,385 | 1,456,181 | ||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 5,201 | 6,024,199 | ||||||||||||
Series 2007-C7, Class A3, 5.87%, 9/15/45 | 1,460 | 1,685,532 | ||||||||||||
Morgan Stanley Capital I Trust (b): | ||||||||||||||
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 | 4,000 | 4,577,876 | ||||||||||||
Series 2007-XLC1, Class A2, 0.56%, 7/17/17 | 124 | 119,282 | ||||||||||||
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a) | 600 | 605,727 | ||||||||||||
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a) | 989 | 990,519 |
26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
Titan Europe Plc, Series 2007-1X, Class A, 0.76%, 1/20/17 (b) | GBP | 1,607 | $ | 2,048,313 | |||||||||||
Wachovia Bank Commercial Mortgage Trust: | |||||||||||||||
Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,203 | 4,247,949 | ||||||||||||
Series 2007-C33, Class A4, 5.92%, 2/15/51 (b) | 2,185 | 2,521,872 | |||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | 695 | 753,349 | |||||||||||||
Series 2012-C8, Class C, 4.88%, 8/15/45 (b) | 895 | 978,836 | |||||||||||||
Series 2013-C11, Class D, 4.19%, 3/15/45 (a)(b) | 800 | 764,750 | |||||||||||||
50,476,185 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.3% | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 1.93%, 8/15/45 (a)(b) | 15,852 | 1,780,987 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.69%, 3/15/45 (a)(b) | 9,551 | 1,395,889 | |||||||||||||
WF-RBS Commercial Mortgage Trust, Class XA (a)(b): | |||||||||||||||
Series 2012-C8, 2.25%, 8/15/45 | 6,065 | 824,576 | |||||||||||||
Series 2012-C9, 2.28%, 11/15/45 | 10,842 | 1,552,528 | |||||||||||||
5,553,980 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 16.0% | 65,934,750 | ||||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | |||||||||||||||
Capital Markets — 0.0% | |||||||||||||||
State Street Capital Trust IV, 1.31%, 6/01/67 (b) | 70 | 56,175 | |||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) | 505 | 505,631 | |||||||||||||
Diversified Financial Services — 1.0% | |||||||||||||||
JPMorgan Chase & Co., Series 1, 7.90% (b)(e)(j) | 3,500 | 4,036,718 | |||||||||||||
Electric Utilities — 0.5% | |||||||||||||||
Electricite de France SA, 5.25% (a)(b)(j) | 2,100 | 2,067,450 | |||||||||||||
Insurance — 2.3% | |||||||||||||||
The Allstate Corp., 6.50%, 5/15/67 (b) | 1,950 | 2,106,000 | |||||||||||||
American International Group, Inc., 8.18%, 5/15/68 (b) | 195 | 257,644 | |||||||||||||
Lincoln National Corp., 6.05%, 4/20/67 (b) | 675 | 681,750 | |||||||||||||
MetLife Capital Trust IV, 7.88%, 12/15/67 (a) | 640 | 790,400 | |||||||||||||
MetLife, Inc., 6.40%, 12/15/66 | 3,500 | 3,783,790 | |||||||||||||
Swiss Re Capital I LP, 6.85% (a)(b)(j) | 1,060 | 1,120,950 | |||||||||||||
XL Group Plc, Series E, 6.50% (b)(j) | 815 | 794,625 | |||||||||||||
9,535,159 | |||||||||||||||
Total Capital Trusts — 3.9% | 16,201,133 | ||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Commercial Banks — 1.0% | |||||||||||||||
US Bancorp, Series G, 6.00% (b) | 150,000 | 4,057,500 | |||||||||||||
Trust Preferreds | |||||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Citigroup Capital XIII, 7.88%, 10/30/40 (b) | 14,773 | 414,914 | |||||||||||||
Total Preferred Securities — 5.0% | 20,673,547 | ||||||||||||||
Taxable Municipal Bonds | Par (000) | Value | |||||||||||||
City of Detroit Michigan, GO, Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 | USD | 1,525 | $ | 1,454,347 | |||||||||||
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35 | 1,000 | 1,233,940 | |||||||||||||
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40 | 950 | 1,245,697 | |||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40 | 1,275 | 1,665,456 | |||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 | 625 | 920,669 | |||||||||||||
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57 | 1,000 | 1,144,870 | |||||||||||||
New York City Municipal Water Finance Authority, Refunding RB, Second General Resolution: | |||||||||||||||
Series EE, 5.38%, 6/15/43 | 385 | 449,618 | |||||||||||||
Series EE, 5.50%, 6/15/43 | 465 | 547,500 | |||||||||||||
Series GG, Build America Bonds, 5.72%, 6/15/42 | 700 | 908,551 | |||||||||||||
New York State Dormitory Authority, RB, Build America Bonds: | |||||||||||||||
5.63%, 3/15/39 | 550 | 668,624 | |||||||||||||
5.60%, 3/15/40 | 950 | 1,188,821 | |||||||||||||
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29 | 385 | 494,494 | |||||||||||||
State of California, GO, Build America Bonds: | |||||||||||||||
7.63%, 3/01/40 | 860 | 1,252,968 | |||||||||||||
Various Purpose, 7.55%, 4/01/39 | 140 | 203,202 | |||||||||||||
State of Illinois, GO, Pension Funding, 5.10%, 6/01/33 | 1,000 | 991,140 | |||||||||||||
University of California, RB, Build America Bonds, 5.95%, 5/15/45 | 445 | 543,803 | |||||||||||||
Total Taxable Municipal Bonds — 3.6% | 14,913,700 | ||||||||||||||
US Government Sponsored Agency Securities | |||||||||||||||
Agency Obligations — 3.3% | |||||||||||||||
Fannie Mae: | |||||||||||||||
1.94%, 10/09/19 (e)(k) | 7,055 | 6,212,577 | |||||||||||||
5.63%, 7/15/37 (l) | 775 | 1,085,216 | |||||||||||||
Federal Home Loan Bank (e): | |||||||||||||||
5.25%, 12/09/22 | 675 | 870,463 | |||||||||||||
5.37%, 9/09/24 | 1,075 | 1,390,643 | |||||||||||||
Resolution Funding Corp. (k): | |||||||||||||||
1.13%, 7/15/18 | 525 | 492,272 | |||||||||||||
1.20%, 10/15/18 | 525 | 492,826 | |||||||||||||
Tennessee Valley Authority, 5.25%, 9/15/39 (e) | 2,355 | 3,025,914 | |||||||||||||
13,569,911 | |||||||||||||||
Collateralized Mortgage Obligations — 0.2% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34 | 477 | 511,260 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, Series 2825, Class VP, 5.50%, 6/15/15 | 455 | 470,401 | |||||||||||||
981,661 | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.7% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (b): | |||||||||||||||
Series 2012-K706, Class C, 4.02%, 11/25/44 (a) | 165 | 167,604 | |||||||||||||
Series 2013-K24, Class B, 3.50%, 11/25/45 (a) | 1,750 | 1,742,442 | |||||||||||||
Series K013, Class A2, 3.97%, 1/25/21 | 940 | 1,063,116 | |||||||||||||
2,973,162 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 27 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Interest Only Collateralized Mortgage Obligations — 2.7% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 2010-126, Class UI, 5.50%, 10/25/40 | USD | 5,342 | $ | 785,430 | |||||||||||
Series 2012-47, Class NI, 4.50%, 4/25/42 | 5,749 | 885,314 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 8,614 | 964,773 | |||||||||||||
Series 2012-M9, Class X1, 4.08%, 12/25/17 (b) | 13,284 | 2,149,675 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | 1,324 | 148,903 | |||||||||||||
Series K021, Class X1, 1.51%, 6/25/22 (b) | 7,081 | 788,308 | |||||||||||||
Series K707, Class X1, 1.56%, 12/25/18 (b) | 2,503 | 195,151 | |||||||||||||
Series K710, Class X1, 1.78%, 5/25/19 (b) | 8,637 | 814,000 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities (b): | |||||||||||||||
Series 2009-78, Class SD, 6.00%, 9/20/32 | 6,824 | 1,274,811 | |||||||||||||
Series 2011-52, Class NS, 6.47%, 4/16/41 | 18,743 | 3,117,804 | |||||||||||||
11,124,169 | |||||||||||||||
Mortgage-Backed Securities — 11.4% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 3/15/43–4/15/43 (m) | 24,700 | 25,549,906 | |||||||||||||
3.50%, 3/01/42 | 1,218 | 1,290,183 | |||||||||||||
4.00%, 12/01/41 | 3,962 | 4,228,886 | |||||||||||||
4.50%, 7/01/41 | 5,361 | 5,793,808 | |||||||||||||
5.00%, 8/01/34 | 3,799 | 4,145,365 | |||||||||||||
5.50%, 6/01/38 | 2,543 | 2,787,312 | |||||||||||||
6.00%, 12/01/38 | 2,187 | 2,402,471 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, 6.00%, 11/01/13–12/01/18 | 451 | 486,020 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33 | 65 | 72,810 | |||||||||||||
46,756,761 | |||||||||||||||
Total US Government Sponsored Agency Securities — 18.3% | 75,405,664 | ||||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Bonds (e): | |||||||||||||||
8.13%, 8/15/21 | 1,550 | 2,368,836 | |||||||||||||
6.25%, 8/15/23 | 5,085 | 7,196,068 | |||||||||||||
3.50%, 2/15/39 | 330 | 360,834 | |||||||||||||
4.25%, 5/15/39 | 6,045 | 7,468,410 | |||||||||||||
4.38%, 5/15/40 | 6,375 | 8,035,490 | |||||||||||||
4.75%, 2/15/41 | 1,630 | 2,176,559 | |||||||||||||
4.38%, 5/15/41 | 800 | 1,009,000 | |||||||||||||
3.13%, 11/15/41 | 9,930 | 10,040,163 | |||||||||||||
3.13%, 2/15/42 | 6,268 | 6,330,680 | |||||||||||||
3.00%, 5/15/42 | 2,730 | 2,685,637 | |||||||||||||
US Treasury Notes: | |||||||||||||||
2.25%, 7/31/18 | 495 | 531,274 | |||||||||||||
2.00%, 2/15/22 (e) | 1,826 | 1,871,223 | |||||||||||||
1.75%, 5/15/22 | 156 | 155,854 | |||||||||||||
Total US Treasury Obligations — 12.2% | 50,230,028 |
Warrants (n) | Shares | Value | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 90 | — | |||||||||||||
Total Long-Term Investments | |||||||||||||||
(Cost — $563,831,522) — 146.4% | $ | 602,249,942 | |||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (o)(p) | 2,677,125 | 2,677,125 | |||||||||||||
Total Short-Term Securities | |||||||||||||||
(Cost — $2,677,125) — 0.7% | 2,677,125 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $1,734,751) — 0.3% | 1,321,160 | ||||||||||||||
Total Investments Before TBA Sale Commitments and Options Written | |||||||||||||||
(Cost — $568,243,398) — 147.4% | 606,248,227 | ||||||||||||||
TBA Sale Commitments (m) | Par (000) | ||||||||||||||
Fannie Mae Mortgage-Backed Securities, 3.00%, 3/15/43 | USD | 8,400 | (8,696,625 | ) | |||||||||||
Total TBA Sale Commitments (Proceeds — $8,690,719) — (2.1)% | (8,696,625 | ) | |||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $3,446,258) — (0.7)% | (2,733,943 | ) | |||||||||||||
Total Investments, Net of TBA Sale Commitments and Options Written — 144.6% | 594,817,659 | ||||||||||||||
Liabilities in Excess of Other Assets — (44.6)% | (183,617,467 | ) | |||||||||||||
Net Assets — 100.0% | $ | 411,200,192 |
Notes to Schedule of Investments
(a) | 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. | |||
(b) | Variable rate security. Rate shown is as of report date. | |||
(c) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Depreciation | ||||||
Deutsche Bank Securities, Inc. | $ | 487,800 | — | |||||||
JPMorgan Chase & Co. | $ | 493,750 | — | |||||||
JPMorgan Chase & Co. | $ | 486,500 | — | |||||||
Citigroup Global Markets | $ | 443,887 | $ | (1,113 | ) | |||||
Bank of New York Mellon | $ | 477,500 | — | |||||||
Goldman Sachs & Co. | $ | 490,510 | — |
28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
(d) | Non-income producing security. | |||
(e) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. | |||
(f) | Convertible security. | |||
(g) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||
(h) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(i) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||
(j) | Security is perpetual in nature and has no stated maturity date. | |||
(k) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(l) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. | |||
(m) | Represents or includes a TBA transaction. Unsettled TBA transactions as of February 28, 2013 were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Goldman Sachs Group, Inc. | $ | 16,875,594 | $ | 53,484 | ||||||
Deutsche Bank AG | $ | (22,313 | ) | $ | (984 | ) |
(n) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
(o) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 534,025 | 2,143,100 | 2,677,125 | $ | 1,715 | $ | 72 |
(p) | Represents the current yield as of report date. | |||
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Reverse repurchase agreements outstanding as of February 28, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
BNP Paribas Securities Corp. | 0.18% | 5/09/12 | Open | $ | 1,039,000 | $ | 1,040,538 | |||||||||||||||
BNP Paribas Securities Corp. | 0.19% | 5/09/12 | Open | 367,950 | 368,525 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.17% | 7/18/12 | Open | 7,051,500 | 7,059,025 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 8/09/12 | Open | 4,342,543 | 4,351,156 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 8/21/12 | Open | 5,635,800 | 5,640,049 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.11% | 8/21/12 | Open | 2,791,425 | 2,793,063 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.25% | 9/06/12 | Open | 1,903,605 | 1,905,932 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 9/18/12 | Open | 3,346,988 | 3,352,324 | |||||||||||||||||
Deutsche Bank Securities | (0.63)% | 10/24/12 | Open | 345,482 | 344,715 | |||||||||||||||||
Bank of America Merrill Lynch | 0.21% | 12/10/12 | Open | 15,392,700 | 15,399,973 | |||||||||||||||||
Bank of America Merrill Lynch | 0.24% | 12/10/12 | Open | 2,309,750 | 2,310,997 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.37% | 12/17/12 | Open | 19,400,364 | 19,415,117 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/11/13 | Open | 4,741,000 | 4,743,259 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 1/14/13 | Open | 2,166,425 | 2,167,394 | |||||||||||||||||
UBS Securities LLC | (0.50)% | 1/15/13 | Open | 496,600 | 496,290 | |||||||||||||||||
UBS Securities LLC | (0.25)% | 1/15/13 | Open | 484,487 | 484,336 | |||||||||||||||||
UBS Securities LLC | 0.28% | 1/15/13 | Open | 3,529,338 | 3,530,573 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 16,979,175 | 16,985,966 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 2,483,125 | 2,484,150 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 20,680,084 | 20,688,874 | |||||||||||||||||
UBS Securities LLC | 0.35% | 1/15/13 | Open | 941,250 | 941,662 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/22/13 | Open | 2,126,000 | 2,126,785 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/01/13 | Open | 3,673,140 | 3,674,140 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (0.75)% | 2/06/13 | Open | 257,040 | 256,917 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.20% | 2/07/13 | Open | 2,418,000 | 2,418,148 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.22% | 2/07/13 | Open | 2,949,638 | 2,949,854 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.17% | 2/07/13 | Open | 2,194,387 | 2,194,589 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.23% | 2/07/13 | Open | 6,155,488 | 6,156,089 | |||||||||||||||||
Bank of America Merrill Lynch | 0.20% | 2/07/13 | Open | 8,032,500 | 8,033,236 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/07/13 | Open | 1,737,375 | 1,737,736 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 2/08/13 | Open | 2,473,000 | 2,473,461 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 29 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
Reverse repurchase agreements outstanding as of February 28, 2013 were as follows (concluded): |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
HSBC Holdings Plc | 0.27% | 2/11/13 | 3/12/13 | $ | 20,276,909 | $ | 20,279,647 | |||||||||||||||
BNP Paribas Securities Corp. | 0.20% | 2/14/13 | Open | 9,942,413 | 9,943,034 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 2/14/13 | Open | 1,020,000 | 1,020,140 | |||||||||||||||||
Barclays Capital, Inc. | (0.50)% | 2/28/13 | Open | 371,377 | 371,372 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 2/28/13 | Open | 3,378,000 | 3,378,032 | |||||||||||||||||
Total | $ | 183,433,858 | $ | 183,517,098 | ||||||||||||||||||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||
50 | 5-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 6,199,219 | $ | 11,842 | |||||||||
399 | 30-Year US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 57,368,719 | 21,143 | ||||||||||
40 | Ultra Long US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 6,320,000 | (35,585 | ) | |||||||||
300 | 90-Day Euro-Dollar | Chicago Mercantile | March 2015 | USD | 74,538,750 | 28,703 | ||||||||||
349 | 90-Day Euro-Dollar | Chicago Mercantile | March 2016 | USD | 86,320,787 | 25,076 | ||||||||||
(15) | 90-Day Euro-Dollar | Chicago Mercantile | March 2013 | USD | 3,738,938 | (6,038 | ) | |||||||||
(55) | 2-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 12,125,781 | (6,426 | ) | |||||||||
(608) | 10-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 79,980,500 | (282,000 | ) | |||||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | June 2013 | USD | 2,990,700 | (3,780 | ) | |||||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | September 2013 | USD | 2,990,100 | (7,059 | ) | |||||||||
(16) | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | USD | 3,985,800 | (13,342 | ) | |||||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | USD | 2,988,600 | (9,354 | ) | |||||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | June 2014 | USD | 2,240,550 | (5,348 | ) | |||||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | September 2014 | USD | 2,239,425 | (8,900 | ) | |||||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 2,237,850 | (9,848 | ) | |||||||||
(40) | 90-Day Euro-Dollar | Chicago Mercantile | June 2015 | USD | 9,930,000 | (51,783 | ) | |||||||||
(281) | 90-Day Euro-Dollar | Chicago Mercantile | September 2015 | USD | 69,688,000 | (29,294 | ) | |||||||||
(40) | 90-Day Euro-Dollar | Chicago Mercantile | December 2015 | USD | 9,907,500 | (63,610 | ) | |||||||||
(349) | 90-Day Euro-Dollar | Chicago Mercantile | September 2016 | USD | 86,037,225 | (2,617 | ) | |||||||||
Total | $ | (448,220 | ) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||||
GBP | 421,000 | USD | 662,122 | Royal Bank of Scotland Group Plc | 4/17/13 | $ | (23,595 | ) | ||||||||||||||||||||
USD | 803,177 | EUR | 610,000 | BNP Paribas SA | 4/17/13 | 6,541 | ||||||||||||||||||||||
USD | 1,465,115 | GBP | 960,000 | BNP Paribas SA | 4/17/13 | 9,091 | ||||||||||||||||||||||
USD | 425,257 | GBP | 268,237 | Citigroup, Inc. | 4/17/13 | 18,424 | ||||||||||||||||||||||
USD | 159,501 | GBP | 99,323 | Credit Suisse Group AG | 4/17/13 | 8,858 | ||||||||||||||||||||||
USD | 642,575 | GBP | 400,147 | Credit Suisse Group AG | 4/17/13 | 35,675 | ||||||||||||||||||||||
USD | 111,188 | GBP | 69,600 | Credit Suisse Group AG | 4/17/13 | 5,626 | ||||||||||||||||||||||
USD | 5,898,999 | GBP | 3,654,000 | Deutsche Bank AG | 4/17/13 | 357,008 | ||||||||||||||||||||||
USD | 473,431 | GBP | 302,366 | Deutsche Bank AG | 4/17/13 | 14,836 | ||||||||||||||||||||||
USD | 2,071,135 | GBP | 1,353,000 | Deutsche Bank AG | 4/17/13 | 19,051 | ||||||||||||||||||||||
USD | 7,400,705 | EUR | 5,554,000 | Citigroup, Inc. | 4/23/13 | 147,073 | ||||||||||||||||||||||
Total | $ | 598,588 |
30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
• | Over-the-counter interest rate swaptions purchased as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | ||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.20% | Receive | 3-month LIBOR | 7/08/13 | USD | 11,700 | $ | 16,112 | ||||||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.30% | Receive | 3-month LIBOR | 8/21/13 | USD | 9,900 | 32,683 | |||||||||||||
7-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.39% | Receive | 3-month LIBOR | 10/06/14 | USD | 21,700 | 152,587 | |||||||||||||
30-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 3.75% | Pay | 3-month LIBOR | 6/03/13 | USD | 2,400 | 2,976 | |||||||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Put | 1.70% | Pay | 3-month LIBOR | 7/08/13 | USD | 16,700 | 104,861 | |||||||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Put | 1.80% | Pay | 3-month LIBOR | 8/21/13 | USD | 13,200 | 94,814 | |||||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.15% | Pay | 3-month LIBOR | 1/25/16 | USD | 2,500 | 112,322 | |||||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.75% | Pay | 3-month LIBOR | 2/16/16 | USD | 9,300 | 273,095 | |||||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.50% | Pay | 3-month LIBOR | 2/22/16 | USD | 10,000 | 357,303 | |||||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 3/16/17 | USD | 6,300 | 174,407 | |||||||||||||
Total | $ | 1,321,160 |
• | Over-the-counter interest rate swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | ||||||
7-Year Interest Rate Swap | Morgan Stanley | Call | 1.45% | Pay | 3-month LIBOR | 4/05/13 | USD | 10,000 | $ | (45,852 | ) | |||||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.45% | Pay | 3-month LIBOR | 7/08/13 | USD | 11,700 | (74,185 | ) | ||||||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.55% | Pay | 3-month LIBOR | 8/21/13 | USD | 9,900 | (98,182 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 2.06% | Pay | 3-month LIBOR | 4/09/14 | USD | 16,100 | (601,312 | ) | ||||||||||||
5-Year Interest Rate Swap | BNP Paribas SA | Call | 1.15% | Pay | 3-month LIBOR | 6/09/14 | USD | 30,300 | (207,371 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.00% | Pay | 3-month LIBOR | 7/11/14 | USD | 15,500 | (65,950 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.48% | Pay | 3-month LIBOR | 7/31/14 | USD | 10,000 | (140,910 | ) | ||||||||||||
5-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.00% | Pay | 3-month LIBOR | 8/01/14 | USD | 9,700 | (41,107 | ) | ||||||||||||
5-Year Interest Rate Swap | Goldman Sachs Group, Inc. | Call | 1.25% | Pay | 3-month LIBOR | 2/04/15 | USD | 6,200 | (47,147 | ) | ||||||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Put | 1.95% | Receive | 3-month LIBOR | 7/08/13 | USD | 16,700 | (48,788 | ) | ||||||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Put | 2.05% | Receive | 3-month LIBOR | 8/21/13 | USD | 13,200 | (50,796 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.06% | Receive | 3-month LIBOR | 4/09/14 | USD | 16,100 | (85,287 | ) | ||||||||||||
5-Year Interest Rate Swap | BNP Paribas SA | Put | 2.15% | Receive | 3-month LIBOR | 6/09/14 | USD | 30,300 | (193,544 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.00% | Receive | 3-month LIBOR | 7/11/14 | USD | 15,500 | (136,543 | ) | ||||||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 1.48% | Receive | 3-month LIBOR | 7/31/14 | USD | 10,000 | (176,284 | ) | ||||||||||||
5-Year Interest Rate Swap | Deutsche Bank AG | Put | 2.00% | Receive | 3-month LIBOR | 8/01/14 | USD | 9,700 | (92,634 | ) | ||||||||||||
7-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.39% | Receive | 3-month LIBOR | 10/06/14 | USD | 21,700 | (402,164 | ) | ||||||||||||
5-Year Interest Rate Swap | Goldman Sachs Group, Inc. | Put | 2.25% | Receive | 3-month LIBOR | 2/04/15 | USD | 6,200 | (82,489 | ) | ||||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 3/16/17 | USD | 12,600 | (143,398 | ) | ||||||||||||
Total | $ | (2,733,943 | ) |
• | Credit default swaps — buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | ||||||
Radian Group, Inc. | 5.00% | Citigroup, Inc. | 6/20/15 | USD | 1,400 | $ | (83,197 | ) | ||||||||
The New York Times Co. | 1.00% | Barclays Plc | 12/20/16 | USD | 1,800 | (40,920 | ) | |||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (17 | ) | |||||||||
Westpac Banking Corp. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (17 | ) | |||||||||
Total | $ | (124,151 | ) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 31 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation | ||||||
MetLife, Inc. | 1.00% | Credit Suisse Group AG | 9/20/16 | A- | USD | 535 | $ | 36,926 | ||||||||||
MetLife, Inc. | 1.00% | Deutsche Bank AG | 9/20/16 | A- | USD | 730 | 46,262 | |||||||||||
MetLife, Inc. | 1.00% | Goldman Sachs Group, Inc. | 9/20/16 | A- | USD | 500 | 30,886 | |||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley | 9/20/16 | A- | USD | 900 | 55,995 | |||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley | 9/20/16 | A- | USD | 275 | 15,387 | |||||||||||
MetLife, Inc. | 1.00% | Citigroup, Inc. | 12/20/16 | A- | USD | 298 | 16,973 | |||||||||||
MetLife, Inc. | 1.00% | Citigroup, Inc. | 12/20/16 | A- | USD | 285 | 17,585 | |||||||||||
Markit CMBX North America AAA Index Series 3 | 0.08% | Morgan Stanley | 12/13/49 | AA | USD | 525 | 39,810 | |||||||||||
Markit CMBX North America AAA Index Series 4 | 0.35% | Morgan Stanley | 2/17/51 | A | USD | 525 | 42,507 | |||||||||||
Total | $ | 302,331 |
1 | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
• | Interest rate swaps outstanding as of February 28, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Appreciation (Depreciation) | ||||||
0.39%3 | 3-month LIBOR | JPMorgan Chase & Co. | 11/29/14 | USD | 50,000 | $ | (18,750 | ) | ||||||||
0.40%3 | 3-month LIBOR | Goldman Sachs Group, Inc. | 12/27/14 | USD | 30,000 | (12,195 | ) | |||||||||
0.66%4 | 6-month EURIBOR | Deutsche Bank AG | 2/05/15 | EUR | 5,000 | 22,054 | ||||||||||
1.18%3 | 3-month LIBOR | JPMorgan Chase & Co. | 10/05/19 | USD | 15,800 | 147,065 | ||||||||||
1.48%4 | 3-month LIBOR | Deutsche Bank AG | 2/25/20 | USD | 4,600 | 20,806 | ||||||||||
1.41%4 | 3-month LIBOR | Bank of America Corp. | 2/28/20 | USD | 5,800 | (2,290 | ) | |||||||||
1.41%4 | 3-month LIBOR | JPMorgan Chase & Co. | 3/01/20 | USD | 2,400 | (1,056 | ) | |||||||||
1.41%4 | 3-month LIBOR | JPMorgan Chase & Co. | 3/04/20 | USD | 18,000 | (11,750 | ) | |||||||||
1.89%3 | 3-month LIBOR | JPMorgan Chase & Co. | 10/08/21 | USD | 11,900 | 146,395 | ||||||||||
1.89%4 | 6-month EURIBOR | Citigroup, Inc. | 6/27/22 | EUR | 1,800 | 46,955 | ||||||||||
1.90%3 | 3-month LIBOR | Royal Bank of Scotland Group Plc | 1/28/23 | USD | 400 | 2,298 | ||||||||||
1.72%4 | 6-month EURIBOR | Deutsche Bank AG | 1/28/23 | EUR | 1,200 | (2,872 | ) | |||||||||
1.97%4 | 3-month LIBOR | Deutsche Bank AG | 1/29/23 | USD | 1,000 | 736 | ||||||||||
2.08%4 | 3-month LIBOR | Deutsche Bank AG | 2/19/23 | USD | 2,800 | 28,509 | ||||||||||
2.06%4 | 3-month LIBOR | Deutsche Bank AG | 2/25/23 | USD | 3,400 | 27,406 | ||||||||||
2.58%3 | 6-month EURIBOR | Deutsche Bank AG | 11/11/41 | EUR | 350 | (17,925 | ) | |||||||||
2.68%3 | 6-month EURIBOR | Deutsche Bank AG | 11/18/41 | EUR | 745 | (58,915 | ) | |||||||||
3.07%3 | 3-month LIBOR | Barclays Plc | 3/21/42 | USD | 4,000 | (106,193 | ) | |||||||||
2.15%3 | 6-month EURIBOR | Citigroup, Inc. | 6/27/42 | EUR | 770 | 48,886 | ||||||||||
2.49%3 | 3-month LIBOR | Deutsche Bank AG | 7/05/42 | USD | 2,900 | 272,061 | ||||||||||
2.52%3 | 3-month LIBOR | Citigroup, Inc. | 9/04/42 | USD | 1,600 | 139,724 | ||||||||||
2.49%3 | 6-month EURIBOR | Citigroup, Inc. | 1/15/43 | EUR | 500 | (13,085 | ) | |||||||||
3.05%3 | 3-month LIBOR | Deutsche Bank AG | 2/07/43 | USD | 4,800 | (97,771 | ) | |||||||||
2.95%3 | 3-month LIBOR | JPMorgan Chase & Co. | 3/04/43 | USD | 2,600 | 1,070 | ||||||||||
Total | $ | 561,163 |
3 | Trust pays the fixed rate and receives the floating rate. |
4 | Trust pays the floating rate and receives the fixed rate. |
• | Fair Value Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. |
32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. | ||||
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||||
Assets: | |||||||||||||||||||
Investments: | |||||||||||||||||||
Long-Term Investments: | |||||||||||||||||||
Asset-Backed Securities | — | $ | 26,235,503 | $ | 7,728,225 | $ | 33,963,728 | ||||||||||||
Common Stocks | — | — | 146,201 | 146,201 | |||||||||||||||
Corporate Bonds | — | 334,194,826 | 6,324,790 | 340,519,616 | |||||||||||||||
Foreign Agency Obligations | — | 462,708 | — | 462,708 | |||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 65,050,718 | 884,032 | 65,934,750 | |||||||||||||||
Preferred Securities | $ | 4,472,414 | 16,201,133 | — | 20,673,547 | ||||||||||||||
Taxable Municipal Bonds | — | 14,913,700 | — | 14,913,700 | |||||||||||||||
US Government Sponsored Agency Securities | — | 75,405,664 | — | 75,405,664 | |||||||||||||||
US Treasury Obligations | — | 50,230,028 | — | 50,230,028 | |||||||||||||||
Short-Term Securities | 2,677,125 | — | — | 2,677,125 | |||||||||||||||
Options Purchased: | |||||||||||||||||||
Interest Rate Contracts | — | 1,321,160 | — | 1,321,160 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Investments: | |||||||||||||||||||
TBA Sale Commitments | — | (8,696,625 | ) | — | (8,696,625 | ) | |||||||||||||
Total | $ | 7,149,539 | $ | 575,318,815 | $ | 15,083,248 | $ | 597,551,602 | |||||||||||
| Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||||
Derivative Financial Instruments1 | |||||||||||||||||||
Assets: | |||||||||||||||||||
Credit contracts | — | $ | 302,331 | — | $ | 302,331 | |||||||||||||
Foreign currency exchange contracts | — | 622,183 | — | 622,183 | |||||||||||||||
Interest rate contracts | $ | 86,764 | 903,965 | — | 990,729 | ||||||||||||||
Liabilities: | |||||||||||||||||||
Credit contracts | — | (124,151 | ) | — | (124,151 | ) | |||||||||||||
Foreign currency exchange contracts | — | (23,595 | ) | — | (23,595 | ) | |||||||||||||
Interest rate contracts | (534,984 | ) | (3,076,745 | ) | — | (3,611,729 | ) | ||||||||||||
Total | $ | (448,220 | ) | $ | (1,396,012 | ) | — | $ | (1,844,232 | ) |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||||
Assets: | |||||||||||||||||||
Cash | $ | 60,313 | — | — | $ | 60,313 | |||||||||||||
Foreign currency at value | 159,393 | — | — | 159,393 | |||||||||||||||
Cash pledged as collateral for financial futures contracts | 882,000 | — | — | 882,000 | |||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 1,615,619 | — | — | 1,615,619 | |||||||||||||||
Cash pledged as collateral for swaps | 3,210,000 | — | — | 3,210,000 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Reverse repurchase agreements | — | $ | (183,433,858 | ) | — | (183,433,858 | ) | ||||||||||||
Cash received as collateral for swaps | — | (1,100,000 | ) | — | (1,100,000 | ) | |||||||||||||
Total | $ | 5,927,325 | $ | (184,533,858 | ) | — | $ | (178,606,533 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013.
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 33 |
Schedule of Investments (concluded) | BlackRock Core Bond Trust (BHK) |
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Non-Agency Mortgage-Backed Securities | | Total | |||||||||||||
Assets: | ||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 1,505,315 | $ | 1 | $ | 5,224,808 | $ | 511,457 | $ | 7,241,581 | ||||||||||||
Transfers into Level 31 | — | — | 4,712,948 | — | 4,712,948 | |||||||||||||||||
Transfers out of Level 32 | (365,529 | ) | — | — | — | (365,529 | ) | |||||||||||||||
Accrued discounts/premiums | (212,482 | ) | — | (11,673 | ) | 2,052 | (222,103 | ) | ||||||||||||||
Net realized gain (loss) | 6 | — | 1,445 | 27,721 | 29,172 | |||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 254,004 | 146,200 | (304,989 | ) | 7,530 | 102,745 | ||||||||||||||||
Purchases | 6,603,254 | — | — | 755,446 | 7,358,700 | |||||||||||||||||
Sales | (56,343 | ) | — | (3,297,749 | ) | (420,174 | ) | (3,774,266 | ) | |||||||||||||
Closing Balance, as of February 28, 2013 | $ | 7,728,225 | $ | 146,201 | $ | 6,324,790 | $ | 884,032 | $ | 15,083,248 |
1 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,712,948 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $365,529 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $365,574. |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | ||||||||||||
Auto Components — 0.5% | ||||||||||||||
Dana Holding Corp. | 91,707 | $ | 1,534,258 | |||||||||||
Delphi Automotive Plc | 13,100 | 543,998 | ||||||||||||
2,078,256 | ||||||||||||||
Biotechnology — 0.0% | ||||||||||||||
Ironwood Pharmaceuticals, Inc. (a) | 10,590 | 158,109 | ||||||||||||
Capital Markets — 1.7% | ||||||||||||||
American Capital Ltd. (a) | 412,530 | 5,767,169 | ||||||||||||
E*Trade Financial Corp. (a) | 109,400 | 1,171,674 | ||||||||||||
Uranium Participation Corp. (a) | 53,140 | 275,169 | ||||||||||||
7,214,012 | ||||||||||||||
Chemicals — 0.5% | ||||||||||||||
ADA-ES, Inc. (a) | 2,690 | 71,473 | ||||||||||||
CF Industries Holdings, Inc. | 5,300 | 1,064,399 | ||||||||||||
Huntsman Corp. | 51,100 | 880,453 | ||||||||||||
2,016,325 | ||||||||||||||
Commercial Banks — 0.6% | ||||||||||||||
CIT Group, Inc. (a) | 57,665 | 2,413,857 | ||||||||||||
Communications Equipment — 0.3% | ||||||||||||||
Loral Space & Communications Ltd. | 19,132 | 1,114,248 | ||||||||||||
Diversified Financial Services — 0.7% | ||||||||||||||
Bank of America Corp. | 35,400 | 397,542 | ||||||||||||
Kcad Holdings I Ltd. (a) | 422,854,200 | 2,854,266 | ||||||||||||
3,251,808 | ||||||||||||||
Diversified Telecommunication Services — 0.2% | ||||||||||||||
Broadview Networks Holdings, Inc. (a) | 49,725 | 332,660 | ||||||||||||
Level 3 Communications, Inc. (a) | 33,620 | 671,728 | ||||||||||||
1,004,388 | ||||||||||||||
Electrical Equipment — 0.0% | ||||||||||||||
Medis Technologies Ltd. (a) | 109,685 | 1 | ||||||||||||
Energy Equipment & Services — 0.9% | ||||||||||||||
Laricina Energy Ltd. (a) | 70,588 | 2,395,714 | ||||||||||||
Osum Oil Sands Corp. (a) | 120,000 | 1,585,454 | ||||||||||||
3,981,168 | ||||||||||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||||||||
Caesars Entertainment Corp. (a) | �� | 59,623 | 745,288 | |||||||||||
Travelport LLC (a) | 113,632 | 1,136 | ||||||||||||
746,424 | ||||||||||||||
Insurance — 1.0% | ||||||||||||||
American International Group, Inc. (a) | 117,041 | 4,448,728 | ||||||||||||
Media — 1.3% | ||||||||||||||
Belo Corp., Class A | 32,921 | 284,438 | ||||||||||||
Charter Communications, Inc., Class A (a) | 63,429 | 5,479,631 | ||||||||||||
Clear Channel Outdoor Holdings, Inc., Class A (a) | 14,202 | 107,935 | ||||||||||||
5,872,004 | ||||||||||||||
Metals & Mining — 0.1% | ||||||||||||||
African Minerals Ltd. (a) | 65,551 | 280,079 | ||||||||||||
Peninsula Energy Ltd. (a) | 11,250,902 | 375,911 | ||||||||||||
655,990 | ||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||||
African Petroleum Corp. Ltd. (a) | 294,600 | 57,175 | ||||||||||||
Paper & Forest Products — 1.0% | ||||||||||||||
Ainsworth Lumber Co. Ltd. (a) | 728,451 | 2,309,852 | ||||||||||||
Ainsworth Lumber Co. Ltd. (a)(b) | 208,741 | 659,875 | ||||||||||||
NewPage Corp. (a) | 12,520 | 1,064,200 | ||||||||||||
Western Forest Products, Inc. (a) | 74,889 | 95,483 | ||||||||||||
Western Forest Products, Inc. (a) | 74,936 | 90,831 | ||||||||||||
4,220,241 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||||||
Freescale Semiconductor Ltd. (a) | 6,695 | 103,304 | ||||||||||||
NXP Semiconductors NV (a) | 14,053 | 454,193 | ||||||||||||
Spansion, Inc., Class A (a) | 58,263 | 685,173 |
Common Stocks | Par (000) | Value | |||||||||||||
Semiconductors & Semiconductor Equipment (concluded) | |||||||||||||||
SunPower Corp. (a) | 200 | $ | 2,348 | ||||||||||||
1,245,018 | |||||||||||||||
Software — 0.1% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (a) | 737 | 7 | |||||||||||||
HMH Holdings/EduMedia (a) | 30,127 | 552,312 | |||||||||||||
552,319 | |||||||||||||||
Total Common Stocks — 9.4% | 41,030,071 | ||||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Aerospace & Defense — 1.0% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 900 | 933,750 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 240 | 261,450 | |||||||||||||
7.13%, 3/15/21 | 375 | 408,750 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 1,244 | 1,373,065 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) | 690 | 709,030 | |||||||||||||
Spirit Aerosystems, Inc., 7.50%, 10/01/17 | 498 | 527,880 | |||||||||||||
4,213,925 | |||||||||||||||
Air Freight & Logistics — 0.4% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | 822 | 826,775 | |||||||||||||
Series 2, 12.38%, 8/16/15 | 833 | 837,101 | |||||||||||||
1,663,876 | |||||||||||||||
Airlines — 1.7% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 | 999 | 1,039,334 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 1997-4, Class B, 6.90%, 7/02/18 | 34 | 33,989 | |||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 571 | 588,248 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 1,370 | 1,366,575 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 867 | 959,763 | |||||||||||||
Series 2009-1, Class B, 9.75%, 6/17/18 | 257 | 285,173 | |||||||||||||
Series 2010-1, Class B, 6.38%, 7/02/17 | 800 | 834,000 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 837 | 883,006 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 622 | 665,540 | |||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 600 | 627,000 | |||||||||||||
�� | 7,282,628 | ||||||||||||||
Auto Components — 2.0% | |||||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (b) | 300 | 306,000 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 660 | 718,575 | |||||||||||||
Delphi Corp.: | |||||||||||||||
6.13%, 5/15/21 | 115 | 125,350 | |||||||||||||
5.00%, 2/15/23 | 225 | 234,281 | |||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 4,455 | 4,772,419 | |||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (b) | 585 | 640,575 | |||||||||||||
Jaguar Land Rover Plc, 8.25%, 3/15/20 | GBP | 712 | 1,211,053 | ||||||||||||
Titan International, Inc., 7.88%, 10/01/17 | USD | 685 | 734,662 | ||||||||||||
8,742,915 | |||||||||||||||
Beverages — 0.1% | |||||||||||||||
Crown European Holdings SA: | |||||||||||||||
7.13%, 8/15/18 | EUR | 91 | 128,607 | ||||||||||||
7.13%, 8/15/18 (b) | 230 | 325,049 | |||||||||||||
Refresco Group BV, 7.38%, 5/15/18 | 107 | 146,022 | |||||||||||||
599,678 | |||||||||||||||
Building Products — 0.9% | |||||||||||||||
Building Materials Corp. of America (b): | |||||||||||||||
7.00%, 2/15/20 | USD | 810 | 876,825 | ||||||||||||
6.75%, 5/01/21 | 1,170 | 1,256,288 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Building Products (concluded) | ||||||||||||||
Grohe Holding GmbH, 8.75%, 12/15/17 (c) | EUR | 100 | $ | 136,756 | ||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | USD | 515 | 528,519 | |||||||||||
USG Corp., 9.75%, 1/15/18 | 1,045 | 1,229,181 | ||||||||||||
4,027,569 | ||||||||||||||
Capital Markets — 0.4% | ||||||||||||||
E*Trade Financial Corp., 0.01%, 8/31/19 (b)(d)(e) | 356 | 372,242 | ||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b) | 670 | 787,904 | ||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (b) | 699 | 702,495 | ||||||||||||
1,862,641 | ||||||||||||||
Chemicals — 3.4% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 260 | 263,900 | ||||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (b) | 610 | 805,200 | ||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 1,905 | 2,081,212 | ||||||||||||
Ciech Group Financing AB, 9.50%, 11/30/19 | EUR | 137 | 194,958 | |||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (b) | USD | 552 | 560,970 | |||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 250 | 282,500 | ||||||||||||
INEOS Finance Plc, 7.50%, 5/01/20 (b) | 570 | 614,175 | ||||||||||||
Kinove German Bondco GmbH, 10.00%, 6/15/18 | EUR | 505 | 731,681 | |||||||||||
Kraton Polymers LLC, 6.75%, 3/01/19 | USD | 185 | 192,400 | |||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 (f) | 3,870 | 4,498,875 | ||||||||||||
Nexeo Solutions LLC, 8.38%, 3/01/18 | 135 | 131,962 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 335 | 355,100 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 320 | 354,400 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,095 | 1,133,325 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 1,997 | 1,984,519 | ||||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV: | ||||||||||||||
5.75%, 2/01/21 | EUR | 100 | 133,166 | |||||||||||
7.38%, 5/01/21 (b) | USD | 525 | 543,375 | |||||||||||
14,861,718 | ||||||||||||||
Commercial Banks — 0.9% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 830 | 892,250 | ||||||||||||
6.63%, 4/01/18 (b) | 455 | 516,425 | ||||||||||||
5.50%, 2/15/19 (b) | 790 | 859,125 | ||||||||||||
5.00%, 8/15/22 | 710 | 759,700 | ||||||||||||
6.00%, 4/01/36 | 810 | 793,500 | ||||||||||||
3,821,000 | ||||||||||||||
Commercial Services & Supplies — 2.2% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 412 | 442,900 | ||||||||||||
ARAMARK Holdings Corp. (b): | ||||||||||||||
8.63%, 5/01/16 (g) | 650 | 663,006 | ||||||||||||
5.75%, 3/15/20 (h) | 962 | 981,240 | ||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) | 800 | 865,874 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 223 | 234,158 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 38 | 40,850 | ||||||||||||
Casella Waste Systems, Inc., 7.75%, 2/15/19 | 79 | 75,643 | ||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (b) | 918 | 929,475 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 780 | 803,400 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 940 | 1,019,275 | ||||||||||||
EC Finance Plc, 9.75%, 8/01/17 | EUR | 621 | 881,687 | |||||||||||
HDTFS, Inc. (b): | ||||||||||||||
5.88%, 10/15/20 | USD | 95 | 98,800 | |||||||||||
6.25%, 10/15/22 | 395 | 424,625 | ||||||||||||
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b) | 112 | 118,580 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 545 | 606,313 | ||||||||||||
RSC Equipment Rental, Inc., 8.25%, 2/01/21 | 686 | 777,752 | ||||||||||||
Verisure Holding AB: | ||||||||||||||
8.75%, 9/01/18 | EUR | 174 | 245,339 | |||||||||||
8.75%, 12/01/18 | 134 | 178,443 | ||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 205 | 218,325 | |||||||||||
9,605,685 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Communications Equipment — 1.1% | ||||||||||||||
Alcatel-Lucent USA, Inc.: | ||||||||||||||
6.50%, 1/15/28 | USD | 85 | $ | 65,450 | ||||||||||
6.45%, 3/15/29 | 279 | 216,922 | ||||||||||||
Avaya, Inc., 9.75%, 11/01/15 | 893 | 878,489 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 1,400 | 1,564,500 | ||||||||||||
10.13%, 7/01/20 | 1,880 | 2,204,300 | ||||||||||||
4,929,661 | ||||||||||||||
Computers & Peripherals — 0.2% | ||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (d) | 298 | 430,983 | �� | |||||||||||
SanDisk Corp., 1.50%, 8/15/17 (d) | 425 | 523,281 | ||||||||||||
954,264 | ||||||||||||||
Construction & Engineering — 0.3% | ||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | 275 | 285,312 | ||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b) | 654 | 716,130 | ||||||||||||
Weekley Homes LLC, 6.00%, 2/01/23 (b) | 230 | 234,600 | ||||||||||||
1,236,042 | ||||||||||||||
Construction Materials — 2.1% | ||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 201 | 282,280 | |||||||||||
HD Supply, Inc. (b): | ||||||||||||||
8.13%, 4/15/19 | USD | 1,870 | 2,106,087 | |||||||||||
11.00%, 4/15/20 | 1,945 | 2,343,725 | ||||||||||||
7.50%, 7/15/20 | 2,855 | 2,858,569 | ||||||||||||
11.50%, 7/15/20 | 775 | 893,188 | ||||||||||||
HeidelbergCement AG, 7.50%, 4/03/20 | EUR | 81 | 127,428 | |||||||||||
Xefin Lux SCA, 8.00%, 6/01/18 (b) | 376 | 527,090 | ||||||||||||
9,138,367 | ||||||||||||||
Consumer Finance — 0.2% | ||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 660 | 719,400 | |||||||||||
Springleaf Finance, 6.90%, 12/15/17 | 155 | 151,900 | ||||||||||||
871,300 | ||||||||||||||
Containers & Packaging — 2.1% | ||||||||||||||
Ardagh Packaging Finance Plc: | ||||||||||||||
7.38%, 10/15/17 | EUR | 200 | 283,304 | |||||||||||
7.38%, 10/15/17 | 100 | 141,652 | ||||||||||||
7.38%, 10/15/17 (b) | 600 | 849,913 | ||||||||||||
7.38%, 10/15/17 (b) | USD | 200 | 217,750 | |||||||||||
9.13%, 10/15/20 (b) | 590 | 643,100 | ||||||||||||
9.13%, 10/15/20 (b) | 459 | 502,605 | ||||||||||||
7.00%, 11/15/20 (b) | 912 | 914,280 | ||||||||||||
4.88%, 11/15/22 (b) | 218 | 214,730 | ||||||||||||
5.00%, 11/15/22 | EUR | 320 | 414,643 | |||||||||||
Berry Plastics Corp.: | ||||||||||||||
4.18%, 9/15/14 (c) | USD | 445 | 445,000 | |||||||||||
8.25%, 11/15/15 | 175 | 182,385 | ||||||||||||
9.75%, 1/15/21 | 270 | 311,850 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 867 | 1,134,968 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 16 | 17,440 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b) | 180 | 175,950 | ||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 394 | 558,212 | |||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 550 | 605,000 | |||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 605 | 567,187 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (b) | 815 | 900,575 | ||||||||||||
9,080,544 | ||||||||||||||
Distributors — 0.5% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (b) | 2,030 | 2,136,575 | ||||||||||||
Diversified Consumer Services — 2.1% | ||||||||||||||
313 Group, Inc. (b): | ||||||||||||||
6.38%, 12/01/19 | 1,456 | 1,419,600 | ||||||||||||
8.75%, 12/01/20 | 882 | 870,975 |
36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Diversified Consumer Services (concluded) | ||||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) | USD | 1,845 | $ | 2,006,437 | ||||||||||
Service Corp. International, 7.00%, 6/15/17 | 4,095 | 4,632,469 | ||||||||||||
ServiceMaster Co., 8.00%, 2/15/20 | 280 | 296,800 | ||||||||||||
9,226,281 | ||||||||||||||
Diversified Financial Services — 5.2% | ||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 880 | 899,800 | ||||||||||||
Aircastle, Ltd.: | ||||||||||||||
6.75%, 4/15/17 | 550 | 606,375 | ||||||||||||
6.25%, 12/01/19 | 481 | 518,278 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
7.50%, 12/31/13 | 460 | 483,000 | ||||||||||||
8.00%, 11/01/31 | 4,534 | 5,695,837 | ||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (b) | 610 | 601,613 | ||||||||||||
Co-Operative Group Ltd. (i): | ||||||||||||||
5.63%, 7/08/20 | GBP | 250 | 397,467 | |||||||||||
6.25%, 7/08/26 | 100 | 159,745 | ||||||||||||
DPL, Inc.: | ||||||||||||||
6.50%, 10/15/16 | USD | 450 | 472,500 | |||||||||||
7.25%, 10/15/21 | 1,275 | 1,367,438 | ||||||||||||
Gala Group Finance Plc, 8.88%, 9/01/18 | GBP | 706 | 1,156,720 | |||||||||||
General Motors Financial Co., Inc., 6.75%, 6/01/18 | USD | 460 | 529,000 | |||||||||||
Lehman Brothers Holdings, Inc. (a)(j): | ||||||||||||||
1.00%, 5/17/13 | 915 | 237,900 | ||||||||||||
5.38%, 10/17/13 | EUR | 200 | 71,152 | |||||||||||
4.75%, 1/16/14 | 1,130 | 402,011 | ||||||||||||
1.00%, 2/05/14 | 2,350 | 820,701 | ||||||||||||
1.00%, 9/22/18 | USD | 255 | 66,300 | |||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 1,148 | 1,297,240 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 | 365 | 391,919 | ||||||||||||
9.00%, 4/15/19 | 700 | 742,000 | ||||||||||||
7.88%, 8/15/19 | 485 | 535,925 | ||||||||||||
9.88%, 8/15/19 | 910 | 996,450 | ||||||||||||
5.75%, 10/15/20 | 3,080 | 3,180,100 | ||||||||||||
WMG Acquisition Corp.: | ||||||||||||||
11.50%, 10/01/18 | 618 | 717,653 | ||||||||||||
6.00%, 1/15/21 (b) | 449 | 464,715 | ||||||||||||
22,811,839 | ||||||||||||||
Diversified Telecommunication Services — 2.4% | ||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 765 | 747,787 | ||||||||||||
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., 6.38%, 9/15/20 (b) | 705 | 728,794 | ||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b) | 515 | 583,237 | ||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (b) | 475 | 513,000 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 1,736 | 1,892,240 | ||||||||||||
7.00%, 6/01/20 (b) | 639 | 670,950 | ||||||||||||
8.63%, 7/15/20 | 1,260 | 1,398,600 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (b) | 420 | 430,500 | ||||||||||||
OTE Plc, 7.25%, 2/12/15 | EUR | 256 | 335,892 | |||||||||||
Telenet Finance V Luxembourg SCA: | ||||||||||||||
6.25%, 8/15/22 | 431 | 576,759 | ||||||||||||
6.75%, 8/15/24 | 520 | 709,436 | ||||||||||||
tw telecom holdings, Inc., 5.38%, 10/01/22 | USD | 440 | 458,700 | |||||||||||
Windstream Corp.: | ||||||||||||||
8.13%, 8/01/13 | 510 | 523,362 | ||||||||||||
7.88%, 11/01/17 | 630 | 713,475 | ||||||||||||
7.50%, 4/01/23 | 120 | 125,400 | ||||||||||||
6.38%, 8/01/23 (b) | 120 | 117,600 | ||||||||||||
10,525,732 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Electric Utilities — 0.7% | |||||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | USD | 433 | $ | 480,449 | |||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 1,800 | 2,400,044 | ||||||||||||
2,880,493 | |||||||||||||||
Electrical Equipment — 0.6% | |||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (b) | USD | 550 | 563,750 | ||||||||||||
General Cable Corp., 5.75%, 10/01/22 (b) | 890 | 912,250 | |||||||||||||
Techem GmbH: | |||||||||||||||
6.13%, 10/01/19 | EUR | 633 | 878,064 | ||||||||||||
6.13%, 10/01/19 (b) | 105 | 145,650 | |||||||||||||
2,499,714 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | USD | 350 | 420,875 | ||||||||||||
NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (b) | 100 | 114,250 | |||||||||||||
535,125 | |||||||||||||||
Energy Equipment & Services — 3.7% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 205 | 222,937 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 497 | 499,485 | |||||||||||||
Compagnie Générale de Géophysique, Veritas: | |||||||||||||||
7.75%, 5/15/17 | 365 | 376,406 | |||||||||||||
6.50%, 6/01/21 | 1,855 | 1,929,200 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 1,602 | 1,658,070 | |||||||||||||
Genesis Energy LP, 5.75%, 2/15/21 (b) | 250 | 258,750 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 230 | 237,475 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 465 | 488,250 | |||||||||||||
MEG Energy Corp. (b): | |||||||||||||||
6.50%, 3/15/21 | 2,025 | 2,136,375 | |||||||||||||
6.38%, 1/30/23 | 535 | 553,725 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 470 | 502,900 | |||||||||||||
5.13%, 1/15/23 (b) | 200 | 200,000 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 340 | 361,250 | |||||||||||||
6.25%, 11/15/21 | 1,720 | 1,788,800 | |||||||||||||
7.88%, 11/01/26 | 555 | 593,850 | |||||||||||||
4.75%, 12/15/41 (d) | 1,055 | 896,091 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 115 | 122,188 | |||||||||||||
6.50%, 12/15/21 | 440 | 466,400 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b) | 349 | 366,450 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 2,009 | 2,034,112 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 549 | 565,470 | |||||||||||||
16,258,184 | |||||||||||||||
Food & Staples Retailing — 0.3% | |||||||||||||||
Bakkavor Finance 2 Plc, 8.25%, 2/15/18 | GBP | 393 | 605,144 | ||||||||||||
Rite Aid Corp., 9.25%, 3/15/20 | USD | 555 | 621,600 | ||||||||||||
Zobele Holding SpA, 7.88%, 2/01/18 | EUR | 140 | 185,518 | ||||||||||||
1,412,262 | |||||||||||||||
Food Products — 0.5% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | USD | 170 | 193,375 | ||||||||||||
Del Monte Corp., 7.63%, 2/15/19 | 90 | 93,375 | |||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 840 | 907,200 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 702 | 763,425 | |||||||||||||
1,957,375 | |||||||||||||||
Health Care Equipment & Supplies — 2.3% | |||||||||||||||
Biomet, Inc. (b): | |||||||||||||||
6.50%, 8/01/20 | 2,623 | 2,773,822 | |||||||||||||
6.50%, 10/01/20 | 3,189 | 3,284,670 | |||||||||||||
DJO Finance LLC: | |||||||||||||||
8.75%, 3/15/18 | 560 | 618,100 | |||||||||||||
7.75%, 4/15/18 | 155 | 154,225 | |||||||||||||
9.88%, 4/15/18 | 620 | 661,850 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 37 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Health Care Equipment & Supplies (concluded) | ||||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b) | USD | 420 | $ | 457,800 | ||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (b) | 308 | 333,410 | ||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 800 | 918,000 | ||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b) | 485 | 475,300 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 435 | 473,063 | ||||||||||||
10,150,240 | ||||||||||||||
Health Care Providers & Services — 8.2% | ||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 845 | 906,262 | ||||||||||||
Care UK Health & Social Care Plc, 9.75%, 8/01/17 | GBP | 130 | 198,696 | |||||||||||
CHS/Community Health Systems, Inc.: | ||||||||||||||
5.13%, 8/15/18 | USD | 1,180 | 1,240,475 | |||||||||||
7.13%, 7/15/20 | 669 | 720,848 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 694 | 960,414 | |||||||||||
Crown Newco 3 Plc: | ||||||||||||||
7.00%, 2/15/18 | GBP | 200 | 313,271 | |||||||||||
7.00%, 2/15/18 (b) | 547 | 856,796 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 1,319 | 1,375,057 | |||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 1,619 | 1,708,045 | ||||||||||||
HCA, Inc.: | ||||||||||||||
8.50%, 4/15/19 | 200 | 221,500 | ||||||||||||
6.50%, 2/15/20 | 3,030 | 3,393,600 | ||||||||||||
7.88%, 2/15/20 | 405 | 449,044 | ||||||||||||
7.25%, 9/15/20 | 3,560 | 3,951,600 | ||||||||||||
5.88%, 3/15/22 | 325 | 350,188 | ||||||||||||
4.75%, 5/01/23 | 1,544 | 1,540,140 | ||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (b) | 2,366 | 2,496,130 | ||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 965 | 993,950 | ||||||||||||
INC Research LLC, 11.50%, 7/15/19 (b) | 516 | 550,830 | ||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (b) | 930 | 969,525 | ||||||||||||
Omnicare, Inc.: | ||||||||||||||
7.75%, 6/01/20 | 1,460 | 1,620,600 | ||||||||||||
3.75%, 4/01/42 (d) | 236 | 246,030 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 510 | 532,950 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 1,579 | 1,748,742 | ||||||||||||
8.88%, 7/01/19 | 4,505 | 5,090,650 | ||||||||||||
6.75%, 2/01/20 | 775 | 829,250 | ||||||||||||
4.50%, 4/01/21 (b) | 1,059 | 1,044,439 | ||||||||||||
Vanguard Health Holding Co. II LLC: | ||||||||||||||
8.00%, 2/01/18 | 357 | 380,205 | ||||||||||||
7.75%, 2/01/19 (b) | 685 | 733,806 | ||||||||||||
Voyage Care Bondco Plc, 6.50%, 8/01/18 | GBP | 170 | 262,412 | |||||||||||
35,685,455 | ||||||||||||||
Health Care Technology — 1.0% | ||||||||||||||
IMS Health, Inc. (b): | ||||||||||||||
12.50%, 3/01/18 | USD | 3,290 | 3,964,450 | |||||||||||
6.00%, 11/01/20 | 212 | 220,480 | ||||||||||||
4,184,930 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.3% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
10.00%, 12/15/18 | 732 | 483,120 | ||||||||||||
8.50%, 2/15/20 | 298 | 290,550 | ||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b) | 1,484 | 1,465,450 | ||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (b) | 485 | 506,825 | ||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 680 | 870,018 | |||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 1,770 | 1,947,000 | |||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) | 200 | 198,750 | ||||||||||||
Enterprise Inns Plc, 6.50%, 12/06/18 | GBP | 477 | 710,969 | |||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 453 | 609,156 | |||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (b) | USD | 433 | 415,680 | |||||||||||
MCE Finance, Ltd., 5.00%, 2/15/21 (b) | 998 | 998,000 | ||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (g) | 221 | 229,944 | ||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 385 | 377,300 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Hotels, Restaurants & Leisure (concluded) | |||||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | USD | 882 | $ | 864,360 | |||||||||||
Station Casinos LLC: | |||||||||||||||
3.66%, 6/18/18 | 991 | 991,000 | |||||||||||||
7.50%, 3/01/21 (b)(h) | 1,730 | 1,740,813 | |||||||||||||
Travelport LLC (c): | |||||||||||||||
4.91%, 9/01/14 | 245 | 222,950 | |||||||||||||
6.31%, 12/01/16 (b)(g) | 640 | 580,407 | |||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(j) | 475 | — | |||||||||||||
The Unique Pub Finance Co. Plc, Series A3, 6.54%, 3/30/21 | GBP | 200 | 302,652 | ||||||||||||
Wynn Las Vegas LLC, 5.38%, 3/15/22 | USD | 579 | 608,674 | ||||||||||||
14,413,618 | |||||||||||||||
Household Durables — 2.6% | |||||||||||||||
Algeco Scotsman Global Finance Plc, 9.00%, 10/15/18 | EUR | 205 | 278,343 | ||||||||||||
Ashton Woods USA LLC, 6.88%, 2/15/21 (b) | USD | 336 | 337,680 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 55 | 58,781 | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b) | 605 | 641,300 | |||||||||||||
Jarden Corp., 7.50%, 1/15/20 | EUR | 447 | 628,808 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | USD | 1,400 | 1,540,000 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 905 | 970,613 | |||||||||||||
PH Holding LLC, 9.75%, 12/31/17 | 510 | 499,800 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 280 | 284,200 | |||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 500 | 550,000 | |||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 339 | 493,478 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 2,050 | 2,552,250 | ||||||||||||
8.38%, 1/15/21 | 1,450 | 1,721,875 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 379 | 407,899 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 (b) | 445 | 478,375 | |||||||||||||
11,443,402 | |||||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 | EUR | 100 | 135,777 | ||||||||||||
7.50%, 4/15/18 (b) | 220 | 298,710 | |||||||||||||
9.00%, 4/15/19 | 321 | 429,559 | |||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 568 | 604,210 | ||||||||||||
6.63%, 11/15/22 | 370 | 398,675 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 1,395 | 1,581,581 | |||||||||||||
6.75%, 3/15/20 (b) | 142 | 153,005 | |||||||||||||
3,601,517 | |||||||||||||||
Independent Power Producers & Energy Traders — 3.6% | |||||||||||||||
The AES Corp., 7.38%, 7/01/21 | 405 | 457,650 | |||||||||||||
Calpine Corp. (b): | |||||||||||||||
7.25%, 10/15/17 | 238 | 253,172 | |||||||||||||
7.50%, 2/15/21 | 135 | 146,812 | |||||||||||||
7.88%, 1/15/23 | 590 | 653,425 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
6.88%, 8/15/17 (b) | 1,115 | 1,176,325 | |||||||||||||
10.00%, 12/01/20 | 3,357 | 3,810,195 | |||||||||||||
10.00%, 12/01/20 (b) | 2,090 | 2,356,475 | |||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B 9.24%, 7/02/17 | 357 | 393,673 | |||||||||||||
Series C, 9.68%, 7/02/26 | 445 | 485,050 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 730 | 824,900 | |||||||||||||
7.38%, 5/01/22 | 550 | 596,750 | |||||||||||||
NRG Energy, Inc.: | |||||||||||||||
7.63%, 1/15/18 | 2,243 | 2,571,039 | |||||||||||||
6.63%, 3/15/23 (b) | 965 | 1,027,725 |
38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Independent Power Producers & Energy Traders (concluded) | |||||||||||||||
QEP Resources, Inc.: | |||||||||||||||
5.38%, 10/01/22 | USD | 488 | $ | 511,180 | |||||||||||
5.25%, 5/01/23 | 380 | 393,300 | |||||||||||||
15,657,671 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (b) | 850 | 856,375 | |||||||||||||
Insurance — 0.6% | |||||||||||||||
Alliant Holdings I, Inc., 7.88%, 12/15/20 (b) | 1,661 | 1,669,305 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b) | 332 | 351,920 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 375 | 371,250 | |||||||||||||
TMF Group Holding B.V., 9.88%, 12/01/19 | EUR | 270 | 356,023 | ||||||||||||
2,748,498 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Cerved Technologies SpA: | |||||||||||||||
6.38%, 1/15/20 | 100 | 129,902 | |||||||||||||
8.00%, 1/15/21 | 100 | 126,965 | |||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 219 | 219,000 | ||||||||||||
475,867 | |||||||||||||||
IT Services — 3.3% | |||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b) | 1,855 | 2,091,512 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 820 | 883,550 | |||||||||||||
First Data Corp.: | |||||||||||||||
7.38%, 6/15/19 (b) | 2,315 | 2,433,644 | |||||||||||||
8.88%, 8/15/20 (b) | 795 | 878,475 | |||||||||||||
6.75%, 11/01/20 (b) | 2,793 | 2,866,316 | |||||||||||||
8.25%, 1/15/21 (b) | 186 | 190,185 | |||||||||||||
11.25%, 1/15/21 (b) | 733 | 747,660 | |||||||||||||
12.63%, 1/15/21 | 1,170 | 1,247,512 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 810 | 869,738 | |||||||||||||
6.63%, 11/01/19 (b) | 1,190 | 1,222,725 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b) | 726 | 702,405 | |||||||||||||
14,133,722 | |||||||||||||||
Machinery — 1.7% | |||||||||||||||
Dematic SA, 7.75%, 12/15/20 (b) | 137 | 140,083 | |||||||||||||
The Manitowoc Co., Inc., 5.88%, 10/15/22 | 705 | 722,625 | |||||||||||||
Silver II Borrower/Silver II US Holdings LLC, 7.75%, 12/15/20 (b) | 417 | 433,680 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 260 | 290,550 | |||||||||||||
Terex Corp., 6.00%, 5/15/21 | 700 | 726,250 | |||||||||||||
Trinseo Materials Operating SCA, 8.75%, 2/01/19 (b) | 606 | 603,727 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
7.38%, 5/15/20 | 655 | 717,225 | |||||||||||||
7.63%, 4/15/22 | 2,966 | 3,284,845 | |||||||||||||
6.13%, 6/15/23 | 280 | 294,000 | |||||||||||||
7,212,985 | |||||||||||||||
Media — 10.0% | |||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 | 582 | 442,320 | |||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 330 | 374,550 | |||||||||||||
4.75%, 12/15/22 | 529 | 527,016 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 820 | 795,400 | |||||||||||||
CCO Holdings LLC: | |||||||||||||||
5.25%, 9/30/22 | 1,155 | 1,136,231 | |||||||||||||
5.13%, 2/15/23 | 920 | 897,000 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b) | 942 | 744,180 | |||||||||||||
Checkout Holding Corp., 11.47%, 11/15/15 (b)(e) | 639 | 472,061 | |||||||||||||
Cinemark USA, Inc.: | |||||||||||||||
8.63%, 6/15/19 | 375 | 415,781 | |||||||||||||
5.13%, 12/15/22 (b) | 314 | 315,570 | |||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (b) | 1,101 | 1,023,930 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||||
6.50%, 11/15/22 (b) | USD | 916 | $ | 957,220 | ||||||||||
6.50%, 11/15/22 (b) | 2,477 | 2,607,042 | ||||||||||||
Series B, 7.63%, 3/15/20 | 1,677 | 1,735,695 | ||||||||||||
DISH DBS Corp.: | ||||||||||||||
5.88%, 7/15/22 | 1,505 | 1,587,775 | ||||||||||||
5.00%, 3/15/23 (b) | 1,000 | 992,500 | ||||||||||||
Harron Communications LP, 9.13%, 4/01/20 (b) | 470 | 517,000 | ||||||||||||
Intelsat Jackson Holdings SA: | ||||||||||||||
7.25%, 10/15/20 | 1,030 | 1,104,675 | ||||||||||||
6.63%, 12/15/22 (b) | 259 | 260,943 | ||||||||||||
Intelsat Luxembourg SA: | ||||||||||||||
11.25%, 2/04/17 | 910 | 966,875 | ||||||||||||
11.50%, 2/04/17 | 3,306 | 3,517,130 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 1,990 | 2,256,162 | ||||||||||||
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | 500 | 539,375 | ||||||||||||
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b) | EUR | 505 | 705,981 | |||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | USD | 1,130 | 1,226,050 | |||||||||||
Lynx I Corp., 6.00%, 4/15/21 | GBP | 1,676 | 2,612,497 | |||||||||||
Lynx II Corp., 6.38%, 4/15/23 (b) | USD | 285 | 295,331 | |||||||||||
The McClatchy Co., 9.00%, 12/15/22 (b) | 640 | 676,800 | ||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 743 | 809,870 | ||||||||||||
Nara Cable Funding Ltd.: | ||||||||||||||
8.88%, 12/01/18 | EUR | 200 | 274,165 | |||||||||||
8.88%, 12/01/18 (b) | USD | 200 | 206,500 | |||||||||||
Nielsen Finance LLC: | ||||||||||||||
11.63%, 2/01/14 | 91 | 99,418 | ||||||||||||
7.75%, 10/15/18 | 1,779 | 1,970,243 | ||||||||||||
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) | GBP | 308 | 485,942 | |||||||||||
ProQuest LLC, 9.00%, 10/15/18 (b) | USD | 270 | 267,975 | |||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,275 | 1,275,000 | ||||||||||||
Unitymedia GmbH: | ||||||||||||||
9.63%, 12/01/19 (b) | EUR | 845 | 1,220,679 | |||||||||||
9.50%, 3/15/21 | 518 | 770,006 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG: | ||||||||||||||
7.50%, 3/15/19 | 1,249 | 1,773,312 | ||||||||||||
5.50%, 1/15/23 (b) | USD | 760 | 767,600 | |||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b) | 652 | 704,160 | ||||||||||||
UPCB Finance II Ltd.: | ||||||||||||||
6.38%, 7/01/20 | 514 | 711,316 | ||||||||||||
6.38%, 7/01/20 (b) | EUR | 1,218 | 1,685,569 | |||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b) | USD | 531 | 557,550 | |||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 273 | 384,928 | |||||||||||
43,667,323 | ||||||||||||||
Metals & Mining — 4.8% | ||||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | USD | 445 | 502,294 | |||||||||||
4.25%, 8/05/15 | 581 | 601,534 | ||||||||||||
4.25%, 3/01/16 | 175 | 180,250 | ||||||||||||
5.00%, 2/25/17 | 620 | 645,110 | ||||||||||||
6.13%, 6/01/18 | 619 | 667,466 | ||||||||||||
6.00%, 3/01/21 | 87 | 92,331 | ||||||||||||
6.75%, 2/25/22 | 727 | 800,505 | ||||||||||||
7.50%, 10/15/39 | 90 | 93,300 | ||||||||||||
7.25%, 3/01/41 | 342 | 341,145 | ||||||||||||
Eco-Bat Finance Plc, 7.75%, 2/15/17 | EUR | 585 | 788,568 | |||||||||||
FMG Resources August 2006 Property Ltd. (b): | ||||||||||||||
6.38%, 2/01/16 | USD | 661 | 689,092 | |||||||||||
6.00%, 4/01/17 | 709 | 739,132 | ||||||||||||
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b) | 445 | 483,938 | ||||||||||||
GoldCorp, Inc., 2.00%, 8/01/14 (d) | 1,575 | 1,649,812 | ||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 330 | 368,775 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 39 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
New Gold, Inc. (b): | ||||||||||||||
7.00%, 4/15/20 | USD | 225 | $ | 243,000 | ||||||||||
6.25%, 11/15/22 | 445 | 468,363 | ||||||||||||
New World Resources NV: | ||||||||||||||
7.88%, 5/01/18 | EUR | 324 | 433,776 | |||||||||||
7.88%, 1/15/21 | 360 | 434,748 | ||||||||||||
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d) | USD | 2,170 | 2,396,494 | |||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,560 | 5,107,200 | ||||||||||||
Peninsula Energy Ltd., 11.00%, 12/14/14 | 800 | 800,000 | ||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (b) | 285 | 299,250 | ||||||||||||
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19 | EUR | 364 | 425,464 | |||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (b) | USD | 355 | 379,850 | |||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 605 | 601,975 | ||||||||||||
Vedanta Resources Plc, 8.25%, 6/07/21 (b) | 415 | 472,063 | ||||||||||||
Walter Energy, Inc., 9.88%, 12/15/20 (b) | 198 | 215,325 | ||||||||||||
20,920,760 | ||||||||||||||
Multiline Retail — 0.5% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 1,169 | 1,236,217 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 661 | 689,093 | ||||||||||||
1,925,310 | ||||||||||||||
Oil, Gas & Consumable Fuels — 9.1% | ||||||||||||||
Access Midstream Partners LP: | ||||||||||||||
6.13%, 7/15/22 | 405 | 434,362 | ||||||||||||
4.88%, 5/15/23 | 555 | 549,450 | ||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (d) | 1,335 | 1,274,091 | ||||||||||||
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b) | 990 | 1,064,250 | ||||||||||||
BreitBurn Energy Partners LP, 7.88%, 4/15/22 | 375 | 398,437 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 354 | 371,700 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 325 | 352,625 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 180 | 203,400 | ||||||||||||
6.63%, 8/15/20 | 260 | 284,700 | ||||||||||||
6.88%, 11/15/20 | 260 | 286,000 | ||||||||||||
6.13%, 2/15/21 | 122 | 129,320 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 245 | 270,725 | ||||||||||||
6.50%, 1/15/22 | 436 | 475,240 | ||||||||||||
5.50%, 10/01/22 | 332 | 345,695 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 460 | 507,150 | ||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 545 | 618,575 | ||||||||||||
Crosstex Energy LP, 8.88%, 2/15/18 | 225 | 242,438 | ||||||||||||
Crown Oil Partners IV LP, 15.00%, 3/07/15 | 904 | 950,629 | ||||||||||||
CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 (b) | 565 | 569,237 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 1,132 | 1,110,775 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 695 | 785,350 | ||||||||||||
7.75%, 6/15/19 | 795 | 852,637 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||||||||||||
6.88%, 5/01/19 | 510 | 555,900 | ||||||||||||
7.75%, 9/01/22 | 315 | 340,988 | ||||||||||||
EV Energy Partners LP, 8.00%, 4/15/19 | 215 | 225,213 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 (b) | 616 | 662,200 | ||||||||||||
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | 392 | 432,180 | ||||||||||||
Holly Energy Partners LP, 6.50%, 3/01/20 (b) | 230 | 246,100 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 510 | 573,750 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.50%, 5/15/19 | 66 | 68,310 | ||||||||||||
6.25%, 11/01/19 (b) | 1,760 | 1,795,200 | ||||||||||||
8.63%, 4/15/20 | 165 | 182,531 | ||||||||||||
7.75%, 2/01/21 | 235 | 253,800 | ||||||||||||
MarkWest Energy Partners LP: | ||||||||||||||
5.50%, 2/15/23 | 350 | 367,500 | ||||||||||||
4.50%, 7/15/23 | 221 | 216,028 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | USD | 1,150 | $ | 1,233,375 | ||||||||||
Northern Oil and Gas, Inc., 8.00%, 6/01/20 | 460 | 480,700 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 295 | 318,600 | ||||||||||||
6.50%, 11/01/21 | 430 | 464,400 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 1,023 | 1,115,070 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (b) | 325 | 353,438 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (b) | 310 | 327,825 | ||||||||||||
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b) | 906 | 924,120 | ||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 850 | 935,000 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 1,550 | 1,786,375 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | 515 | 566,500 | ||||||||||||
5.75%, 6/01/21 | 1,496 | 1,593,240 | ||||||||||||
5.00%, 8/15/22 | 593 | 606,342 | ||||||||||||
Regency Energy Partners LP: | ||||||||||||||
6.88%, 12/01/18 | 581 | 627,480 | ||||||||||||
5.50%, 4/15/23 | 964 | 1,017,020 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (b) | 2,388 | 2,465,610 | ||||||||||||
Sabine Pass Liquified Natural Gas LP: | ||||||||||||||
7.50%, 11/30/16 | 2,245 | 2,480,725 | ||||||||||||
6.50%, 11/01/20 (b) | 480 | 506,400 | ||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 762 | 798,195 | ||||||||||||
SESI LLC: | ||||||||||||||
6.38%, 5/01/19 | 480 | 514,800 | ||||||||||||
7.13%, 12/15/21 | 345 | 382,087 | ||||||||||||
SM Energy Co.: | ||||||||||||||
6.63%, 2/15/19 | 195 | 209,138 | ||||||||||||
6.50%, 11/15/21 | 390 | 424,125 | ||||||||||||
6.50%, 1/01/23 | 575 | 622,437 | ||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b) | 229 | 238,733 | ||||||||||||
Vanguard Natural Resources, 7.88%, 4/01/20 | 400 | 420,000 | ||||||||||||
39,408,221 | ||||||||||||||
Paper & Forest Products — 0.7% | ||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b) | 520 | 560,300 | ||||||||||||
Boise Paper Holdings LLC: | ||||||||||||||
9.00%, 11/01/17 | 85 | 91,906 | ||||||||||||
8.00%, 4/01/20 | 180 | 198,450 | ||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 865 | 936,363 | ||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b) | 505 | 530,250 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(j) | 2,892 | — | ||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b) | 200 | 224,000 | ||||||||||||
Unifrax I LLC, 7.50%, 2/15/19 (b) | 385 | 390,775 | ||||||||||||
2,932,044 | ||||||||||||||
Pharmaceuticals — 1.5% | ||||||||||||||
Capsugel Finance Co. SCA: | ||||||||||||||
9.88%, 8/01/19 | EUR | 100 | 146,874 | |||||||||||
9.88%, 8/01/19 (b) | 300 | 440,623 | ||||||||||||
Elan Corp. Plc, 6.25%, 10/15/19 (b) | USD | 756 | 866,565 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | 632 | 725,220 | ||||||||||||
Mylan, Inc., 6.00%, 11/15/18 (b) | 160 | 176,219 | ||||||||||||
Valeant Pharmaceuticals International (b): | ||||||||||||||
6.50%, 7/15/16 | 640 | 672,400 | ||||||||||||
6.88%, 12/01/18 | 1,128 | 1,225,290 | ||||||||||||
6.38%, 10/15/20 | 600 | 645,750 | ||||||||||||
6.75%, 8/15/21 | 725 | 783,906 | ||||||||||||
Warner Chilcott Co. LLC, 7.75%, 9/15/18 | 905 | 977,400 | ||||||||||||
6,660,247 | ||||||||||||||
Professional Services — 0.3% | ||||||||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 324 | 423,633 | |||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b) | USD | 760 | 851,200 | |||||||||||
1,274,833 |
40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||||||
Cantor Commercial Real Estate Co. LP, 7.75%, 2/15/18 (b) | USD | 417 | $ | 419,085 | |||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 1,507 | 1,619,083 | |||||||||||||
5.63%, 3/01/23 (b) | 379 | 381,369 | |||||||||||||
The Rouse Co. LP, 6.75%, 11/09/15 | 770 | 800,800 | |||||||||||||
3,220,337 | |||||||||||||||
Real Estate Management & Development — 2.6% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 500 | 540,000 | |||||||||||||
Country Garden Holdings Co. Ltd., 7.50%, 1/10/23 (b) | 226 | 234,475 | |||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b) | 1,270 | 1,368,425 | |||||||||||||
Forest City Enterprises, Inc., 7.63%, 6/01/15 | 687 | 685,282 | |||||||||||||
IVG Immobilien AG, 8.00% (a)(c)(j)(k) | EUR | 300 | 227,166 | ||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (b) | USD | 550 | 547,938 | ||||||||||||
Realogy Corp.: | |||||||||||||||
11.50%, 4/15/17 | 575 | 613,094 | |||||||||||||
12.00%, 4/15/17 | 145 | 154,788 | |||||||||||||
7.88%, 2/15/19 (b) | 2,995 | 3,257,062 | |||||||||||||
7.63%, 1/15/20 (b) | 750 | 845,625 | |||||||||||||
9.00%, 1/15/20 (b) | 485 | 556,537 | |||||||||||||
Shea Homes LP, 8.63%, 5/15/19 | 2,005 | 2,225,550 | |||||||||||||
11,255,942 | |||||||||||||||
Road & Rail — 0.5% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 820 | 895,850 | |||||||||||||
6.75%, 4/15/19 (b) | 430 | 463,325 | |||||||||||||
7.38%, 1/15/21 | 645 | 711,112 | |||||||||||||
Hertz Holdings Netherlands BV, 8.50%, 7/31/15 | EUR | 71 | 98,557 | ||||||||||||
2,168,844 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.4% | |||||||||||||||
Micron Technology, Inc., Series C, 2.38%, 5/01/32 (b)(d) | USD | 391 | 435,232 | ||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 500 | 511,250 | |||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 850 | 896,750 | |||||||||||||
1,843,232 | |||||||||||||||
Software — 1.2% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (b) | 621 | 607,027 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(g) | 436 | 446,900 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 2,270 | 2,548,075 | |||||||||||||
Interface Security Systems Holdings, Inc., 9.25%, 1/15/18 (b) | 219 | 222,833 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 740 | 749,250 | |||||||||||||
Sophia LP, 9.75%, 1/15/19 (b) | 645 | 713,531 | |||||||||||||
5,287,616 | |||||||||||||||
Specialty Retail — 3.0% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 540 | 602,100 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 1,288 | 1,429,680 | |||||||||||||
House of Fraser Funding Plc: | |||||||||||||||
8.88%, 8/15/18 | GBP | 221 | 355,384 | ||||||||||||
8.88%, 8/15/18 (b) | 420 | 675,391 | |||||||||||||
Limited Brands, Inc.: | |||||||||||||||
8.50%, 6/15/19 | USD | 1,170 | 1,433,250 | ||||||||||||
5.63%, 2/15/22 | 235 | 248,513 | |||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 346 | 377,572 | |||||||||||||
New Academy Finance Co., 8.00%, 6/15/18 (b)(g) | 319 | 329,368 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | 1,500 | 1,631,250 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b) | 1,650 | 1,726,312 | |||||||||||||
QVC, Inc.: | |||||||||||||||
7.13%, 4/15/17 (b) | 340 | 354,130 | |||||||||||||
7.50%, 10/01/19 (b) | 920 | 1,015,397 | |||||||||||||
7.38%, 10/15/20 (b) | 440 | 487,713 | |||||||||||||
5.13%, 7/02/22 | 26 | 27,493 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail (concluded) | |||||||||||||||
Sally Holdings LLC: | |||||||||||||||
6.88%, 11/15/19 | USD | 805 | $ | 897,575 | |||||||||||
5.75%, 6/01/22 | 753 | 795,356 | |||||||||||||
Sonic Automotive, Inc., 9.00%, 3/15/18 | 550 | 605,000 | |||||||||||||
12,991,484 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 645 | 700,632 | |||||||||||||
Phillips-Van Heusen Corp., 4.50%, 12/15/22 | 373 | 367,871 | |||||||||||||
1,068,503 | |||||||||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||||||||
Radian Group, Inc., 2.25%, 3/01/19 (d) | 105 | 112,481 | |||||||||||||
Trading Companies & Distributors — 0.7% | |||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b) | 735 | 791,963 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd., Series 2012-1 (b): | |||||||||||||||
Class A, 5.13%, 11/30/24 | 1,130 | 1,214,750 | |||||||||||||
Class B, 6.50%, 5/30/21 | 855 | 903,869 | |||||||||||||
2,910,582 | |||||||||||||||
Transportation Infrastructure — 0.2% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) | 632 | 669,920 | |||||||||||||
Wireless Telecommunication Services — 4.3% | |||||||||||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 865 | 882,300 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (b) | 1,658 | 1,699,450 | |||||||||||||
Digicel Group Ltd. (b): | |||||||||||||||
8.25%, 9/01/17 | 1,650 | 1,740,750 | |||||||||||||
8.25%, 9/30/20 | 1,430 | 1,525,095 | |||||||||||||
6.00%, 4/15/21 (h) | 850 | 847,875 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 1,016 | 1,062,990 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 517 | 361,900 | |||||||||||||
Phones4u Finance Plc: | |||||||||||||||
9.50%, 4/01/18 | GBP | 200 | 313,271 | ||||||||||||
9.50%, 4/01/18 (b) | 545 | 853,663 | |||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | USD | 2,273 | 2,295,730 | ||||||||||||
Sprint Nextel Corp. (b): | |||||||||||||||
9.00%, 11/15/18 | 3,574 | 4,431,760 | |||||||||||||
7.00%, 3/01/20 | 2,205 | 2,579,850 | |||||||||||||
18,594,634 | |||||||||||||||
Total Corporate Bonds — 103.6% | 450,611,986 | ||||||||||||||
Floating Rate Loan Interests (c) | |||||||||||||||
Airlines — 1.1% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 647 | 652,926 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.32%, 3/10/17 | 1,061 | 987,791 | |||||||||||||
2.32%, 3/10/17 | 1,922 | 1,789,382 | |||||||||||||
1.70%, 9/10/18 | 872 | 778,522 | |||||||||||||
1.70%, 9/10/18 | 865 | 772,272 | |||||||||||||
4,980,893 | |||||||||||||||
Auto Components — 1.3% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.14%, 12/29/14 | 2,563 | 2,384,748 | |||||||||||||
Term Loan C, 2.14%, 12/28/15 | 1,230 | 1,143,487 | |||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 2,135 | 2,134,466 | |||||||||||||
5,662,701 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 625 | 631,562 | |||||||||||||
Capital Markets — 0.6% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 1,382 | 1,395,820 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Capital Markets (concluded) | ||||||||||||||
Nuveen Investments, Inc.: | ||||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | USD | 725 | $ | 728,625 | ||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 615 | 627,300 | ||||||||||||
2,751,745 | ||||||||||||||
Chemicals — 0.4% | ||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 558 | 569,695 | ||||||||||||
US Coatings Acquisition, Inc.: | ||||||||||||||
Term Loan, 4.75%, 2/03/20 | 1,040 | 1,052,626 | ||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 115 | 151,667 | |||||||||||
1,773,988 | ||||||||||||||
Commercial Services & Supplies — 0.4% | ||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | USD | 625 | 629,881 | |||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 875 | 880,101 | ||||||||||||
1,509,982 | ||||||||||||||
Communications Equipment — 1.4% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan C, 7.25%, 1/31/19 | 2,080 | 2,102,880 | ||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 810 | 1,060,287 | |||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 186 | 186,517 | |||||||||||
Zayo Group LLC, Refinancing Term Loan B, 5.25%, 7/12/19 | 2,691 | 2,699,297 | ||||||||||||
6,048,981 | ||||||||||||||
Construction & Engineering — 0.7% | ||||||||||||||
Safway Services LLC, Mezzanine Loan, 9.88%, 12/16/17 | 3,000 | 3,000,000 | ||||||||||||
Construction Materials — 0.4% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 1,642 | 1,646,117 | ||||||||||||
Consumer Finance — 1.4% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 5,880 | 5,900,815 | ||||||||||||
Diversified Consumer Services — 0.2% | ||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 213 | 213,964 | ||||||||||||
ServiceMaster Co., New Term Loan, 2.70%, 4/01/17 | 680 | 677,693 | ||||||||||||
891,657 | ||||||||||||||
Diversified Telecommunication Services — 0.8% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 499 | 504,361 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 405 | 409,135 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 2,500 | 2,520,000 | ||||||||||||
3,433,496 | ||||||||||||||
Energy Equipment & Services — 1.6% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 2,546 | 2,627,341 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 4,108 | 4,272,285 | ||||||||||||
Tervita Corp., Incremental Term Loan, 6.50%, 5/01/18 | 215 | 216,110 | ||||||||||||
7,115,736 | ||||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||||
Rite Aid Corp., Second Lien Term Loan, 5.75%, 7/07/20 | 160 | 163,645 | ||||||||||||
Food Products — 0.1% | ||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 320 | 323,901 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 567 | 570,996 | ||||||||||||
Capital Safety North America Holdings, Inc., Term Loan, 4.50%, 1/21/19 | 1,112 | 1,111,600 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Health Care Equipment & Supplies (concluded) | ||||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | USD | 413 | $ | 422,216 | ||||||||||
2,104,812 | ||||||||||||||
Health Care Providers & Services — 0.4% | ||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 278 | 272,487 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 549 | 537,061 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 478 | 473,526 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 576 | 566,604 | ||||||||||||
1,849,678 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.2% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 766 | 763,261 | ||||||||||||
Term Loan B3, 3.20%—3.31%, 1/28/15 | 34 | 34,289 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 8,647 | 7,954,872 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 1,840 | 1,861,160 | ||||||||||||
Station Casinos, Inc., Term Loan B: | ||||||||||||||
5.50%, 9/27/19 | 1,531 | 1,540,089 | ||||||||||||
5.00%, 2/13/20 | 1,485 | 1,497,375 | ||||||||||||
Travelport Holdings Ltd.: | ||||||||||||||
Extended Tranche A Term Loan, 6.40%, 12/01/16 | 294 | 103,988 | ||||||||||||
Extended Tranche B Term Loan, 13.80%, 12/01/16 | 985 | 91,946 | ||||||||||||
13,846,980 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 860 | 869,911 | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 500 | 503,750 | ||||||||||||
IT Services — 0.3% | ||||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 104 | 104,822 | ||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.20%, 3/23/18 | 1,160 | 1,145,384 | ||||||||||||
1,250,206 | ||||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 355 | 354,732 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 304 | 307,660 | ||||||||||||
Machinery — 0.7% | ||||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 871 | 876,653 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 5.00%, 12/05/19 | 2,355 | 2,355,000 | ||||||||||||
3,231,653 | ||||||||||||||
Media — 3.7% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 480 | 375,549 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 2,298 | 1,826,513 | ||||||||||||
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19 | 425 | 427,355 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 1,968 | 1,682,959 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 581 | 490,625 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 632 | 638,617 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 607 | 611,484 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 8,037 | 8,112,183 |
42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Media (concluded) | |||||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | USD | 608 | $ | 609,327 | |||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 400 | 400,103 | |||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 2/17/20 | 1,115 | 1,108,343 | |||||||||||||
16,283,058 | |||||||||||||||
Metals & Mining — 0.9% | |||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 627 | 639,387 | |||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 3,307 | 3,346,327 | |||||||||||||
3,985,714 | |||||||||||||||
Multiline Retail — 0.4% | |||||||||||||||
HEMA Holding BV, Mezzanine, 8.62%, 7/05/17 (g) | EUR | 1,480 | 1,710,092 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | USD | 3,255 | 3,322,476 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,247 | 1,258,978 | |||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 345 | 348,236 | |||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 1,437 | 1,443,996 | |||||||||||||
6,373,686 | |||||||||||||||
Pharmaceuticals — 0.7% | |||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,470 | 1,472,940 | |||||||||||||
Par Pharmaceutica, Term Loan B, 4.25%, 9/28/19 | 1,057 | 1,056,028 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 460 | 462,555 | |||||||||||||
2,991,523 | |||||||||||||||
Professional Services — 0.1% | |||||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 547 | 552,383 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.4% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 1,539 | 1,539,667 | |||||||||||||
Real Estate Management & Development — 0.3% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.46%, 10/10/16 | 136 | 136,303 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 1,084 | 1,084,047 | |||||||||||||
1,220,350 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 426 | 426,305 | |||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B, 4.45%, 12/01/16 | 440 | 440,000 | |||||||||||||
Software — 0.6% | |||||||||||||||
GCA Services Group, Inc., Second Lien Term Loan, 9.25%, 10/22/20 | 85 | 84,150 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 1,811 | 1,830,524 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 760 | 790,400 | |||||||||||||
2,705,074 | |||||||||||||||
Specialty Retail — 0.2% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 800 | 808,200 | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,628 | 1,643,977 | |||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 650 | 655,213 | |||||||||||||
2,299,190 | |||||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 900 | 910,872 |
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services — 1.2% | |||||||||||||||
Vodafone Americas Finance 2, Inc. (g): | |||||||||||||||
Term Loan, 6.88%, 8/11/15 | USD | 3,046 | $ | 3,106,615 | |||||||||||
Term Loan B, 6.25%, 7/11/16 | 1,908 | 1,960,277 | |||||||||||||
5,066,892 | |||||||||||||||
Total Floating Rate Loan Interests — 27.0% | 117,467,607 | ||||||||||||||
Other Interests (l) | Beneficial Interest (000) | ||||||||||||||
Auto Components — 0.0% | |||||||||||||||
Lear Corp. Escrow | 790 | 19,750 | |||||||||||||
Chemicals — 0.0% | |||||||||||||||
Wellman Holdings, Inc., Litigation Trust Certificate (a) | 4,650 | 47 | |||||||||||||
Hotels, Restaurants & Leisure — 0.0% | |||||||||||||||
Buffets, Inc. (a) | 970 | 10 | |||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Escrow (a) | 1,250 | 12 | |||||||||||||
Adelphia Recovery Trust (a) | 1,568 | 157 | |||||||||||||
169 | |||||||||||||||
Total Other Interests — 0.0% | 19,976 | ||||||||||||||
Preferred Securities | Shares | ||||||||||||||
Preferred Stocks | |||||||||||||||
Auto Components — 1.0% | |||||||||||||||
Dana Holding Corp., 4.00% (b)(d) | 29,460 | 4,179,637 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||||||
MPG Office Trust, Inc., Series A, 7.63% (a) | 13,326 | 303,167 | |||||||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||||||||
Fannie Mae, Series O, 7.00% (a)(c) | 40,000 | 154,000 | |||||||||||||
Total Preferred Stocks — 1.1% | 4,636,804 | ||||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 1.1% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 190,520 | 5,039,201 | |||||||||||||
Total Preferred Securities — 2.2% | 9,676,005 | ||||||||||||||
Warrants (m) | |||||||||||||||
Containers & Packaging — 0.0% | |||||||||||||||
MDP Acquisitions Plc (issued/exercisable 12/31/02, 5 shares for 1 warrant, Expires 10/01/13, Strike Price EUR 0.001) (b) | 1,100 | 88,959 | |||||||||||||
Health Care Providers & Services — 0.0% | |||||||||||||||
HealthSouth Corp. (Expires 1/16/14) | 52,465 | 1 | |||||||||||||
Media — 0.0% | |||||||||||||||
New Vision Holdings LLC: | |||||||||||||||
(Expires 9/30/14) | 22,194 | 41,052 | |||||||||||||
(Expires 9/30/14) | 3,995 | 7,390 | |||||||||||||
48,442 | |||||||||||||||
Metals & Mining — 0.1% | |||||||||||||||
Peninsula Energy Ltd. (Expires 12/31/15) | 5,850,469 | 89,639 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% | |||||||||||||||
Pepper Residential Securities Trust (Expires 12/31/15) | 3,455,851 | 50,126 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Warrants (m) | Shares | Value | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 491 | — | |||||||||||||
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 shares for 1 warrant, Expires 6/22/19, Strike Price $42.27) | 1,736 | — | |||||||||||||
— | |||||||||||||||
Total Warrants — 0.1% | $ | 277,167 | |||||||||||||
Total Long-Term Investments (Cost — $598,703,117) — 142.3% | 619,082,812 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (n)(o) | 4,128,807 | 4,128,807 | |||||||||||||
Total Short-Term Securities (Cost — $4,128,807) — 0.9% | 4,128,807 |
Options Purchased | Value | ||||||||||||||
(Cost — $14,811) — 0.0% | $ | 3,140 | |||||||||||||
Total Investments Before Options Written (Cost — $602,846,735) — 143.2% | 623,214,759 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $157,950) — (0.0)% | (81,138 | ) | |||||||||||||
Total Investments, Net of Options Written — 143.2% | 623,133,621 | ||||||||||||||
Liabilities in Excess of Other Assets — (43.2)% | (187,905,223 | ) | |||||||||||||
Net Assets — 100.0% | $ | 435,228,398 |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. | |||
(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) | Variable rate security. Rate shown is as of report date. | |||
(d) | Convertible security. | |||
(e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(f) | All or a portion of security has been pledged as collateral in connection with swaps. | |||
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||
(h) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Bank of America Corp | $ | 171,063 | $ | 971 | ||||||
Citigroup, Inc | $ | 847,875 | $ | (2,125 | ) | |||||
Deutsche Bank AG | $ | 1,418,813 | $ | 8,053 | ||||||
Goldman Sachs & Co., Inc | $ | 657,900 | $ | 8,705 | ||||||
Pershing LLC | $ | 309,037 | $ | 2,949 | ||||||
Sun Trust Capital | $ | 165,240 | $ | 2,187 |
(i) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||
(j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(k) | Security is perpetual in nature and has no stated maturity date. | |||
(l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||
(m) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
(n) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) 1940 act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 4,128,807 | 4,128,807 | $ | 893 | $ | 114 |
(o) | Represents the current yield as of report date. | |||
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Sold | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Depreciation | | ||||||||||||||||
(73) | S&P 500 E-Mini Index | Chicago Mercantile | March 2013 | USD | 5,523,545 | $(92,603) |
44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||
USD | 774,720 | AUD | 747,000 | Citigroup, Inc. | 4/17/13 | $ | 14,241 | |||||||||||||||||||||
USD | 6,869,115 | CAD | 6,777,000 | Deutsche Bank AG | 4/17/13 | 304,273 | ||||||||||||||||||||||
USD | 2,490,823 | GBP | 1,610,000 | Barclays Plc | 4/17/13 | 48,943 | ||||||||||||||||||||||
USD | 134,761 | GBP | 87,000 | BNP Paribas SA | 4/17/13 | 2,808 | ||||||||||||||||||||||
USD | 179,331 | GBP | 111,000 | BNP Paribas SA | 4/17/13 | 10,978 | ||||||||||||||||||||||
USD | 8,746,483 | GBP | 5,460,000 | Goldman Sachs Group, Inc. | 4/17/13 | 465,325 | ||||||||||||||||||||||
USD | 261,627 | GBP | 165,000 | Royal Bank of Scotland Group Plc | 4/17/13 | 11,372 | ||||||||||||||||||||||
EUR | 354,000 | USD | 474,805 | Westpac Banking Corp. | 4/23/13 | (12,470 | ) | |||||||||||||||||||||
USD | 3,986 | EUR | 3,000 | BNP Paribas SA | 4/23/13 | 67 | ||||||||||||||||||||||
USD | 70,327 | EUR | 52,000 | Citigroup, Inc. | 4/23/13 | 2,414 | ||||||||||||||||||||||
USD | 32,648,915 | EUR | 24,502,000 | Citigroup, Inc. | 4/23/13 | 648,581 | ||||||||||||||||||||||
USD | 132,794 | EUR | 99,674 | Deutsche Bank AG | 4/23/13 | 2,617 | ||||||||||||||||||||||
USD | 426,389 | EUR | 320,000 | Goldman Sachs Group, Inc. | 4/23/13 | 8,459 | ||||||||||||||||||||||
USD | 128,211 | EUR | 95,000 | Royal Bank of Scotland Group Plc | 4/23/13 | 4,138 | ||||||||||||||||||||||
Total | $ | 1,511,746 |
• | Exchange-traded options purchased as of February 28, 2013 were as follows: |
Description | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
Life Technologies Corp. | Call | USD | 70.00 | 3/16/13 | 157 | $ | 3,140 |
• | Over-the-counter credit default swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Strike Price | | Pay/Receive Floating Rate Index | | Floating Rate Index | | Credit Rating1 | | Expiration Date | | Notional Amount (000)2 | | Market Value | | ||||||||||||||||||||||||||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Call | USD | 103.50 | Receive | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 6,500 | $ | (35,125 | ) | ||||||||||||||||||||||||||||||||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Put | USD | 97.50 | Pay | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 6,500 | (46,013 | ) | |||||||||||||||||||||||||||||||||||
Total | $ | (81,138 | ) |
1 | Using S&P’s rating of the underlying securities of the index. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
• | Credit default swaps—buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | | ||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 335 | $ | (12,997 | ) | |||||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 1,000 | (39,391 | ) | ||||||||||||||||||||
Beazer Homes USA, Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/17 | USD | 100 | (1,642 | ) | ||||||||||||||||||||
Total | $ | (54,030 | ) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 45 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 112 | $ | 13,604 | |||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 447 | 50,285 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 403 | 67,937 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | B- | USD | 750 | 60,215 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 483 | 31,111 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 118 | 6,029 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 558 | 547 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 163 | 12,711 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 163 | 12,711 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 3/20/16 | CCC | USD | 68 | 2,494 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 500 | 40,482 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 500 | 42,897 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 1,132 | 60,768 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 182 | 806 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 331 | 19,502 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 630 | 31,293 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Credit Suisse Group AG | 9/20/16 | B- | USD | 200 | 22,343 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Deutsche Bank AG | 3/20/17 | B- | USD | 295 | 21,596 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 355 | 11,195 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 207 | 2,579 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 299 | (2,279 | ) | |||||||||||||||||||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B- | USD | 690 | 119,435 | ||||||||||||||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 2,400 | 580,279 | ||||||||||||||||||||||||
Level 3 Communications, Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/19 | CCC | USD | 1,500 | 117,273 | ||||||||||||||||||||||||
Total | $ | 1,325,813 |
1 | Using S&P’s rating of the issuer. |
2 | 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 Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for consolidated financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. | ||||
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| | | | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | $ | 30,384,458 | $ | 2,412,176 | $ | 8,233,437 | $ | 41,030,071 | ||||||||||
Corporate Bonds | — | 444,259,214 | 6,352,772 | 450,611,986 | ||||||||||||||
Floating Rate Loan Interests | — | 95,585,666 | 21,881,941 | 117,467,607 | ||||||||||||||
Other Interests | 157 | — | 19,819 | 19,976 | ||||||||||||||
Preferred Securities | 5,496,368 | 4,179,637 | — | 9,676,005 | ||||||||||||||
Warrants | 89,639 | 88,959 | 98,569 | 277,167 | ||||||||||||||
Short-Term Securities | 4,128,807 | — | — | 4,128,807 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Equity Contracts | 3,140 | — | — | 3,140 | ||||||||||||||
Total | $ | 40,102,569 | $ | 546,525,652 | $ | 36,586,538 | $ | 623,214,759 |
46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
| | | | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 1,328,092 | — | $ | 1,328,092 | ||||||||||||
Foreign currency exchange contracts | — | 1,524,216 | — | 1,524,216 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (137,447 | ) | — | (137,447 | ) | ||||||||||||
Equity contracts | $ | (92,603 | ) | — | — | (92,603 | ) | |||||||||||
Foreign currency exchange contracts | — | (12,470 | ) | — | (12,470 | ) | ||||||||||||
Total | $ | (92,603 | ) | $ | 2,702,391 | — | $ | 2,609,788 |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| | | | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 5,581 | — | — | $ | 5,581 | ||||||||||||
Cash pledged as collateral for financial futures contracts | 307,000 | — | — | 307,000 | ||||||||||||||
Cash pledged as collateral for swaps | 400,000 | — | — | 400,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (138,781 | ) | — | (138,781 | ) | |||||||||||
Cash received as collateral for swaps | — | (1,200,000 | ) | — | (1,200,000 | ) | ||||||||||||
Loan payable | — | (174,000,000 | ) | — | (174,000,000 | ) | ||||||||||||
Total | $ | 712,581 | $ | (175,338,781 | ) | — | $ | (174,626,200 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| | | | Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Other Interests | | Warrants | | Total | ||||||||||||
Assets: | ||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 6,755,302 | $ | 6,576,954 | $ | 19,411,992 | $ | 8,463 | $ | 1 | $ | 32,752,712 | ||||||||||||||
Transfers into Level 32 | 15,101 | 2,120,575 | 2,296,471 | — | — | 4,432,147 | ||||||||||||||||||||
Transfers out of Level 33 | — | — | (1,924,364 | ) | — | — | (1,924,364 | ) | ||||||||||||||||||
Accrued discounts/premiums | — | (13,760 | ) | 69,718 | — | — | 55,958 | |||||||||||||||||||
Net realized gain (loss) | — | 10,524 | (117,320 | ) | — | — | (106,796 | ) | ||||||||||||||||||
Net change in unrealized appreciation/depreciation4 | 703,574 | (1,945,433 | ) | 1,097,715 | 11,356 | 98,568 | (34,220 | ) | ||||||||||||||||||
Purchases | 759,460 | 3,657,923 | 7,418,353 | — | — | 11,835,736 | ||||||||||||||||||||
Sales | — | (4,054,011 | ) | (6,370,624 | ) | — | — | (10,424,635 | ) | |||||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 8,233,437 | $ | 6,352,772 | $ | 21,881,941 | $ | 19,819 | $ | 98,569 | $ | 36,586,538 |
2 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,432,147 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of period value of $1,924,364 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $697,183. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 47 |
Consolidated Schedule of Investments (concluded) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value: |
| | | | Credit Contracts | ||
Assets: | ||||||
Opening Balance, as of August 31, 2012 | $ | 829,910 | ||||
Transfers into Level 31 | — | |||||
Transfers out of Level 31 | (205,351 | ) | ||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation2 | (624,559 | ) | ||||
Purchases | — | |||||
Issues3 | — | |||||
Sales | — | |||||
Settlements4 | — | |||||
Closing Balance, as of February 28, 2013 | — |
1 | Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
3 | Issues represent upfront cash received on certain derivative financial instruments. |
4 | Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $20,080,471. |
| | | | Value | | Valuation Techniques | | Unobservable Inputs5 | | Range of Unobservable Inputs Utilized | ||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 6,835,434 | Market Comparable Companies | EBITDA Multiple | 6.56x | |||||||||||||
Enterprise Value/Oil Barrel Multiple | CAD6 0.44x | |||||||||||||||||
332,660 | Restructure Terms7 | N/A | — | |||||||||||||||
Corporate Bonds | 1,663,876 | Market Comparable Companies | Yield | 12.10% | ||||||||||||||
950,629 | Discounted Cash Flow | Yield | 12% | |||||||||||||||
2,574,800 | Cost8 | N/A | — | |||||||||||||||
Floating Rate Loan Interests | 1,010,587 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||
3,000,000 | Cost8 | N/A | — | |||||||||||||||
Warrant | 48,442 | Discounted Vendor Price | Distribution Rate | 0.51639 | ||||||||||||||
89,639 | Black-Sholes | Implied Volatility | 90% | |||||||||||||||
Total | $ | 16,506,067 |
5 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||||||
EBITDA Multiple | Increase | Decrease | ||||||||
Enterprise Value/Oil Barrel Multiple | Increase | Decrease | ||||||||
Yield | Decrease | Increase | ||||||||
Distribution Rate | Decrease | Increase | ||||||||
Implied Volatility | Increase | Decrease |
6 | Canadian Dollar. |
7 | Investment is valued based on the company’s financial restructuring plan. |
8 | The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust. |
48 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | |||||||||||||
Auto Components — 0.8% | |||||||||||||||
Dana Holding Corp. | 178,397 | $ | 2,984,582 | ||||||||||||
Delphi Automotive Plc | 13,700 | 568,610 | |||||||||||||
3,553,192 | |||||||||||||||
Biotechnology — 0.0% | |||||||||||||||
Ironwood Pharmaceuticals, Inc. (a) | 11,018 | 164,499 | |||||||||||||
Capital Markets — 1.7% | |||||||||||||||
American Capital Ltd. (a) | 433,202 | 6,056,164 | |||||||||||||
E*Trade Financial Corp. (a) | 116,200 | 1,244,502 | |||||||||||||
Uranium Participation Corp. (a) | 54,600 | 282,729 | |||||||||||||
7,583,395 | |||||||||||||||
Chemicals — 0.5% | |||||||||||||||
ADA-ES, Inc. (a) | 2,810 | 74,662 | |||||||||||||
CF Industries Holdings, Inc. | 5,500 | 1,104,565 | |||||||||||||
Huntsman Corp. | 53,600 | 923,528 | |||||||||||||
2,102,755 | |||||||||||||||
Commercial Banks — 0.5% | |||||||||||||||
CIT Group, Inc. (a) | 60,104 | 2,515,953 | |||||||||||||
Communications Equipment — 0.3% | |||||||||||||||
Loral Space & Communications Ltd. | 21,531 | 1,253,965 | |||||||||||||
Diversified Financial Services — 0.8% | |||||||||||||||
Bank of America Corp. | 37,100 | 416,633 | |||||||||||||
Kcad Holdings I Ltd. (a) | 461,295,490 | 3,113,744 | |||||||||||||
3,530,377 | |||||||||||||||
Diversified Telecommunication Services — 0.2% | |||||||||||||||
Broadview Networks Holdings, Inc. (a) | 54,600 | 365,274 | |||||||||||||
Level 3 Communications, Inc. (a) | 34,800 | 695,304 | |||||||||||||
1,060,578 | |||||||||||||||
Electrical Equipment — 0.0% | |||||||||||||||
Medis Technologies Ltd. (a) | 116,910 | 1 | |||||||||||||
Energy Equipment & Services — 0.9% | |||||||||||||||
Laricina Energy Ltd. (a) | 70,588 | 2,395,714 | |||||||||||||
Osum Oil Sands Corp. (a) | 124,000 | 1,638,303 | |||||||||||||
4,034,017 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.2% | |||||||||||||||
Caesars Entertainment Corp. (a) | 59,623 | 745,288 | |||||||||||||
Travelport LLC (a) | 118,935 | 1,189 | |||||||||||||
746,477 | |||||||||||||||
Insurance — 1.0% | |||||||||||||||
American International Group, Inc. (a) | 122,977 | 4,674,356 | |||||||||||||
Media — 1.3% | |||||||||||||||
Belo Corp., Class A | 36,341 | 313,986 | |||||||||||||
Charter Communications, Inc., Class A (a) | 65,587 | 5,666,061 | |||||||||||||
Clear Channel Outdoor Holdings, Inc., Class A (a) | 14,553 | 110,603 | |||||||||||||
6,090,650 | |||||||||||||||
Metals & Mining — 0.1% | |||||||||||||||
African Minerals Ltd. (a) | 72,301 | 308,919 | |||||||||||||
Peninsula Energy Ltd. (a) | 11,756,996 | 392,821 | |||||||||||||
701,740 | |||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | |||||||||||||||
African Petroleum Corp. Ltd. (a) | 307,100 | 59,601 | |||||||||||||
Paper & Forest Products — 1.0% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (a) | 773,706 | 2,453,351 | |||||||||||||
Ainsworth Lumber Co. Ltd. (a)(b) | 221,591 | 700,496 | |||||||||||||
NewPage Corp. (a) | 13,400 | 1,139,000 | |||||||||||||
Western Forest Products, Inc. (a) | 78,039 | 94,593 | |||||||||||||
4,387,440 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||||||||||||
Freescale Semiconductor Ltd. (a) | 6,695 | 103,304 | |||||||||||||
NXP Semiconductors NV (a) | 14,683 | 474,555 | |||||||||||||
Spansion, Inc., Class A (a) | 63,578 | 747,677 | |||||||||||||
SunPower Corp. (a) | 431 | 5,060 | |||||||||||||
1,330,596 |
Common Stocks | Par (000) | Value | |||||||||||||
Software — 0.1% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (a) | 787 | $ | 8 | ||||||||||||
HMH Holdings/EduMedia (a) | 31,742 | 581,930 | |||||||||||||
581,938 | |||||||||||||||
Total Common Stocks — 9.7% | 44,371,530 | ||||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Aerospace & Defense — 1.0% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 940 | 975,250 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 260 | 283,238 | |||||||||||||
7.13%, 3/15/21 | 410 | 446,900 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 1,274 | 1,406,177 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) | 690 | 709,030 | |||||||||||||
Spirit Aerosystems, Inc., 7.50%, 10/01/17 | 521 | 552,260 | |||||||||||||
4,372,855 | |||||||||||||||
Airlines — 1.8% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 | 1,047 | 1,089,199 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 1997-4, Class B, 6.90%, 7/02/18 | 538 | 543,821 | |||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 571 | 588,248 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 1,435 | 1,431,412 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 904 | 1,001,092 | |||||||||||||
Series 2009-1, Class B, 9.75%, 6/17/18 | 272 | 302,284 | |||||||||||||
Series 2010-1, Class B, 6.38%, 7/02/17 | 900 | 938,250 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 878 | 926,291 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 650 | 695,500 | |||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 600 | 627,000 | |||||||||||||
8,143,097 | |||||||||||||||
Auto Components — 2.0% | |||||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (b) | 300 | 306,000 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 700 | 762,125 | |||||||||||||
Delphi Corp.: | |||||||||||||||
6.13%, 5/15/21 | 115 | 125,350 | |||||||||||||
5.00%, 2/15/23 | 235 | 244,694 | |||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 4,690 | 5,024,162 | |||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (b) | 595 | 651,525 | |||||||||||||
Jaguar Land Rover Plc, 8.25%, 3/15/20 | GBP | 745 | 1,267,183 | ||||||||||||
Titan International, Inc., 7.88%, 10/01/17 | USD | 720 | 772,200 | ||||||||||||
9,153,239 | |||||||||||||||
Beverages — 0.2% | |||||||||||||||
Crown European Holdings SA: | |||||||||||||||
7.13%, 8/15/18 | EUR | 52 | 73,489 | ||||||||||||
7.13%, 8/15/18 (b) | 244 | 344,835 | |||||||||||||
Refresco Group BV, 7.38%, 5/15/18 | 212 | 289,315 | |||||||||||||
707,639 | |||||||||||||||
Building Products — 0.9% | |||||||||||||||
Building Materials Corp. of America (b): | |||||||||||||||
7.00%, 2/15/20 | USD | 840 | 909,300 | ||||||||||||
6.75%, 5/01/21 | 1,220 | 1,309,975 | |||||||||||||
Grohe Holding GmbH, 8.75%, 12/15/17 (c) | EUR | 100 | 136,756 | ||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | USD | 540 | 554,175 | ||||||||||||
USG Corp., 9.75%, 1/15/18 | 1,100 | 1,293,875 | |||||||||||||
4,204,081 | |||||||||||||||
Capital Markets — 0.4% | |||||||||||||||
E*Trade Financial Corp., 0.01%, 8/31/19 (b)(d)(e) | 380 | 397,338 | |||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b) | 695 | 817,303 | |||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (b) | 729 | 732,645 | |||||||||||||
1,947,286 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 49 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Chemicals — 3.4% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | USD | 272 | $ | 276,080 | ||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (b) | 645 | 851,400 | ||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 2,015 | 2,201,387 | ||||||||||||
Ciech Group Financing AB, 9.50%, 11/30/19 | EUR | 137 | 194,958 | |||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (b) | USD | 576 | 585,360 | |||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 265 | 299,450 | ||||||||||||
INEOS Finance Plc, 7.50%, 5/01/20 (b) | 590 | 635,725 | ||||||||||||
Kinove German Bondco GmbH, 10.00%, 6/15/18 | EUR | 532 | 770,808 | |||||||||||
Kraton Polymers LLC, 6.75%, 3/01/19 | USD | 195 | 202,800 | |||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 4,050 | 4,708,125 | ||||||||||||
Nexeo Solutions LLC, 8.38%, 3/01/18 | 145 | 141,738 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 350 | 371,000 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 335 | 371,013 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,140 | 1,179,900 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 2,094 | 2,080,912 | ||||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV: | ||||||||||||||
5.75%, 2/01/21 | EUR | 100 | 133,166 | |||||||||||
7.38%, 5/01/21 (b) | USD | 550 | 569,250 | |||||||||||
15,573,072 | ||||||||||||||
Commercial Banks — 0.9% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 860 | 924,500 | ||||||||||||
6.63%, 4/01/18 (b) | 475 | 539,125 | ||||||||||||
5.50%, 2/15/19 (b) | 840 | 913,500 | ||||||||||||
5.00%, 8/15/22 | 740 | 791,800 | ||||||||||||
6.00%, 4/01/36 | 850 | 832,686 | ||||||||||||
4,001,611 | ||||||||||||||
Commercial Services & Supplies — 2.2% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 431 | 463,325 | ||||||||||||
ARAMARK Holdings Corp. (b): | ||||||||||||||
8.63%, 5/01/16 (f) | 680 | 693,607 | ||||||||||||
5.75%, 3/15/20 (g) | 1,005 | 1,025,100 | ||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) | 840 | 909,168 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 142 | 149,318 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 43 | 46,225 | ||||||||||||
Casella Waste Systems, Inc., 7.75%, 2/15/19 | 83 | 79,473 | ||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (b) | 959 | 970,987 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 817 | 841,510 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 985 | 1,068,070 | ||||||||||||
EC Finance Plc, 9.75%, 8/01/17 | EUR | 677 | 961,194 | |||||||||||
HDTFS, Inc. (b): | ||||||||||||||
5.88%, 10/15/20 | USD | 100 | 104,000 | |||||||||||
6.25%, 10/15/22 | 410 | 440,750 | ||||||||||||
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b) | 117 | 123,874 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 570 | 634,125 | ||||||||||||
RSC Equipment Rental, Inc., 8.25%, 2/01/21 | 718 | 814,033 | ||||||||||||
Verisure Holding AB: | ||||||||||||||
8.75%, 9/01/18 | EUR | 275 | 387,748 | |||||||||||
8.75%, 12/01/18 | 139 | 185,101 | ||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 210 | 223,650 | |||||||||||
10,121,258 | ||||||||||||||
Communications Equipment — 1.1% | ||||||||||||||
Alcatel-Lucent USA, Inc.: | ||||||||||||||
6.50%, 1/15/28 | 90 | 69,300 | ||||||||||||
6.45%, 3/15/29 | 288 | 223,920 | ||||||||||||
Avaya, Inc., 9.75%, 11/01/15 | 936 | 920,790 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 1,480 | 1,653,900 | ||||||||||||
10.13%, 7/01/20 | 1,960 | 2,298,100 | ||||||||||||
5,166,010 | ||||||||||||||
Computers & Peripherals — 0.2% | ||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (d) | 307 | 443,999 | ||||||||||||
SanDisk Corp., 1.50%, 8/15/17 (d) | 445 | 547,906 | ||||||||||||
991,905 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Construction & Engineering — 0.3% | ||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | USD | 300 | $ | 311,250 | ||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b) | 687 | 752,265 | ||||||||||||
Weekley Homes LLC, 6.00%, 2/01/23 (b) | 240 | 244,800 | ||||||||||||
1,308,315 | ||||||||||||||
Construction Materials — 2.1% | ||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 213 | 299,133 | |||||||||||
HD Supply, Inc. (b): | ||||||||||||||
8.13%, 4/15/19 | USD | 1,970 | 2,218,712 | |||||||||||
11.00%, 4/15/20 | 2,045 | 2,464,225 | ||||||||||||
7.50%, 7/15/20 | 2,995 | 2,998,744 | ||||||||||||
11.50%, 7/15/20 | 810 | 933,525 | ||||||||||||
HeidelbergCement AG, 7.50%, 4/03/20 | EUR | 83 | 130,574 | |||||||||||
Xefin Lux SCA, 8.00%, 6/01/18 (b) | 393 | 550,921 | ||||||||||||
9,595,834 | ||||||||||||||
Consumer Finance — 0.2% | ||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 710 | 773,900 | |||||||||||
Springleaf Finance, 6.90%, 12/15/17 | 160 | 156,800 | ||||||||||||
930,700 | ||||||||||||||
Containers & Packaging — 2.1% | ||||||||||||||
Ardagh Packaging Finance Plc: | ||||||||||||||
7.38%, 10/15/17 | EUR | 200 | 283,304 | |||||||||||
7.38%, 10/15/17 | 100 | 141,652 | ||||||||||||
7.38%, 10/15/17 (b) | 574 | 813,083 | ||||||||||||
7.38%, 10/15/17 (b) | USD | 200 | 217,750 | |||||||||||
9.13%, 10/15/20 (b) | 615 | 670,350 | ||||||||||||
9.13%, 10/15/20 (b) | 470 | 514,650 | ||||||||||||
7.00%, 11/15/20 (b) | 945 | 947,362 | ||||||||||||
4.88%, 11/15/22 (b) | 228 | 224,580 | ||||||||||||
5.00%, 11/15/22 | EUR | 360 | 466,473 | |||||||||||
Berry Plastics Corp.: | ||||||||||||||
4.18%, 9/15/14 (c) | USD | 465 | 465,000 | |||||||||||
8.25%, 11/15/15 | 185 | 192,807 | ||||||||||||
9.75%, 1/15/21 | 280 | 323,400 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 882 | 1,154,604 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 17 | 18,530 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b) | 189 | 184,748 | ||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 414 | 586,548 | |||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 580 | 638,000 | |||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 632 | 592,500 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (b) | 849 | 938,145 | ||||||||||||
9,373,486 | ||||||||||||||
Distributors — 0.5% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (b) | 2,126 | 2,237,615 | ||||||||||||
Diversified Consumer Services — 2.2% | ||||||||||||||
313 Group, Inc. (b): | ||||||||||||||
6.38%, 12/01/19 | 1,527 | 1,488,825 | ||||||||||||
8.75%, 12/01/20 | 924 | 912,450 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) | 1,930 | 2,098,875 | ||||||||||||
Service Corp. International, 7.00%, 6/15/17 | 4,425 | 5,005,781 | ||||||||||||
ServiceMaster Co., 8.00%, 2/15/20 | 295 | 312,700 | ||||||||||||
9,818,631 | ||||||||||||||
Diversified Financial Services — 5.0% | ||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 920 | 940,700 | ||||||||||||
Aircastle, Ltd.: | ||||||||||||||
6.75%, 4/15/17 | 575 | 633,938 | ||||||||||||
6.25%, 12/01/19 | 500 | 538,750 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
7.50%, 12/31/13 | 700 | 735,000 | ||||||||||||
8.00%, 11/01/31 (h) | 4,745 | 5,960,906 | ||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (b) | 630 | 621,338 |
50 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Financial Services (concluded) | |||||||||||||||
Co-Operative Group Ltd. (i): | |||||||||||||||
5.63%, 7/08/20 | GBP | 370 | $ | 588,251 | |||||||||||
6.25%, 7/08/26 | 100 | 159,745 | |||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | USD | 470 | 493,500 | ||||||||||||
7.25%, 10/15/21 | 1,345 | 1,442,513 | |||||||||||||
Gala Group Finance Plc, 8.88%, 9/01/18 | GBP | 802 | 1,314,008 | ||||||||||||
General Motors Financial Co., Inc., 6.75%, 6/01/18 | USD | 460 | 529,000 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 1,232 | 1,392,160 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.13%, 4/15/19 | 385 | 413,394 | |||||||||||||
9.00%, 4/15/19 | 735 | 779,100 | |||||||||||||
7.88%, 8/15/19 | 485 | 535,925 | |||||||||||||
9.88%, 8/15/19 | 940 | 1,029,300 | |||||||||||||
5.75%, 10/15/20 | 3,225 | 3,329,812 | |||||||||||||
WMG Acquisition Corp.: | |||||||||||||||
11.50%, 10/01/18 | 656 | 761,780 | |||||||||||||
6.00%, 1/15/21 (b) | 454 | 469,890 | |||||||||||||
22,669,010 | |||||||||||||||
Diversified Telecommunication Services — 2.5% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 840 | 821,100 | |||||||||||||
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., 6.38%, 9/15/20 (b) | 730 | 754,637 | |||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b) | 530 | 600,225 | |||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (b) | 495 | 534,600 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 1,817 | 1,980,530 | |||||||||||||
7.00%, 6/01/20 (b) | 660 | 693,000 | |||||||||||||
8.63%, 7/15/20 | 1,320 | 1,465,200 | |||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (b) | 440 | 451,000 | |||||||||||||
OTE Plc, 7.25%, 2/12/15 | EUR | 256 | 335,892 | ||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | 444 | 594,156 | |||||||||||||
6.75%, 8/15/24 | 645 | 879,973 | |||||||||||||
tw telecom holdings, Inc., 5.38%, 10/01/22 | USD | 460 | 479,550 | ||||||||||||
Windstream Corp.: | |||||||||||||||
8.13%, 8/01/13 | 703 | 721,419 | |||||||||||||
7.88%, 11/01/17 | 627 | 710,077 | |||||||||||||
7.50%, 4/01/23 | 125 | 130,625 | |||||||||||||
6.38%, 8/01/23 (b) | 125 | 122,500 | |||||||||||||
11,274,484 | |||||||||||||||
Electric Utilities — 0.7% | |||||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 454 | 503,771 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 1,900 | 2,533,380 | ||||||||||||
3,037,151 | |||||||||||||||
Electrical Equipment — 0.6% | |||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (b) | USD | 570 | 584,250 | ||||||||||||
General Cable Corp., 5.75%, 10/01/22 (b) | 950 | 973,750 | |||||||||||||
Techem GmbH: | |||||||||||||||
6.13%, 10/01/19 | EUR | 644 | 893,322 | ||||||||||||
6.13%, 10/01/19 (b) | 105 | 145,651 | |||||||||||||
2,596,973 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | USD | 365 | 438,913 | ||||||||||||
NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (b) | 100 | 114,250 | |||||||||||||
553,163 | |||||||||||||||
Energy Equipment & Services — 3.7% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 215 | 233,813 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 518 | 520,590 | |||||||||||||
Compagnie Générale de Géophysique, Veritas: | |||||||||||||||
7.75%, 5/15/17 | 395 | 407,344 | |||||||||||||
6.50%, 6/01/21 | 1,945 | 2,022,800 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Energy Equipment & Services (concluded) | FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | USD | 1,686 | $ | 1,745,010 | |||||||||
Genesis Energy LP, 5.75%, 2/15/21 (b) | 262 | 271,170 | ||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 245 | 252,962 | ||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 490 | 514,500 | ||||||||||||
MEG Energy Corp. (b): | ||||||||||||||
6.50%, 3/15/21 | 2,110 | 2,226,050 | ||||||||||||
6.38%, 1/30/23 | 560 | 579,600 | ||||||||||||
Oil States International, Inc.: | ||||||||||||||
6.50%, 6/01/19 | 495 | 529,650 | ||||||||||||
5.13%, 1/15/23 (b) | 210 | 210,000 | ||||||||||||
Peabody Energy Corp.: | ||||||||||||||
6.00%, 11/15/18 | 359 | 381,437 | ||||||||||||
6.25%, 11/15/21 | 1,811 | 1,883,440 | ||||||||||||
7.88%, 11/01/26 | 580 | 620,600 | ||||||||||||
4.75%, 12/15/41 (d) | 1,103 | 936,861 | ||||||||||||
Precision Drilling Corp.: | ||||||||||||||
6.63%, 11/15/20 | 120 | 127,500 | ||||||||||||
6.50%, 12/15/21 | 460 | 487,600 | ||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b) | 364 | 382,200 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 2,107 | 2,133,337 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 575 | 592,250 | ||||||||||||
17,058,714 | ||||||||||||||
Food & Staples Retailing — 0.4% | ||||||||||||||
Bakkavor Finance 2 Plc, 8.25%, 2/15/18 | GBP | 502 | 772,982 | |||||||||||
Rite Aid Corp., 9.25%, 3/15/20 | USD | 580 | 649,600 | |||||||||||
Zobele Holding SpA, 7.88%, 2/01/18 | EUR | 140 | 185,519 | |||||||||||
1,608,101 | ||||||||||||||
Food Products — 0.4% | ||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | USD | 180 | 204,750 | |||||||||||
Del Monte Corp., 7.63%, 2/15/19 | 94 | 97,525 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 875 | 945,000 | ||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 729 | 792,788 | ||||||||||||
2,040,063 | ||||||||||||||
Health Care Equipment & Supplies — 2.3% | ||||||||||||||
Biomet, Inc. (b): | ||||||||||||||
6.50%, 8/01/20 | 2,742 | 2,899,665 | ||||||||||||
6.50%, 10/01/20 | 3,338 | 3,438,140 | ||||||||||||
DJO Finance LLC: | ||||||||||||||
8.75%, 3/15/18 | 586 | 646,797 | ||||||||||||
7.75%, 4/15/18 | 160 | 159,200 | ||||||||||||
9.88%, 4/15/18 | 650 | 693,875 | ||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b) | 440 | 479,600 | ||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (b) | 324 | 350,730 | ||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 850 | 975,375 | ||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b) | 495 | 485,100 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 455 | 494,813 | ||||||||||||
10,623,295 | ||||||||||||||
Health Care Providers & Services — 8.0% | ||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 880 | 943,800 | ||||||||||||
Care UK Health & Social Care Plc, 9.75%, 8/01/17 | GBP | 130 | 198,696 | |||||||||||
CHS/Community Health Systems, Inc.: | ||||||||||||||
5.13%, 8/15/18 | USD | 1,180 | 1,240,475 | |||||||||||
7.13%, 7/15/20 | 703 | 757,482 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 694 | 960,414 | |||||||||||
Crown Newco 3 Plc: | ||||||||||||||
7.00%, 2/15/18 | GBP | 200 | 313,271 | |||||||||||
7.00%, 2/15/18 (b) | 575 | 900,654 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 1,376 | 1,434,480 | |||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 1,688 | 1,780,840 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 51 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Health Care Providers & Services (concluded) | ||||||||||||||
HCA, Inc.: | ||||||||||||||
8.50%, 4/15/19 | USD | 205 | $ | 227,038 | ||||||||||
6.50%, 2/15/20 | 3,190 | 3,572,800 | ||||||||||||
7.88%, 2/15/20 | 430 | 476,762 | ||||||||||||
7.25%, 9/15/20 | 3,720 | 4,129,200 | ||||||||||||
5.88%, 3/15/22 | 340 | 366,350 | ||||||||||||
4.75%, 5/01/23 | 1,645 | 1,640,887 | ||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (b) | 2,475 | 2,611,125 | ||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 953 | 981,590 | ||||||||||||
INC Research LLC, 11.50%, 7/15/19 (b) | 546 | 582,855 | ||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (b) | 970 | 1,011,225 | ||||||||||||
Omnicare, Inc.: | ||||||||||||||
7.75%, 6/01/20 | 1,520 | 1,687,200 | ||||||||||||
3.75%, 4/01/42 (d) | 247 | 257,498 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 535 | 559,075 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 1,658 | 1,836,235 | ||||||||||||
8.88%, 7/01/19 | 3,970 | 4,486,100 | ||||||||||||
6.75%, 2/01/20 | 810 | 866,700 | ||||||||||||
4.50%, 4/01/21 (b) | 1,108 | 1,092,765 | ||||||||||||
Vanguard Health Holding Co. II LLC: | ||||||||||||||
8.00%, 2/01/18 | 374 | 398,310 | ||||||||||||
7.75%, 2/01/19 (b) | 720 | 771,300 | ||||||||||||
Voyage Care Bondco Plc, 6.50%, 8/01/18 | GBP | 180 | 277,848 | |||||||||||
36,362,975 | ||||||||||||||
Health Care Technology — 1.0% | ||||||||||||||
IMS Health, Inc. (b): | ||||||||||||||
12.50%, 3/01/18 | USD | 3,480 | 4,193,400 | |||||||||||
6.00%, 11/01/20 | 221 | 229,840 | ||||||||||||
4,423,240 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.3% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
10.00%, 12/15/18 | 765 | 504,900 | ||||||||||||
8.50%, 2/15/20 | 311 | 303,225 | ||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b) | 1,556 | 1,536,550 | ||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (b) | 510 | 532,950 | ||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 714 | 913,519 | |||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 1,860 | 2,046,000 | |||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) | 210 | 208,688 | ||||||||||||
Enterprise Inns Plc, 6.50%, 12/06/18 | GBP | 501 | 746,741 | |||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 455 | 611,846 | |||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (b) | USD | 441 | 423,360 | |||||||||||
MCE Finance, Ltd., 5.00%, 2/15/21 (b) | 1,044 | 1,044,000 | ||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (f) | 231 | 240,396 | ||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 401 | 392,980 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | 918 | 899,640 | ||||||||||||
Station Casinos LLC: | ||||||||||||||
3.66%, 6/18/18 | 1,037 | 1,037,000 | ||||||||||||
7.50%, 3/01/21 (b)(g) | 1,810 | 1,821,312 | ||||||||||||
Travelport LLC (c): | ||||||||||||||
4.91%, 9/01/14 | 235 | 213,850 | ||||||||||||
6.31%, 12/01/16 (b)(f) | 669 | 607,492 | ||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(j) | 515 | — | ||||||||||||
The Unique Pub Finance Co. Plc, Series A3, 6.54%, 3/30/21 | GBP | 200 | 302,652 | |||||||||||
Wynn Las Vegas LLC, 5.38%, 3/15/22 | USD | 605 | 636,006 | |||||||||||
15,023,107 | ||||||||||||||
Household Durables — 2.6% | ||||||||||||||
Algeco Scotsman Global Finance Plc, 9.00%, 10/15/18 | EUR | 206 | 279,701 | |||||||||||
Ashton Woods USA LLC, 6.88%, 2/15/21 (b) | USD | 352 | 353,760 | |||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 55 | 58,781 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Durables (concluded) | |||||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b) | USD | 635 | $ | 673,100 | |||||||||||
Jarden Corp., 7.50%, 1/15/20 | EUR | 455 | 640,062 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | USD | 1,465 | 1,611,500 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 945 | 1,013,512 | |||||||||||||
PH Holding LLC, 9.75%, 12/31/17 | 535 | 524,300 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 290 | 294,350 | |||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 525 | 577,500 | |||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 264 | 384,302 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 2,185 | 2,720,325 | ||||||||||||
8.38%, 1/15/21 | 1,510 | 1,793,125 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 398 | 428,348 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 (b) | 470 | 505,250 | |||||||||||||
11,857,916 | |||||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 | EUR | 100 | 135,777 | ||||||||||||
7.50%, 4/15/18 (b) | 220 | 298,710 | |||||||||||||
9.00%, 4/15/19 | 316 | 422,867 | |||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 592 | 629,740 | ||||||||||||
6.63%, 11/15/22 | 385 | 414,838 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 1,470 | 1,666,612 | |||||||||||||
6.75%, 3/15/20 (b) | 148 | 159,470 | |||||||||||||
3,728,014 | |||||||||||||||
Independent Power Producers & Energy Traders — 3.7% | |||||||||||||||
The AES Corp., 7.38%, 7/01/21 | 425 | 480,250 | |||||||||||||
Calpine Corp. (b): | |||||||||||||||
7.25%, 10/15/17 | 247 | 262,746 | |||||||||||||
7.50%, 2/15/21 | 144 | 156,600 | |||||||||||||
7.88%, 1/15/23 | 612 | 677,790 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
6.88%, 8/15/17 (b) | 1,170 | 1,234,350 | |||||||||||||
10.00%, 12/01/20 | 3,696 | 4,194,960 | |||||||||||||
10.00%, 12/01/20 (b) | 2,210 | 2,491,775 | |||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B, 9.24%, 7/02/17 | 375 | 412,970 | |||||||||||||
Series C, 9.68%, 7/02/26 | 465 | 506,850 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 765 | 864,450 | |||||||||||||
7.38%, 5/01/22 | 575 | 623,875 | |||||||||||||
NRG Energy, Inc.: | |||||||||||||||
7.63%, 1/15/18 | 2,345 | 2,687,956 | |||||||||||||
6.63%, 3/15/23 (b) | 1,010 | 1,075,650 | |||||||||||||
QEP Resources, Inc.: | |||||||||||||||
5.38%, 10/01/22 | 513 | 537,368 | |||||||||||||
5.25%, 5/01/23 | 395 | 408,825 | |||||||||||||
16,616,415 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (b) | 890 | 896,675 | |||||||||||||
Insurance — 0.6% | |||||||||||||||
Alliant Holdings I, Inc., 7.88%, 12/15/20 (b) | 1,731 | 1,739,655 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b) | 346 | 366,760 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 395 | 391,050 | |||||||||||||
TMF Group Holding B.V., 9.88%, 12/01/19 | EUR | 270 | 356,023 | ||||||||||||
2,853,488 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Cerved Technologies SpA: | |||||||||||||||
6.38%, 1/15/20 | 100 | 129,902 | |||||||||||||
8.00%, 1/15/21 | 100 | 126,965 | |||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 229 | 229,000 | ||||||||||||
485,867 |
52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
IT Services — 3.3% | ||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b) | USD | 1,945 | $ | 2,192,987 | ||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 860 | 926,650 | ||||||||||||
First Data Corp.: | ||||||||||||||
7.38%, 6/15/19 (b) | 2,430 | 2,554,537 | ||||||||||||
8.88%, 8/15/20 (b) | 830 | 917,150 | ||||||||||||
6.75%, 11/01/20 (b) | 2,927 | 3,003,834 | ||||||||||||
8.25%, 1/15/21 (b) | 190 | 194,275 | ||||||||||||
11.25%, 1/15/21 (b) | 766 | 781,320 | ||||||||||||
12.63%, 1/15/21 | 1,244 | 1,326,415 | ||||||||||||
SunGard Data Systems, Inc.: | ||||||||||||||
7.38%, 11/15/18 | 840 | 901,950 | ||||||||||||
6.63%, 11/01/19 (b) | 1,240 | 1,274,100 | ||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b) | 759 | 734,333 | ||||||||||||
14,807,551 | ||||||||||||||
Machinery — 1.6% | ||||||||||||||
Dematic SA, 7.75%, 12/15/20 (b) | 144 | 147,240 | ||||||||||||
The Manitowoc Co., Inc., 5.88%, 10/15/22 | 735 | 753,375 | ||||||||||||
Silver II Borrower/Silver II US Holdings LLC, 7.75%, 12/15/20 (b) | 434 | 451,360 | ||||||||||||
SPX Corp., 6.88%, 9/01/17 | 275 | 307,313 | ||||||||||||
Terex Corp., 6.00%, 5/15/21 | 730 | 757,375 | ||||||||||||
Trinseo Materials Operating SCA, 8.75%, 2/01/19 (b) | 634 | 631,622 | ||||||||||||
UR Merger Sub Corp.: | ||||||||||||||
7.38%, 5/15/20 | 675 | 739,125 | ||||||||||||
7.63%, 4/15/22 | 2,939 | 3,254,942 | ||||||||||||
6.13%, 6/15/23 | 295 | 309,750 | ||||||||||||
7,352,102 | ||||||||||||||
Media — 10.1% | ||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 | 612 | 465,120 | ||||||||||||
AMC Networks, Inc.: | ||||||||||||||
7.75%, 7/15/21 | 350 | 397,250 | ||||||||||||
4.75%, 12/15/22 | 552 | 549,930 | ||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 855 | 829,350 | ||||||||||||
CCO Holdings LLC: | ||||||||||||||
5.25%, 9/30/22 | 1,210 | 1,190,337 | ||||||||||||
5.13%, 2/15/23 | 955 | 931,125 | ||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b) | 1,026 | 810,540 | ||||||||||||
Checkout Holding Corp., 11.47%, 11/15/15 (b)(e) | 667 | 492,746 | ||||||||||||
Cinemark USA, Inc.: | ||||||||||||||
8.63%, 6/15/19 | 390 | 432,413 | ||||||||||||
5.13%, 12/15/22 (b) | 328 | 329,640 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (b) | 1,153 | 1,072,290 | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||||
6.50%, 11/15/22 (b) | 959 | 1,002,155 | ||||||||||||
6.50%, 11/15/22 (b) | 2,589 | 2,724,922 | ||||||||||||
Series B, 7.63%, 3/15/20 | 1,753 | 1,814,355 | ||||||||||||
DISH DBS Corp.: | ||||||||||||||
5.88%, 7/15/22 | 1,575 | 1,661,625 | ||||||||||||
5.00%, 3/15/23 (b) | 1,045 | 1,037,163 | ||||||||||||
Harron Communications LP, 9.13%, 4/01/20 (b) | 500 | 550,000 | ||||||||||||
Intelsat Jackson Holdings SA: | ||||||||||||||
7.25%, 10/15/20 | 1,085 | 1,163,662 | ||||||||||||
6.63%, 12/15/22 (b) | 312 | 314,340 | ||||||||||||
Intelsat Luxembourg SA: | ||||||||||||||
11.25%, 2/04/17 | 950 | 1,009,375 | ||||||||||||
11.50%, 2/04/17 | 3,480 | 3,702,329 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 2,080 | 2,358,200 | ||||||||||||
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | 525 | 566,344 | ||||||||||||
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b) | EUR | 530 | 740,931 | |||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | USD | 1,170 | 1,269,450 | |||||||||||
Lynx I Corp., 6.00%, 4/15/21 | GBP | 1,876 | 2,924,251 | |||||||||||
Lynx II Corp., 6.38%, 4/15/23 (b) | USD | 300 | 310,875 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
The McClatchy Co., 9.00%, 12/15/22 (b) | USD | 670 | $ | 708,525 | ||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 914 | 996,260 | ||||||||||||
Nara Cable Funding Ltd.: | ||||||||||||||
8.88%, 12/01/18 | EUR | 190 | 260,457 | |||||||||||
8.88%, 12/01/18 (b) | USD | 200 | 206,500 | |||||||||||
Nielsen Finance LLC: | ||||||||||||||
11.63%, 2/01/14 | 147 | 160,598 | ||||||||||||
7.75%, 10/15/18 | 1,825 | 2,021,187 | ||||||||||||
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) | GBP | 324 | 511,185 | |||||||||||
ProQuest LLC, 9.00%, 10/15/18 (b) | USD | 281 | 278,893 | |||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,335 | 1,335,000 | ||||||||||||
Unitymedia GmbH: | ||||||||||||||
9.63%, 12/01/19 (b) | EUR | 900 | 1,300,131 | |||||||||||
9.50%, 3/15/21 | 548 | 814,601 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG: | ||||||||||||||
7.50%, 3/15/19 | 1,313 | 1,864,178 | ||||||||||||
5.50%, 1/15/23 (b) | USD | 795 | 802,950 | |||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b) | 694 | 749,520 | ||||||||||||
UPCB Finance II Ltd.: | ||||||||||||||
6.38%, 7/01/20 | EUR | 514 | 711,316 | |||||||||||
6.38%, 7/01/20 (b) | 1,273 | 1,761,682 | ||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b) | USD | 555 | 582,750 | |||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 280 | 394,798 | |||||||||||
46,111,249 | ||||||||||||||
Metals & Mining — 4.8% | ||||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | USD | 470 | 530,512 | |||||||||||
4.25%, 8/05/15 | 608 | 629,489 | ||||||||||||
4.25%, 3/01/16 | 200 | 206,000 | ||||||||||||
5.00%, 2/25/17 | 648 | 674,244 | ||||||||||||
6.13%, 6/01/18 | 645 | 695,502 | ||||||||||||
6.00%, 3/01/21 | 91 | 96,576 | ||||||||||||
6.75%, 2/25/22 | 762 | 839,044 | ||||||||||||
7.50%, 10/15/39 | 94 | 97,446 | ||||||||||||
7.25%, 3/01/41 | 357 | 356,108 | ||||||||||||
Eco-Bat Finance Plc, 7.75%, 2/15/17 | EUR | 610 | 822,268 | |||||||||||
FMG Resources August 2006 Property Ltd. (b): | ||||||||||||||
6.38%, 2/01/16 | USD | 684 | 713,383 | |||||||||||
6.00%, 4/01/17 | 746 | 777,705 | ||||||||||||
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b) | 460 | 500,250 | ||||||||||||
GoldCorp, Inc., 2.00%, 8/01/14 (d) | 1,650 | 1,728,375 | ||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 345 | 385,538 | ||||||||||||
New Gold, Inc. (b): | ||||||||||||||
7.00%, 4/15/20 | 235 | 253,800 | ||||||||||||
6.25%, 11/15/22 | 465 | 489,412 | ||||||||||||
New World Resources NV: | ||||||||||||||
7.88%, 5/01/18 | EUR | 349 | 467,246 | |||||||||||
7.88%, 1/15/21 | 370 | 446,824 | ||||||||||||
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d) | USD | 2,275 | 2,512,453 | |||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,760 | 5,331,200 | ||||||||||||
Peninsula Energy Ltd.,11.00%, 12/14/14 | 900 | 900,000 | ||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (b) | 295 | 309,750 | ||||||||||||
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19 | EUR | 383 | 447,673 | |||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (b) | USD | 375 | 401,250 | |||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 650 | 646,750 | ||||||||||||
Vedanta Resources Plc, 8.25%, 6/07/21 (b) | 435 | 494,812 | ||||||||||||
Walter Energy, Inc., 9.88%, 12/15/20 (b) | 206 | 224,025 | ||||||||||||
21,977,635 | ||||||||||||||
Multiline Retail — 0.4% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 1,225 | 1,295,438 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 672 | 700,560 | ||||||||||||
1,995,998 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 53 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels — 9.1% | ||||||||||||||
Access Midstream Partners LP: | ||||||||||||||
6.13%, 7/15/22 | USD | 425 | $ | 455,812 | ||||||||||
4.88%, 5/15/23 | 580 | 574,200 | ||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (d) | 1,381 | 1,317,992 | ||||||||||||
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b) | 1,005 | 1,080,375 | ||||||||||||
BreitBurn Energy Partners LP, 7.88%, 4/15/22 | 400 | 425,000 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 367 | 385,350 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 340 | 368,900 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 190 | 214,700 | ||||||||||||
6.63%, 8/15/20 | 270 | 295,650 | ||||||||||||
6.88%, 11/15/20 | 275 | 302,500 | ||||||||||||
6.13%, 2/15/21 | 130 | 137,800 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 255 | 281,775 | ||||||||||||
6.50%, 1/15/22 | 458 | 499,220 | ||||||||||||
5.50%, 10/01/22 | 346 | 360,273 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 485 | 534,712 | ||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 575 | 652,625 | ||||||||||||
Crosstex Energy LP, 8.88%, 2/15/18 | 235 | 253,213 | ||||||||||||
Crown Oil Partners IV LP, 15.00%, 3/07/15 | 948 | 996,332 | ||||||||||||
CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 (b) | 590 | 594,425 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 1,187 | 1,164,744 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 725 | 819,250 | ||||||||||||
7.75%, 6/15/19 | 830 | 890,175 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||||||||||||
6.88%, 5/01/19 | 535 | 583,150 | ||||||||||||
7.75%, 9/01/22 | 325 | 351,813 | ||||||||||||
EV Energy Partners LP, 8.00%, 4/15/19 | 220 | 230,450 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 (b) | 645 | 693,375 | ||||||||||||
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | 408 | 449,820 | ||||||||||||
Holly Energy Partners LP, 6.50%, 3/01/20 (b) | 245 | 262,150 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 540 | 607,500 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.50%, 5/15/19 | 66 | 68,310 | ||||||||||||
6.25%, 11/01/19 (b) | 1,840 | 1,876,800 | ||||||||||||
8.63%, 4/15/20 | 170 | 188,063 | ||||||||||||
7.75%, 2/01/21 | 245 | 264,600 | ||||||||||||
MarkWest Energy Partners LP: | ||||||||||||||
5.50%, 2/15/23 | 350 | 367,500 | ||||||||||||
4.50%, 7/15/23 | 231 | 225,803 | ||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 1,205 | 1,292,362 | ||||||||||||
Northern Oil and Gas, Inc., 8.00%, 6/01/20 | 480 | 501,600 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 315 | 340,200 | ||||||||||||
6.50%, 11/01/21 | 450 | 486,000 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 1,070 | 1,166,300 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (b) | 345 | 375,187 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (b) | 325 | 343,688 | ||||||||||||
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b) | 949 | 967,980 | ||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 901 | 991,100 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 1,620 | 1,867,050 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | 600 | 660,000 | ||||||||||||
5.75%, 6/01/21 | 1,571 | 1,673,115 | ||||||||||||
5.00%, 8/15/22 | 593 | 606,342 | ||||||||||||
Regency Energy Partners LP: | ||||||||||||||
6.88%, 12/01/18 | 609 | 657,720 | ||||||||||||
5.50%, 4/15/23 | 1,011 | 1,066,605 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (b) | 2,498 | 2,579,185 | ||||||||||||
Sabine Pass Liquified Natural Gas LP: | ||||||||||||||
7.50%, 11/30/16 | 2,345 | 2,591,225 | ||||||||||||
6.50%, 11/01/20 (b) | 505 | 532,775 | ||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 809 | 847,427 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
SESI LLC: | ||||||||||||||
6.38%, 5/01/19 | USD | 505 | $ | 541,612 | ||||||||||
7.13%, 12/15/21 | 360 | 398,700 | ||||||||||||
SM Energy Co.: | ||||||||||||||
6.63%, 2/15/19 | 205 | 219,863 | ||||||||||||
6.50%, 11/15/21 | 405 | 440,437 | ||||||||||||
6.50%, 1/01/23 | 600 | 649,500 | ||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b) | 240 | 250,200 | ||||||||||||
Vanguard Natural Resources, 7.88%, 4/01/20 | 420 | 441,000 | ||||||||||||
41,261,530 | ||||||||||||||
Paper & Forest Products — 0.7% | ||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b) | 545 | 587,238 | ||||||||||||
Boise Paper Holdings LLC: | ||||||||||||||
9.00%, 11/01/17 | 90 | 97,313 | ||||||||||||
8.00%, 4/01/20 | 180 | 198,450 | ||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 885 | 958,012 | ||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b) | 535 | 561,750 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(j) | 3,095 | — | ||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b) | 200 | 224,000 | ||||||||||||
Unifrax I LLC, 7.50%, 2/15/19 (b) | 405 | 411,075 | ||||||||||||
3,037,838 | ||||||||||||||
Pharmaceuticals — 1.5% | ||||||||||||||
Capsugel Finance Co. SCA: | ||||||||||||||
9.88%, 8/01/19 | EUR | 105 | 154,218 | |||||||||||
9.88%, 8/01/19 (b) | 300 | 440,623 | ||||||||||||
Elan Corp. Plc, 6.25%, 10/15/19 (b) | USD | 772 | 884,905 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | 663 | 760,793 | ||||||||||||
Mylan, Inc., 6.00%, 11/15/18 (b) | 180 | 198,246 | ||||||||||||
Valeant Pharmaceuticals International (b): | ||||||||||||||
6.50%, 7/15/16 | 665 | 698,666 | ||||||||||||
6.88%, 12/01/18 | 1,174 | 1,275,257 | ||||||||||||
6.38%, 10/15/20 | 625 | 672,656 | ||||||||||||
6.75%, 8/15/21 | 755 | 816,344 | ||||||||||||
Warner Chilcott Co. LLC, 7.75%, 9/15/18 | 945 | 1,020,600 | ||||||||||||
6,922,308 | ||||||||||||||
Professional Services — 0.3% | ||||||||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 311 | 406,635 | |||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b) | USD | 790 | 884,800 | |||||||||||
1,291,435 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | ||||||||||||||
Cantor Commercial Real Estate Co. LP, 7.75%, 2/15/18 (b) | 436 | 438,180 | ||||||||||||
Felcor Lodging LP: | ||||||||||||||
6.75%, 6/01/19 | 1,578 | 1,695,364 | ||||||||||||
5.63%, 3/01/23 (b) | 397 | 399,481 | ||||||||||||
The Rouse Co. LP, 6.75%, 11/09/15 | 805 | 837,200 | ||||||||||||
3,370,225 | ||||||||||||||
Real Estate Management & Development — 2.5% | ||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 520 | 561,600 | ||||||||||||
Country Garden Holdings Co. Ltd., 7.50%,1/10/23 (b) | 237 | 245,888 | ||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b) | 1,330 | 1,433,075 | ||||||||||||
Forest City Enterprises, Inc., 7.63%, 6/01/15 | 687 | 685,282 | ||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (b) | 580 | 577,825 | ||||||||||||
Realogy Corp.: | ||||||||||||||
11.50%, 4/15/17 | 605 | 645,081 | ||||||||||||
12.00%, 4/15/17 | 155 | 165,463 | ||||||||||||
7.88%, 2/15/19 (b) | 3,160 | 3,436,500 | ||||||||||||
7.63%, 1/15/20 (b) | 785 | 885,087 | ||||||||||||
9.00%, 1/15/20 (b) | 510 | 585,225 | ||||||||||||
Shea Homes LP, 8.63%, 5/15/19 | 2,125 | 2,358,750 | ||||||||||||
11,579,776 |
54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Road & Rail — 0.5% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | USD | 855 | $ | 934,087 | |||||||||||
6.75%, 4/15/19 (b) | 450 | 484,875 | |||||||||||||
7.38%, 1/15/21 | 675 | 744,188 | |||||||||||||
Hertz Holdings Netherlands BV, 8.50%, 7/31/15 | EUR | 89 | 123,543 | ||||||||||||
2,286,693 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.4% | |||||||||||||||
Micron Technology, Inc., Series C, 2.38%, 5/01/32 (b)(d) | USD | 412 | 458,608 | ||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 525 | 536,812 | |||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 890 | 938,950 | |||||||||||||
1,934,370 | |||||||||||||||
Software — 1.2% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (b) | 650 | 635,375 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(f) | 454 | 465,350 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 2,370 | 2,660,325 | |||||||||||||
Interface Security Systems Holdings, Inc., 9.25%, 1/15/18 (b) | 229 | 233,008 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 775 | 784,687 | |||||||||||||
Sophia LP, 9.75%, 1/15/19 (b) | 666 | 736,762 | |||||||||||||
5,515,507 | |||||||||||||||
Specialty Retail — 3.0% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 565 | 629,975 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 1,348 | 1,496,280 | |||||||||||||
House of Fraser Funding Plc: | |||||||||||||||
8.88%, 8/15/18 | GBP | 222 | 356,992 | ||||||||||||
8.88%, 8/15/18 (b) | 439 | 705,944 | |||||||||||||
Limited Brands, Inc.: | |||||||||||||||
8.50%, 6/15/19 | USD | 1,255 | 1,537,375 | ||||||||||||
5.63%, 2/15/22 | 250 | 264,375 | |||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 362 | 395,033 | |||||||||||||
New Academy Finance Co., 8.00%, 6/15/18 (b)(f) | 334 | 344,855 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | 1,559 | 1,695,412 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b) | 1,725 | 1,804,781 | |||||||||||||
QVC, Inc.: | |||||||||||||||
7.13%, 4/15/17 (b) | 355 | 369,754 | |||||||||||||
7.50%, 10/01/19 (b) | 970 | 1,070,581 | |||||||||||||
7.38%, 10/15/20 (b) | 455 | 504,340 | |||||||||||||
5.13%, 7/02/22 | 28 | 29,608 | |||||||||||||
Sally Holdings LLC: | |||||||||||||||
6.88%, 11/15/19 | 840 | 936,600 | |||||||||||||
5.75%, 6/01/22 | 788 | 832,325 | |||||||||||||
Sonic Automotive, Inc., 9.00%, 3/15/18 | 580 | 638,000 | |||||||||||||
13,612,230 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 675 | 733,219 | |||||||||||||
Phillips-Van Heusen Corp., 4.50%, 12/15/22 | 390 | 384,637 | |||||||||||||
1,117,856 | |||||||||||||||
Trading Companies & Distributors — 0.7% | |||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b) | 765 | 824,288 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd., Series 2012-1 (b): | |||||||||||||||
Class A, 5.13%, 11/30/24 | 1,200 | 1,290,000 | |||||||||||||
Class B, 6.50%, 5/30/21 | 900 | 951,441 | |||||||||||||
3,065,729 | |||||||||||||||
Transportation Infrastructure — 0.2% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) | 665 | 704,900 | |||||||||||||
Wireless Telecommunication Services — 4.3% | |||||||||||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 914 | 932,280 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (b) | 1,732 | 1,775,300 | |||||||||||||
Digicel Group Ltd. (b): | |||||||||||||||
8.25%, 9/01/17 | 1,720 | 1,814,600 | |||||||||||||
8.25%, 9/30/20 | 1,520 | 1,621,080 | |||||||||||||
6.00%, 4/15/21 (g) | 890 | 887,775 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services (concluded) | |||||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | USD | 1,069 | $ | 1,118,441 | |||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 539 | 377,300 | |||||||||||||
Phones4u Finance Plc: | |||||||||||||||
9.50%, 4/01/18 | GBP | 200 | 313,271 | ||||||||||||
9.50%, 4/01/18 (b) | 570 | 892,822 | |||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | USD | 2,366 | 2,389,660 | ||||||||||||
Sprint Nextel Corp. (b): | |||||||||||||||
9.00%, 11/15/18 | 3,728 | 4,622,720 | |||||||||||||
7.00%, 3/01/20 | 2,315 | 2,708,550 | |||||||||||||
19,453,799 | |||||||||||||||
Total Corporate Bonds — 103.0% | 468,754,016 | ||||||||||||||
Floating Rate Loan Interests (c) | |||||||||||||||
Airlines — 1.1% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 650 | 655,396 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.32%, 3/10/17 | 1,110 | 1,033,136 | |||||||||||||
2.32%, 3/10/17 | 2,009 | 1,870,653 | |||||||||||||
1.70%, 9/10/18 | 912 | 814,234 | |||||||||||||
1.70%, 9/10/18 | 904 | 807,091 | |||||||||||||
5,180,510 | |||||||||||||||
Auto Components — 1.3% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.14%, 12/29/14 | 2,534 | 2,357,271 | |||||||||||||
Term Loan C, 2.14%, 12/28/15 | 1,225 | 1,139,089 | |||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 2,225 | 2,224,444 | |||||||||||||
5,720,804 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 655 | 661,877 | |||||||||||||
Capital Markets — 0.6% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 1,450 | 1,464,500 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 770 | 773,850 | |||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 640 | 652,800 | |||||||||||||
2,891,150 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 588 | 599,736 | |||||||||||||
US Coatings Acquisition, Inc.: | |||||||||||||||
Term Loan, 4.75%, 2/03/20 | 1,090 | 1,103,232 | |||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 115 | 151,667 | ||||||||||||
1,854,635 | |||||||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | USD | 686 | 691,233 | ||||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 975 | 980,684 | |||||||||||||
1,671,917 | |||||||||||||||
Communications Equipment — 1.4% | |||||||||||||||
Alcatel-Lucent: | |||||||||||||||
Term Loan C, 7.25%, 1/31/19 | 2,175 | 2,198,925 | |||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 845 | 1,106,102 | ||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 195 | 196,465 | ||||||||||||
Zayo Group LLC, Refinancing Term Loan B, 5.25%, 7/12/19 | 2,809 | 2,818,046 | |||||||||||||
6,319,538 | |||||||||||||||
Construction & Engineering — 0.7% | |||||||||||||||
Safway Services LLC, Mezzanine Loan, 9.88%, 12/16/17 | 3,250 | 3,250,000 | |||||||||||||
Construction Materials — 0.4% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 1,721 | 1,725,929 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 55 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Consumer Finance — 1.4% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | USD | 6,153 | $ | 6,174,782 | ||||||||||
Diversified Consumer Services — 0.2% | ||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 223 | 223,916 | ||||||||||||
ServiceMaster Co., New Term Loan, 2.70%, 4/01/17 | 710 | 707,591 | ||||||||||||
931,507 | ||||||||||||||
Diversified Telecommunication Services — 0.8% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 514 | 519,492 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 420 | 424,288 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 2,700 | 2,721,600 | ||||||||||||
3,665,380 | ||||||||||||||
Energy Equipment & Services — 1.6% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 2,667 | 2,753,202 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 4,305 | 4,476,946 | ||||||||||||
Tervita Corp., Incremental Term Loan, 6.50%, 5/01/18 | 225 | 226,161 | ||||||||||||
7,456,309 | ||||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||||
Rite Aid Corp., Second Lien Term Loan, 5.75%, 7/07/20 | 165 | 168,759 | ||||||||||||
Food Products — 0.1% | ||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 330 | 334,023 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 592 | 596,030 | ||||||||||||
Capital Safety North America Holdings, Inc., Term Loan, 4.50%, 1/21/19 | 1,171 | 1,171,150 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 433 | 442,563 | ||||||||||||
2,209,743 | ||||||||||||||
Health Care Providers & Services — 0.4% | ||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 294 | 288,560 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 617 | 604,193 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 478 | 473,526 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 576 | 566,604 | ||||||||||||
1,932,883 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 804 | 801,187 | ||||||||||||
Term Loan B3, 3.20%—3.31%, 1/28/15 | 39 | 39,018 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 8,410 | 7,737,200 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 1,925 | 1,947,137 | ||||||||||||
Station Casinos, Inc., Term Loan B: | ||||||||||||||
5.50%, 9/27/19 | 1,596 | 1,605,305 | ||||||||||||
5.00%, 2/13/20 | 1,550 | 1,562,916 | ||||||||||||
Travelport Holdings Ltd.: | ||||||||||||||
Extended Tranche A Term Loan, 6.40%, 12/01/16 | 308 | 108,841 | ||||||||||||
Extended Tranche B Term Loan, 13.80%, 12/01/16 | 1,031 | 96,237 | ||||||||||||
13,897,841 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 895 | 905,110 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | USD | 520 | $ | 523,900 | ||||||||||
IT Services — 0.3% | ||||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 107 | 107,816 | ||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.20%, 3/23/18 | 1,220 | 1,204,628 | ||||||||||||
1,312,444 | ||||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 373 | 372,346 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 319 | 322,791 | ||||||||||||
Machinery — 0.7% | ||||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 911 | 916,501 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 5.00%, 12/05/19 | 2,400 | 2,400,000 | ||||||||||||
3,316,501 | ||||||||||||||
Media — 3.8% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 495 | 387,164 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 2,526 | 2,008,369 | ||||||||||||
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19 | 440 | 442,392 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 2,054 | 1,756,554 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 617 | 520,938 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 672 | 678,845 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 635 | 639,883 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 8,412 | 8,490,792 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 635 | 635,411 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 416 | 416,107 | ||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 2/17/20 | 1,170 | 1,163,015 | ||||||||||||
17,139,470 | ||||||||||||||
Metals & Mining — 0.9% | ||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 657 | 669,834 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 3,461 | 3,502,792 | ||||||||||||
4,172,626 | ||||||||||||||
Multiline Retail — 0.4% | ||||||||||||||
HEMA Holding BV, Mezzanine, 8.62%, 7/05/17 (f) | EUR | 1,776 | 2,052,111 | |||||||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | USD | 3,435 | 3,506,207 | |||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,308 | 1,321,565 | ||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 360 | 363,377 | ||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 1,501 | 1,508,505 | ||||||||||||
6,699,654 | ||||||||||||||
Pharmaceuticals — 0.7% | ||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,470 | 1,472,940 | ||||||||||||
Par Pharmaceutica, Term Loan B, 4.25%, 9/28/19 | 1,107 | 1,105,841 | ||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 485 | 487,432 | ||||||||||||
3,066,213 | ||||||||||||||
Professional Services — 0.1% | ||||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 572 | 577,492 |
56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.4% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | USD | 1,615 | $ | 1,615,689 | |||||||||||
Real Estate Management & Development — 0.3% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.46%, 10/10/16 | 138 | 138,243 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 1,173 | 1,172,668 | |||||||||||||
1,310,911 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 445 | 445,464 | |||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B, 4.45%, 12/01/16 | 455 | 455,000 | |||||||||||||
Software — 0.6% | |||||||||||||||
GCA Services Group, Inc., Second Lien Term Loan, 9.25%, 10/22/20 | 90 | 89,100 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 1,895 | 1,916,015 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 795 | 826,800 | |||||||||||||
2,831,915 | |||||||||||||||
Specialty Retail — 0.2% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 835 | 843,559 | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,737 | 1,754,244 | |||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 680 | 685,453 | |||||||||||||
2,439,697 | |||||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 940 | 951,355 | |||||||||||||
Wireless Telecommunication Services — 0.9% | |||||||||||||||
Vodafone Americas Finance 2, Inc., Term Loan B, 6.25%, 7/11/16 (f) | 4,022 | 4,132,477 | |||||||||||||
Total Floating Rate Loan Interests — 26.7% | 121,534,312 | ||||||||||||||
Other Interests (a)(k) | Beneficial Interest (000) | ||||||||||||||
Chemicals — 0.0% | |||||||||||||||
Wellman Holdings, Inc., Litigation Trust Certificate | 4,870 | 49 | |||||||||||||
Hotels, Restaurants & Leisure — 0.0% | |||||||||||||||
Buffets, Inc. | 950 | 9 | |||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Escrow | 1,300 | 13 | |||||||||||||
Adelphia Recovery Trust | 1,630 | 163 | |||||||||||||
176 | |||||||||||||||
Total Other Interests — 0.0% | 234 | ||||||||||||||
Preferred Securities | |||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Auto Components — 0.5% | |||||||||||||||
Dana Holding Corp., 4.00% (b)(d) | 16,400 | 2,326,750 |
Preferred Stocks | Shares | Value | |||||||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||||||||
Fannie Mae, Series O, 7.00% (a)(c) | 40,000 | $ | 154,000 | ||||||||||||
Total Preferred Stocks — 0.5% | 2,480,750 | ||||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 1.2% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 198,960 | 5,262,437 | |||||||||||||
Total Preferred Securities — 1.7% | 7,743,187 | ||||||||||||||
Warrants (l) | |||||||||||||||
Health Care Providers & Services — 0.0% | |||||||||||||||
HealthSouth Corp. (Expires 1/16/14) | 54,577 | 1 | |||||||||||||
Media — 0.0% | |||||||||||||||
New Vision Holdings LLC: | |||||||||||||||
(Expires 9/30/14) | 22,194 | 41,052 | |||||||||||||
(Expires 9/30/14) | 3,995 | 7,390 | |||||||||||||
48,442 | |||||||||||||||
Metals & Mining — 0.0% | |||||||||||||||
Peninsula Energy, Ltd. (Expires 12/31/15) | 6,113,638 | 93,672 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% | |||||||||||||||
Pepper Residential Securities Trust (Expires 12/31/15) | 3,611,304 | 52,380 | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 525 | — | |||||||||||||
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 shares for 1 warrant, Expires 6/22/19, Strike Price $42.27) | 1,835 | — | |||||||||||||
— | |||||||||||||||
Total Warrants — 0.0% | 194,495 | ||||||||||||||
Total Long-Term Investments | |||||||||||||||
(Cost — $622,067,211) — 141.1% | 642,597,774 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (m)(n) | 4,840,770 | 4,840,770 | |||||||||||||
Total Short-Term Securities | |||||||||||||||
(Cost — $4,840,770) — 1.1% | 4,840,770 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $15,647) — 0.0% | 3,320 | ||||||||||||||
Total Investments Before Options Written | |||||||||||||||
(Cost — $626,923,628) — 142.2% | 647,441,864 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $165,240) — (0.0)% | (84,883 | ) | |||||||||||||
Total Investments, Net of Options Written - 142.2% | 647,356,981 | ||||||||||||||
Liabilities in Excess of Other Assets — (42.2)% | (192,208,778 | ) | |||||||||||||
Net Assets — 100.0% | $ | 455,148,203 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 57 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. | |||
(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) | Variable rate security. Rate shown is as of report date. | |||
(d) | Convertible security. | |||
(e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(f) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||
(g) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Bank of America Corp. | $ | 181,125 | $ | 1,028 | ||||||
Citigroup, Inc. | $ | 887,775 | $ | (2,225 | ) | |||||
Deutsche AG | $ | 1,484,219 | $ | 8,425 | ||||||
Goldman Sachs & Co., Inc | $ | 688,500 | $ | 9,122 | ||||||
Pershing LLC | $ | 319,168 | $ | 3,047 | ||||||
Sun Trust Capital | $ | 173,400 | $ | 2,297 |
(h) | All or a portion of security has been pledged as collateral in connection with swaps. | |||
(i) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||
(j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||
(l) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
(m) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 4,840,770 | 4,840,770 | $ 872 | $ 110 |
(n) | Represents the current yield as of report date. | |||
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Sold | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Depreciation | | ||||||||||||||||
(77) | S&P 500 E-Mini Index | Chicago Mercantile | March 2013 | USD | 5,826,205 | $ (98,075) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||
USD | 809,981 | AUD | 781,000 | Citigroup, Inc. | 4/17/13 | $ | 14,889 | |||||||||||||||||||||
USD | 6,948,175 | CAD | 6,855,000 | Deutsche Bank AG | 4/17/13 | 307,775 | ||||||||||||||||||||||
USD | 2,954,951 | GBP | 1,910,000 | Barclays Plc | 4/17/13 | 58,063 | ||||||||||||||||||||||
USD | 134,761 | GBP | 87,000 | BNP Paribas SA | 4/17/13 | 2,808 | ||||||||||||||||||||||
USD | 179,331 | GBP | 111,000 | BNP Paribas SA | 4/17/13 | 10,978 | ||||||||||||||||||||||
USD | 459,795 | GBP | 285,000 | BNP Paribas SA | 4/17/13 | 27,537 | ||||||||||||||||||||||
USD | 9,371,232 | GBP | 5,850,000 | Goldman Sachs Group, Inc. | 4/17/13 | 498,563 | ||||||||||||||||||||||
USD | 280,654 | GBP | 177,000 | Royal Bank of Scotland Group Plc | 4/17/13 | 12,199 | ||||||||||||||||||||||
EUR | 389,000 | USD | 521,749 | Westpac Banking Corp. | 4/23/13 | (13,704 | ) | |||||||||||||||||||||
USD | 67,622 | EUR | 50,000 | Citigroup, Inc. | 4/23/13 | 2,320 | ||||||||||||||||||||||
USD | 33,853,495 | EUR | 25,406,000 | Citigroup, Inc. | 4/23/13 | 672,510 | ||||||||||||||||||||||
USD | 132,419 | EUR | 99,392 | Deutsche Bank AG | 4/23/13 | 2,610 | ||||||||||||||||||||||
USD | 479,687 | EUR | 360,000 | Goldman Sachs Group, Inc. | 4/23/13 | 9,517 | ||||||||||||||||||||||
USD | 98,520 | EUR | 73,000 | Royal Bank of Scotland Group Plc | 4/23/13 | 3,180 | ||||||||||||||||||||||
Total | $ | 1,609,245 |
58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
• | Exchange-traded options purchased as of February 28, 2013 were as follows: |
Description | | Put/Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
Life Technologies Corp. | Call | USD | 70.00 | 3/16/13 | 166 | $ | 3,320 |
• | Over-the-counter credit default swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Strike Price | | Pay/Receive Floating Rate Index | | Floating Rate Index | | Credit Rating1 | | Expiration Date | | Notional Amount (000)2 | | Market Value | | |||||||||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Call | USD | 103.50 | Receive | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 6,800 | $ | (36,746 | ) | |||||||||||||||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Put | USD | 97.50 | Pay | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 6,800 | (48,137 | ) | ||||||||||||||||||
Total | $ | (84,883 | ) |
• | Credit default swaps — buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | | ||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 1,050 | $ | (41,360 | ) | |||||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 350 | (13,579 | ) | ||||||||||||||||||||
Beazer Homes USA, Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/17 | USD | 100 | (1,642 | ) | ||||||||||||||||||||
Total | $ | (56,581 | ) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating3 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 117 | $ | 14,244 | |||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 422 | 71,137 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 468 | 52,653 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | B- | USD | 750 | 60,215 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 170 | 13,213 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 170 | 13,213 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 113 | 5,788 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 558 | 547 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 506 | 32,569 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 3/20/16 | CCC | USD | 66 | 2,395 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 475 | 38,458 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 475 | 40,752 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 1,184 | 63,566 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 190 | 843 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 345 | 20,332 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 660 | 32,783 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Credit Suisse Group AG | 9/20/16 | B- | USD | 200 | 22,343 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Deutsche Bank AG | 3/20/17 | B- | USD | 305 | 22,328 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 372 | 11,712 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 217 | 2,697 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 312 | (2,376 | ) | |||||||||||||||||||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B- | USD | 720 | 124,628 | ||||||||||||||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 2,400 | 580,278 | ||||||||||||||||||||||||
Level 3 Communications, Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/19 | CCC | USD | 1,600 | 125,091 | ||||||||||||||||||||||||
Total | $ | 1,349,409 |
1 | Using S&P’s rating of the underlying securities of the index. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
3 | Using S&P’s rating of the issuer. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for consolidated financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 59 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | $ | 33,165,519 | $ | 2,552,779 | $ | 8,653,232 | $ | 44,371,530 | ||||||||||
Corporate Bonds | — | 463,753,924 | 5,000,092 | 468,754,016 | ||||||||||||||
Floating Rate Loan Interests | — | 99,592,860 | 21,941,452 | 121,534,312 | ||||||||||||||
Other Interests | 163 | — | 71 | 234 | ||||||||||||||
Preferred Securities | 5,416,437 | 2,326,750 | — | 7,743,187 | ||||||||||||||
Warrants | 93,672 | — | 100,823 | 194,495 | ||||||||||||||
Short-Term Securities | 4,840,770 | — | — | 4,840,770 | ||||||||||||||
Options Purchased: | �� | |||||||||||||||||
Equity Contracts | 3,320 | — | — | 3,320 | ||||||||||||||
Total | $ | 43,519,881 | $ | 568,226,313 | $ | 35,695,670 | $ | 647,441,864 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 1,351,785 | — | $ | 1,351,785 | ||||||||||||
Foreign currency exchange contracts | — | 1,622,949 | — | 1,622,949 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (143,840 | ) | — | (143,840 | ) | ||||||||||||
Equity contracts | $ | (98,075 | ) | — | — | (98,075 | ) | |||||||||||
Foreign currency exchange contracts | — | (13,704 | ) | — | (13,704 | ) | ||||||||||||
Total | $ | (98,075 | ) | $ | 2,817,190 | — | $ | 2,719,115 |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 317,411 | — | — | $ | 317,411 | ||||||||||||
Cash pledged as collateral for financial futures contracts | 324,000 | — | — | 324,000 | ||||||||||||||
Cash pledged as collateral for swaps | 400,000 | — | — | 400,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (307,820 | ) | — | (307,820 | ) | |||||||||||
Cash held as collateral for swaps | — | (1,200,000 | ) | — | (1,200,000 | ) | ||||||||||||
Loan payable | — | (178,000,000 | ) | — | (178,000,000 | ) | ||||||||||||
Total | $ | 1,041,411 | $ | (179,507,820 | ) | — | $ | (178,466,409 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013.
60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Other Interests | | Warrants | | Total | |||||||||||||||
Assets: | ||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 7,005,140 | $ | 4,924,921 | $ | 19,461,069 | $ | 71 | $ | 1 | $ | 31,391,202 | ||||||||||||||
Transfers into Level 31 | 15,812 | 2,269,625 | 2,470,993 | — | — | 4,756,430 | ||||||||||||||||||||
Transfers out of Level 32 | — | — | (2,245,765 | ) | — | — | (2,245,765 | ) | ||||||||||||||||||
Accrued discounts/premiums | — | (15,394 | ) | 60,872 | — | — | 45,478 | |||||||||||||||||||
Net realized gain (loss) | — | 11,264 | (118,542 | ) | — | — | (107,278 | ) | ||||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 800,479 | (2,291,902 | ) | 1,226,432 | — | 100,822 | (164,169 | ) | ||||||||||||||||||
Purchases | 831,801 | 3,947,719 | 7,770,453 | — | — | 12,549,973 | ||||||||||||||||||||
Sales | — | (3,846,141 | ) | (6,684,060 | ) | — | (10,530,201 | ) | ||||||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 8,653,232 | $ | 5,000,092 | $ | 21,941,452 | $ | 71 | $ | 100,823 | $ | 35,695,670 |
1 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,756,430 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $2,245,765 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $870,743. |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:
| Credit Contracts | |||||
Assets: | ||||||
Opening Balance, as of August 31, 2012 | $ | 869,356 | ||||
Transfers into Level 34 | — | |||||
Transfers out of Level 34 | (205,779 | ) | ||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation5 | (663,577 | ) | ||||
Purchases | — | |||||
Issues6 | — | |||||
Sales | — | |||||
Settlements7 | — | |||||
Closing Balance, as of February 28, 2013 | — |
4 | Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. |
5 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
6 | Issues represent upfront cash received on certain derivative financial instruments. |
7 | Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 61 |
Consolidated Schedule of Investments (concluded) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $19,957,170.
| Value | | Valuation Techniques | | Unobservable Inputs1 | | Range of Unobservable Inputs Utilized | |||||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 7,147,761 | Market Comparable Companies | EBITDA Multiple | 6.56x | |||||||||||||
Enterprise Value/Oil Barrel Multiple | CAD2 0.44x | |||||||||||||||||
365,274 | Restructure Terms3 | N/A | — | |||||||||||||||
Corporate Bonds | 996,332 | Discounted Cash Flow | Yield | 12% | ||||||||||||||
2,759,300 | Cost4 | N/A | — | |||||||||||||||
Floating Rate Loan Interests | 1,077,719 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||
3,250,000 | Cost4 | N/A | — | |||||||||||||||
Warrant | 48,442 | Discounted Vendor Price | Distribution Rate | 0.51639 | ||||||||||||||
93,672 | Black-Sholes | Implied Volatility | 90% | |||||||||||||||
Total | $ | 15,738,500 |
1 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||||||
EBITDA Multiple | Increase | Decrease | ||||||||
Enterprise Value/Oil Barrel Multiple | Increase | Decrease | ||||||||
Yield | Decrease | Increase | ||||||||
Distribution Rate | Decrease | Increase | ||||||||
Implied Volatility | Increase | Decrease |
2 | Canadian Dollar. |
3 | Investment is valued based on the company’s financial restructuring plan. |
4 | The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust. |
62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | |||||||||||||
Diversified Financial Services — 0.7% | |||||||||||||||
Kcad Holdings I Ltd. (a) | 128,137,634 | $ | 864,928 | ||||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||||||
Broadview Networks Holdings, Inc. (a) | 15,600 | 104,364 | |||||||||||||
Hotels, Restaurants & Leisure — 0.0% | |||||||||||||||
Travelport LLC (a) | 35,081 | 351 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
NewPage Corp. (a) | 3,980 | 338,300 | |||||||||||||
Software — 0.1% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (a) | 251 | 3 | |||||||||||||
HMH Holdings/EduMedia (a) | 9,409 | 172,491 | |||||||||||||
172,494 | |||||||||||||||
Total Common Stocks — 1.2% | 1,480,437 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.9% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 265 | 274,938 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 100 | 108,938 | |||||||||||||
7.13%, 3/15/21 | 125 | 136,250 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 398 | 439,292 | |||||||||||||
Spirit Aerosystems, Inc., 7.50%, 10/01/17 | 147 | 155,820 | |||||||||||||
1,115,238 | |||||||||||||||
Air Freight & Logistics — 0.4% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | 257 | 258,367 | |||||||||||||
Series 2, 12.38%, 8/16/15 | 260 | 261,594 | |||||||||||||
519,961 | |||||||||||||||
Airlines — 1.5% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21 | 309 | 321,675 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 2010-1, Class B, 6.00%, 1/12/19 | 163 | 168,071 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 405 | 403,987 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 1/02/23 | 261 | 289,307 | |||||||||||||
Series 2009-1, Class B, 9.75%, 12/17/16 | 90 | 99,811 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 254 | 268,365 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 186 | 199,020 | |||||||||||||
Series 2012-2, Class B, 6.75%, 6/03/21 | 150 | 156,750 | |||||||||||||
1,906,986 | |||||||||||||||
Auto Components — 1.8% | |||||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 200 | 217,750 | |||||||||||||
Delphi Corp.: | |||||||||||||||
6.13%, 5/15/21 | 35 | 38,150 | |||||||||||||
5.00%, 2/15/23 | 65 | 67,681 | |||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 1,510 | 1,617,588 | |||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (b) | 155 | 169,725 | |||||||||||||
Titan International, Inc., 7.88%, 10/01/17 | 190 | 203,775 | |||||||||||||
2,314,669 | |||||||||||||||
Beverages — 0.2% | |||||||||||||||
Crown European Holdings SA: | |||||||||||||||
7.13%, 8/15/18 (b) | EUR | 114 | 161,111 | ||||||||||||
7.13%, 8/15/18 | 50 | 70,663 | |||||||||||||
231,774 | |||||||||||||||
Building Products — 1.1% | |||||||||||||||
Building Materials Corp. of America (b): | |||||||||||||||
7.00%, 2/15/20 | USD | 430 | 465,475 | ||||||||||||
6.75%, 5/01/21 | 350 | 375,812 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Building Products (concluded) | ||||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | USD | 155 | $ | 159,069 | ||||||||||
USG Corp., 9.75%, 1/15/18 | 315 | 370,519 | ||||||||||||
1,370,875 | ||||||||||||||
Capital Markets — 0.6% | ||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (c)(d) | 295 | 308,460 | ||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b) | 200 | 235,195 | ||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (b) | 209 | 210,045 | ||||||||||||
753,700 | ||||||||||||||
Chemicals — 3.3% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 76 | 77,140 | ||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 632 | 690,460 | ||||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (b) | 163 | 165,649 | ||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 80 | 90,400 | ||||||||||||
INEOS Finance Plc, 7.50%, 5/01/20 (b) | 195 | 210,112 | ||||||||||||
Kraton Polymers LLC, 6.75%, 3/01/19 | 55 | 57,200 | ||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 1,210 | 1,406,625 | ||||||||||||
Nexeo Solutions LLC, 8.38%, 3/01/18 | 40 | 39,100 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 100 | 106,000 | ||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 148 | 213,896 | |||||||||||
PolyOne Corp., 7.38%, 9/15/20 | USD | 100 | 110,750 | |||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 325 | 336,375 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 644 | 639,975 | ||||||||||||
4,143,682 | ||||||||||||||
Commercial Banks — 1.8% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 1,440 | 1,548,000 | ||||||||||||
6.63%, 4/01/18 (b) | 285 | 323,475 | ||||||||||||
5.50%, 2/15/19 (b) | 240 | 261,000 | ||||||||||||
5.00%, 8/15/22 | 210 | 224,700 | ||||||||||||
2,357,175 | ||||||||||||||
Commercial Services & Supplies — 2.0% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 122 | 131,150 | ||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (b)(e) | 282 | 287,640 | ||||||||||||
ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(e)(f) | 190 | 193,802 | ||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) | 230 | 248,939 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 162 | 169,680 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 9 | 9,675 | ||||||||||||
Casella Waste Systems, Inc., 7.75%, 2/15/19 | 25 | 23,938 | ||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (b) | 270 | 273,375 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 233 | 239,990 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 280 | 303,614 | ||||||||||||
HDTFS, Inc. (b): | ||||||||||||||
5.88%, 10/15/20 | 40 | 41,600 | ||||||||||||
6.25%, 10/15/22 | 115 | 123,625 | ||||||||||||
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b) | 34 | 35,998 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 165 | 183,562 | ||||||||||||
RSC Equipment Rental, Inc., 8.25%, 2/01/21 | 210 | 238,087 | ||||||||||||
West Corp., 8.63%, 10/01/18 | 65 | 69,225 | ||||||||||||
2,573,900 | ||||||||||||||
Communications Equipment — 1.2% | ||||||||||||||
Avaya, Inc., 9.75%, 11/01/15 | 310 | 304,962 | ||||||||||||
Brocade Communications Systems, Inc., 4.63%, 1/15/23 (b) | 90 | 87,750 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 430 | 480,525 | ||||||||||||
10.13%, 7/01/20 | 560 | 656,600 | ||||||||||||
1,529,837 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 63 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Computers & Peripherals — 0.3% | |||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (c) | USD | 89 | $ | 128,716 | |||||||||||
NCR Corp., 5.00%, 7/15/22 (b) | 120 | 119,400 | |||||||||||||
SanDisk Corp., 1.50%, 8/15/17 (c) | 130 | 160,063 | |||||||||||||
408,179 | |||||||||||||||
Construction & Engineering — 0.3% | |||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | 90 | 93,375 | |||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b) | 193 | 211,335 | |||||||||||||
Weekley Homes LLC, 6.00%, 2/01/23 (b) | 67 | 68,340 | |||||||||||||
373,050 | |||||||||||||||
Construction Materials — 2.3% | |||||||||||||||
HD Supply, Inc. (b): | |||||||||||||||
8.13%, 4/15/19 | 560 | 630,700 | |||||||||||||
11.00%, 4/15/20 | 590 | 710,950 | |||||||||||||
7.50%, 7/15/20 | 917 | 918,146 | |||||||||||||
11.50%, 7/15/20 | 620 | 714,550 | |||||||||||||
2,974,346 | |||||||||||||||
Consumer Finance — 1.0% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | 220 | 239,800 | |||||||||||||
Ford Motor Credit Co. LLC: | |||||||||||||||
12.00%, 5/15/15 | 330 | 400,537 | |||||||||||||
8.13%, 1/15/20 | 500 | 629,908 | |||||||||||||
1,270,245 | |||||||||||||||
Containers & Packaging — 1.9% | |||||||||||||||
Ardagh Packaging Finance Plc (b): | |||||||||||||||
7.38%, 10/15/17 | EUR | 285 | 403,709 | ||||||||||||
9.13%, 10/15/20 | USD | 200 | 219,000 | ||||||||||||
9.13%, 10/15/20 | 200 | 218,000 | |||||||||||||
7.00%, 11/15/20 | 200 | 200,500 | |||||||||||||
4.88%, 11/15/22 | 200 | 197,000 | |||||||||||||
Berry Plastics Corp.: | |||||||||||||||
4.18%, 9/15/14 (g) | 135 | 135,000 | |||||||||||||
8.25%, 11/15/15 | 55 | 57,321 | |||||||||||||
9.75%, 1/15/21 | 85 | 98,175 | |||||||||||||
Crown Americas LLC, 6.25%, 2/01/21 | 5 | 5,450 | |||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b) | 52 | 50,830 | |||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 120 | 170,014 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 175 | 192,500 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 177 | 165,937 | |||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (b) | 243 | 268,515 | |||||||||||||
2,381,951 | |||||||||||||||
Distributors — 0.5% | |||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (b) | 605 | 636,763 | |||||||||||||
Diversified Consumer Services — 1.1% | |||||||||||||||
313 Group, Inc. (b): | |||||||||||||||
6.38%, 12/01/19 | 432 | 421,200 | |||||||||||||
8.75%, 12/01/20 | 261 | 257,737 | |||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) | 550 | 598,125 | |||||||||||||
ServiceMaster Co., 8.00%, 2/15/20 | 85 | 90,100 | |||||||||||||
1,367,162 | |||||||||||||||
Diversified Financial Services — 5.0% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 260 | 265,850 | |||||||||||||
Aircastle Ltd.: | |||||||||||||||
6.75%, 4/15/17 | 160 | 176,400 | |||||||||||||
6.25%, 12/01/19 | 140 | 150,850 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
7.50%, 12/31/13 | 330 | 346,500 | |||||||||||||
8.00%, 11/01/31 | 1,227 | 1,541,419 | |||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (b) | 180 | 177,525 | |||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | 146 | 153,300 | |||||||||||||
7.25%, 10/15/21 | 384 | 411,840 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Financial Services (concluded) | |||||||||||||||
General Motors Financial Co., Inc., 6.75%, 6/01/18 | USD | 140 | $ | 161,000 | |||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 378 | 427,140 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.13%, 4/15/19 | 115 | 123,481 | |||||||||||||
9.00%, 4/15/19 | 210 | 222,600 | |||||||||||||
7.88%, 8/15/19 | 150 | 165,750 | |||||||||||||
9.88%, 8/15/19 | 580 | 635,100 | |||||||||||||
5.75%, 10/15/20 | 985 | 1,017,012 | |||||||||||||
WMG Acquisition Corp.: | |||||||||||||||
11.50%, 10/01/18 | 190 | 220,638 | |||||||||||||
6.00%, 1/15/21 (b) | 154 | 159,390 | |||||||||||||
6,355,795 | |||||||||||||||
Diversified Telecommunication Services — 2.3% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 240 | 234,600 | |||||||||||||
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., 6.38%, 9/15/20 (b) | 205 | 211,919 | |||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b) | 150 | 169,875 | |||||||||||||
Level 3 Communications, Inc.: | |||||||||||||||
6.50%, 10/01/16 (c) | 125 | 165,078 | |||||||||||||
8.88%, 6/01/19 (b) | 145 | 156,600 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 813 | 886,170 | |||||||||||||
7.00%, 6/01/20 (b) | 192 | 201,600 | |||||||||||||
8.63%, 7/15/20 | 385 | 427,350 | |||||||||||||
TW Telecom Holdings, Inc., 5.38%, 10/01/22 | 130 | 135,525 | |||||||||||||
Windstream Corp.: | |||||||||||||||
8.13%, 8/01/13 | 112 | 114,934 | |||||||||||||
7.88%, 11/01/17 | 163 | 184,598 | |||||||||||||
7.50%, 4/01/23 | 35 | 36,575 | |||||||||||||
6.38%, 8/01/23 (b) | 35 | 34,300 | |||||||||||||
2,959,124 | |||||||||||||||
Electric Utilities — 0.5% | |||||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 130 | 144,601 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 350 | 466,675 | ||||||||||||
611,276 | |||||||||||||||
Electrical Equipment — 0.3% | |||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (b) | USD | 160 | 164,000 | ||||||||||||
General Cable Corp., 5.75%, 10/01/22 (b) | 270 | 276,750 | |||||||||||||
440,750 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | 105 | 126,263 | |||||||||||||
Energy Equipment & Services — 3.8% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 65 | 70,688 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 185 | 185,925 | |||||||||||||
Compagnie Générale de Géophysique, Veritas: | |||||||||||||||
7.75%, 5/15/17 | 170 | 175,312 | |||||||||||||
6.50%, 6/01/21 | 595 | 618,800 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 578 | 598,230 | |||||||||||||
Genesis Energy LP, 5.75%, 2/15/21 (b) | 74 | 76,590 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 70 | 72,275 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 140 | 147,000 | |||||||||||||
MEG Energy Corp. (b): | |||||||||||||||
6.50%, 3/15/21 | 455 | 480,025 | |||||||||||||
6.38%, 1/30/23 | 160 | 165,600 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 140 | 149,800 | |||||||||||||
5.13%, 1/15/23 (b) | 60 | 60,000 |
64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Energy Equipment & Services (concluded) | |||||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.25%, 11/15/21 | USD | 640 | $ | 665,600 | |||||||||||
7.88%, 11/01/26 | 170 | 181,900 | |||||||||||||
4.75%, 12/15/66 (c) | 309 | 262,457 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 35 | 37,188 | |||||||||||||
6.50%, 12/15/21 | 135 | 143,100 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b) | 200 | 210,000 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 305 | 308,812 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 159 | 163,770 | |||||||||||||
4,773,072 | |||||||||||||||
Food & Staples Retailing — 0.1% | |||||||||||||||
Rite Aid Corp., 9.25%, 3/15/20 | 165 | 184,800 | |||||||||||||
Food Products — 0.4% | |||||||||||||||
Del Monte Corp., 7.63%, 2/15/19 | 27 | 28,013 | |||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 255 | 275,400 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 205 | 222,937 | |||||||||||||
526,350 | |||||||||||||||
Health Care Equipment & Supplies — 3.4% | |||||||||||||||
Biomet, Inc. (b): | |||||||||||||||
6.50%, 8/01/20 | 1,680 | 1,776,600 | |||||||||||||
6.50%, 10/01/20 | 1,002 | 1,032,060 | |||||||||||||
DJO Finance LLC: | |||||||||||||||
8.75%, 3/15/18 | 168 | 185,430 | |||||||||||||
7.75%, 4/15/18 | 50 | 49,750 | |||||||||||||
9.88%, 4/15/18 | 180 | 192,150 | |||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (b) | 48 | 51,960 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b) | 120 | 130,800 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 505 | 579,487 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b) | 145 | 142,100 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 130 | 141,375 | |||||||||||||
4,281,712 | |||||||||||||||
Health Care Providers & Services — 8.8% | |||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 255 | 273,488 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | 395 | 415,244 | |||||||||||||
7.13%, 7/15/20 | 202 | 217,655 | |||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 200 | 276,776 | ||||||||||||
Crown Newco 3 Plc, 7.00%, 2/15/18 (b) | GBP | 200 | 313,271 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 393 | 409,702 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 540 | 569,700 | |||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | 60 | 66,450 | |||||||||||||
6.50%, 2/15/20 | 1,010 | 1,131,200 | |||||||||||||
7.88%, 2/15/20 | 40 | 44,350 | |||||||||||||
7.25%, 9/15/20 | 1,400 | 1,554,000 | |||||||||||||
4.75%, 5/01/23 | 660 | 658,350 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (b) | 703 | 741,665 | |||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 286 | 294,580 | |||||||||||||
INC Research LLC, 11.50%, 7/15/19 (b) | 302 | 322,385 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (b) | 280 | 291,900 | |||||||||||||
Omnicare, Inc.: | |||||||||||||||
7.75%, 6/01/20 | 450 | 499,500 | |||||||||||||
3.75%, 4/01/42 (c) | 69 | 71,933 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 155 | 161,975 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 474 | 524,955 | |||||||||||||
8.88%, 7/01/19 | 1,260 | 1,423,800 | |||||||||||||
6.75%, 2/01/20 | 230 | 246,100 | |||||||||||||
4.50%, 4/01/21 (b) | 312 | 307,710 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
Vanguard Health Holding Co. II LLC: | |||||||||||||||
8.00%, 2/01/18 | USD | 104 | $ | 110,760 | |||||||||||
7.75%, 2/01/19 (b) | 205 | 219,606 | |||||||||||||
11,147,055 | |||||||||||||||
Health Care Technology — 1.1% | |||||||||||||||
IMS Health, Inc. (b): | |||||||||||||||
12.50%, 3/01/18 | 1,125 | 1,355,625 | |||||||||||||
6.00%, 11/01/20 | 63 | 65,520 | |||||||||||||
1,421,145 | |||||||||||||||
Hotels, Restaurants & Leisure — 2.6% | |||||||||||||||
Caesars Entertainment Operating Co., Inc.: | |||||||||||||||
10.00%, 12/15/15 | 389 | 353,990 | |||||||||||||
10.00%, 12/15/18 | 335 | 221,100 | |||||||||||||
9.00%, 2/15/20 (b) | 382 | 377,225 | |||||||||||||
Caesars Operating Escrow LLC: | |||||||||||||||
8.50%, 2/15/20 | 88 | 85,800 | |||||||||||||
9.00%, 2/15/20 (b) | 431 | 425,612 | |||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (b) | 200 | 209,000 | |||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | 550 | 605,000 | |||||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) | 60 | 59,625 | |||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (f) | 65 | 67,938 | |||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 112 | 109,760 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | 200 | 196,000 | |||||||||||||
Travelport LLC: | |||||||||||||||
4.91%, 9/01/14 (g) | 85 | 77,350 | |||||||||||||
6.31%, 12/01/16 (b)(f) | 197 | 179,185 | |||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(h) | 215 | — | |||||||||||||
Wynn Las Vegas LLC, 5.38%, 3/15/22 | 270 | 283,838 | |||||||||||||
3,251,423 | |||||||||||||||
Household Durables — 2.8% | |||||||||||||||
Ashton Woods USA LLC, 6.88%, 2/15/21 (b) | 98 | 98,490 | |||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 15 | 16,031 | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b) | 180 | 190,800 | |||||||||||||
Jarden Corp., 7.50%, 1/15/20 | EUR | 140 | 196,942 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | USD | 415 | 456,500 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 270 | 289,575 | |||||||||||||
PH Holding LLC, 9.75%, 12/31/17 | 150 | 147,000 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 85 | 86,275 | |||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 160 | 176,000 | |||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | 890 | 1,108,050 | |||||||||||||
8.38%, 1/15/21 | 440 | 522,500 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 114 | 122,693 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 (b) | 130 | 139,750 | |||||||||||||
3,550,606 | |||||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (b) | EUR | 100 | 135,777 | ||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 167 | 177,646 | ||||||||||||
6.63%, 11/15/22 | 110 | 118,525 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 430 | 487,512 | |||||||||||||
6.75%, 3/15/20 (b) | 43 | 46,333 | |||||||||||||
965,793 | |||||||||||||||
Independent Power Producers & Energy Traders — 4.7% | |||||||||||||||
The AES Corp., 7.38%, 7/01/21 | 125 | 141,250 | |||||||||||||
Calpine Corp. (b): | |||||||||||||||
7.25%, 10/15/17 | 72 | 76,590 | |||||||||||||
7.50%, 2/15/21 | 40 | 43,500 | |||||||||||||
7.88%, 1/15/23 | 180 | 199,350 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 65 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Independent Power Producers & Energy Traders (concluded) | |||||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
6.88%, 8/15/17 (b) | USD | 330 | $ | 348,150 | |||||||||||
10.00%, 12/01/20 (b) | 670 | 755,425 | |||||||||||||
10.00%, 12/01/20 | 1,936 | 2,197,360 | |||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B, 9.24%, 7/02/17 | 107 | 117,716 | |||||||||||||
Series C, 9.68%, 7/02/26 | 135 | 147,150 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 340 | 384,200 | |||||||||||||
7.38%, 5/01/22 | 165 | 179,025 | |||||||||||||
NRG Energy, Inc.: | |||||||||||||||
7.63%, 1/15/18 | 661 | 757,671 | |||||||||||||
6.63%, 3/15/23 (b) | 285 | 303,525 | |||||||||||||
QEP Resources, Inc.: | |||||||||||||||
5.38%, 10/01/22 | 148 | 155,030 | |||||||||||||
5.25%, 5/01/23 | 115 | 119,025 | |||||||||||||
5,924,967 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (b) | 250 | 251,875 | |||||||||||||
Insurance — 0.6% | |||||||||||||||
Alliant Holdings I, Inc., 7.88%, 12/15/20 (b) | 499 | 501,495 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b) | 98 | 103,880 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 120 | 118,800 | |||||||||||||
724,175 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | 64 | 64,000 | |||||||||||||
IT Services — 3.6% | |||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b) | 650 | 732,875 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 230 | 247,825 | |||||||||||||
First Data Corp.: | |||||||||||||||
7.38%, 6/15/19 (b) | 895 | 940,869 | |||||||||||||
6.75%, 11/01/20 (b) | 1,131 | 1,160,689 | |||||||||||||
8.25%, 1/15/21 (b) | 58 | 59,305 | |||||||||||||
11.25%, 1/15/21 (b) | 214 | 218,280 | |||||||||||||
12.63%, 1/15/21 | 365 | 389,181 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 250 | 268,437 | |||||||||||||
6.63%, 11/01/19 (b) | 350 | 359,625 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b) | 214 | 207,045 | |||||||||||||
4,584,131 | |||||||||||||||
Machinery — 1.8% | |||||||||||||||
Dematic SA, 7.75%, 12/15/20 (b) | 40 | 40,900 | |||||||||||||
The Manitowoc Co., Inc., 5.88%, 10/15/22 | 205 | 210,125 | |||||||||||||
Silver II Borrower/Silver II US Holdings LLC, 7.75%, 12/15/20 (b) | 150 | 156,000 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 80 | 89,400 | |||||||||||||
Terex Corp., 6.00%, 5/15/21 | 205 | 212,687 | |||||||||||||
Trinseo Materials Operating SCA, 8.75%, 2/01/19 (b) | 178 | 177,333 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
7.38%, 5/15/20 | 195 | 213,525 | |||||||||||||
7.63%, 4/15/22 | 957 | 1,059,877 | |||||||||||||
6.13%, 6/15/23 | 85 | 89,250 | |||||||||||||
2,249,097 | |||||||||||||||
Media — 9.7% | |||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 | 177 | 134,520 | |||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 100 | 113,500 | |||||||||||||
4.75%, 12/15/22 | 156 | 155,415 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 250 | 242,500 | |||||||||||||
CCO Holdings LLC: | |||||||||||||||
5.25%, 9/30/22 | 941 | 925,709 | |||||||||||||
5.13%, 2/15/23 | 270 | 263,250 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Media (concluded) | |||||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b) | USD | 293 | $ | 231,470 | |||||||||||
Checkout Holding Corp., 11.47%, 11/15/15 (b)(d) | 199 | 147,011 | |||||||||||||
Cinemark USA, Inc.: | |||||||||||||||
8.63%, 6/15/19 | 120 | 133,050 | |||||||||||||
5.13%, 12/15/22 (b) | 93 | 93,465 | |||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (b) | 403 | 374,790 | |||||||||||||
Clear Channel Worldwide Holdings, Inc.: | |||||||||||||||
6.50%, 11/15/22 (b) | 271 | 283,195 | |||||||||||||
6.50%, 11/15/22 (b) | 732 | 770,430 | |||||||||||||
Series B 7.63%, 3/15/20 | 500 | 517,500 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
5.88%, 7/15/22 | 450 | 474,750 | |||||||||||||
5.00%, 3/15/23 (b) | 295 | 292,788 | |||||||||||||
Harron Communications LP, 9.13%, 4/01/20 (b) | 140 | 154,000 | |||||||||||||
Intelsat Jackson Holdings SA: | |||||||||||||||
7.25%, 10/15/20 | 315 | 337,838 | |||||||||||||
6.63%, 12/15/22 (b) | 93 | 93,698 | |||||||||||||
Intelsat Luxembourg SA: | |||||||||||||||
11.25%, 2/04/17 | 270 | 286,875 | |||||||||||||
11.50%, 2/04/17 | 998 | 1,061,750 | |||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 615 | 697,256 | |||||||||||||
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | 155 | 167,206 | |||||||||||||
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b) | EUR | 155 | 216,687 | ||||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | USD | 335 | 363,475 | ||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 261 | 284,490 | |||||||||||||
Nielsen Finance LLC: | |||||||||||||||
11.63%, 2/01/14 | 72 | 78,660 | |||||||||||||
7.75%, 10/15/18 | 517 | 572,577 | |||||||||||||
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) | GBP | 100 | 157,773 | ||||||||||||
ProQuest LLC, 9.00%, 10/15/18 (d) | USD | 82 | 81,385 | ||||||||||||
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(b)(h) | 1,427 | 714 | |||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 375 | 375,000 | |||||||||||||
Unitymedia GmbH: | |||||||||||||||
9.63%, 12/01/19 | EUR | 100 | 144,459 | ||||||||||||
9.63%, 12/01/19 (b) | 245 | 353,925 | |||||||||||||
9.50%, 3/15/21 | 190 | 282,435 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG, 7.50%, 3/15/19 | 304 | 431,615 | |||||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b) | USD | 55 | 59,400 | ||||||||||||
UPC Holding BV, 9.88%, 4/15/18 (b) | 200 | 224,000 | |||||||||||||
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) | EUR | 371 | 513,420 | ||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b) | USD | 155 | 162,750 | ||||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 85 | 119,849 | ||||||||||||
12,374,580 | |||||||||||||||
Metals & Mining — 4.4% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | USD | 295 | 332,981 | ||||||||||||
4.00%, 8/05/15 | 173 | 179,114 | |||||||||||||
4.25%, 3/01/16 | 50 | 51,500 | |||||||||||||
5.00%, 2/25/17 | 180 | 187,290 | |||||||||||||
6.13%, 6/01/18 | 181 | 195,172 | |||||||||||||
6.00%, 3/01/21 | 26 | 27,593 | |||||||||||||
6.75%, 2/25/22 | 214 | 235,637 | |||||||||||||
7.50%, 10/15/39 | 26 | 26,953 | |||||||||||||
7.25%, 3/01/41 | 99 | 98,753 | |||||||||||||
FMG Resources August 2006 Property Ltd. (b): | |||||||||||||||
6.38%, 2/01/16 | 195 | 203,079 | |||||||||||||
6.00%, 4/01/17 | 208 | 216,840 | |||||||||||||
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b) | 130 | 141,375 | |||||||||||||
GoldCorp, Inc., 2.00%, 8/01/14 (c) | 460 | 481,850 |
66 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | USD | 100 | $ | 111,750 | ||||||||||
New Gold, Inc., 7.00%, 4/15/20 (b) | 65 | 70,200 | ||||||||||||
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (c) | 670 | 739,931 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 1,525 | 1,708,000 | ||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (b) | 105 | 112,350 | ||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 190 | 189,050 | ||||||||||||
Vedanta Resources Plc, 8.25%, 6/07/21 (b) | 200 | 227,500 | ||||||||||||
Walter Energy, Inc., 9.88%, 12/15/20 (b) | 57 | 61,988 | ||||||||||||
5,598,906 | ||||||||||||||
Multiline Retail — 0.4% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 351 | 371,183 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 200 | 208,500 | ||||||||||||
579,683 | ||||||||||||||
Oil, Gas & Consumable Fuels — 9.1% | ||||||||||||||
Access Midstream Partners LP: | ||||||||||||||
6.13%, 7/15/22 | 120 | 128,700 | ||||||||||||
4.88%, 5/15/23 | 165 | 163,350 | ||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (c) | 385 | 367,434 | ||||||||||||
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b) | 100 | 107,500 | ||||||||||||
BreitBurn Energy Partners LP, 7.88%, 4/15/22 | 115 | 122,188 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 107 | 112,350 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 95 | 103,075 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 50 | 56,500 | ||||||||||||
6.63%, 8/15/20 | 80 | 87,600 | ||||||||||||
6.88%, 11/15/20 | 80 | 88,000 | ||||||||||||
6.13%, 2/15/21 | 35 | 37,100 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 75 | 82,875 | ||||||||||||
6.50%, 1/15/22 | 133 | 144,970 | ||||||||||||
5.50%, 10/01/22 | 99 | 103,084 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 135 | 148,837 | ||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 170 | 192,950 | ||||||||||||
Crosstex Energy LP, 8.88%, 2/15/18 | 65 | 70,038 | ||||||||||||
CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 (b) | 165 | 166,237 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 334 | 327,737 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 210 | 237,300 | ||||||||||||
7.75%, 6/15/19 | 245 | 262,762 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||||||||||||
6.88%, 5/01/19 | 155 | 168,950 | ||||||||||||
7.75%, 9/01/22 | 95 | 102,838 | ||||||||||||
EV Energy Partners LP, 8.00%, 4/15/19 | 70 | 73,325 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 (b) | 179 | 192,425 | ||||||||||||
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | 124 | 136,710 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 155 | 174,375 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.50%, 5/15/19 | 20 | 20,700 | ||||||||||||
6.25%, 11/01/19 (b) | 515 | 525,300 | ||||||||||||
8.63%, 4/15/20 | 50 | 55,313 | ||||||||||||
7.75%, 2/01/21 | 75 | 81,000 | ||||||||||||
MarkWest Energy Partners LP: | ||||||||||||||
5.50%, 2/15/23 | 100 | 105,000 | ||||||||||||
4.50%, 7/15/23 | 135 | 131,963 | ||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 350 | 375,375 | ||||||||||||
Northern Oil and Gas, Inc., 8.00%, 6/01/20 | 140 | 146,300 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 90 | 97,200 | ||||||||||||
6.50%, 11/01/21 | 135 | 145,800 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 332 | 361,880 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (b) | 100 | 108,750 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (b) | 90 | 95,175 | ||||||||||||
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b) | 296 | 301,920 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | USD | 465 | $ | 511,500 | ||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 460 | 530,150 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | 170 | 187,000 | ||||||||||||
5.75%, 6/01/21 | 460 | 489,900 | ||||||||||||
5.00%, 8/15/22 | 178 | 182,005 | ||||||||||||
Regency Energy Partners LP: | ||||||||||||||
6.88%, 12/01/18 | 173 | 186,840 | ||||||||||||
5.50%, 4/15/23 | 287 | 302,785 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (b) | 699 | 721,717 | ||||||||||||
Sabine Pass Liquified Natural Gas LP: | ||||||||||||||
7.50%, 11/30/16 | 665 | 734,825 | ||||||||||||
6.50%, 11/01/20 (b) | 140 | 147,700 | ||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 245 | 256,637 | ||||||||||||
SESI LLC: | ||||||||||||||
6.38%, 5/01/19 | 145 | 155,512 | ||||||||||||
7.13%, 12/15/21 | 105 | 116,288 | ||||||||||||
SM Energy Co.: | ||||||||||||||
6.63%, 2/15/19 | 60 | 64,350 | ||||||||||||
6.50%, 11/15/21 | 115 | 125,063 | ||||||||||||
6.50%, 1/01/23 | 170 | 184,025 | ||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b) | 68 | 70,890 | ||||||||||||
Vanguard Natural Resources, 7.88%, 4/01/20 | 120 | 126,000 | ||||||||||||
11,604,073 | ||||||||||||||
Paper & Forest Products — 0.8% | ||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b) | 155 | 167,013 | ||||||||||||
Boise Paper Holdings LLC: | ||||||||||||||
9.00%, 11/01/17 | 25 | 27,031 | ||||||||||||
8.00%, 4/01/20 | 50 | 55,125 | ||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 270 | 292,275 | ||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b) | 155 | 162,750 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(h) | 919 | — | ||||||||||||
Sappi Papier Holding GmbH (b): | ||||||||||||||
8.38%, 6/15/19 | 200 | 224,000 | ||||||||||||
6.63%, 4/15/21 | 65 | 67,275 | ||||||||||||
995,469 | ||||||||||||||
Pharmaceuticals — 1.2% | ||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) | EUR | 100 | 146,874 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | USD | 174 | 199,665 | |||||||||||
Valeant Pharmaceuticals International (b): | ||||||||||||||
6.50%, 7/15/16 | 260 | 273,163 | ||||||||||||
6.88%, 12/01/18 | 330 | 358,462 | ||||||||||||
6.38%, 10/15/20 | 180 | 193,725 | ||||||||||||
6.75%, 8/15/21 | 280 | 302,750 | ||||||||||||
1,474,639 | ||||||||||||||
Professional Services — 0.2% | ||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b) | 220 | 246,400 | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.8% | ||||||||||||||
Cantor Commercial Real Estate Co. LP, 7.75%, 2/15/18 (b) | 122 | 122,610 | ||||||||||||
Felcor Lodging LP: | ||||||||||||||
6.75%, 6/01/19 | 463 | 497,436 | ||||||||||||
5.63%, 3/01/23 (b) | 112 | 112,700 | ||||||||||||
The Rouse Co. LP, 6.75%, 11/09/15 | 240 | 249,600 | ||||||||||||
982,346 | ||||||||||||||
Real Estate Management & Development — 2.1% | ||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 160 | 172,800 | ||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b) | 375 | 404,062 | ||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (b) | 165 | 164,381 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 67 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Real Estate Management & Development (concluded) | |||||||||||||||
Realogy Corp.: | |||||||||||||||
11.50%, 4/15/17 | USD | 175 | $ | 186,594 | |||||||||||
12.00%, 4/15/17 | 45 | 48,038 | |||||||||||||
7.88%, 2/15/19 (b) | 560 | 609,000 | |||||||||||||
7.63%, 1/15/20 (b) | 220 | 248,050 | |||||||||||||
9.00%, 1/15/20 (b) | 145 | 166,387 | |||||||||||||
Shea Homes LP, 8.63%, 5/15/19 | 635 | 704,850 | |||||||||||||
2,704,162 | |||||||||||||||
Road & Rail — 0.8% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 360 | 393,300 | |||||||||||||
6.75%, 4/15/19 (b) | 130 | 140,075 | |||||||||||||
7.38%, 1/15/21 | 450 | 496,125 | |||||||||||||
1,029,500 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.5% | |||||||||||||||
Micron Technology, Inc., Series C, 2.38%, 5/01/32 (b)(c) | 112 | 124,670 | |||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 200 | 204,500 | |||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 260 | 274,300 | |||||||||||||
603,470 | |||||||||||||||
Software — 1.3% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (b) | 183 | 178,883 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(f) | 130 | 133,250 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 730 | 819,425 | |||||||||||||
Interface Security Systems Holdings, Inc., 9.25%, 1/15/18 (b) | 64 | 65,120 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 225 | 227,812 | |||||||||||||
Sophia LP, 9.75%, 1/15/19 (b) | 198 | 219,037 | |||||||||||||
1,643,527 | |||||||||||||||
Specialty Retail — 2.8% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 165 | 183,975 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 280 | 310,800 | |||||||||||||
House of Fraser Funding Plc, 8.88%, 8/15/18 (b) | GBP | 129 | 207,441 | ||||||||||||
Limited Brands, Inc.: | |||||||||||||||
8.50%, 6/15/19 | USD | 70 | 85,750 | ||||||||||||
5.63%, 2/15/22 | 70 | 74,025 | |||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 103 | 112,399 | |||||||||||||
New Academy Finance Co., 8.00%, 6/15/18 (b)(f) | 94 | 97,055 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | 620 | 674,250 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b) | 490 | 512,662 | |||||||||||||
QVC, Inc.: | |||||||||||||||
7.13%, 4/15/17 (b) | 105 | 109,364 | |||||||||||||
7.50%, 10/01/19 (b) | 285 | 314,552 | |||||||||||||
7.38%, 10/15/20 (b) | 130 | 144,097 | |||||||||||||
5.13%, 7/02/22 | 11 | 11,632 | |||||||||||||
Sally Holdings LLC: | |||||||||||||||
6.88%, 11/15/19 | 245 | 273,175 | |||||||||||||
5.75%, 6/01/22 | 223 | 235,544 | |||||||||||||
Sonic Automotive, Inc., 9.00%, 3/15/18 | 175 | 192,500 | |||||||||||||
3,539,221 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 195 | 211,819 | |||||||||||||
Phillips-Van Heusen Corp., 4.50%, 12/15/22 | 111 | 109,474 | |||||||||||||
321,293 | |||||||||||||||
Trading Companies & Distributors — 0.6% | |||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b) | 215 | 231,663 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd., Series 2012-1 (b): | |||||||||||||||
Class A, 5.13%, 11/30/24 | 260 | 279,500 | |||||||||||||
Class B 6.50%, 5/30/21 | 250 | 264,289 | |||||||||||||
775,452 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Transportation Infrastructure — 0.2% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) | USD | 198 | $ | 209,880 | |||||||||||
Wireless Telecommunication Services — 4.8% | |||||||||||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 261 | 266,220 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (b) | 469 | 480,725 | |||||||||||||
Digicel Group Ltd. (b): | |||||||||||||||
8.25%, 9/01/17 | 565 | 596,075 | |||||||||||||
8.25%, 9/30/20 | 245 | 261,293 | |||||||||||||
Digicel, Ltd., 6.00%, 4/15/21 (b)(e) | 545 | 543,637 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 309 | 323,291 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 152 | 106,400 | |||||||||||||
Phones4u Finance Plc, 9.50%, 4/01/18 (b) | GBP | 130 | 203,626 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | USD | 718 | 725,180 | ||||||||||||
Sprint Nextel Corp. (b): | |||||||||||||||
9.00%, 11/15/18 | 2,001 | 2,481,240 | |||||||||||||
7.00%, 3/01/20 | 90 | 105,300 | |||||||||||||
6,092,987 | |||||||||||||||
Total Corporate Bonds — 105.1% | 133,398,490 | ||||||||||||||
Floating Rate Loan Interests (g) | |||||||||||||||
Airlines — 1.2% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 212 | 213,426 | |||||||||||||
Northwest Airlines, Inc.: | |||||||||||||||
Term Loan, 2.32%, 3/10/17 | 309 | 287,679 | |||||||||||||
Term Loan, 2.32%, 3/10/17 | 560 | 521,360 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 254 | 226,771 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 252 | 224,986 | |||||||||||||
1,474,222 | |||||||||||||||
Auto Components — 1.0% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.14%, 12/29/14 | 720 | 670,319 | |||||||||||||
Term Loan C, 2.14%, 12/28/15 | 352 | 327,049 | |||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 225 | 224,944 | |||||||||||||
1,222,312 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 185 | 186,942 | |||||||||||||
Capital Markets — 0.6% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 411 | 415,110 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 215 | 216,075 | |||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 185 | 188,700 | |||||||||||||
819,885 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 171 | 174,999 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 305 | 308,703 | |||||||||||||
483,702 | |||||||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | 195 | 196,326 | |||||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 325 | 326,895 | |||||||||||||
523,221 | |||||||||||||||
Communications Equipment — 1.4% | |||||||||||||||
Alcatel-Lucent, Term Loan C, 7.25%, 1/31/19 | 955 | 965,505 | |||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | 57 | 57,199 | |||||||||||||
Zayo Group LLC, Refinancing Term Loan B, 5.25%, 7/12/19 | 807 | 809,295 | |||||||||||||
1,831,999 |
68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (g) | Par (000) | Value | ||||||||||||
Construction Materials — 0.4% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | USD | 493 | $ | 493,835 | ||||||||||
Consumer Finance — 1.4% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 1,772 | 1,778,273 | ||||||||||||
Diversified Consumer Services — 0.2% | ||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 64 | 64,687 | ||||||||||||
ServiceMaster Co., New Term Loan, 2.70%, 4/01/17 | 200 | 199,321 | ||||||||||||
264,008 | ||||||||||||||
Diversified Telecommunication Services — 1.2% | ||||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17 | 404 | 411,562 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 150 | 151,309 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 120 | 121,225 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 800 | 806,400 | ||||||||||||
1,490,496 | ||||||||||||||
Energy Equipment & Services — 1.7% | ||||||||||||||
Dynegy Midwest Generation LLC, CoalCo. Term Loan, 9.25%, 8/04/16 | 777 | 802,362 | ||||||||||||
Dynegy Power LLC, GasCo. Term Loan, 9.25%, 8/04/16 | 1,255 | 1,304,710 | ||||||||||||
Tervita Corp., Incremental Term Loan, 3.20%, 5/01/18 | 60 | 60,309 | ||||||||||||
2,167,381 | ||||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||||
Rite Aid Corp., Second Lien Term Loan, 5.75%, 7/07/20 | 45 | 46,025 | ||||||||||||
Food Products — 0.1% | ||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 95 | 96,158 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 174 | 175,310 | ||||||||||||
Capital Safety North America, Term Loan, 4.50%, 1/21/19 | 347 | 347,375 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 124 | 127,173 | ||||||||||||
649,858 | ||||||||||||||
Health Care Providers & Services — 0.5% | ||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 85 | 82,980 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 206 | 201,397 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 154 | 152,205 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 166 | 163,019 | ||||||||||||
599,601 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 214 | 213,334 | ||||||||||||
Term Loan B3, 3.20%—3.31%, 1/28/15 | 13 | 13,175 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 2,355 | 2,166,600 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 540 | 546,210 | ||||||||||||
Station Casinos, Inc.: | ||||||||||||||
Term Loan B, 5.50%, 9/27/19 | 454 | 456,508 | ||||||||||||
Term Loan B, 5.00%, 2/13/20 | 440 | 443,667 | ||||||||||||
Floating Rate Loan Interests (g) | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) | ||||||||||||||
Travelport Holdings Ltd.: | ||||||||||||||
Extended Tranche A Term Loan, 6.40%, 12/01/16 | USD | 91 | $ | 32,104 | ||||||||||
Extended Tranche B Term Loan, 13.80%, 12/01/16 | 304 | 28,386 | ||||||||||||
3,899,984 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 254 | 256,448 | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 145 | 146,088 | ||||||||||||
IT Services — 0.3% | ||||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.20%, 3/23/18 | 355 | 350,527 | ||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 108 | 107,612 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 90 | 90,785 | ||||||||||||
Machinery — 0.7% | ||||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 262 | 263,992 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.75%, 12/05/19 | 685 | 685,000 | ||||||||||||
948,992 | ||||||||||||||
Media — 4.1% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 139 | 108,406 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 691 | 549,544 | ||||||||||||
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19 | 124 | 124,307 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 599 | 512,255 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 178 | 150,332 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 194 | 196,111 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 180 | 181,019 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 2,748 | 2,773,918 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 185 | 184,796 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 120 | 120,031 | ||||||||||||
Virgin Media Investment Holdings, Term Loan B, 3.50%, 2/17/20 | 320 | 318,089 | ||||||||||||
5,218,808 | ||||||||||||||
Metals & Mining — 0.9% | ||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 189 | 192,831 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 938 | 948,883 | ||||||||||||
1,141,714 | ||||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 975 | �� | 995,212 | |||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 396 | 400,026 | ||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 100 | 100,938 | ||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 425 | 426,748 | ||||||||||||
1,922,924 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 69 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (g) | Par (000) | Value | ||||||||||||||||
Pharmaceuticals — 0.4% | ||||||||||||||||||
Par Pharmaceutical, Term Loan B, 5.00%, 9/28/19 | USD | 319 | $ | 318,801 | ||||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 138 | 139,256 | ||||||||||||||||
458,057 | ||||||||||||||||||
Professional Services — 0.1% | ||||||||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 164 | 165,715 | ||||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 332 | 331,908 | ||||||||||||||||
Real Estate Management & Development — 0.2% | ||||||||||||||||||
Realogy Corp.: | ||||||||||||||||||
Extended Letter of Credit, Loan, 4.46%, 10/10/16 | 29 | 28,913 | ||||||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 245 | 245,263 | ||||||||||||||||
274,176 | ||||||||||||||||||
Road & Rail — 0.1% | ||||||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 125 | 124,538 | ||||||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B, 4.45%, 12/01/16 | 130 | 130,000 | ||||||||||||||||
Software — 0.6% | ||||||||||||||||||
GCA Services Group, Inc., Second Lien Term Loan, 9.25%, 10/22/20 | 25 | 24,750 | ||||||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 542 | 548,151 | ||||||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 225 | 234,000 | ||||||||||||||||
806,901 | ||||||||||||||||||
Specialty Retail — 0.2% | ||||||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 235 | 237,409 | ||||||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 506 | 511,237 | ||||||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 190 | 191,524 | ||||||||||||||||
702,761 | ||||||||||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 260 | 263,142 | ||||||||||||||||
Wireless Telecommunication Services — 1.2% | ||||||||||||||||||
Vodafone Americas Finance 2, Inc.: (f) | ||||||||||||||||||
Term Loan, 6.88%, 8/11/15 | 831 | 847,258 | ||||||||||||||||
Term Loan B, 6.25%, 7/11/16 | 619 | 635,766 | ||||||||||||||||
1,483,024 | ||||||||||||||||||
Total Floating Rate Loan Interests — 26.1% | 33,189,431 | |||||||||||||||||
Preferred Securities | Shares | Value | ||||||||||||||||
Preferred Stocks | ||||||||||||||||||
Auto Components — 0.7% | ||||||||||||||||||
Dana Holding Corp., 4.00% (b)(c) | 6,200 | $ | 879,625 | |||||||||||||||
Diversified Financial Services — 0.8% | ||||||||||||||||||
Ally Financial, Inc., 7.00% (b) | 1,100 | 1,070,266 | ||||||||||||||||
Media — 0.1% | ||||||||||||||||||
Emmis Communications Corp., Series A, 6.25% | 10,300 | 94,142 | ||||||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||||||
MPG Office Trust, Inc., Series A, 7.63% (a) | 4,171 | 94,890 | ||||||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||||||||
Fannie Mae, Series O, 7.00% (a)(g) | 10,000 | 38,500 | ||||||||||||||||
Total Preferred Stocks — 1.7% | 2,177,423 | |||||||||||||||||
Trust Preferreds | ||||||||||||||||||
Diversified Financial Services — 1.2% | ||||||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g) | 56,340 | 1,490,178 | ||||||||||||||||
Total Preferred Securities — 2.9% | 3,667,601 | |||||||||||||||||
Warrants (i) | ||||||||||||||||||
Software — 0.0% | ||||||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 167 | — | ||||||||||||||||
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 513 | — | ||||||||||||||||
— | ||||||||||||||||||
Total Warrants — 0.0% | — | |||||||||||||||||
Total Long-Term Investments (Cost — $167,334,601) — 135.3% | 171,735,959 | |||||||||||||||||
Short-Term Securities | ||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (j)(k) | 2,757,840 | 2,757,840 | ||||||||||||||||
Total Short-Term Securities (Cost — $2,757,840) — 2.2% | 2,757,840 | |||||||||||||||||
Total Investments (Cost—$170,092,441) — 137.5% | 174,493,799 | |||||||||||||||||
Liabilities in Excess of Other Assets — (37.5)% | (47,614,696 | ) | ||||||||||||||||
Net Assets — 100.0% | $ | 126,879,103 |
Notes to Schedule of Investments
(a) | Non-income producing security. | |||
(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) | Convertible security. | |||
(d) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(e) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Citigroup Global Markets | $ | 543,637 | $ | (1,363 | ) | |||||
Goldman Sachs & Co | $ | 193,802 | $ | (1,354 | ) | |||||
Pershing LLC | $ | 287,640 | $ | 3,824 |
(f) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) |
(g) | Variable rate security. Rate shown is as of report date. | |||
(h) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(i) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the until the expiration date of the warrants, if any. | |||
(j) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 2,757,840 | 2,757,840 | $ | 402 | $ | 33 |
(k) | Represents the current yield as of report date. | |||
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Sold | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Depreciation | | ||||||||||||||||
(25) | S&P 500 E-Mini Index | Chicago Mercantile | March 2013 | USD | 1,891,625 | $ (38,018) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||
USD | 897,075 | GBP | 560,000 | Goldman Sachs Group, Inc. | 4/17/13 | $ | 47,728 | |||||||||||||||||||||
EUR | 100,000 | USD | 134,940 | Citigroup, Inc. | 4/23/13 | (4,339 | ) | |||||||||||||||||||||
EUR | 120,000 | USD | 160,434 | Credit Suisse Group AG | 4/23/13 | (3,711 | ) | |||||||||||||||||||||
USD | 4,571,808 | EUR | 3,431,000 | Citigroup, Inc. | 4/23/13 | 90,855 | ||||||||||||||||||||||
Total | $ | 130,533 |
• | Fair Value Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 71 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | — | $ | 172,491 | $ | 1,307,946 | $ | 1,480,437 | |||||||||||
Corporate Bonds | — | 132,121,215 | 1,277,275 | 133,398,490 | ||||||||||||||
Floating Rate Loan Interests | — | 27,496,800 | 5,692,631 | 33,189,431 | ||||||||||||||
Preferred Securities | $ | 2,787,976 | 879,625 | — | 3,667,601 | |||||||||||||
Short-Term Securities | 2,757,840 | — | — | 2,757,840 | ||||||||||||||
Total | $ | 5,545,816 | $ | 160,670,131 | $ | 8,277,852 | $ | 174,493,799 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Foreign currency exchange contracts | — | $ | 138,583 | — | $ | 138,583 | ||||||||||||
Liabilities: | ||||||||||||||||||
Foreign currency exchange contracts | — | (8,050 | ) | — | (8,050 | ) | ||||||||||||
Equity contracts | $ | (38,018 | ) | — | — | (38,018 | ) | |||||||||||
Total | $ | (38,018 | ) | $ | 130,533 | — | $ | 92,515 |
1 | Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 31,721 | — | — | $ | 31,721 | ||||||||||||
Cash pledged as collateral for financial futures contracts | 122,000 | — | — | 122,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Loan payable | — | $ | (44,000,000 | ) | — | (44,000,000 | ) | |||||||||||
Total | $ | 153,721 | $ | (44,000,000 | ) | — | $ | (43,846,279 | ) |
As of August 31, 2012, the Trust used observable inputs in determining the value of certain equity securities. As of February 28, 2013, the Trust valued the same securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,778,390 transferred from Level 2 to Level 1 in the disclosure hierarchy. | ||||
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Total | |||||||||||
Assets: | ||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 663,716 | $ | 1,655,876 | $ | 4,877,951 | $ | 7,197,543 | ||||||||||
Transfers into Level 32 | 4,560 | 674,112 | 714,628 | 1,393,300 | ||||||||||||||
Transfers out of Level 33 | — | — | (889,422 | ) | (889,422 | ) | ||||||||||||
Accrued discounts/premiums | — | — | — | — | ||||||||||||||
Net realized gain (loss) | — | 3,696 | (1,498 | ) | 2,198 | |||||||||||||
Net change in unrealized appreciation/depreciation4 | 418,263 | (678,693 | ) | 261,564 | 1,134 | |||||||||||||
Purchases | 221,407 | 824,749 | 2,189,481 | 3,235,637 | ||||||||||||||
Sales | — | (1,202,465 | ) | (1,460,073 | ) | (2,662,538 | ) | |||||||||||
Closing Balance, as of February 28, 2013 | $ | 1,307,946 | $ | 1,277,275 | $ | 5,692,631 | $ | 8,277,852 |
2 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $1,393,300 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $889,422 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $390,756. |
72 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (concluded) | BlackRock High Income Shares (HIS) |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $5,912,283. |
| Value | | Valuation Techniques | | Unobservable Inputs1 | | Range of Unobservable Inputs Utilized | |||||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 864,928 | Market Comparable Companies | EBITDA Multiple | 6.56x | |||||||||||||
104,364 | Restructure Terms2 | N/A | — | |||||||||||||||
Corporate Bonds | 714 | Estimated Final Distribution | Recovery Rate | 0.05% | ||||||||||||||
519,961 | Market Comparable Companies | Yield | 12.10% | |||||||||||||||
522,000 | Cost3 | N/A | — | |||||||||||||||
Floating Rate Loan Interests | 353,602 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||
Total | $ | 2,365,569 |
1 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||||||
EBITDA Multiple | Increase | Decrease | ||||||||
Recovery Rate | Increase | Decrease | ||||||||
Yield | Decrease | Increase |
2 | Investment is valued based on the company’s financial restructuring plan. |
3 | The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 73 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | |||||||||||||
Auto Components — 0.5% | |||||||||||||||
Dana Holding Corp. | 10,286 | $ | 172,085 | ||||||||||||
Delphi Automotive Plc (a) | 1,500 | 62,290 | |||||||||||||
234,375 | |||||||||||||||
Biotechnology — 0.0% | |||||||||||||||
Ironwood Pharmaceuticals, Inc. (a) | 1,210 | 18,065 | |||||||||||||
Capital Markets — 1.4% | |||||||||||||||
American Capital Ltd. (a) | 46,052 | 643,807 | |||||||||||||
E*Trade Financial Corp. (a) | 4,900 | 52,479 | |||||||||||||
696,286 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
ADA-ES, Inc. (a) | 300 | 7,971 | |||||||||||||
CF Industries Holdings, Inc. | 500 | 100,415 | |||||||||||||
Huntsman Corp. | 5,600 | 96,488 | |||||||||||||
204,874 | |||||||||||||||
Commercial Banks — 0.5% | |||||||||||||||
CIT Group, Inc. (a) | 5,216 | 218,342 | |||||||||||||
Diversified Financial Services — 0.1% | |||||||||||||||
Bank of America Corp. | 4,000 | 44,920 | |||||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||||||
Broadview Networks Holdings, Inc. (a) | 6,337 | 42,394 | |||||||||||||
Level 3 Communications, Inc. (a) | �� | 4,300 | 85,914 | ||||||||||||
128,308 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.2% | |||||||||||||||
Caesars Entertainment Corp. (a) | 6,704 | 83,800 | |||||||||||||
Travelport LLC (a) | 12,460 | 125 | |||||||||||||
83,925 | |||||||||||||||
Insurance — 0.9% | |||||||||||||||
American International Group, Inc. (a) | 11,116 | 422,519 | |||||||||||||
Media — 0.8% | |||||||||||||||
Charter Communications, Inc., Class A (a) | 4,631 | 400,072 | |||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | |||||||||||||||
African Petroleum Corp. Ltd. (a) | 17,200 | 3,338 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (a) | 8,875 | 28,142 | |||||||||||||
Ainsworth Lumber Co. Ltd. (a)(b) | 2,507 | 7,925 | |||||||||||||
NewPage Corp. (a) | 1,460 | 124,100 | |||||||||||||
160,167 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
Freescale Semiconductor Ltd. (a) | 747 | 11,526 | |||||||||||||
NXP Semiconductors NV (a) | 1,568 | 50,678 | |||||||||||||
62,204 | |||||||||||||||
Software — 0.1% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (a) | 91 | 1 | |||||||||||||
HMH Holdings/EduMedia (a) | 3,231 | 59,237 | |||||||||||||
59,238 | |||||||||||||||
Total Common Stocks — 5.6% | 2,736,633 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.9% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 100 | 103,750 | ||||||||||||
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18 | 110 | 119,831 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 210 | 231,788 | |||||||||||||
455,369 | |||||||||||||||
Air Freight & Logistics — 0.4% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | 92 | 92,274 | |||||||||||||
Series 2, 12.38%, 10/08/15 | 93 | 93,427 | |||||||||||||
185,701 | |||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Airlines — 1.6% | ||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 | USD | 185 | $ | 192,614 | ||||||||||
Continental Airlines Pass-Through Trust: | ||||||||||||||
Series 2010-1, Class B 6.00%, 7/12/20 | 82 | 84,035 | ||||||||||||
Series 2012-3, Class C 6.13%, 4/29/18 | 155 | 154,613 | ||||||||||||
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24 | 100 | 110,212 | ||||||||||||
US Airways Pass-Through Trust: | ||||||||||||||
Series 2011-1, Class C 10.88%, 10/22/14 | 90 | 95,226 | ||||||||||||
Series 2012-1, Class C 9.13%, 10/01/15 | 74 | 79,180 | ||||||||||||
Series 2012-2, Class B 6.75%, 12/03/22 | 60 | 62,700 | ||||||||||||
778,580 | ||||||||||||||
Auto Components — 2.4% | ||||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 180 | 195,975 | ||||||||||||
Delphi Corp.: | ||||||||||||||
6.13%, 5/15/21 | 15 | 16,350 | ||||||||||||
5.00%, 2/15/23 | 25 | 26,031 | ||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 650 | 696,312 | ||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (b) | 85 | 93,075 | ||||||||||||
Jaguar Land Rover Automotive Plc (FKA Jaguar Land Rover Plc), 8.25%, 3/15/20 | GBP | 100 | 170,092 | |||||||||||
1,197,835 | ||||||||||||||
Beverages — 0.3% | ||||||||||||||
Crown European Holdings SA, 7.13%, 8/15/18 | EUR | 92 | 130,020 | |||||||||||
Building Products — 0.8% | ||||||||||||||
Building Materials Corp. of America (b): | ||||||||||||||
7.00%, 2/15/20 | USD | 20 | 21,650 | |||||||||||
6.75%, 5/01/21 | 160 | 171,800 | ||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 60 | 61,575 | ||||||||||||
USG Corp., 9.75%, 1/15/18 | �� | 115 | 135,269 | |||||||||||
390,294 | ||||||||||||||
Capital Markets — 0.5% | ||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (c)(d) | 71 | 74,239 | ||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b) | 85 | 99,958 | ||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (b) | 47 | 47,235 | ||||||||||||
221,432 | ||||||||||||||
Chemicals — 3.7% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 29 | 29,435 | ||||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (b) | 60 | 79,200 | ||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 234 | 255,645 | ||||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (b) | 64 | 65,040 | ||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 25 | 28,250 | ||||||||||||
INEOS Finance Plc (b): | ||||||||||||||
8.38%, 2/15/19 | 100 | 109,500 | ||||||||||||
7.50%, 5/01/20 | 75 | 80,812 | ||||||||||||
Kraton Polymers LLC, 6.75%, 3/01/19 | 20 | 20,800 | ||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 485 | 563,812 | ||||||||||||
Nexeo Solutions LLC, 8.38%, 3/01/18 | 15 | 14,663 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 35 | 37,100 | ||||||||||||
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b) | 200 | 220,000 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 35 | 38,763 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 125 | 129,375 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 158 | 157,012 | ||||||||||||
1,829,407 | ||||||||||||||
Commercial Banks — 0.9% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 130 | 139,750 | ||||||||||||
6.63%, 4/01/18 (b) | 50 | 56,750 | ||||||||||||
5.50%, 2/15/19 (b) | 80 | 87,000 | ||||||||||||
5.00%, 8/15/22 | 70 | 74,900 | ||||||||||||
6.00%, 4/01/36 | 90 | 88,167 | ||||||||||||
446,567 |
74 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Commercial Services & Supplies — 2.5% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | USD | 46 | $ | 49,450 | ||||||||||
ARAMARK Holdings Corp. (b): | ||||||||||||||
8.63%, 5/01/16 (e) | 70 | 71,401 | ||||||||||||
5.75%, 3/15/20 (f) | 108 | 110,160 | ||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) | 92 | 99,576 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 162 | 169,680 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 7 | 7,525 | ||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (b) | 101 | 102,262 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 88 | 90,640 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 135 | 146,385 | ||||||||||||
HDTFS, Inc. (b): | ||||||||||||||
5.88%, 10/15/20 | 10 | 10,400 | ||||||||||||
6.25%, 10/15/22 | 45 | 48,375 | ||||||||||||
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b) | 14 | 14,823 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 60 | 66,750 | ||||||||||||
RSC Equipment Rental, Inc., 8.25%, 2/01/21 | 77 | 87,299 | ||||||||||||
Verisure Holding AB, 8.75%, 9/01/18 | EUR | 100 | 140,999 | |||||||||||
West Corp., 8.63%, 10/01/18 | USD | 25 | 26,625 | |||||||||||
1,242,350 | ||||||||||||||
Communications Equipment — 1.0% | ||||||||||||||
Alcatel-Lucent USA, Inc.: | ||||||||||||||
6.50%, 1/15/28 | 10 | 7,700 | ||||||||||||
6.45%, 3/15/29 | 32 | 24,880 | ||||||||||||
Avaya, Inc., 9.75%, 11/01/15 | 34 | 33,448 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 155 | 173,212 | ||||||||||||
10.13%, 7/01/20 | 220 | 257,950 | ||||||||||||
497,190 | ||||||||||||||
Computers & Peripherals — 0.2% | ||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (d) | 31 | 44,834 | ||||||||||||
SanDisk Corp., 1.50%, 8/15/17 (d) | 50 | 61,562 | ||||||||||||
106,396 | ||||||||||||||
Construction & Engineering — 0.3% | ||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | 35 | 36,313 | ||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b) | 79 | 86,505 | ||||||||||||
Weekley Homes LLC, 6.00%, 2/01/23 (b) | 26 | 26,520 | ||||||||||||
149,338 | ||||||||||||||
Construction Materials — 2.2% | ||||||||||||||
HD Supply, Inc. (b): | ||||||||||||||
8.13%, 4/15/19 | 215 | 242,144 | ||||||||||||
11.00%, 4/15/20 | 215 | 259,075 | ||||||||||||
7.50%, 7/15/20 | 336 | 336,420 | ||||||||||||
11.50%, 7/15/20 | 85 | 97,963 | ||||||||||||
Xefin Lux SCA, 8.00%, 6/01/18 | EUR | 100 | 140,183 | |||||||||||
1,075,785 | ||||||||||||||
Consumer Finance — 1.5% | ||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 80 | 87,200 | |||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
12.00%, 5/15/15 | 120 | 145,650 | ||||||||||||
6.63%, 8/15/17 | 230 | 268,594 | ||||||||||||
5.88%, 8/02/21 | 200 | 228,108 | ||||||||||||
729,552 | ||||||||||||||
Containers & Packaging — 1.6% | ||||||||||||||
Ardagh Packaging Finance Plc (b): | ||||||||||||||
9.13%, 10/15/20 | 200 | 218,000 | ||||||||||||
7.00%, 11/15/20 | 200 | 200,500 | ||||||||||||
Berry Plastics Corp.: | ||||||||||||||
4.18%, 9/15/14 (g) | 50 | 50,000 | ||||||||||||
8.25%, 11/15/15 | 20 | 20,844 | ||||||||||||
9.75%, 1/15/21 | 30 | 34,650 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Containers & Packaging (concluded) | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 2 | $ | 2,180 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b) | 20 | 19,550 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | 60 | 66,000 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 68 | 63,750 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (b) | 92 | 101,660 | ||||||||||||
777,134 | ||||||||||||||
Distributors — 0.5% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (b) | 229 | 241,023 | ||||||||||||
Diversified Consumer Services — 1.1% | ||||||||||||||
313 Group, Inc. (b): | ||||||||||||||
6.38%, 12/01/19 | 165 | 160,875 | ||||||||||||
8.75%, 12/01/20 | 98 | 96,775 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) | 205 | 222,937 | ||||||||||||
ServiceMaster Co., 8.00%, 2/15/20 | 35 | 37,100 | ||||||||||||
517,687 | ||||||||||||||
Diversified Financial Services — 5.1% | ||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 100 | 102,250 | ||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 53 | 57,108 | ||||||||||||
Aircastle, Ltd., 6.75%, 4/15/17 | 55 | 60,638 | ||||||||||||
Ally Financial, Inc., 8.00%, 11/01/31 | 672 | 844,200 | ||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (b) | 80 | 78,900 | ||||||||||||
DPL, Inc.: | ||||||||||||||
6.50%, 10/15/16 | 52 | 54,600 | ||||||||||||
7.25%, 10/15/21 | 143 | 153,367 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 140 | 158,200 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
9.00%, 4/15/19 | 100 | 106,000 | ||||||||||||
9.88%, 8/15/19 | 175 | 191,625 | ||||||||||||
5.75%, 10/15/20 | 390 | 402,675 | ||||||||||||
6.88%, 2/15/21 | 115 | 122,762 | ||||||||||||
WMG Acquisition Corp.: | ||||||||||||||
11.50%, 10/01/18 | 72 | 83,610 | ||||||||||||
6.00%, 1/15/21 (b) | 54 | 55,890 | ||||||||||||
2,471,825 | ||||||||||||||
Diversified Telecommunication Services — 2.2% | ||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 98 | 95,306 | ||||||||||||
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., 6.38%, 9/15/20 (b) | 75 | 77,531 | ||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b) | 55 | 62,288 | ||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (b) | 55 | 59,400 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 355 | 386,950 | ||||||||||||
7.00%, 6/01/20 (b) | 75 | 78,750 | ||||||||||||
8.63%, 7/15/20 | 140 | 155,400 | ||||||||||||
tw telecom Holdings, Inc., 5.38%, 10/01/22 | 50 | 52,125 | ||||||||||||
Windstream Corp.: | ||||||||||||||
8.13%, 8/01/13 | 25 | 25,655 | ||||||||||||
7.88%, 11/01/17 | 70 | 79,275 | ||||||||||||
7.50%, 4/01/23 | 13 | 13,585 | ||||||||||||
6.38%, 8/01/23 (b) | 12 | 11,760 | ||||||||||||
1,098,025 | ||||||||||||||
Electric Utilities — 0.2% | ||||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 84 | 93,291 | ||||||||||||
Electrical Equipment — 0.3% | ||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (b) | 60 | 61,500 | ||||||||||||
General Cable Corp., 5.75%, 10/01/22 (b) | 100 | 102,500 | ||||||||||||
164,000 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 75 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | USD | 40 | $ | 48,100 | |||||||||||
Energy Equipment & Services — 4.1% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 25 | 27,187 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 55 | 55,275 | |||||||||||||
Compagnie Générale de Géophysique, Veritas: | |||||||||||||||
7.75%, 5/15/17 | 65 | 67,031 | |||||||||||||
6.50%, 6/01/21 | 200 | 208,000 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 196 | 202,860 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 (b) | 28 | 28,980 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 25 | 25,813 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 50 | 52,500 | |||||||||||||
MEG Energy Corp. (b): | |||||||||||||||
6.50%, 3/15/21 | 230 | 242,650 | |||||||||||||
6.38%, 1/30/23 | 60 | 62,100 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 50 | 53,500 | |||||||||||||
5.13%, 1/15/23 (b) | 20 | 20,000 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 38 | 40,375 | |||||||||||||
6.25%, 11/15/21 | 192 | 199,680 | |||||||||||||
7.88%, 11/01/26 | 65 | 69,550 | |||||||||||||
4.75%, 12/15/66 (d) | 118 | 100,226 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 10 | 10,625 | |||||||||||||
6.50%, 12/15/21 | 45 | 47,700 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 410 | 415,125 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 61 | 62,830 | |||||||||||||
1,992,007 | |||||||||||||||
Food & Staples Retailing — 0.1% | |||||||||||||||
Rite Aid Corp., 9.25%, 3/15/20 | 60 | 67,200 | |||||||||||||
Food Products — 0.5% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | 20 | 22,750 | |||||||||||||
Del Monte Corp., 7.63%, 2/15/19 | 9 | 9,338 | |||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 110 | 118,800 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 82 | 89,175 | |||||||||||||
240,063 | |||||||||||||||
Health Care Equipment & Supplies — 2.8% | |||||||||||||||
Biomet, Inc. (b): | |||||||||||||||
6.50%, 8/01/20 | 296 | 313,020 | |||||||||||||
6.50%, 10/01/20 | 383 | 394,490 | |||||||||||||
DJO Finance LLC: | |||||||||||||||
8.75%, 3/15/18 | 63 | 69,536 | |||||||||||||
7.75%, 4/15/18 | 20 | 19,900 | |||||||||||||
9.88%, 4/15/18 | 80 | 85,400 | |||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (b) | 204 | 220,830 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b) | 50 | 54,500 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 80 | 91,800 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b) | 55 | 53,900 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 50 | 54,375 | |||||||||||||
1,357,751 | |||||||||||||||
Health Care Providers & Services — 7.7% | |||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 95 | 101,887 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | 140 | 147,175 | |||||||||||||
7.13%, 7/15/20 | 75 | 80,812 | |||||||||||||
Crown Newco 3 Plc, 7.00%, 2/15/18 | GBP | 100 | 156,635 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 148 | 154,290 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 183 | 193,065 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | USD | 25 | $ | 27,688 | |||||||||||
6.50%, 2/15/20 | 370 | 414,400 | |||||||||||||
7.88%, 2/15/20 | 145 | 160,769 | |||||||||||||
7.25%, 9/15/20 | 410 | 455,100 | |||||||||||||
5.88%, 3/15/22 | 35 | 37,713 | |||||||||||||
4.75%, 5/01/23 | 185 | 184,537 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (b) | 158 | 166,690 | |||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 110 | 113,300 | |||||||||||||
INC Research LLC, 11.50%, 7/15/19 (b) | 59 | 62,983 | |||||||||||||
inVentiv Health, Inc. (b): | |||||||||||||||
9.00%, 1/15/18 | 100 | 104,250 | |||||||||||||
11.00%, 8/15/18 | 5 | 4,338 | |||||||||||||
Omnicare, Inc.: | |||||||||||||||
7.75%, 6/01/20 | 160 | 177,600 | |||||||||||||
3.75%, 4/01/42 (d) | 27 | 28,148 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 55 | 57,475 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 177 | 196,027 | |||||||||||||
8.88%, 7/01/19 | 360 | 406,800 | |||||||||||||
6.75%, 2/01/20 | 90 | 96,300 | |||||||||||||
4.50%, 4/01/21 (b) | 118 | 116,377 | |||||||||||||
Vanguard Health Holding Co. II LLC: | |||||||||||||||
8.00%, 2/01/18 | 40 | 42,600 | |||||||||||||
7.75%, 2/01/19 (b) | 75 | 80,344 | |||||||||||||
3,767,303 | |||||||||||||||
Health Care Technology — 1.1% | |||||||||||||||
IMS Health, Inc. (b): | |||||||||||||||
12.50%, 3/01/18 | 410 | 494,050 | |||||||||||||
6.00%, 11/01/20 | 24 | 24,960 | |||||||||||||
519,010 | |||||||||||||||
Hotels, Restaurants & Leisure — 2.7% | |||||||||||||||
Caesars Entertainment Operating Co., Inc.: | |||||||||||||||
10.00%, 12/15/18 | 96 | 63,360 | |||||||||||||
8.50%, 2/15/20 | 36 | 35,100 | |||||||||||||
Caesars Operating Escrow LLC/Caesars Escrow Corp., 9.00%, 2/15/20 (b) | 167 | 164,913 | |||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | 200 | 220,000 | |||||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) | 25 | 24,844 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (b) | 200 | 200,000 | |||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e) | 25 | 26,130 | |||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 44 | 43,120 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | 100 | 98,000 | |||||||||||||
Station Casinos LLC: | |||||||||||||||
3.66%, 6/18/18 | 111 | 111,000 | |||||||||||||
7.50%, 3/01/21 (b)(f) | 194 | 195,212 | |||||||||||||
Travelport LLC (g): | |||||||||||||||
4.91%, 9/01/14 | 20 | 18,200 | |||||||||||||
6.31%, 12/01/16 (b)(e) | 70 | 63,640 | |||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(h) | 25 | — | |||||||||||||
Wynn Las Vegas LLC, 5.38%, 3/15/22 | 64 | 67,280 | |||||||||||||
1,330,799 | |||||||||||||||
Household Durables — 2.8% | |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b) | 38 | 38,190 | |||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 10 | 10,687 | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b) | 70 | 74,200 | |||||||||||||
Jarden Corp., 8.00%, 5/01/16 | 40 | 41,950 | |||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | 160 | 176,000 | |||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 100 | 107,250 | |||||||||||||
PH Holding LLC, 9.75%, 12/31/17 | 55 | 53,900 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 30 | 30,450 | |||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 60 | 66,000 |
76 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Durables (concluded) | |||||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 100 | $ | 145,569 | |||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 300 | 373,500 | ||||||||||||
8.38%, 1/15/21 | 170 | 201,875 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 43 | 46,279 | |||||||||||||
1,365,850 | |||||||||||||||
Household Products — 0.9% | |||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (b) | EUR | 100 | 135,777 | ||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 63 | 67,016 | ||||||||||||
6.63%, 11/15/22 | 40 | 43,100 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 160 | 181,400 | |||||||||||||
6.75%, 3/15/20 (b) | 17 | 18,318 | |||||||||||||
445,611 | |||||||||||||||
Independent Power Producers & Energy Traders — 3.9% | |||||||||||||||
The AES Corp., 7.38%, 7/01/21 | 45 | 50,850 | |||||||||||||
Calpine Corp. (b): | |||||||||||||||
7.25%, 10/15/17 | 27 | 28,721 | |||||||||||||
7.50%, 2/15/21 | 13 | 14,138 | |||||||||||||
7.88%, 1/15/23 | 63 | 69,773 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
6.88%, 8/15/17 (b) | 125 | 131,875 | |||||||||||||
10.00%, 12/01/20 (b) | 265 | 298,787 | |||||||||||||
10.00%, 12/01/20 | 508 | 576,580 | |||||||||||||
GenOn REMA LLC, Series B, 9.24%, 7/02/17 | 70 | 77,191 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 90 | 101,700 | |||||||||||||
7.38%, 5/01/22 | 60 | 65,100 | |||||||||||||
NRG Energy, Inc.: | |||||||||||||||
7.63%, 1/15/18 | 253 | 290,001 | |||||||||||||
6.63%, 3/15/23 (b) | 105 | 111,825 | |||||||||||||
QEP Resources, Inc.: | |||||||||||||||
5.38%, 10/01/22 | 56 | 58,660 | |||||||||||||
5.25%, 5/01/23 | 40 | 41,400 | |||||||||||||
1,916,601 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (b) | 100 | 100,750 | |||||||||||||
Insurance — 0.5% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b) | 186 | 186,930 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b) | 37 | 39,220 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 40 | 39,600 | |||||||||||||
265,750 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Equinix, Inc., 5.00%, 2/29/20 | 25 | 25,000 | |||||||||||||
IT Services — 3.5% | |||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b) | 210 | 236,775 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 87 | 93,743 | |||||||||||||
First Data Corp.: | |||||||||||||||
7.38%, 6/15/19 (b) | 265 | 278,581 | |||||||||||||
8.88%, 8/15/20 (b) | 90 | 99,450 | |||||||||||||
6.75%, 11/01/20 (b) | 326 | 334,557 | |||||||||||||
8.25%, 1/15/21 (b) | 20 | 20,450 | |||||||||||||
11.25%, 1/15/21 (b) | 82 | 83,640 | |||||||||||||
12.63%, 1/15/21 | 181 | 192,991 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 150 | 161,062 | |||||||||||||
6.63%, 11/01/19 (b) | 130 | 133,575 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b) | 81 | 78,368 | |||||||||||||
1,713,192 | |||||||||||||||
Machinery — 1.7% | |||||||||||||||
Dematic SA, 7.75%, 12/15/20 (b) | 15 | 15,338 | |||||||||||||
The Manitowoc Co., Inc., 5.88%, 10/15/22 | 80 | 82,000 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 30 | 33,525 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Machinery (concluded) | |||||||||||||||
Terex Corp., 6.00%, 5/15/21 | USD | 75 | $ | 77,812 | |||||||||||
Trinseo Materials Operating SCA, 8.75%, 2/01/19 (b) | 67 | 66,749 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
7.38%, 5/15/20 | 75 | 82,125 | |||||||||||||
7.63%, 4/15/22 | 421 | 466,257 | |||||||||||||
6.13%, 6/15/23 | 30 | 31,500 | |||||||||||||
855,306 | |||||||||||||||
Media — 9.2% | |||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 | 63 | 47,880 | |||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 40 | 45,400 | |||||||||||||
4.75%, 12/15/22 | 59 | 58,779 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 95 | 92,150 | |||||||||||||
CCO Holdings LLC: | |||||||||||||||
5.25%, 9/30/22 | 140 | 137,725 | |||||||||||||
5.13%, 2/15/23 | 100 | 97,500 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b) | 99 | 78,210 | |||||||||||||
Checkout Holding Corp., 11.47%, 11/15/15 (b)(c) | 71 | 52,451 | |||||||||||||
Cinemark USA, Inc.: | |||||||||||||||
8.63%, 6/15/19 | 35 | 38,806 | |||||||||||||
5.13%, 12/15/22 (b) | 36 | 36,180 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
9.00%, 12/15/19 (b)(f) | 85 | 79,050 | |||||||||||||
9.00%, 3/01/21 | 76 | 68,780 | |||||||||||||
Clear Channel Worldwide Holdings, Inc.: | |||||||||||||||
6.50%, 11/15/22 (b) | 102 | 106,590 | |||||||||||||
6.50%, 11/15/22 (b) | 277 | 291,542 | |||||||||||||
Series B, 7.63%, 3/15/20 | 187 | 193,545 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
5.88%, 7/15/22 | 250 | 263,750 | |||||||||||||
5.00%, 3/15/23 (b) | 110 | 109,175 | |||||||||||||
Harron Communications LP, 9.13%, 4/01/20 (b) | 60 | 66,000 | |||||||||||||
Intelsat Jackson Holdings SA: | |||||||||||||||
7.25%, 10/15/20 | 110 | 117,975 | |||||||||||||
6.63%, 12/15/22 (b) | 27 | 27,203 | |||||||||||||
Intelsat Luxembourg SA: | |||||||||||||||
11.25%, 2/04/17 | 210 | 223,125 | |||||||||||||
11.50%, 2/04/17 | 325 | 346,102 | |||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 220 | 249,425 | |||||||||||||
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | 55 | 59,331 | |||||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | 125 | 135,625 | |||||||||||||
The McClatchy Co., 9.00%, 12/15/22 (b) | 70 | 74,025 | |||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 94 | 102,460 | |||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 225 | 245,812 | |||||||||||||
Nielsen Finance LLC, 7.75%, 10/15/18 | 319 | 353,292 | |||||||||||||
ProQuest LLC, 9.00%, 10/15/18 (b) | 29 | 28,783 | |||||||||||||
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(b)(d)(h) | 414 | 207 | |||||||||||||
Sterling Entertainment Corp., 9.75%, 12/15/19 | 150 | 150,000 | |||||||||||||
Unitymedia GmbH, 9.50%, 3/15/21 | EUR | 100 | 148,650 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG, 7.50%, 3/15/19 | 112 | 159,016 | |||||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b) | USD | 78 | 84,240 | ||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b) | 55 | 57,750 | |||||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 | EUR | 65 | 91,650 | ||||||||||||
4,518,184 | |||||||||||||||
Metals & Mining — 3.7% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | USD | 40 | 45,150 | ||||||||||||
4.25%, 8/05/15 | 65 | 67,297 | |||||||||||||
4.25%, 3/01/16 | 25 | 25,750 | |||||||||||||
5.00%, 2/25/17 | 68 | 70,754 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 77 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
ArcelorMittal (concluded): | ||||||||||||||
6.13%, 6/01/18 | USD | 68 | $ | 73,324 | ||||||||||
6.00%, 3/01/21 | 10 | 10,613 | ||||||||||||
6.75%, 2/25/22 | 80 | 88,089 | ||||||||||||
7.50%, 10/15/39 | 10 | 10,367 | ||||||||||||
7.25%, 3/01/41 | 38 | 37,905 | ||||||||||||
FMG Resources August 2006 Property Ltd. (b): | ||||||||||||||
6.38%, 2/01/16 | 27 | 27,731 | ||||||||||||
6.00%, 4/01/17 | 75 | 78,187 | ||||||||||||
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b) | 50 | 54,375 | ||||||||||||
GoldCorp, Inc., 2.00%, 8/01/14 (d) | 85 | 89,037 | ||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 35 | 39,112 | ||||||||||||
New Gold, Inc., 7.00%, 4/15/20 (b) | 25 | 27,000 | ||||||||||||
New World Resources NV, 7.88%, 5/01/18 | EUR | 60 | 80,329 | |||||||||||
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (d) | USD | 90 | 99,394 | |||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 545 | 610,400 | ||||||||||||
Schmolz & Bickenbach Luxembourg SA, 9.88%, 5/15/19 | EUR | 100 | 116,886 | |||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (b) | USD | 40 | 42,800 | |||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 70 | 69,650 | ||||||||||||
Walter Energy, Inc., 9.88%, 12/15/20 (b) | 22 | 23,925 | ||||||||||||
1,788,075 | ||||||||||||||
Multiline Retail — 0.7% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 134 | 141,705 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 200 | 208,500 | ||||||||||||
350,205 | ||||||||||||||
Oil, Gas & Consumable Fuels — 8.9% | ||||||||||||||
Access Midstream Partners LP: | ||||||||||||||
6.13%, 7/15/22 | 45 | 48,263 | ||||||||||||
4.88%, 5/15/23 | 60 | 59,400 | ||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (d) | 142 | 135,521 | ||||||||||||
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b) | 115 | 123,625 | ||||||||||||
BreitBurn Energy Partners LP, 7.88%, 4/15/22 | 40 | 42,500 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 38 | 39,900 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 35 | 37,975 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 20 | 22,600 | ||||||||||||
6.63%, 8/15/20 | 30 | 32,850 | ||||||||||||
6.88%, 11/15/20 | 30 | 33,000 | ||||||||||||
6.13%, 2/15/21 | 11 | 11,660 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 25 | 27,625 | ||||||||||||
6.50%, 1/15/22 | 52 | 56,680 | ||||||||||||
5.50%, 10/01/22 | 38 | 39,568 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 50 | 55,125 | ||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 60 | 68,100 | ||||||||||||
Crosstex Energy LP, 8.88%, 2/15/18 | 25 | 26,938 | ||||||||||||
CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/01/22 (b) | 65 | 65,487 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 128 | 125,600 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 75 | 84,750 | ||||||||||||
7.75%, 6/15/19 | 90 | 96,525 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||||||||||||
6.88%, 5/01/19 | 55 | 59,950 | ||||||||||||
7.75%, 9/01/22 | 35 | 37,888 | ||||||||||||
EV Energy Partners LP, 8.00%, 4/15/19 | 25 | 26,188 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 (b) | 72 | 77,400 | ||||||||||||
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | 45 | 49,612 | ||||||||||||
Holly Energy Partners LP, 6.50%, 3/01/20 (b) | 25 | 26,750 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 60 | 67,500 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.50%, 5/15/19 | 7 | 7,245 | ||||||||||||
6.25%, 11/01/19 (b) | 238 | 242,760 | ||||||||||||
8.63%, 4/15/20 | 20 | 22,125 | ||||||||||||
7.75%, 2/01/21 | 60 | 64,800 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
MarkWest Energy Partners LP: | ||||||||||||||
5.50%, 2/15/23 | USD | 45 | $ | 47,250 | ||||||||||
4.50%, 7/15/23 | 25 | 24,438 | ||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 135 | 144,787 | ||||||||||||
Northern Oil and Gas, Inc., 8.00%, 6/01/20 | 55 | 57,475 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 35 | 37,800 | ||||||||||||
6.50%, 11/01/21 | 50 | 54,000 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 124 | 135,160 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (b) | 35 | 38,063 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (b) | 35 | 37,013 | ||||||||||||
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b) | 112 | 114,240 | ||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 95 | 104,500 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 175 | 201,687 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | 20 | 22,000 | ||||||||||||
5.75%, 6/01/21 | 166 | 176,790 | ||||||||||||
5.00%, 8/15/22 | 68 | 69,530 | ||||||||||||
Regency Energy Partners LP: | ||||||||||||||
6.88%, 12/01/18 | 70 | 75,600 | ||||||||||||
5.50%, 4/15/23 | 115 | 121,325 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (b) | 270 | 278,775 | ||||||||||||
Sabine Pass Liquified Natural Gas LP: | ||||||||||||||
7.50%, 11/30/16 | 205 | 226,525 | ||||||||||||
6.50%, 11/01/20 (b) | 55 | 58,025 | ||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 89 | 93,227 | ||||||||||||
SESI LLC: | ||||||||||||||
6.38%, 5/01/19 | 55 | 58,987 | ||||||||||||
7.13%, 12/15/21 | 40 | 44,300 | ||||||||||||
SM Energy Co.: | ||||||||||||||
6.63%, 2/15/19 | 20 | 21,450 | ||||||||||||
6.50%, 11/15/21 | 45 | 48,937 | ||||||||||||
6.50%, 1/01/23 | 65 | 70,362 | ||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b) | 26 | 27,105 | ||||||||||||
Vanguard Natural Resources, 7.88%, 4/01/20 | 40 | 42,000 | ||||||||||||
4,347,261 | ||||||||||||||
Paper & Forest Products — 0.7% | ||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b) | 60 | 64,650 | ||||||||||||
Boise Paper Holdings LLC: | ||||||||||||||
9.00%, 11/01/17 | 15 | 16,219 | ||||||||||||
8.00%, 4/01/20 | 5 | 5,513 | ||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 95 | 102,837 | ||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b) | 55 | 57,750 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(h) | 337 | — | ||||||||||||
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) | 25 | 25,875 | ||||||||||||
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (b) | 45 | 45,675 | ||||||||||||
318,519 | ||||||||||||||
Pharmaceuticals — 1.2% | ||||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | 68 | 78,030 | ||||||||||||
Mylan, Inc., 6.00%, 11/15/18 (b) | 20 | 22,027 | ||||||||||||
Valeant Pharmaceuticals International (b): | ||||||||||||||
6.50%, 7/15/16 | 130 | 136,581 | ||||||||||||
6.88%, 12/01/18 | 132 | 143,385 | ||||||||||||
6.38%, 10/15/20 | 70 | 75,338 | ||||||||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 102 | 110,160 | ||||||||||||
565,521 | ||||||||||||||
Professional Services — 0.2% | ||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b) | 90 | 100,800 |
78 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.8% | |||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b) | USD | 46 | $ | 46,230 | |||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 181 | 194,462 | |||||||||||||
5.63%, 3/01/23 (b) | 41 | 41,256 | |||||||||||||
The Rouse Co. LP, 6.75%, 11/09/15 | 85 | 88,400 | |||||||||||||
370,348 | |||||||||||||||
Real Estate Management & Development — 2.4% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 55 | 59,400 | |||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b) | 145 | 156,237 | |||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (b) | 60 | 59,775 | |||||||||||||
Realogy Corp.: | |||||||||||||||
11.50%, 4/15/17 | 60 | 63,975 | |||||||||||||
12.00%, 4/15/17 | 15 | 16,013 | |||||||||||||
7.88%, 2/15/19 (b) | 345 | 375,187 | |||||||||||||
7.63%, 1/15/20 (b) | 120 | 135,300 | |||||||||||||
9.00%, 1/15/20 (b) | 55 | 63,113 | |||||||||||||
Shea Homes LP, 8.63%, 5/15/19 | 230 | 255,300 | |||||||||||||
1,184,300 | |||||||||||||||
Road & Rail — 0.8% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 130 | 142,025 | |||||||||||||
6.75%, 4/15/19 (b) | 50 | 53,875 | |||||||||||||
7.38%, 1/15/21 | 170 | 187,425 | |||||||||||||
383,325 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.6% | |||||||||||||||
Micron Technology, Inc., Series C, 2.38%, 5/01/32 (d) | 41 | 45,638 | |||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 200 | 204,500 | |||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 50 | 52,750 | |||||||||||||
302,888 | |||||||||||||||
Software — 1.3% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (b) | 71 | 69,403 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(e) | 47 | 48,175 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 280 | 314,300 | |||||||||||||
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (b) | 27 | 27,473 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 85 | 86,062 | |||||||||||||
Sophia LP, 9.75%, 1/15/19 (b) | 78 | 86,287 | |||||||||||||
631,700 | |||||||||||||||
Specialty Retail — 3.2% | |||||||||||||||
Asbury Automotive Group, Inc.: | |||||||||||||||
7.63%, 3/15/17 | 60 | 61,725 | |||||||||||||
8.38%, 11/15/20 | 60 | 66,900 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 149 | 165,390 | |||||||||||||
House of Fraser Funding Plc, 8.88%, 8/15/18 | GBP | 100 | 160,807 | ||||||||||||
Limited Brands, Inc.: | |||||||||||||||
8.50%, 6/15/19 | USD | 140 | 171,500 | ||||||||||||
5.63%, 2/15/22 | 25 | 26,438 | |||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 39 | 42,559 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(e) | 37 | 38,203 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | 173 | 188,137 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b) | 180 | 188,325 | |||||||||||||
QVC, Inc. (b): | |||||||||||||||
7.13%, 4/15/17 | 40 | 41,662 | |||||||||||||
7.50%, 10/01/19 | 100 | 110,369 | |||||||||||||
7.38%, 10/15/20 | 55 | 60,964 | |||||||||||||
5.13%, 7/02/22 | 4 | 4,230 | |||||||||||||
Sally Holdings LLC: | |||||||||||||||
6.88%, 11/15/19 | 90 | 100,350 | |||||||||||||
5.75%, 6/01/22 | 83 | 87,669 | |||||||||||||
Sonic Automotive, Inc., 9.00%, 3/15/18 | 65 | 71,500 | |||||||||||||
1,586,728 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | USD | 75 | $ | 81,469 | |||||||||||
PVH Corp., 4.50%, 12/15/22 | 41 | 40,436 | |||||||||||||
121,905 | |||||||||||||||
Trading Companies & Distributors — 1.1% | |||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b) | 90 | 96,975 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd. (b): | |||||||||||||||
Series 2012-1 6.50%, 5/30/21 | 200 | 211,431 | |||||||||||||
Series 2012-1 5.13%, 11/30/24 | 200 | 215,000 | |||||||||||||
523,406 | |||||||||||||||
Transportation Infrastructure — 0.3% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 | 150 | 159,000 | |||||||||||||
Wireless Telecommunication Services — 4.6% | |||||||||||||||
Cricket Communications, Inc., 7.75%, 10/15/20 | 96 | 97,920 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (b) | 187 | 191,675 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (b) | 200 | 213,300 | |||||||||||||
Digicel Ltd., 8.25%, 9/01/17 (b) | 330 | 348,150 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 94 | 98,348 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 35 | 24,500 | |||||||||||||
Phones4u Finance Plc, 9.50%, 4/01/18 | GBP | 100 | 156,635 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | USD | 263 | 265,630 | ||||||||||||
Sprint Nextel Corp. (b): | |||||||||||||||
9.00%, 11/15/18 | 456 | 565,440 | |||||||||||||
7.00%, 3/01/20 | 235 | 274,950 | |||||||||||||
2,236,548 | |||||||||||||||
Total Corporate Bonds — 102.8% | 50,297,807 | ||||||||||||||
Floating Rate Loan Interests (g) | |||||||||||||||
Airlines — 1.2% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 96 | 96,710 | |||||||||||||
Northwest Airlines, Inc.: | |||||||||||||||
Term Loan, 2.32%, 3/10/17 | 119 | 110,789 | |||||||||||||
Term Loan, 2.32%, 3/10/17 | 216 | 201,096 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 97 | 86,602 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 98 | 87,494 | |||||||||||||
582,691 | |||||||||||||||
Auto Components — 0.1% | |||||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 70 | 69,982 | |||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 70 | 70,735 | |||||||||||||
Capital Markets — 0.6% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 156 | 157,560 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 80 | 80,400 | |||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 70 | 71,400 | |||||||||||||
309,360 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 69 | 70,056 | |||||||||||||
US Coatings Acquisition, Inc.: | |||||||||||||||
Term Loan, 4.75%, 2/03/20 | 115 | 116,396 | |||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 10 | 13,188 | ||||||||||||
199,640 | |||||||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | USD | 97 | 98,163 | ||||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 100 | 100,583 | |||||||||||||
198,746 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 79 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (g) | Par (000) | Value | ||||||||||||
Communications Equipment — 1.4% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan C, 7.25%, 1/31/19 | USD | 235 | $ | 237,585 | ||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 90 | 117,810 | |||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 20 | 19,895 | |||||||||||
Zayo Group, LLC Refinancing, Term Loan B, 5.25%, 7/12/19 | 297 | 298,369 | ||||||||||||
673,659 | ||||||||||||||
Construction & Engineering — 0.5% | ||||||||||||||
Safway Services LLC, Mezzanine Loan, 9.88%, 12/16/17 | 250 | 250,000 | ||||||||||||
Construction Materials — 0.4% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 184 | 184,565 | ||||||||||||
Consumer Finance — 1.4% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 661 | 663,340 | ||||||||||||
Diversified Consumer Services — 0.2% | ||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 25 | 24,879 | ||||||||||||
ServiceMaster Co., New Term Loan, 2.70%, 4/01/17 | 80 | 79,729 | ||||||||||||
104,608 | ||||||||||||||
Diversified Telecommunication Services — 0.7% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 50 | 50,436 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 40 | 40,408 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 250 | 252,000 | ||||||||||||
342,844 | ||||||||||||||
Energy Equipment & Services — 1.6% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 290 | 298,919 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 467 | 486,068 | ||||||||||||
Tervita Corp., Incremental Term Loan, 6.50%, 5/01/18 | 25 | 25,129 | ||||||||||||
810,116 | ||||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||||
Rite Aid Corp., Second Lien Term Loan, 5.75%, 7/07/20 | 20 | 20,456 | ||||||||||||
Food Products — 0.1% | �� | |||||||||||||
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 35 | 35,427 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 50 | 50,080 | ||||||||||||
Capital Safety North America, Term Loan, 4.50%, 1/21/19 | 129 | 129,025 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 45 | 45,782 | ||||||||||||
224,887 | ||||||||||||||
Health Care Providers & Services — 0.5% | ||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 33 | 32,145 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 69 | 67,133 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 58 | 57,499 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 79 | 77,546 | ||||||||||||
234,323 | ||||||||||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 90 | 90,074 | ||||||||||||
Term Loan B3, 3.20%—3.31%, 1/28/15 | 4 | 4,476 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 905 | 832,600 | ||||||||||||
Floating Rate Loan Interests (g) | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) | ||||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | USD | 205 | $ | 207,358 | ||||||||||
Station Casinos, Inc.: | ||||||||||||||
Term Loan B, 5.50%, 9/27/19 | 175 | 175,580 | ||||||||||||
Term Loan B, 5.50%, 2/13/20 | 170 | 171,417 | ||||||||||||
Travelport Holdings Ltd.: | ||||||||||||||
Extended Tranche A Term Loan, 6.40%, 12/01/16 | 32 | 11,402 | ||||||||||||
Extended Tranche B Term Loan, 13.80%, 12/01/16 | 108 | 10,082 | ||||||||||||
1,502,989 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 94 | 95,539 | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 55 | 55,413 | ||||||||||||
IT Services — 0.3% | ||||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 12 | 11,980 | ||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.20%, 3/23/18 | 130 | 128,362 | ||||||||||||
140,342 | ||||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 41 | 40,574 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 35 | 35,305 | ||||||||||||
Machinery — 0.7% | ||||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 99 | 99,620 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.75%, 12/05/19 | 225 | 225,000 | ||||||||||||
324,620 | ||||||||||||||
Media — 4.0% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 59 | 46,460 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 239 | 189,806 | ||||||||||||
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19 | 50 | 49,748 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 229 | 196,141 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 62 | 51,970 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 45 | 45,256 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 68 | 68,667 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 1,042 | 1,051,638 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 70 | 69,923 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 44 | 44,011 | ||||||||||||
Virgin Media Investment Holdings, Term Loan B, 3.50%, 2/17/20 | 125 | 124,254 | ||||||||||||
1,937,874 | �� | |||||||||||||
Metals & Mining — 1.0% | ||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 70 | 71,043 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 394 | 398,733 | ||||||||||||
469,776 | ||||||||||||||
Oil, Gas & Consumable Fuels — 1.4% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 325 | 331,738 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 140 | 140,948 |
80 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (g) | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | USD | 40 | $ | 40,375 | |||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 163 | 163,752 | |||||||||||||
676,813 | |||||||||||||||
Pharmaceuticals — 0.3% | |||||||||||||||
Par Pharmaceutical Co., Inc., Term Loan B, 4.25%, 9/28/19 | 120 | 119,551 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 49 | 49,741 | |||||||||||||
169,292 | |||||||||||||||
Professional Services — 0.1% | |||||||||||||||
Truven Health Analytics, Inc.(FKA Thomson Reuters (Healthcare), Inc.), Term Loan B, 5.75%, 6/01/19 | 60 | 60,260 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 124 | 123,894 | |||||||||||||
Real Estate Management & Development — 0.3% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit Loan, 4.46%, 10/10/16 | 14 | 14,457 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 123 | 122,631 | |||||||||||||
137,088 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 48 | 47,899 | |||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
Freescale Semiconductor, Inc., Extended Term Loan B, 4.45%, 12/01/16 | 50 | 50,000 | |||||||||||||
Software — 0.6% | |||||||||||||||
GCA Services Group, Inc., Second Lien Term Loan, 9.25%, 10/22/20 | 10 | 9,900 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 204 | 206,185 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 85 | 88,400 | |||||||||||||
304,485 | |||||||||||||||
Specialty Retail — 0.2% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 90 | 90,922 | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 184 | 185,449 | |||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 75 | 75,601 | |||||||||||||
261,050 | |||||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 100 | 101,208 | |||||||||||||
Wireless Telecommunication Services — 1.1% | |||||||||||||||
Vodafone Americas Finance 2, Inc. (e): | |||||||||||||||
Term Loan, 6.88%, 8/11/15 | 277 | 282,420 | |||||||||||||
Term Loan B, 6.25%, 7/11/16 | 258 | 264,902 | |||||||||||||
547,322 | |||||||||||||||
Total Floating Rate Loan Interests — 24.8% | 12,148,044 |
Preferred Securities | Shares | Value | |||||||||||||
Preferred Stocks | |||||||||||||||
Auto Components — 0.6% | |||||||||||||||
Dana Holding Corp., 4.00% (b)(d) | 2,180 | $ | 309,287 | ||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 1.1% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g) | 19,710 | 521,325 | |||||||||||||
Total Preferred Securities — 1.7% | 830,612 | ||||||||||||||
Warrants (i) | |||||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 61 | — | |||||||||||||
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 176 | — | |||||||||||||
— | |||||||||||||||
Total Warrants — 0.0% | — | ||||||||||||||
Total Long-Term Investments | |||||||||||||||
(Cost — $62,945,241) — 134.9% | 66,013,096 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (j)(k) | 2,001,193 | 2,001,193 | |||||||||||||
Total Short-Term Securities | |||||||||||||||
(Cost — $2,001,193) — 4.1% | 2,001,193 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $2,933) — 0.0% | — | ||||||||||||||
Total Investments Before Options Written | |||||||||||||||
(Cost — $64,949,367) — 139.0% | 68,014,289 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received— $18,225) — (0.0)% | (9,362 | ) | |||||||||||||
Total Investments, Net of Options Written (Cost—$64,931,142) — 139.0% | 68,004,927 | ||||||||||||||
Liabilities in Excess of Other Assets — (39.0)% | (19,070,042 | ) | |||||||||||||
Net Assets — 100.0% | $ | 48,934,885 |
Notes to Schedule of Investments
(a) | Non-income producing security. | |||
(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) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(d) | Convertible security. | |||
(e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 81 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) |
(f) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Goldman Sachs Group, Inc | $ | 76,500 | $ | 1,500 | ||||||
Deutsche Bank AG | $ | 159,994 | $ | 994 | ||||||
Citigroup, Inc | $ | 6,510 | $ | 901 | ||||||
Bank of America Corp | $ | 21,985 | $ | 200 | ||||||
Pershing LLC | $ | 30,394 | $ | 81 | ||||||
Bank of New York Mellon Corp./Suntrust Capital | $ | 18,360 | $ | (34 | ) |
(g) | Variable rate security. Rate shown is as of report date. | |||
(h) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(i) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
(j) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,204,968 | 796,225 | 2,001,193 | $ | 366 | $ | 12 |
(k) | Represents the current yield as of report date. | |||
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Sold | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Depreciation | | ||||||||||||||||
(8) | S&P 500 E-Mini Index | Chicago Mercantile | March 2013 | USD | 605,320 | $(11,294) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||
GBP | 16,000 | USD | 24,255 | Barclays Plc | 4/17/13 | $ | 12 | |||||||||||||||||||||
USD | 656,787 | GBP | 410,000 | Goldman Sachs Group, Inc. | 4/17/13 | 34,942 | ||||||||||||||||||||||
EUR | 90,000 | USD | 120,141 | Citigroup, Inc. | 4/23/13 | (2,598 | ) | |||||||||||||||||||||
USD | 1,543,274 | EUR | 1,158,000 | Citigroup, Inc. | 4/23/13 | 30,892 | ||||||||||||||||||||||
Total | $ | 63,248 |
• | Over-the-counter options purchased as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||||
Marsico Parent Superholdco LLC | Goldman Sachs Group, Inc. | Call | USD | 942.86 | 12/14/19 | 3 | — |
• | Over-the-counter credit default swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Strike Price | | Pay/Receive Floating Rate Index | �� | Floating Rate Index | | Credit Rating1 | | Expiration Date | | Notional Amount (000)2 | | Market Value | | ||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Call | USD 103.50 | Receive | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 750 | $(4,053) | |||||||||||||
Sold Protection on 5-Year Credit Default Swap | Credit Suisse Group AG | Put | USD 97.50 | Pay | Dow Jones CDX North America High Yield, Series 19, Verison 1 | B+ | 6/19/13 | USD | 750 | (5,309) | |||||||||||||
Total | $ (9,362) |
1 | Using S&P’s rating of the underlying securities of the index. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
82 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) |
• | Credit default swaps — buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | | ||||||||||||||||
The New York Times Co. | 1.00% | Barclays Plc | 12/20/16 | USD | 225 | $ | (5,115 | ) | |||||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 100 | (3,939 | ) | ||||||||||||||||||||
State of Israel | 1.00% | Deutsche Bank AG | 3/20/17 | USD | 35 | (1,358 | ) | ||||||||||||||||||||
Beazer Home USA, Inc. | 5.00% | Bank of America Corp. | 12/20/17 | USD | 15 | (388 | ) | ||||||||||||||||||||
Total | $ | (10,800 | ) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 110 | $ | 14,972 | |||||||||||||||||||||||
Goodyear Tire & Rubber Co. | 5.00% | Barclays Plc | 12/20/15 | BB- | USD | 95 | 8,217 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 23 | 740 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 187 | 7,478 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 3/20/16 | CCC | USD | 13 | 472 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 200 | 9,641 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Credit Suisse Group AG | 9/20/16 | B- | USD | 50 | 5,586 | ||||||||||||||||||||||||
ARAMARK Corp. | 5.00% | Deutsche Bank AG | 3/20/17 | B- | USD | 35 | 2,562 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/17 | CCC | USD | 11 | 85 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 33 | (253 | ) | |||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 63 | 1,549 | ||||||||||||||||||||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B- | USD | 80 | 13,848 | ||||||||||||||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 280 | 67,699 | ||||||||||||||||||||||||
Total | $ | 132,596 |
1 | Using S&P’s rating of the issuer. |
2 | 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 Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to the Note 1 of the Notes to Financial Statements. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 83 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | $ | 2,440,561 | $ | 129,452 | $ | 166,620 | $ | 2,736,633 | ||||||||||
Corporate Bonds | — | 49,812,693 | 485,114 | 50,297,807 | ||||||||||||||
Floating Rate Loan Interests | — | 9,754,171 | 2,393,873 | 12,148,044 | ||||||||||||||
Preferred Securities | 521,324 | 309,287 | — | 830,611 | ||||||||||||||
Warrants | — | — | 1 | 1 | ||||||||||||||
Short-Term Securities | 2,001,193 | — | — | 2,001,193 | ||||||||||||||
Total | $ | 4,963,078 | $ | 60,005,603 | $ | 3,045,608 | $ | 68,014,289 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 132,849 | — | $ | 132,849 | ||||||||||||
Foreign currency exchange contracts | — | 65,846 | — | 65,846 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (20,415 | ) | — | (20,415 | ) | ||||||||||||
Equity contracts | $ | (11,294 | ) | — | — | (11,294 | ) | |||||||||||
Foreign currency exchange contracts | — | (2,598 | ) | — | (2,598 | ) | ||||||||||||
Total | $ | (11,294 | ) | $ | 175,682 | — | $ | 164,388 |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, and options written. Swaps, financial futures contracts, and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 11,231 | — | — | $ | 11,231 | ||||||||||||
Cash pledged as collateral for financial futures contracts | 63,000 | — | — | 63,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Loan payable | — | $ | (18,000,000 | ) | — | (18,000,000 | ) | |||||||||||
Total | $ | 74,231 | $ | (18,000,000 | ) | — | $ | (17,925,769 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013. | ||||
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Warrants | | Total | |||||||||||||
Assets: | ||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 1 | $ | 638,018 | $ | 1,898,540 | $ | 1 | $ | 2,536,560 | ||||||||||||
Transfers into Level 32 | 1,620 | 247,288 | 288,129 | — | 537,037 | |||||||||||||||||
Transfers out of Level 33 | — | — | (45,338 | ) | — | (45,338 | ) | |||||||||||||||
Accrued discounts/premiums | — | (2,101 | ) | 4,838 | — | 2,737 | ||||||||||||||||
Net realized gain (loss) | — | 1,228 | (11,946 | ) | — | (10,718 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation4 | 105,959 | (262,173 | ) | 120,250 | — | (35,964 | ) | |||||||||||||||
Purchases | 59,040 | 339,683 | 837,714 | — | 1,236,437 | |||||||||||||||||
Sales | — | (476,829 | ) | (698,314 | ) | — | (1,175,143 | ) | ||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 166,620 | $ | 485,114 | $ | 2,393,873 | $ | 1 | $ | 3,045,608 |
2 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $537,037 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $45,338 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $82,969. |
84 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (concluded) | BlackRock High Yield Trust (BHY) |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value: |
| Credit Contracts | |||||
Assets: | ||||||
Opening Balance, as of August 31, 2012 | $ | 90,639 | ||||
Transfers into Level 31 | — | |||||
Transfers out of Level 31 | (23,950 | ) | ||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation2 | (66,689 | ) | ||||
Purchases | — | |||||
Issues3 | — | |||||
Sales | — | |||||
Settlements4 | — | |||||
Closing Balance, as of February 28, 2013 | — |
1 | Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
3 | Issues represent upfront cash received on certain derivative financial instruments. |
4 | Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $2,238,774. |
| Value | | Valuation Techniques | | Unobservable Inputs5 | | Range of Unobservable Inputs Utilized | |||||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 42,394 | Restructure Terms6 | N/A | — | |||||||||||||
Corporate Bonds | 185,701 | Market Comparable Companies | Yield | 12.10% | ||||||||||||||
207 | Estimated Final Distribution | Recovery Rate | 0.05% | |||||||||||||||
203,900 | Cost7 | N/A | — | |||||||||||||||
Floating Rate Loan Interests | 124,632 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||
250,000 | Cost7 | N/A | — | |||||||||||||||
Total | $ | 806,834 |
5 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||||||
Recovery Rate | Increase | Decrease | ||||||||
Yield | Decrease | Increase |
6 | Investment is valued based on the company’s financial restructuring plan. |
7 | The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 85 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 7.6% | |||||||||||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a) | USD | 715 | $ | 775,276 | |||||||||||
ACAS CLO Ltd., Series 2013-1A, Class C, 3.04%, 4/20/25 (a)(b)(c) | 500 | 487,800 | |||||||||||||
AH Mortgage Advance Co. Ltd., Series SART-3, Class 1A1, 2.98%, 3/13/43 (a) | 630 | 631,104 | |||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17 | 400 | 419,704 | |||||||||||||
Apidos CDO, Series 2012-11A, Class D, 4.74%, 1/17/23 (a)(b) | 600 | 600,900 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 500 | 483,500 | |||||||||||||
CarMax Auto Owner Trust, Series 2012-1: | |||||||||||||||
Class B, 1.76%, 8/15/17 | 210 | 214,781 | |||||||||||||
Class C, 2.20%, 10/16/17 | 125 | 127,980 | |||||||||||||
Class D, 3.09%, 8/15/18 | 160 | 165,651 | |||||||||||||
Cavalry CLO Ltd., Series 2A (a)(b): | |||||||||||||||
Class C, 3.23%, 1/17/24 | 1,040 | 1,019,200 | |||||||||||||
Class D, 4.38%, 1/17/24 | 765 | 744,728 | |||||||||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25 | 1,105 | 1,165,103 | |||||||||||||
CIFC Funding Ltd. (a)(b): | |||||||||||||||
Series 2012-1A, Class B1L, 5.54%, 8/14/24 | 750 | 757,500 | |||||||||||||
Series 2013-1A, Class B, 3.10%, 4/16/25 (c) | 500 | 493,750 | |||||||||||||
Series 2013-1A, Class C, 3.89%, 4/16/25 (c) | 500 | 486,500 | |||||||||||||
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a) | 1,970 | 1,981,680 | |||||||||||||
DT Auto Owner Trust (a): | |||||||||||||||
Series 2011-2A, Class C, 3.05%, 2/16/16 | 1,500 | 1,504,674 | |||||||||||||
Series 2011-3A, Class C, 4.03%, 2/15/17 | 260 | 264,825 | |||||||||||||
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.54%, 11/14/21 (a)(b) | 500 | 445,000 | |||||||||||||
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.94%, 3/21/24 (a)(b)(c) | 500 | 484,250 | |||||||||||||
Ford Credit Floorplan Master Owner Trust: | |||||||||||||||
Series 2012-1, Class B, 1.10%, 1/15/16 (b) | 180 | 180,720 | |||||||||||||
Series 2012-1, Class C, 1.70%, 1/15/16 (b) | 480 | 483,409 | |||||||||||||
Series 2012-1, Class D, 2.30%, 1/15/16 (b) | 450 | 452,987 | |||||||||||||
Series 2012-2, Class B, 2.32%, 1/15/19 | 245 | 252,913 | |||||||||||||
Series 2012-2, Class C, 2.86%, 1/15/19 | 105 | 110,368 | |||||||||||||
Series 2012-2, Class D, 3.50%, 1/15/19 | 200 | 211,127 | |||||||||||||
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.89%, 4/15/25 (a)(b)(c) | 500 | 490,510 | |||||||||||||
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.31%, 7/25/37 (b) | 39 | 39,017 | |||||||||||||
Mountain Hawk I CLO Ltd., Series 2013-1A, Class C, 3.12%, 1/20/24 (a)(b) | 750 | 723,750 | |||||||||||||
Nelnet Student Loan Trust (b): | |||||||||||||||
Series 2006-1, Class A5, 0.40%, 8/23/27 | 525 | 514,436 | |||||||||||||
Series 2008-3, Class A4, 1.94%, 11/25/24 | 620 | 660,272 | |||||||||||||
OZLM Funding Ltd., Series 2013-3A (a)(b): | |||||||||||||||
Class B, 3.35%, 1/22/25 | 750 | 754,725 | |||||||||||||
Class C, 4.15%, 1/22/25 | 500 | 488,850 | |||||||||||||
PFS Financing Corp., Series 2012-AA, Class A, 1.40%, 2/15/16 (a)(b) | 480 | 483,831 | |||||||||||||
Santander Consumer Acquired Receivables Trust (a): | |||||||||||||||
Series 2011-S1A, Class B, 1.66%, 8/15/16 | 460 | 463,693 | |||||||||||||
Series 2011-S1A, Class C, 2.01%, 8/15/16 | 317 | 319,460 | |||||||||||||
Series 2011-S1A, Class D, 3.15%, 8/15/16 | 325 | 330,281 | |||||||||||||
Series 2011-WO, Class C, 3.19%, 10/15/15 | 575 | 591,043 | |||||||||||||
Santander Drive Auto Receivables Trust: | |||||||||||||||
Series 2010-2, Class B, 2.24%, 12/15/14 | 786 | 789,924 | |||||||||||||
Series 2010-2, Class C, 3.89%, 7/17/17 | 1,020 | 1,054,615 | |||||||||||||
Series 2010-B, Class B, 2.10%, 9/15/14 (a) | 419 | 419,672 | |||||||||||||
Series 2010-B, Class C, 3.02%, 10/17/16 (a) | 735 | 747,611 | |||||||||||||
Series 2011-1, Class D, 4.01%, 2/15/17 | 940 | 988,523 | |||||||||||||
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) | 197 | 198,187 | |||||||||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) | 175 | 175,521 | |||||||||||||
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities (concluded) | |||||||||||||||
Santander Drive Auto Receivables Trust (concluded): | |||||||||||||||
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a) | USD | 511 | $ | 515,497 | |||||||||||
Series 2012-1, Class B, 2.72%, 5/16/16 | 240 | 246,372 | |||||||||||||
Series 2012-1, Class C, 3.78%, 11/15/17 | 325 | 341,443 | |||||||||||||
SLM Student Loan Trust: | |||||||||||||||
Series 2004-B, Class A2, 0.51%, 6/15/21 (b) | 174 | 171,152 | |||||||||||||
Series 2008-5, Class A3, 1.60%, 1/25/18 (b) | 525 | 534,223 | |||||||||||||
Series 2008-5, Class A4, 2.00%, 7/25/23 (b) | 630 | 664,298 | |||||||||||||
Series 2012-A, Class A1, 1.60%, 8/15/25 (a)(b) | 296 | 300,469 | |||||||||||||
Series 2012-A, Class A2, 3.83%, 1/17/45 (a) | 345 | 378,332 | |||||||||||||
Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16 | 137 | 145,843 | |||||||||||||
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.90%, 7/28/21 (a)(b) | 750 | 727,500 | |||||||||||||
Venture CDO Ltd., Series 2012-12A, Class D, 4.01%, 2/28/24 (a)(b) | 770 | 723,800 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22 | 1,180 | 1,286,930 | |||||||||||||
31,215,210 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | 3,898 | 300,879 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, 2.36%, 4/15/29 (a) | 5,591 | 408,845 | |||||||||||||
709,724 | |||||||||||||||
Total Asset-Backed Securities — 7.8% | 31,924,934 | ||||||||||||||
Common Stocks (d) | Shares | ||||||||||||||
Paper & Forest Products — 0.1% | |||||||||||||||
NewPage Corp. | 4,960 | 421,600 | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. | 152 | 2 | |||||||||||||
Total Common Stocks — 0.1% | 421,602 | ||||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a) | USD | 340 | 352,750 | ||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 230 | 250,700 | |||||||||||||
United Technologies Corp. (e): | |||||||||||||||
4.88%, 5/01/15 | 1,250 | 1,367,435 | |||||||||||||
6.13%, 7/15/38 | 750 | 974,188 | |||||||||||||
2,945,073 | |||||||||||||||
Airlines — 0.7% | |||||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 2010-1, Class B, 6.00%, 1/12/19 | �� | 571 | 588,248 | ||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 500 | 498,750 | |||||||||||||
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 | 1,553 | 1,661,710 | |||||||||||||
2,748,708 | |||||||||||||||
Auto Components — 1.1% | |||||||||||||||
Icahn Enterprises LP: | |||||||||||||||
4.00%, 8/15/13 (a)(b)(f) | 2,900 | 2,907,250 | |||||||||||||
4.00%, 8/15/13 (b)(f) | 665 | 666,662 | |||||||||||||
8.00%, 1/15/18 | 1,000 | 1,071,250 | |||||||||||||
4,645,162 | |||||||||||||||
Automobiles — 0.5% | |||||||||||||||
Ford Motor Co., 4.75%, 1/15/43 | 2,005 | 1,904,311 |
86 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Building Products — 0.1% | ||||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | USD | 250 | $ | 256,562 | ||||||||||
Capital Markets — 3.9% | ||||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39 (a)(e) | 2,955 | 3,584,025 | ||||||||||||
The Goldman Sachs Group, Inc. (e): | ||||||||||||||
5.38%, 3/15/20 | 1,215 | 1,396,776 | ||||||||||||
5.25%, 7/27/21 | 3,175 | 3,613,636 | ||||||||||||
5.75%, 1/24/22 | 1,815 | 2,129,340 | ||||||||||||
Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (d)(g) | 225 | — | ||||||||||||
Morgan Stanley: | ||||||||||||||
4.20%, 11/20/14 | 680 | 712,632 | ||||||||||||
4.00%, 7/24/15 | 400 | 422,112 | ||||||||||||
6.25%, 8/28/17 (e) | 1,925 | 2,233,427 | ||||||||||||
Murray Street Investment Trust I, 4.65%, 3/09/17 (h) | 1,640 | 1,795,772 | ||||||||||||
15,887,720 | ||||||||||||||
Chemicals — 1.4% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 248 | 251,720 | ||||||||||||
The Dow Chemical Co., 4.13%, 11/15/21 | 350 | 378,147 | ||||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (a) | 528 | 536,580 | ||||||||||||
Huntsman International LLC, 4.88%, 11/15/20 (a) | 725 | 717,750 | ||||||||||||
Methanex Corp., 3.25%, 12/15/19 | 2,074 | 2,107,825 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 240 | 254,400 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,385 | 1,433,475 | ||||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.38%, 5/01/21 (a) | 151 | 156,285 | ||||||||||||
5,836,182 | ||||||||||||||
Commercial Banks — 3.1% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.38%, 5/15/20 | 1,650 | 1,798,500 | ||||||||||||
5.00%, 8/15/22 | 360 | 385,200 | ||||||||||||
Depfa ACS Bank, 5.13%, 3/16/37 (a) | 4,150 | 3,392,625 | ||||||||||||
HSBC Bank Brasil SA—Banco Multiplo, 4.00%, 5/11/16 (a)(e) | 1,400 | 1,456,000 | ||||||||||||
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e) | 695 | 738,014 | ||||||||||||
HSBC Holdings Plc, 6.10%, 1/14/42 (e) | 305 | 392,960 | ||||||||||||
Rabobank Nederland (e): | ||||||||||||||
3.88%, 2/08/22 | 1,390 | 1,476,820 | ||||||||||||
3.95%, 11/09/22 | 1,500 | 1,524,342 | ||||||||||||
Wells Fargo & Co., 3.50%, 3/08/22 (e) | 1,390 | 1,466,087 | ||||||||||||
12,630,548 | ||||||||||||||
Commercial Services & Supplies — 1.0% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 245 | 263,375 | ||||||||||||
The ADT Corp., 4.88%, 7/15/42 (a) | 539 | 513,286 | ||||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (a) | 650 | 660,118 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 390 | 401,700 | ||||||||||||
HDTFS, Inc. (a): | ||||||||||||||
5.88%, 10/15/20 | 230 | 239,200 | ||||||||||||
6.25%, 10/15/22 | 385 | 413,875 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 1,320 | 1,468,500 | ||||||||||||
West Corp., 8.63%, 10/01/18 | 135 | 143,775 | ||||||||||||
4,103,829 | ||||||||||||||
Communications Equipment — 1.2% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (f) | 4,340 | 4,342,170 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 530 | 592,275 | ||||||||||||
4,934,445 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
ABB Finance USA, Inc., 4.38%, 5/08/42 | 194 | 203,768 | ||||||||||||
Construction Materials — 0.6% | ||||||||||||||
HD Supply, Inc. (a): | ||||||||||||||
8.13%, 4/15/19 | 570 | 641,962 | ||||||||||||
7.50%, 7/15/20 | 1,544 | 1,545,930 | ||||||||||||
11.50%, 7/15/20 | 250 | 288,125 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Construction Materials (concluded) | ||||||||||||||
Lafarge SA, 7.13%, 7/15/36 | USD | 135 | $ | 141,075 | ||||||||||
2,617,092 | ||||||||||||||
Consumer Finance — 1.1% | ||||||||||||||
Discover Financial Services, 3.85%, 11/21/22 (a) | 250 | 255,733 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
6.63%, 8/15/17 | 280 | 326,984 | ||||||||||||
8.13%, 1/15/20 | 1,265 | 1,593,667 | ||||||||||||
4.25%, 9/20/22 | 800 | 824,824 | ||||||||||||
SLM Corp.: | ||||||||||||||
6.25%, 1/25/16 | 651 | 704,708 | ||||||||||||
Series A, 0.60%, 1/27/14 (b) | 600 | 595,653 | ||||||||||||
Toll Brothers Finance Corp., 5.88%, 2/15/22 | 345 | 384,940 | ||||||||||||
4,686,509 | ||||||||||||||
Containers & Packaging — 0.7% | ||||||||||||||
Ardagh Packaging Finance Plc (a): | ||||||||||||||
7.38%, 10/15/17 | EUR | 425 | 602,022 | |||||||||||
7.38%, 10/15/17 | USD | 200 | 217,750 | |||||||||||
4.88%, 11/15/22 | 209 | 205,865 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | 61 | 66,490 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (a) | 662 | 647,105 | ||||||||||||
Sealed Air Corp. (a): | ||||||||||||||
6.50%, 12/01/20 | 550 | 598,125 | ||||||||||||
8.38%, 9/15/21 | 225 | 256,500 | ||||||||||||
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a) | 410 | 420,250 | ||||||||||||
�� | 3,014,107 | |||||||||||||
Diversified Consumer Services — 0.5% | ||||||||||||||
313 Group, Inc., 6.38%, 12/01/19 (a) | 634 | 618,150 | ||||||||||||
Service Corp. International, 4.50%, 11/15/20 | 1,240 | 1,235,350 | ||||||||||||
1,853,500 | ||||||||||||||
Diversified Financial Services — 6.7% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 705 | 759,638 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
8.30%, 2/12/15 | 860 | 956,750 | ||||||||||||
5.50%, 2/15/17 | 1,500 | 1,626,261 | ||||||||||||
6.25%, 12/01/17 | 160 | 178,681 | ||||||||||||
8.00%, 3/15/20 | 560 | 687,400 | ||||||||||||
8.00%, 11/01/31 | 300 | 376,875 | ||||||||||||
Bank of America Corp. (e): | ||||||||||||||
5.63%, 7/01/20 | 1,100 | 1,287,086 | ||||||||||||
3.30%, 1/11/23 | 5,010 | 4,993,988 | ||||||||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 975 | 1,109,745 | ||||||||||||
FMR LLC, 4.95%, 2/01/33 (a)(e) | 1,150 | 1,167,765 | ||||||||||||
General Electric Capital Corp., 6.75%, 3/15/32 (e) | 2,500 | 3,199,692 | ||||||||||||
JPMorgan Chase & Co., 6.30%, 4/23/19 (e) | 1,375 | 1,684,196 | ||||||||||||
JPMorgan Chase Bank NA, 6.00%, 10/01/17 (e) | 2,045 | 2,421,120 | ||||||||||||
Moody’s Corp., 4.50%, 9/01/22 | 900 | 904,224 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.88%, 8/15/19 | 560 | 618,800 | ||||||||||||
5.75%, 10/15/20 | 1,000 | 1,032,500 | ||||||||||||
6.88%, 2/15/21 | 1,255 | 1,339,713 | ||||||||||||
Spirit Issuer Plc, 5.86%, 12/28/21 | GBP | 1,620 | 2,371,604 | |||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | USD | 562 | 652,623 | |||||||||||
27,368,661 | ||||||||||||||
Diversified Telecommunication Services — 2.8% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 671 | 731,390 | ||||||||||||
8.63%, 7/15/20 | 580 | 643,800 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 395 | 404,875 | ||||||||||||
Telecom Italia Capital SA, 4.95%, 9/30/14 | 4,375 | 4,528,125 | ||||||||||||
Verizon Communications, Inc. (e): | ||||||||||||||
3.50%, 11/01/21 | 500 | 525,624 | ||||||||||||
6.40%, 2/15/38 | 3,396 | 4,269,071 | ||||||||||||
Windstream Corp., 7.88%, 11/01/17 | 200 | 226,500 | ||||||||||||
11,329,385 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 87 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Electric Utilities — 6.5% | ||||||||||||||
The Cleveland Electric Illuminating Co.: | ||||||||||||||
8.88%, 11/15/18 | USD | 121 | $ | 161,303 | ||||||||||
5.95%, 12/15/36 | 217 | 246,849 | ||||||||||||
CMS Energy Corp., 5.05%, 3/15/22 | 917 | 1,031,912 | ||||||||||||
Duke Energy Carolinas LLC: | ||||||||||||||
6.10%, 6/01/37 | 325 | 410,905 | ||||||||||||
6.00%, 1/15/38 (e) | 850 | 1,091,140 | ||||||||||||
4.25%, 12/15/41 (e) | 375 | 393,690 | ||||||||||||
E.ON International Finance BV, 6.65%, 4/30/38 (a)(e) | 1,575 | 2,109,508 | ||||||||||||
Electricite de France SA, 5.60%, 1/27/40 (a)(e) | 1,400 | 1,582,339 | ||||||||||||
Florida Power Corp.: | ||||||||||||||
6.35%, 9/15/37 (e) | 1,450 | 1,908,913 | ||||||||||||
6.40%, 6/15/38 | 340 | 453,978 | ||||||||||||
Georgia Power Co., 3.00%, 4/15/16 (e) | 800 | 854,020 | ||||||||||||
Hydro-Quebec (e): | ||||||||||||||
9.40%, 2/01/21 | 390 | 582,362 | ||||||||||||
8.40%, 1/15/22 | 730 | 1,043,297 | ||||||||||||
8.05%, 7/07/24 | 1,900 | 2,773,230 | ||||||||||||
Jersey Central Power & Light Co., 7.35%, 2/01/19 | 245 | 313,698 | ||||||||||||
Nisource Finance Corp.: | ||||||||||||||
6.40%, 3/15/18 | 280 | 336,096 | ||||||||||||
5.25%, 2/15/43 | 500 | 530,513 | ||||||||||||
Ohio Power Co., Series D, 6.60%, 3/01/33 | 1,500 | 1,933,882 | ||||||||||||
PacifiCorp., 6.25%, 10/15/37 (e) | 650 | 870,443 | ||||||||||||
Public Service Co. of Colorado, 6.25%, 9/01/37 (e) | 1,350 | 1,819,403 | ||||||||||||
Southern California Edison Co. (e): | ||||||||||||||
5.63%, 2/01/36 | 675 | 837,566 | ||||||||||||
Series 08-A, 5.95%, 2/01/38 | 1,100 | 1,428,360 | ||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 1,000 | 1,333,358 | |||||||||||
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (e) | USD | 1,920 | 2,508,785 | |||||||||||
26,555,550 | ||||||||||||||
Electrical Equipment — 0.2% | ||||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 (a) | 580 | 616,250 | ||||||||||||
Energy Equipment & Services — 3.1% | ||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 565 | 567,825 | ||||||||||||
Ensco Plc: | ||||||||||||||
3.25%, 3/15/16 | 160 | 170,029 | ||||||||||||
4.70%, 3/15/21 | 1,745 | 1,952,852 | ||||||||||||
EOG Resources, Inc., 2.63%, 3/15/23 (e) | 1,898 | 1,882,588 | ||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 807 | 835,245 | ||||||||||||
Genesis Energy LP, 5.75%, 2/15/21 (a) | 238 | 246,330 | ||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (a) | 560 | 590,800 | ||||||||||||
Noble Holding International Ltd., 5.25%, 3/15/42 | 350 | 353,231 | ||||||||||||
Peabody Energy Corp.: | ||||||||||||||
6.00%, 11/15/18 | 430 | 456,875 | ||||||||||||
6.25%, 11/15/21 | 2,180 | 2,267,200 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 1,590 | 1,609,875 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 519 | 534,570 | ||||||||||||
Transocean, Inc.: | ||||||||||||||
5.05%, 12/15/16 | 850 | 946,873 | ||||||||||||
6.50%, 11/15/20 | 350 | 407,990 | ||||||||||||
12,822,283 | ||||||||||||||
Food Products — 1.4% | ||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | 335 | 381,063 | ||||||||||||
Kraft Foods Group, Inc.: | ||||||||||||||
5.38%, 2/10/20 | 1,570 | 1,874,520 | ||||||||||||
5.00%, 6/04/42 | 997 | 1,088,216 | ||||||||||||
Mondelez International, Inc. (FKA Kraft Foods, Inc.), 5.38%, 2/10/20 | 1,430 | 1,705,346 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 749 | 808,920 | ||||||||||||
5,858,065 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Gas Utilities — 0.2% | ||||||||||||||
CenterPoint Energy Resources Corp., 5.85%, 1/15/41 | USD | 700 | $ | 867,509 | ||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Boston Scientific Corp., 6.25%, 11/15/15 | 1,260 | 1,417,862 | ||||||||||||
DJO Finance LLC, 7.75%, 4/15/18 | 40 | 39,800 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 385 | 418,687 | ||||||||||||
1,876,349 | ||||||||||||||
Health Care Providers & Services — 4.4% | ||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 535 | 573,787 | ||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 400 | 420,500 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 494 | 683,638 | |||||||||||
HCA, Inc.: | ||||||||||||||
8.50%, 4/15/19 | USD | 17 | 18,828 | |||||||||||
6.50%, 2/15/20 | 1,895 | 2,122,400 | ||||||||||||
7.88%, 2/15/20 | 215 | 238,381 | ||||||||||||
7.25%, 9/15/20 | 907 | 1,006,770 | ||||||||||||
4.75%, 5/01/23 | 1,310 | 1,306,725 | ||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 550 | 566,500 | ||||||||||||
INC Research LLC, 11.50%, 7/15/19 (a) | 465 | 496,388 | ||||||||||||
inVentiv Health, Inc. (a): | ||||||||||||||
9.00%, 1/15/18 | 300 | 312,750 | ||||||||||||
11.00%, 8/15/18 | 40 | 34,700 | ||||||||||||
Omnicare, Inc., 7.75%, 6/01/20 | 805 | 893,550 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 455 | 475,475 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 660 | 730,950 | ||||||||||||
8.88%, 7/01/19 | 1,266 | 1,430,580 | ||||||||||||
4.50%, 4/01/21 (a) | 588 | 579,915 | ||||||||||||
UnitedHealth Group, Inc., 2.88%, 3/15/22 (e) | 2,000 | 2,019,720 | ||||||||||||
WellPoint, Inc., 4.65%, 1/15/43 (e) | 3,995 | 4,040,311 | ||||||||||||
17,951,868 | ||||||||||||||
Health Care Technology — 0.6% | ||||||||||||||
Amgen, Inc. (e): | ||||||||||||||
6.40%, 2/01/39 | 750 | 948,013 | ||||||||||||
5.15%, 11/15/41 | 1,500 | 1,642,570 | ||||||||||||
2,590,583 | ||||||||||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (a) | 398 | 393,025 | ||||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (a) | 180 | 178,875 | ||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 941 | 941,000 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 859 | 841,820 | ||||||||||||
The Unique Pub Finance Co. Plc: | ||||||||||||||
Series A3, 6.54%, 3/30/21 | GBP | 900 | 1,361,932 | |||||||||||
Series A4, 5.66%, 6/30/27 | 1,322 | 1,860,138 | ||||||||||||
Series N, 6.46%, 3/30/32 | 1,195 | 1,350,592 | ||||||||||||
6,927,382 | ||||||||||||||
Household Durables — 0.4% | ||||||||||||||
Standard Pacific Corp., 10.75%, 9/15/16 | USD | 1,000 | 1,245,000 | |||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 194 | 208,792 | ||||||||||||
1,453,792 | ||||||||||||||
Household Products — 0.2% | ||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 190 | 257,977 | |||||||||||
Spectrum Brands Escrow Corp. (a): | ||||||||||||||
6.38%, 11/15/20 | USD | 200 | 212,750 | |||||||||||
6.63%, 11/15/22 | 275 | 296,312 | ||||||||||||
767,039 | ||||||||||||||
Independent Power Producers & Energy Traders — 0.7% | ||||||||||||||
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20 | 1,955 | 2,218,925 | ||||||||||||
NRG Energy, Inc., 6.63%, 3/15/23 (a) | 435 | 463,275 | ||||||||||||
2,682,200 |
88 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Industrial Conglomerates — 0.0% | ||||||||||||||
Smiths Group Plc, 3.63%, 10/12/22 (a) | USD | 180 | $ | 178,797 | ||||||||||
Insurance — 4.7% | ||||||||||||||
Alliant Holdings I, Inc., 7.88%, 12/15/20 (a) | 608 | 611,040 | ||||||||||||
Allianz Finance II BV, 5.75%, 7/08/41 | EUR | 500 | 733,220 | |||||||||||
American International Group, Inc. (e): | ||||||||||||||
3.80%, 3/22/17 | USD | 5,580 | 6,058,747 | |||||||||||
5.45%, 5/18/17 | 800 | 917,591 | ||||||||||||
AXA SA, 5.25%, 4/16/40 | EUR | 250 | 338,835 | |||||||||||
Hartford Financial Services Group, Inc.: | ||||||||||||||
6.00%, 1/15/19 | USD | 345 | 407,716 | |||||||||||
5.13%, 4/15/22 | 930 | 1,071,440 | ||||||||||||
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) | 1,000 | 1,135,115 | ||||||||||||
Lincoln National Corp., 6.25%, 2/15/20 | 630 | 764,436 | ||||||||||||
Manulife Financial Corp., 3.40%, 9/17/15 | 1,625 | 1,710,265 | ||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (a)(e) | 775 | 819,711 | ||||||||||||
Montpelier Re Holdings Ltd., 4.70%, 10/15/22 | 450 | 453,858 | ||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 340 | 336,600 | ||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 200 | 302,077 | |||||||||||
Prudential Financial, Inc. (e): | ||||||||||||||
4.75%, 9/17/15 | USD | 1,220 | 1,335,510 | |||||||||||
7.38%, 6/15/19 | 300 | 384,628 | ||||||||||||
5.38%, 6/21/20 | 250 | 294,761 | ||||||||||||
4.50%, 11/15/20 | 400 | 448,291 | ||||||||||||
5.70%, 12/14/36 | 950 | 1,083,884 | ||||||||||||
19,207,725 | ||||||||||||||
Internet Software & Services — 0.0% | ||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | 87 | 87,000 | ||||||||||||
IT Services — 0.6% | ||||||||||||||
First Data Corp. (a): | ||||||||||||||
7.38%, 6/15/19 | 205 | 215,506 | ||||||||||||
8.88%, 8/15/20 | 1,000 | 1,105,000 | ||||||||||||
6.75%, 11/01/20 | 680 | 697,850 | ||||||||||||
8.25%, 1/15/21 | 30 | 30,675 | ||||||||||||
SunGard Data Systems, Inc., 7.38%, 11/15/18 | 490 | 526,138 | ||||||||||||
2,575,169 | ||||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Agilent Technologies, Inc., 3.20%, 10/01/22 | 250 | 249,831 | ||||||||||||
Machinery — 0.3% | ||||||||||||||
UR Merger Sub Corp.: | ||||||||||||||
7.38%, 5/15/20 | 495 | 542,025 | ||||||||||||
7.63%, 4/15/22 | 455 | 503,912 | ||||||||||||
1,045,937 | ||||||||||||||
Marine — 0.3% | ||||||||||||||
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(e) | 1,100 | 1,336,500 | ||||||||||||
Media — 7.1% | ||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 (e) | 730 | 554,800 | ||||||||||||
AMC Networks, Inc.: | ||||||||||||||
7.75%, 7/15/21 | 320 | 363,200 | ||||||||||||
4.75%, 12/15/22 | 343 | 341,714 | ||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 (a) | 175 | 175,875 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a) | 306 | 284,580 | ||||||||||||
Clear Channel Worldwide Holdings, Inc. (a): | ||||||||||||||
6.50%, 11/15/22 | 671 | 701,195 | ||||||||||||
6.50%, 11/15/22 | 1,814 | 1,909,235 | ||||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 | 2,000 | 3,033,746 | ||||||||||||
Cox Communications, Inc. (a): | ||||||||||||||
6.95%, 6/01/38 | 1,000 | 1,293,580 | ||||||||||||
8.38%, 3/01/39 | 1,735 | 2,562,126 | ||||||||||||
DIRECTV Holdings LLC: | ||||||||||||||
6.38%, 3/01/41 | 260 | 285,254 | ||||||||||||
5.15%, 3/15/42 | 2,100 | 2,021,063 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Intelsat Luxembourg SA: | ||||||||||||||
11.25%, 2/04/17 | USD | 750 | $ | 796,875 | ||||||||||
11.50%, 2/04/17 | 420 | 446,775 | ||||||||||||
NBC Universal Media LLC (e): | ||||||||||||||
5.15%, 4/30/20 | 1,974 | 2,343,325 | ||||||||||||
4.38%, 4/01/21 | 1,015 | 1,143,202 | ||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 1,800 | 1,966,500 | ||||||||||||
Omnicom Group, Inc., 3.63%, 5/01/22 | 2,355 | 2,398,544 | ||||||||||||
Time Warner Cable, Inc.: | ||||||||||||||
7.30%, 7/01/38 | 970 | 1,215,095 | ||||||||||||
5.88%, 11/15/40 | 460 | 494,080 | ||||||||||||
5.50%, 9/01/41 | 920 | 963,869 | ||||||||||||
Time Warner, Inc.: | ||||||||||||||
4.70%, 1/15/21 | 1,000 | 1,122,846 | ||||||||||||
6.10%, 7/15/40 | 615 | 719,519 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG, 5.50%, 1/15/23 (a) | 250 | 252,500 | ||||||||||||
Virgin Media Secured Finance Plc: | ||||||||||||||
6.50%, 1/15/18 | 330 | 352,275 | ||||||||||||
7.00%, 1/15/18 | GBP | 792 | 1,276,598 | |||||||||||
29,018,371 | ||||||||||||||
Metals & Mining — 4.3% | ||||||||||||||
Alcoa, Inc., 5.40%, 4/15/21 | USD | 1,450 | 1,523,909 | |||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | 395 | 445,856 | ||||||||||||
4.25%, 2/25/15 | 174 | 179,660 | ||||||||||||
4.25%, 8/05/15 | 234 | 242,270 | ||||||||||||
4.25%, 3/01/16 | 175 | 180,250 | ||||||||||||
5.00%, 2/25/17 | 245 | 254,923 | ||||||||||||
6.13%, 6/01/18 | 314 | 338,586 | ||||||||||||
6.75%, 2/25/22 (e) | 252 | 277,479 | ||||||||||||
Barrick Gold Corp., 2.90%, 5/30/16 | 1,685 | 1,770,254 | ||||||||||||
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(e) | 1,566 | 1,544,785 | ||||||||||||
Falconbridge Ltd., 6.20%, 6/15/35 | 1,550 | 1,688,632 | ||||||||||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||||||||||||
3.55%, 3/01/22 | 540 | 537,202 | ||||||||||||
5.45%, 3/15/43 (a) | 450 | 447,948 | ||||||||||||
New Gold, Inc. (a): | ||||||||||||||
7.00%, 4/15/20 | 105 | 113,400 | ||||||||||||
6.25%, 11/15/22 | 435 | 457,838 | ||||||||||||
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a) | 475 | 504,598 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 (e) | 4,105 | 4,597,600 | ||||||||||||
Teck Resources Ltd., 5.38%, 10/01/15 | 2,350 | 2,589,063 | ||||||||||||
17,694,253 | ||||||||||||||
Multiline Retail — 0.3% | ||||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 1,260 | 1,313,550 | ||||||||||||
Oil, Gas & Consumable Fuels — 11.3% | ||||||||||||||
Access Midstream Partners LP, 6.13%, 7/15/22 | 400 | 429,000 | ||||||||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 1,916 | 2,203,042 | ||||||||||||
BP Capital Markets Plc, 3.13%, 10/01/15 | 330 | 349,598 | ||||||||||||
Burlington Resources Finance Co., 7.40%, 12/01/31 (e) | 950 | 1,328,029 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 400 | 420,000 | ||||||||||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 750 | 988,233 | ||||||||||||
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 | 150 | 190,173 | ||||||||||||
CONSOL Energy, Inc.: | ||||||||||||||
8.00%, 4/01/17 | 514 | 558,975 | ||||||||||||
8.25%, 4/01/20 | 166 | 183,015 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 627 | 615,244 | ||||||||||||
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32 | 275 | 390,764 | ||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20 | 240 | 289,967 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 89 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Energy Transfer Partners LP, 6.50%, 2/01/42 | USD | 500 | $ | 577,145 | ||||||||||
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | 455 | 514,150 | ||||||||||||
Enterprise Products Operating LLC: | ||||||||||||||
4.05%, 2/15/22 | 1,250 | 1,359,645 | ||||||||||||
6.13%, 10/15/39 | 700 | 825,763 | ||||||||||||
5.95%, 2/01/41 | 500 | 585,478 | ||||||||||||
Series L, 6.30%, 9/15/17 | 600 | 723,800 | ||||||||||||
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(e) | 505 | 633,385 | ||||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||||
5.95%, 2/15/18 | 1,300 | 1,550,585 | ||||||||||||
6.50%, 9/01/39 | 3,000 | 3,627,495 | ||||||||||||
6.55%, 9/15/40 | 110 | 134,430 | ||||||||||||
6.38%, 3/01/41 | 160 | 192,734 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 110 | 123,750 | ||||||||||||
Linn Energy LLC, 6.25%, 11/01/19 (a) | 355 | 362,100 | ||||||||||||
Marathon Petroleum Corp., 6.50%, 3/01/41 | 1,052 | 1,321,916 | ||||||||||||
MarkWest Energy Partners LP, 4.50%, 7/15/23 | 206 | 201,365 | ||||||||||||
MidAmerican Energy Co., 5.80%, 10/15/36 | 800 | 1,003,350 | ||||||||||||
MidAmerican Energy Holdings Co.: | ||||||||||||||
5.95%, 5/15/37 | 950 | 1,174,681 | ||||||||||||
6.50%, 9/15/37 | 2,115 | 2,774,231 | ||||||||||||
Newfield Exploration Co., 5.63%, 7/01/24 | 710 | 741,950 | ||||||||||||
Nexen, Inc.: | ||||||||||||||
6.40%, 5/15/37 | 400 | 506,599 | ||||||||||||
7.50%, 7/30/39 | 670 | 960,180 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 163 | 177,670 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (a) | 110 | 119,625 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (a) | 300 | 317,250 | ||||||||||||
Petrobras International Finance Co.: | ||||||||||||||
3.88%, 1/27/16 | 1,335 | 1,395,514 | ||||||||||||
5.75%, 1/20/20 | 1,760 | 1,953,714 | ||||||||||||
Pioneer Natural Resources Co., 3.95%, 7/15/22 | 350 | 364,750 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 950 | 1,094,875 | ||||||||||||
Premier Oil Plc, 5.00%, 6/09/18 | 1,900 | 1,992,625 | ||||||||||||
Range Resources Corp., 5.75%, 6/01/21 | 941 | 1,002,165 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (a) | 2,250 | 2,323,125 | ||||||||||||
Sabine Pass Liquified Natural Gas LP: | ||||||||||||||
7.50%, 11/30/16 | 1,120 | 1,237,600 | ||||||||||||
6.50%, 11/01/20 (a) | 475 | 501,125 | ||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 367 | 384,433 | ||||||||||||
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17 | 1,030 | 1,266,257 | ||||||||||||
Tesoro Corp., 5.38%, 10/01/22 | 360 | 374,400 | ||||||||||||
Western Gas Partners LP: | ||||||||||||||
5.38%, 6/01/21 | 715 | 808,358 | ||||||||||||
4.00%, 7/01/22 | �� | 200 | 207,069 | |||||||||||
The Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 2,500 | 3,077,585 | ||||||||||||
46,438,912 | ||||||||||||||
Paper & Forest Products — 0.5% | ||||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 1,000 | 1,082,500 | ||||||||||||
International Paper Co.: | ||||||||||||||
7.50%, 8/15/21 | 75 | 97,868 | ||||||||||||
4.75%, 2/15/22 | 420 | 471,176 | ||||||||||||
6.00%, 11/15/41 | 435 | 507,082 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (d)(g) | 1,146 | — | ||||||||||||
2,158,626 | ||||||||||||||
Pharmaceuticals — 0.4% | ||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) | EUR | 200 | 293,748 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 520 | 596,700 | |||||||||||
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a) | 575 | 618,844 | ||||||||||||
1,509,292 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | ||||||||||||||
Felcor Lodging LP, 5.63%, 3/01/23 (a) | USD | 247 | $ | 248,544 | ||||||||||
Simon Property Group LP, 4.75%, 3/15/42 | 835 | 885,314 | ||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 | 275 | 304,264 | ||||||||||||
Vornado Realty LP, 5.00%, 1/15/22 | 1,190 | 1,321,299 | ||||||||||||
2,759,421 | ||||||||||||||
Real Estate Management & Development — 0.8% | ||||||||||||||
Lennar Corp., 4.75%, 11/15/22 (a) | 440 | 425,150 | ||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (a) | 390 | 388,538 | ||||||||||||
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 | GBP | 704 | 1,076,013 | |||||||||||
Realogy Corp. (a)(e): | ||||||||||||||
7.88%, 2/15/19 | USD | 369 | 401,287 | |||||||||||
7.63%, 1/15/20 | 520 | 586,300 | ||||||||||||
WEA Finance LLC, 4.63%, 5/10/21 (a) | 305 | 338,649 | ||||||||||||
3,215,937 | ||||||||||||||
Road & Rail — 0.7% | ||||||||||||||
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 | �� | 940 | 1,135,144 | |||||||||||
The Hertz Corp., 7.38%, 1/15/21 | 1,450 | 1,598,625 | ||||||||||||
2,733,769 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) | 470 | 480,575 | ||||||||||||
Spansion LLC, 7.88%, 11/15/17 | 390 | 411,450 | ||||||||||||
892,025 | ||||||||||||||
Software — 0.5% | ||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (a) | 598 | 584,545 | ||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 555 | 561,938 | ||||||||||||
Oracle Corp., 5.38%, 7/15/40 (e) | 800 | 965,591 | ||||||||||||
2,112,074 | ||||||||||||||
Specialty Retail — 0.4% | ||||||||||||||
The Home Depot, Inc., 5.88%, 12/16/36 (e) | 830 | 1,052,685 | ||||||||||||
QVC, Inc. (a): | ||||||||||||||
7.50%, 10/01/19 | 395 | 435,958 | ||||||||||||
7.38%, 10/15/20 | 275 | 304,821 | ||||||||||||
5.13%, 7/02/22 | 35 | 37,009 | ||||||||||||
1,830,473 | ||||||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||||||
PVH Corp., 4.50%, 12/15/22 | 487 | 480,304 | ||||||||||||
Thrifts & Mortgage Finance — 0.3% | ||||||||||||||
Radian Group, Inc., 5.38%, 6/15/15 | 1,400 | 1,400,000 | ||||||||||||
Tobacco — 1.2% | ||||||||||||||
Altria Group, Inc.: | ||||||||||||||
9.95%, 11/10/38 | 800 | 1,330,455 | ||||||||||||
10.20%, 2/06/39 | 1,389 | 2,354,340 | ||||||||||||
Reynolds American, Inc., 4.75%, 11/01/42 | 1,050 | 1,027,370 | ||||||||||||
4,712,165 | ||||||||||||||
Wireless Telecommunication Services — 2.3% | ||||||||||||||
America Movil SAB de CV, 2.38%, 9/08/16 (e) | 800 | 828,339 | ||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (a) | 465 | 476,625 | ||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) | 1,595 | 1,936,931 | ||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 405 | 431,933 | ||||||||||||
Digicel Ltd. (a): | ||||||||||||||
8.25%, 9/01/17 | 150 | 158,250 | ||||||||||||
6.00%, 4/15/21 (c) | 495 | 493,763 | ||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 660 | 690,525 | ||||||||||||
Rogers Communications, Inc., 7.50%, 8/15/38 | 1,175 | 1,625,557 | ||||||||||||
SBA Tower Trust, 5.10%, 4/15/42 (a) | 360 | 403,894 | ||||||||||||
Sprint Capital Corp.: | ||||||||||||||
6.88%, 11/15/28 | 490 | 494,900 | ||||||||||||
8.75%, 3/15/32 | 350 | 411,250 |
90 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services (concluded) | |||||||||||||||
Sprint Nextel Corp. (a): | |||||||||||||||
9.00%, 11/15/18 | USD | 530 | $ | 657,200 | |||||||||||
7.00%, 3/01/20 | 770 | 900,900 | |||||||||||||
9,510,067 | |||||||||||||||
Total Corporate Bonds — 83.2% | 340,394,630 | ||||||||||||||
Foreign Agency Obligations — 0.1% | |||||||||||||||
Italy Government International Bond, 5.38%, 6/15/33 | 470 | 477,962 | |||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.4% | |||||||||||||||
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37 | 953 | 860,374 | |||||||||||||
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18 | — | (i) | 34 | ||||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 1,429 | 1,260,516 | |||||||||||||
Series 2006-OA21, Class A1, 0.39%, 3/20/47 (b) | 815 | 554,339 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2006-OA5, Class 2A1, 0.40%, 4/25/46 (b) | 319 | 215,021 | |||||||||||||
Series 2007-10, Class A22, 6.00%, 7/25/37 | 528 | 471,869 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b) | 1,214 | 1,195,825 | |||||||||||||
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.20%, 6/19/35 (b) | 907 | 920,155 | |||||||||||||
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.38%, 12/25/36 (b) | 567 | 460,456 | |||||||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | 771 | 658,968 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.97%, 5/25/36 (b) | 637 | 507,982 | |||||||||||||
Monastery BV, Series 2004-I, Class A2, 0.52%, 3/17/37 (b) | EUR | 957 | 1,070,896 | ||||||||||||
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 | USD | 1,140 | 1,203,093 | ||||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.94%, 5/25/47 (b) | 352 | 298,791 | |||||||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 | 46 | 45,447 | |||||||||||||
9,723,766 | |||||||||||||||
Commercial Mortgage-Backed Securities — 12.7% | |||||||||||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc.: | |||||||||||||||
Series 2006-6, Class A2, 5.31%, 10/10/45 | 1,351 | 1,402,116 | |||||||||||||
Series 2007-1, Class A4, 5.45%, 1/15/49 | 500 | 570,794 | |||||||||||||
Series 2007-2, Class A4, 5.63%, 4/10/49 (b) | 750 | 868,175 | |||||||||||||
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 | 800 | 867,762 | |||||||||||||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.06%, 12/10/49 (b) | 1,200 | 1,424,825 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 1,100 | 1,236,152 | |||||||||||||
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.01%, 12/10/49 (b) | 1,515 | 1,776,592 |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
Commercial Mortgage Pass-Through Certificates: | |||||||||||||||
Series 2006-C7, Class AM, 5.77%, 6/10/46 (b) | USD | 1,750 | $ | 1,924,666 | |||||||||||
Series 2013-LC6, Class B, 3.74%, 1/10/46 | 695 | 715,320 | |||||||||||||
Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b) | 835 | 762,006 | |||||||||||||
Credit Suisse Mortgage Capital Certificates: | |||||||||||||||
Series 2006-C3, Class AM, 5.80%, 6/15/38 (b) | 1,000 | 1,098,945 | |||||||||||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,750 | 1,925,779 | |||||||||||||
Series 2010-RR2, Class 2A, 5.76%, 9/15/39 (a)(b) | 1,010 | 1,159,595 | |||||||||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | 705 | 730,171 | |||||||||||||
DBRR Trust, Series 2011-C32, Class A3A, 5.74%, 6/17/49 (a)(b) | 365 | 417,394 | |||||||||||||
GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41 | 456 | 457,723 | |||||||||||||
Greenwich Capital Commercial Funding Corp.: | |||||||||||||||
Series 2006-GG7, Class A4, 5.86%, 7/10/38 (b) | 1,169 | 1,322,739 | |||||||||||||
Series 2007-GG9, Class A4, 5.44%, 3/10/39 | 2,165 | 2,466,703 | |||||||||||||
GS Mortgage Securities Corp. II: | |||||||||||||||
Series 2007-GG10, Class A4, 5.79%, 8/10/45 (b) | 430 | 491,372 | |||||||||||||
Series 2013-GC10, Class B, 3.68%, 2/10/46 (a) | 1,255 | 1,290,985 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 820 | 859,954 | |||||||||||||
Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b) | 330 | 356,979 | |||||||||||||
Series 2006-CB16, Class AJ, 5.62%, 5/12/45 | 720 | 684,813 | |||||||||||||
LB-UBS Commercial Mortgage Trust (b): | |||||||||||||||
Series 2004-C4, Class A3, 5.39%, 6/15/29 | 342 | 349,047 | |||||||||||||
Series 2004-C8, Class C, 4.93%, 12/15/39 | 1,385 | 1,456,181 | |||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 5,225 | 6,051,997 | |||||||||||||
Series 2007-C7, Class A3, 5.87%, 9/15/45 | 1,460 | 1,685,532 | |||||||||||||
Morgan Stanley Capital I Trust (b): | |||||||||||||||
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 | 4,000 | 4,577,876 | |||||||||||||
Series 2007-XLC1, Class A2, 0.56%, 7/17/17 | 127 | 122,056 | |||||||||||||
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a) | 600 | 605,727 | |||||||||||||
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a) | 984 | 985,517 | |||||||||||||
Titan Europe Plc, Series 2007-1X, Class A, 0.76%, 1/20/17 (b) | GBP | 1,607 | 2,048,313 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust: | |||||||||||||||
Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,203 | 4,247,948 | ||||||||||||
Series 2007-C33, Class A4, 5.92%, 2/15/51 (b) | 2,285 | 2,637,290 | |||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | 700 | 758,769 | |||||||||||||
Series 2012-C8, Class C, 4.88%, 8/15/45 (b) | 900 | 984,305 | |||||||||||||
Series 2013-C11, Class D, 4.19%, 3/15/45 (a)(b) | 800 | 764,750 | |||||||||||||
52,086,868 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.0% | |||||||||||||||
GSMPS Mortgage Loan Trust, Series 1998-5, 0.01%, 6/19/27 (a)(b) | 1,920 | 39,254 | |||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.4% | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 1.93%, 8/15/45 (a)(b) | 15,886 | 1,784,893 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.69%, 3/15/45 (a)(b) | 9,551 | 1,395,889 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 91 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Interest Only Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
WF-RBS Commercial Mortgage Trust, Class XA (a)(b): | |||||||||||||||
Series 2012-C8, 2.25%, 8/15/45 | USD | 6,079 | $ | 826,603 | |||||||||||
Series 2012-C9, 2.28%, 11/15/45 | 10,812 | 1,548,255 | |||||||||||||
5,555,640 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 16.5% | 67,405,528 | ||||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | |||||||||||||||
Capital Markets — 0.0% | |||||||||||||||
State Street Capital Trust IV, 1.31%, 6/01/67 (b) | 70 | 56,175 | |||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) | 505 | 505,631 | |||||||||||||
Diversified Financial Services — 1.0% | |||||||||||||||
JPMorgan Chase & Co., Series 1, 7.90% (b)(j) | 3,500 | 4,036,718 | |||||||||||||
Electric Utilities — 0.5% | |||||||||||||||
Electricite de France SA, 5.25% (a)(b)(j) | 2,100 | 2,067,450 | |||||||||||||
Insurance — 2.4% | |||||||||||||||
The Allstate Corp., 6.50%, 5/15/67 (b) | 2,150 | 2,322,000 | |||||||||||||
American International Group, Inc., 8.18%, 5/15/68 (b) | 195 | 257,644 | |||||||||||||
Lincoln National Corp., 6.05%, 4/20/67 (b) | 750 | 757,500 | |||||||||||||
MetLife Capital Trust IV, 7.88%, 12/15/67 (a) | 645 | 796,575 | |||||||||||||
MetLife, Inc., 6.40%, 12/15/66 | 3,500 | 3,783,790 | |||||||||||||
Swiss Re Capital I LP, 6.85% (a)(b)(j) | 1,060 | 1,120,950 | |||||||||||||
XL Group Plc, Series E, 6.50% (b)(j) | 810 | 789,750 | |||||||||||||
9,828,209 | |||||||||||||||
Total Capital Trusts — 4.0% | 16,494,183 | ||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Commercial Banks — 1.0% | |||||||||||||||
US Bancorp, Series G, 6.00% (b) | 150,000 | 4,057,500 | |||||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||||||
Fannie Mae (b)(d): | |||||||||||||||
Series O, 7.00% | 40,000 | 154,000 | |||||||||||||
Series S, 7.75% | 10,000 | 20,400 | |||||||||||||
174,400 | |||||||||||||||
Total Preferred Stocks — 1.1% | 4,231,900 | ||||||||||||||
Trust Preferreds | |||||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Citigroup Capital XIII, 7.88%, 10/30/40 (b) | 14,810 | 415,953 | |||||||||||||
Total Preferred Securities — 5.2% | 21,142,036 | ||||||||||||||
Taxable Municipal Bonds | Par (000) | ||||||||||||||
City of Detroit Michigan, GO, Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 | USD | 1,525 | 1,454,347 | ||||||||||||
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35 | 1,000 | 1,233,940 | |||||||||||||
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40 | 950 | 1,245,697 | |||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40 | 1,260 | 1,645,862 | |||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 | 670 | 986,957 |
Taxable Municipal Bonds | Par (000) | Value | |||||||||||||
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57 | USD | 1,000 | $ | 1,144,870 | |||||||||||
New York City Municipal Water Finance Authority, Refunding RB, Second General Resolution: | |||||||||||||||
Series EE, 5.38%, 6/15/43 | 385 | 449,618 | |||||||||||||
Series EE, 5.50%, 6/15/43 | 465 | 547,500 | |||||||||||||
Series GG, Build America Bonds, 5.72%, 6/15/42 | 690 | 895,572 | |||||||||||||
New York State Dormitory Authority, RB, Build America Bonds: | |||||||||||||||
5.63%, 3/15/39 | 550 | 668,624 | |||||||||||||
5.60%, 3/15/40 | 950 | 1,188,821 | |||||||||||||
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29 | 395 | 507,338 | |||||||||||||
State of California, GO, Build America Bonds: | |||||||||||||||
7.63%, 3/01/40 | 860 | 1,252,968 | |||||||||||||
Various Purpose, 7.55%, 4/01/39 | 140 | 203,202 | |||||||||||||
State of Illinois, GO, Pension Funding, 5.10%, 6/01/33 | 1,000 | 991,140 | |||||||||||||
University of California, RB, Build America Bonds, 5.95%, 5/15/45 | 440 | 537,693 | |||||||||||||
Total Taxable Municipal Bonds — 3.6% | 14,954,149 | ||||||||||||||
US Government Sponsored Agency Securities | |||||||||||||||
Agency Obligations — 4.0% | |||||||||||||||
Fannie Mae (e): | |||||||||||||||
1.94%, 10/09/19 (k) | 7,305 | 6,432,725 | |||||||||||||
5.63%, 7/15/37 | 825 | 1,155,230 | |||||||||||||
Federal Home Loan Bank (e): | |||||||||||||||
5.25%, 12/09/22 | 700 | 902,703 | |||||||||||||
5.37%, 9/09/24 | 1,100 | 1,422,983 | |||||||||||||
Resolution Funding Corp., 3.15%, 4/15/30 (k) | 6,055 | 3,542,986 | |||||||||||||
Tennessee Valley Authority, 5.25%, 9/15/39 (e) | 2,405 | 3,090,158 | |||||||||||||
16,546,785 | |||||||||||||||
Collateralized Mortgage Obligations — 0.2% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 1991-46, Class S, 2,468.91%, 5/25/21 (b) | — | (i) | 2,522 | ||||||||||||
Series 1991-87, Class S, 26.10%, 8/25/21 (b) | 17 | 27,676 | |||||||||||||
Series 2005-5, Class PK, 5.00%, 12/25/34 | 506 | 542,884 | |||||||||||||
Series G-7, Class S, 1,119.90%, 3/25/21 (b) | — | (i) | 1,377 | ||||||||||||
Series G-17, Class S, 1,058.38%, 6/25/21 (b) | — | (i) | 1,747 | ||||||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 | — | (i) | 1,675 | ||||||||||||
Series G-49, Class S, 1,012.05%, 12/25/21 (b) | — | (i) | 696 | ||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 19, Class R, 16,196.33%, 3/15/20 (b) | — | (i) | 398 | ||||||||||||
Series 75, Class R, 9.50%, 1/15/21 | — | (i) | 1 | ||||||||||||
Series 75, Class RS, 29.91%, 1/15/21 (b) | — | (i) | 1 | ||||||||||||
Series 173, Class R, 9.00%, 11/15/21 | — | (i) | 4 | ||||||||||||
Series 173, Class RS, 9.37%, 11/15/21 (b) | — | (i) | 4 | ||||||||||||
Series 192, Class U, 1,009.03%, 2/15/22 (b) | — | (i) | — | ||||||||||||
Series 1057, Class J, 1,008.00%, 3/15/21 | — | (i) | 567 | ||||||||||||
579,552 | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.7% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (a)(b): | |||||||||||||||
Series 2012-K706, Class C, 4.02%, 11/25/44 | 170 | 172,682 | |||||||||||||
Series 2013-K024, Class B, 3.50%, 11/25/45 | 1,750 | 1,742,442 | |||||||||||||
Series K013, Class A2, 3.97%, 1/25/21 (b) | 930 | 1,051,807 | |||||||||||||
2,966,931 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 2.7% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 7, Class 2, 8.50%, 4/01/17 | 1 | 183 | |||||||||||||
Series 89, Class 2, 8.00%, 10/01/18 | 2 | 257 |
92 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Interest Only Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Fannie Mae Mortgage-Backed Securities (concluded): | |||||||||||||||
Series 94, Class 2, 9.50%, 8/01/21 | USD | 1 | $ | 183 | |||||||||||
Series 1990-123, Class M, 1,009.50%, 10/25/20 | — | (i) | 185 | ||||||||||||
Series 1990-136, Class S, 19.86%, 11/25/20 (b) | 5 | 6,754 | |||||||||||||
Series 1991-99, Class L, 930.00%, 8/25/21 | — | (i) | 754 | ||||||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 | — | (i) | 1,303 | ||||||||||||
Series 1997-50, Class SI, 1.20%, 4/25/23 (b) | 128 | 4,280 | |||||||||||||
Series 2010-126, Class UI, 5.50%, 10/25/40 | 5,307 | 780,225 | |||||||||||||
Series 2012-47, Class NI, 4.50%, 4/25/42 | 5,734 | 883,068 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 8,614 | 964,772 | |||||||||||||
Series 2012-M9, Class X1, 4.08%, 12/25/17 (b) | 13,393 | 2,167,401 | |||||||||||||
Series G-10, Class S, 1,083.41%, 5/25/21 (b) | — | (i) | 5,432 | ||||||||||||
Series G-12, Class S, 1,150.07%, 5/25/21 (b) | — | (i) | 3,269 | ||||||||||||
Series G92-5, Class H, 9.00%, 1/25/22 | 21 | 2,513 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 176, Class M, 1,010.00%, 7/15/21 | — | (i) | 232 | ||||||||||||
Series 200, Class R, 196,091.09%, 12/15/22 (b) | — | (i) | 489 | ||||||||||||
Series 1043, Class H, 43.88%, 2/15/21 (b) | 3 | 6,665 | |||||||||||||
Series 1054, Class I, 859.64%, 3/15/21 (b) | — | (i) | 520 | ||||||||||||
Series 1056, Class KD, 1,084.50%, 3/15/21 | — | (i) | 493 | ||||||||||||
Series 1148, Class E, 1,167.37%, 10/15/21 (b) | — | (i) | 1,315 | ||||||||||||
Series 1254, Class Z, 8.50%, 4/15/22 | 46 | 9,428 | |||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | 1,324 | 148,903 | |||||||||||||
Series K021, Class X1, 1.51%, 6/25/22 (b) | 7,061 | 786,084 | |||||||||||||
Series K707, Class X1, 1.56%, 12/25/18 (b) | 2,517 | 196,239 | |||||||||||||
Series K710, Class X1, 1.78%, 5/25/19 (b) | 8,657 | 815,881 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities (b): | |||||||||||||||
Series 2009-78, Class SD, 6.00%, 9/20/32 | 6,783 | 1,267,118 | |||||||||||||
Series 2011-52, Class NS, 6.47%, 4/16/41 | 18,743 | 3,117,804 | |||||||||||||
11,171,750 | |||||||||||||||
Mortgage-Backed Securities — 11.4% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 3/15/43–4/15/43 (l) | 24,700 | 25,549,906 | |||||||||||||
3.50%, 3/01/42 (e) | 1,218 | 1,290,183 | |||||||||||||
4.00%, 12/01/41 (e) | 3,962 | 4,228,886 | |||||||||||||
4.50%, 7/01/41 (e) | 5,361 | 5,793,808 | |||||||||||||
5.00%, 8/01/34 (e) | 3,797 | 4,142,906 | |||||||||||||
5.50%, 12/01/13–6/01/38 (e) | 2,644 | 2,896,294 | |||||||||||||
6.00%, 3/01/16–12/01/38 (e) | 2,347 | 2,572,571 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities, 8.00%, 7/15/24 | — | (i) | 343 | ||||||||||||
46,474,897 | |||||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 203, Class 1, 2/01/23 | 7 | 6,030 | |||||||||||||
Series 228, Class 1, 6/01/23 | 5 | 4,959 | |||||||||||||
Series 1993-51, Class E, 2/25/23 | 23 | 19,621 | |||||||||||||
Series 1993-70, Class A, 5/25/23 | 3 | 3,226 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, Series 1739, Class B, 2/15/24 | — | (i) | 1 | ||||||||||||
33,837 | |||||||||||||||
Total US Government Sponsored Agency Securities — 19.0% | 77,773,752 |
US Treasury Obligations | Par (000) | Value | |||||||||||||
US Treasury Bonds (e): | |||||||||||||||
6.25%, 8/15/23 | USD | 4,355 | $ | 6,163,004 | |||||||||||
5.38%, 2/15/31 | 375 | 521,895 | |||||||||||||
3.50%, 2/15/39 | 2,865 | 3,132,700 | |||||||||||||
4.25%, 5/15/39 | 2,770 | 3,422,249 | |||||||||||||
4.38%, 5/15/40 | 8,225 | 10,367,358 | |||||||||||||
4.75%, 2/15/41 | 1,621 | 2,164,541 | |||||||||||||
4.38%, 5/15/41 | 805 | 1,015,306 | |||||||||||||
3.13%, 11/15/41 | 9,925 | 10,035,108 | |||||||||||||
3.13%, 2/15/42 | 2,368 | 2,391,680 | |||||||||||||
3.00%, 5/15/42 | 2,730 | 2,685,637 | |||||||||||||
US Treasury Notes (e): | |||||||||||||||
2.00%, 2/15/22 | 1,937 | 1,984,972 | |||||||||||||
1.75%, 5/15/22 | 152 | 151,857 | |||||||||||||
Total US Treasury Obligations — 10.8% | 44,036,307 | ||||||||||||||
Warrants (m) | Shares | ||||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 101 | — | |||||||||||||
Total Long-Term Investments (Cost — $560,412,372) — 146.3% | 598,530,900 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $1,733,466) — 0.3% | 1,320,456 | ||||||||||||||
Total Investments Before TBA Sale Commitments and Options Written (Cost — $562,145,838) — 146.6% | 599,851,356 | ||||||||||||||
TBA Sale Commitments (l) | Par (000) | ||||||||||||||
Fannie Mae Mortgage-Backed Securities, 3.00%, 3/15/43 | USD | 8,400 | (8,696,625 | ) | |||||||||||
Total TBA Sale Commitments (Proceeds — $8,690,719) — (2.1)% | (8,696,625 | ) | |||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $3,446,468) — (0.7)% | (2,733,396 | ) | |||||||||||||
Total Investments, Net of TBA Sale Commitments and Options Written — 143.8% | 588,421,335 | ||||||||||||||
Liabilities in Excess of Other Assets — (43.8)% | (179,216,638 | ) | |||||||||||||
Net Assets — 100.0% | $ | 409,204,697 |
Notes to Schedule of Investments
(a) | 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. | |||
(b) | Variable rate security. Rate shown is as of report date. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 93 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
(c) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Depreciation | ||||||
Deutsche Bank Securities, Inc. | $ | 487,800 | — | |||||||
JPMorgan Chase & Co. | $ | 493,750 | — | |||||||
JPMorgan Chase & Co. | $ | 486,500 | — | |||||||
Citigroup Global Markets | $ | 493,763 | $ | (1,238 | ) | |||||
Bank of New York Mellon | $ | 484,250 | — | |||||||
Goldman Sachs & Co. | $ | 490,510 | — |
(d) | Non-income producing security. | |||
(e) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. | |||
(f) | Convertible security. | |||
(g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(h) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||
(i) | Amount is less than $500. | |||
(j) | Security is perpetual in nature and has no stated maturity date. | |||
(k) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(l) | Represents or includes a TBA transaction. Unsettled TBA transactions as of February 28, 2013 were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Goldman Sachs Group, Inc. | $ | 16,875,594 | $ | 53,484 | ||||||
Deutsche Bank AG | $ | (22,313 | ) | $ | (984 | ) |
(m) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
• | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,343,014 | (1,343,014) | — | $960 | $26 |
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
94 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Reverse repurchase agreements outstanding as of February 28, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||
BNP Paribas SA | 0.17% | 5/09/12 | Open | $ | 2,212,665 | $ | 2,215,758 | |||||||||
BNP Paribas SA | 0.18% | 5/09/12 | Open | 1,045,494 | 1,047,041 | |||||||||||
BNP Paribas SA | 0.20% | 6/26/12 | Open | 1,214,812 | 1,216,486 | |||||||||||
BNP Paribas SA | 0.32% | 7/02/12 | Open | 2,979,000 | 2,987,029 | |||||||||||
BNP Paribas SA | 0.27% | 7/24/12 | Open | 573,750 | 574,697 | |||||||||||
Barclays Plc | 0.35% | 8/09/12 | Open | 3,435,469 | 3,442,282 | |||||||||||
Barclays Plc | 0.35% | 8/21/12 | Open | 1,290,812 | 1,293,222 | |||||||||||
BNP Paribas SA | 0.11% | 8/21/12 | Open | 2,791,425 | 2,793,063 | |||||||||||
Credit Suisse Group AG | 0.25% | 9/06/12 | Open | 2,019,322 | 2,021,791 | |||||||||||
Barclays Plc | 0.35% | 9/18/12 | Open | 3,357,563 | 3,362,916 | |||||||||||
Bank of America Merrill Lynch | 0.28% | 10/16/12 | Open | 3,276,844 | 3,280,310 | |||||||||||
Deutsche Bank AG | (0.63)% | 10/24/12 | Open | 340,864 | 340,106 | |||||||||||
Bank of America Merrill Lynch | 0.21% | 12/10/12 | Open | 10,032,532 | 10,037,271 | |||||||||||
Bank of America Merrill Lynch | 0.24% | 12/10/12 | Open | 7,361,419 | 7,365,394 | |||||||||||
Credit Suisse Group AG | 0.37% | 12/18/12 | Open | 37,319,578 | 37,346,402 | |||||||||||
BNP Paribas SA | 0.34% | 1/09/13 | Open | 1,969,000 | 1,969,948 | |||||||||||
BNP Paribas SA | 0.35% | 1/11/13 | Open | 4,760,000 | 4,762,268 | |||||||||||
Credit Suisse Group AG | 0.35% | 1/14/13 | Open | 2,160,813 | 2,161,779 | |||||||||||
UBS AG | (0.50)% | 1/16/13 | Open | 496,600 | 496,297 | |||||||||||
UBS AG | 0.28% | 1/16/13 | Open | 3,553,388 | 3,554,604 | |||||||||||
UBS AG | 0.32% | 1/16/13 | Open | 8,469,687 | 8,473,002 | |||||||||||
UBS AG | 0.33% | 1/16/13 | Open | 2,720,150 | 2,721,247 | |||||||||||
UBS AG | 0.34% | 1/16/13 | Open | 11,910,655 | 11,915,603 | |||||||||||
UBS AG | 0.35% | 1/16/13 | Open | 1,962,500 | 1,963,340 | |||||||||||
BNP Paribas SA | 0.35% | 1/22/13 | Open | 883,000 | 883,326 | |||||||||||
Credit Suisse Group AG | 0.35% | 2/01/13 | Open | 3,730,860 | 3,731,875 | |||||||||||
Deutsche Bank AG | (0.75)% | 2/07/13 | Open | 257,040 | 256,922 | |||||||||||
Barclays Plc | 0.35% | 2/08/13 | Open | 1,579,969 | 1,580,291 | |||||||||||
BNP Paribas SA | 0.32% | 2/08/13 | Open | 2,889,000 | 2,889,539 | |||||||||||
Credit Suisse Group AG | 0.12% | 2/08/13 | Open | 3,012,263 | 3,012,473 | |||||||||||
Deutsche Bank AG | 0.16% | 2/08/13 | Open | 1,406,625 | 1,406,756 | |||||||||||
Bank of America Merrill Lynch | 0.15% | 2/08/13 | Open | 12,767,020 | 12,768,137 | |||||||||||
HSBC Holdings Plc | 0.27% | 2/12/13 | Open | 20,108,887 | 20,111,451 | |||||||||||
BNP Paribas SA | 0.15% | 2/14/13 | Open | 9,937,406 | 9,938,027 | |||||||||||
BNP Paribas SA | 0.33% | 2/14/13 | Open | 1,020,000 | 1,020,140 | |||||||||||
UBS AG | 0.34% | 2/14/13 | Open | 1,903,625 | 1,903,894 | |||||||||||
BNP Paribas SA | 0.20% | 2/20/13 | Open | 150,670 | 150,678 | |||||||||||
BNP Paribas SA | 0.34% | 2/28/13 | Open | 3,367,000 | 3,367,032 | |||||||||||
Barclays Plc | (0.50)% | 3/05/13 | Open | 534,725 | 534,718 | |||||||||||
Total | $ | 180,802,432 | $ | 180,897,115 | ||||||||||||
�� |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 95 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Purchased (Sold) | Issue | | Exchange | | Expiration | | Notional Value | Unrealized Appreciation (Depreciation) | ||||
373 | 30-Year US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 53,630,406 | $ | 12,383 | |||||
74 | Ultra Long US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 11,692,000 | (65,833) | ||||||
296 | 90-Day Euro-Dollar | Chicago Mercantile | March 2015 | USD | 73,544,900 | 28,287 | ||||||
349 | 90-Day Euro-Dollar | Chicago Mercantile | March 2016 | USD | 86,320,788 | 25,076 | ||||||
(15) | 90-Day Euro-Dollar | Chicago Mercantile | March 2013 | USD | 3,738,938 | (6,038) | ||||||
(57) | 2-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 12,566,719 | (6,659) | ||||||
(5) | 5-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 619,922 | (1,119) | ||||||
(608) | 10-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 79,980,500 | (281,165) | ||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | June 2013 | USD | 2,990,700 | (3,780) | ||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | September 2013 | USD | 2,990,100 | (7,059) | ||||||
(16) | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | USD | 3,985,800 | (13,342) | ||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | USD | 2,988,600 | (9,354) | ||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | June 2014 | USD | 2,240,550 | (5,348) | ||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | September 2014 | USD | 2,239,425 | (8,900) | ||||||
(9) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 2,237,850 | (9,848) | ||||||
(44) | 90-Day Euro-Dollar | Chicago Mercantile | June 2015 | USD | 10,923,000 | (57,494) | ||||||
(284) | 90-Day Euro-Dollar | Chicago Mercantile | September 2015 | USD | 70,432,000 | (29,657) | ||||||
(44) | 90-Day Euro-Dollar | Chicago Mercantile | December 2015 | USD | 10,898,250 | (69,971) | ||||||
(349) | 90-Day Euro-Dollar | Chicago Mercantile | September 2016 | USD | 86,037,225 | (2,617) | ||||||
Total | $ | (512,438) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | ||||||
GBP | 415,000 | USD | 652,749 | State Street Corp. | 4/17/13 | $ | (23,321 | ) | ||||
USD | 855,844 | EUR | 650,000 | BNP Paribas SA | 4/17/13 | 6,964 | ||||||
USD | 1,800,870 | GBP | 1,180,000 | BNP Paribas SA | 4/17/13 | 11,169 | ||||||
USD | 425,255 | GBP | 268,236 | Citigroup, Inc. | 4/17/13 | 18,423 | ||||||
USD | 111,188 | GBP | 69,600 | Credit Suisse Group AG | 4/17/13 | 5,625 | ||||||
USD | 159,501 | GBP | 99,323 | Credit Suisse Group AG | 4/17/13 | 8,858 | ||||||
USD | 641,138 | GBP | 399,252 | Credit Suisse Group AG | 4/17/13 | 35,594 | ||||||
USD | 472,655 | GBP | 301,870 | Deutsche Bank AG | 4/17/13 | 14,810 | ||||||
USD | 2,069,604 | GBP | 1,352,000 | Deutsche Bank AG | 4/17/13 | 19,031 | ||||||
USD | 6,924,140 | GBP | 4,289,000 | Deutsche Bank AG | 4/17/13 | 419,033 | ||||||
USD | 5,091,483 | EUR | 3,821,000 | Citigroup, Inc. | 4/23/13 | 101,144 | ||||||
Total | $ | 617,330 |
• | Over-the-counter interest rate swaptions purchased as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | ||
7-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.20% | Receive | 3-month LIBOR | 7/08/13 | USD | 11,700 | $ | 16,112 | |||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.30% | Receive | 3-month LIBOR | 8/21/13 | USD | 9,900 | 32,683 | ||||||||||
7-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.39% | Receive | 3-month LIBOR | 10/06/14 | USD | 21,600 | 151,884 | ||||||||||
30-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 3.75% | Pay | 3-month LIBOR | 6/03/13 | USD | 2,400 | 2,976 | ||||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Put | 1.70% | Pay | 3-month LIBOR | 7/08/13 | USD | 16,700 | 104,861 | ||||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Put | 1.80% | Pay | 3-month LIBOR | 8/21/13 | USD | 13,200 | 94,814 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.15% | Pay | 3-month LIBOR | 1/25/16 | USD | 2,500 | 112,321 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.75% | Pay | 3-month LIBOR | 2/16/16 | USD | 9,300 | 273,095 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 3.50% | Pay | 3-month LIBOR | 2/22/16 | USD | 10,000 | 357,303 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 3/16/17 | USD | 6,300 | 174,407 | ||||||||||
Total | $ | 1,320,456 |
96 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Over-the-counter interest rate swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | ||
7-Year Interest Rate Swap | Morgan Stanley | Call | 1.45% | Pay | 3-month LIBOR | 4/05/13 | USD | 10,000 | $ | (45,852 | ) | ||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.45% | Pay | 3-month LIBOR | 7/08/13 | USD | 11,700 | (74,185 | ) | |||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.55% | Pay | 3-month LIBOR | 8/21/13 | USD | 9,900 | (98,182 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 2.06% | Pay | 3-month LIBOR | 4/09/14 | USD | 16,100 | (601,312 | ) | |||||||||
5-Year Interest Rate Swap | BNP Paribas SA | Call | 1.15% | Pay | 3-month LIBOR | 6/09/14 | USD | 30,300 | (207,371 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.00% | Pay | 3-month LIBOR | 7/11/14 | USD | 15,600 | (66,375 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Call | 1.48% | Pay | 3-month LIBOR | 7/31/14 | USD | 10,000 | (140,910 | ) | |||||||||
5-Year Interest Rate Swap | Deutsche Bank AG | Call | 1.00% | Pay | 3-month LIBOR | 8/01/14 | USD | 9,700 | (41,107 | ) | |||||||||
5-Year Interest Rate Swap | Goldman Sachs Group, Inc. | Call | 1.25% | Pay | 3-month LIBOR | 2/04/15 | USD | 6,200 | (47,147 | ) | |||||||||
7-Year Interest Rate Swap | Citigroup, Inc. | Put | 1.95% | Receive | 3-month LIBOR | 7/08/13 | USD | 16,700 | (48,788 | ) | |||||||||
7-Year Interest Rate Swap | Deutsche Bank AG | Put | 2.05% | Receive | 3-month LIBOR | 8/21/13 | USD | 13,200 | (50,796 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.06% | Receive | 3-month LIBOR | 4/09/14 | USD | 16,100 | (85,287 | ) | |||||||||
5-Year Interest Rate Swap | BNP Paribas SA | Put | 2.15% | Receive | 3-month LIBOR | 6/09/14 | USD | 30,300 | (193,544 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.00% | Receive | 3-month LIBOR | 7/11/14 | USD | 15,600 | (137,424 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 1.48% | Receive | 3-month LIBOR | 7/31/14 | USD | 10,000 | (176,284 | ) | |||||||||
5-Year Interest Rate Swap | Deutsche Bank AG | Put | 2.00% | Receive | 3-month LIBOR | 8/01/14 | USD | 9,700 | (92,634 | ) | |||||||||
7-Year Interest Rate Swap | JPMorgan Chase & Co. | Put | 2.39% | Receive | 3-month LIBOR | 10/06/14 | USD | 21,600 | (400,311 | ) | |||||||||
5-Year Interest Rate Swap | Goldman Sachs Group, Inc. | Put | 2.25% | Receive | 3-month LIBOR | 2/04/15 | USD | 6,200 | (82,489 | ) | |||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 3/16/17 | USD | 12,600 | (143,398 | ) | |||||||||
Total | $ | (2,733,396 | ) |
• | Credit default swaps — buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | |||
Radian Group, Inc. | 5.00% | Citigroup, Inc. | 6/20/15 | USD | 1,400 | $ | (83,197 | ) | |||||
The New York Times Co. | 1.00% | Barclays Plc | 12/20/16 | USD | 1,800 | (40,921 | ) | ||||||
Total | $ | (124,118 | ) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation | | ||
MetLife, Inc. | 1.00% | Credit Suisse Group AG | 9/20/16 | A- | USD | 545 | $ | 37,616 | |||||||
MetLife, Inc. | 1.00% | Deutsche Bank AG | 9/20/16 | A- | USD | 730 | 46,262 | ||||||||
MetLife, Inc. | 1.00% | Goldman Sachs Group, Inc. | 9/20/16 | A- | USD | 500 | 30,886 | ||||||||
MetLife, Inc. | 1.00% | Morgan Stanley | 9/20/16 | A- | USD | 910 | 56,617 | ||||||||
MetLife, Inc. | 1.00% | Morgan Stanley | 9/20/16 | A- | USD | 275 | 15,387 | ||||||||
MetLife, Inc. | 1.00% | Citigroup, Inc. | 12/20/16 | A- | USD | 298 | 16,973 | ||||||||
MetLife, Inc. | 1.00% | Citigroup, Inc. | 12/20/16 | A- | USD | 290 | 17,967 | ||||||||
Markit CMBX North America AAA Index Series 3 | 0.08% | Morgan Stanley | 12/13/49 | AA | USD | 530 | 40,189 | ||||||||
Markit CMBX North America AAA Index Series 4 | 0.35% | Morgan Stanley | 2/17/51 | A | USD | 530 | 42,912 | ||||||||
Total | $ | 304,809 |
1 | Using S&P’s rating of the issuer or the underlying securities, as applicable. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 97 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Interest rate swaps outstanding as of February 28, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Appreciation (Depreciation) | |||
0.39%1 | 3-month LIBOR | JPMorgan Chase & Co. | 11/29/14 | USD | 50,000 | $ | (18,750) | ||||||
0.40%1 | 3-month LIBOR | Goldman Sachs Group, Inc. | 12/27/14 | USD | 30,000 | (12,195) | |||||||
0.66%2 | 6-month EURIBOR | Deutsche Bank AG | 2/05/15 | EUR | 5,000 | 22,054 | |||||||
1.18%1 | 3-month LIBOR | JPMorgan Chase & Co. | 10/05/19 | USD | 15,800 | 147,065 | |||||||
1.48%2 | 3-month LIBOR | Deutsche Bank AG | 2/25/20 | USD | 4,600 | 20,806 | |||||||
1.41%2 | 3-month LIBOR | Bank of America Corp. | 2/28/20 | USD | 5,800 | (2,290) | |||||||
1.41%2 | 3-month LIBOR | JPMorgan Chase & Co. | 3/01/20 | USD | 2,400 | (1,056) | |||||||
1.41%2 | 3-month LIBOR | JPMorgan Chase & Co. | 3/04/20 | USD | 18,000 | (11,750) | |||||||
1.89%1 | 3-month LIBOR | JPMorgan Chase & Co. | 10/08/21 | USD | 11,900 | 146,395 | |||||||
1.89%2 | 6-month EURIBOR | Citigroup, Inc. | 6/27/22 | EUR | 1,800 | 46,955 | |||||||
1.91%1 | 3-month LIBOR | Deutsche Bank AG | 1/22/23 | USD | 500 | 2,522 | |||||||
1.90%1 | 3-month LIBOR | Royal Bank of Scotland Group Plc | 1/28/23 | USD | 400 | 2,298 | |||||||
1.72%2 | 6-month EURIBOR | Deutsche Bank AG | 1/28/23 | EUR | 1,200 | (2,872) | |||||||
1.97%2 | 3-month LIBOR | Deutsche Bank AG | 1/29/23 | USD | 1,000 | 736 | |||||||
2.08%2 | 3-month LIBOR | Deutsche Bank AG | 2/19/23 | USD | 2,800 | 28,510 | |||||||
2.06%2 | 3-month LIBOR | Deutsche Bank AG | 2/25/23 | USD | 3,400 | 27,406 | |||||||
2.58%1 | 6-month EURIBOR | Deutsche Bank AG | 11/11/41 | EUR | 350 | (17,925) | |||||||
2.68%1 | 6-month EURIBOR | Deutsche Bank AG | 11/18/41 | EUR | 750 | (59,311) | |||||||
2.15%1 | 6-month EURIBOR | Citigroup, Inc. | 6/27/42 | EUR | 770 | 52,637 | |||||||
2.52%1 | 3-month LIBOR | Citigroup, Inc. | 9/04/42 | USD | 3,400 | 296,913 | |||||||
2.52%1 | 3-month LIBOR | Goldman Sachs Group, Inc. | 9/04/42 | USD | 5,100 | 447,259 | |||||||
2.49%1 | 6-month EURIBOR | Citigroup, Inc. | 1/15/43 | EUR | 500 | (13,085) | |||||||
3.05%1 | 3-month LIBOR | Deutsche Bank AG | 2/07/43 | USD | 4,800 | (97,771) | |||||||
2.95%1 | 3-month LIBOR | JPMorgan Chase & Co. | 3/04/43 | USD | 2,600 | 1,070 | |||||||
Total | $ | 1,005,621 |
1 | Trust pays the fixed rate and receives the floating rate. |
2 | Trust pays the floating rate and receives the fixed rate. |
• | Fair Value Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
98 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 24,172,976 | $ | 7,751,958 | $ | 31,924,934 | |||||||||||
Common Stocks | — | — | 421,602 | 421,602 | ||||||||||||||
Corporate Bonds | — | 334,059,835 | 6,334,795 | 340,394,630 | ||||||||||||||
Foreign Agency Obligations | — | 477,962 | — | 477,962 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 66,518,688 | 886,840 | 67,405,528 | ||||||||||||||
Preferred Securities | $ | 4,647,853 | 16,494,183 | — | 21,142,036 | |||||||||||||
Taxable Municipal Bonds | — | 14,954,149 | — | 14,954,149 | ||||||||||||||
US Government Sponsored Agency Securities | — | 77,772,854 | 898 | 77,773,752 | ||||||||||||||
US Treasury Obligations | — | 44,036,307 | — | 44,036,307 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Interest Rate Contracts | — | 1,320,456 | — | 1,320,456 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Investments: | ||||||||||||||||||
TBA Sale Commitments | — | (8,696,625 | ) | — | (8,696,625 | ) | ||||||||||||
Total | $ | 4,647,853 | $ | 571,110,785 | $ | 15,396,093 | $ | 591,154,731 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 304,809 | — | $ | 304,809 | ||||||||||||
Foreign currency exchange contracts | — | 640,651 | — | 640,651 | ||||||||||||||
Interest rate contracts | $ | 65,746 | 1,242,626 | — | 1,308,372 | |||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (124,118 | ) | — | (124,118 | ) | ||||||||||||
Foreign currency exchange contracts | — | (23,321 | ) | — | (23,321 | ) | ||||||||||||
Interest rate contracts | (578,184 | ) | (2,970,401 | ) | — | (3,548,585 | ) | |||||||||||
Total | $ | (512,438 | ) | $ | (929,754 | ) | — | $ | (1,442,192 | ) |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 1,805,619 | — | — | $ | 1,805,619 | ||||||||||||
Foreign currency at value | 22,379 | — | — | 22,379 | ||||||||||||||
Cash pledged as collateral for financial futures contracts | 1,146,000 | — | — | 1,146,000 | ||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 846,837 | — | — | 846,837 | ||||||||||||||
Cash pledged as collateral for swaps | 3,210,000 | — | — | 3,210,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for swaps | — | $ | (1,100,000 | ) | — | (1,100,000 | ) | |||||||||||
Reverse repurchase agreements | — | (180,802,432 | ) | — | (180,802,432 | ) | ||||||||||||
Total | $ | 7,030,835 | $ | (181,902,432 | ) | — | $ | (174,871,597 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013.
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 99 |
Schedule of Investments (concluded) | BlackRock Income Opportunity Trust, Inc. (BNA) |
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Non-Agency Mortgage-Backed Securities | | US Government Sponsored Agency Securities | | Total | |||||||||||||||
Assets: | ||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 1,537,590 | $ | 1 | $ | 1,957,000 | $ | 523,393 | $ | 36,218 | $ | 4,054,202 | ||||||||||||||
Transfers into Level 31 | — | — | 5,271,934 | — | 2,112 | 5,274,046 | ||||||||||||||||||||
Transfers out of Level 32 | (371,621 | ) | — | — | — | — | (371,621 | ) | ||||||||||||||||||
Accrued discounts/premiums | (215,039 | ) | — | (11,700 | ) | 2,100 | (7 | ) | (224,646 | ) | ||||||||||||||||
Net realized gain (loss) | 6 | — | 4,167 | 28,366 | (1,379 | ) | 31,160 | |||||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 254,077 | 421,601 | (792,382 | ) | 7,480 | 2,523 | (106,701 | ) | ||||||||||||||||||
Purchases | 6,603,287 | — | — | 755,446 | — | 7,358,733 | ||||||||||||||||||||
Sales | (56,342 | ) | — | (94,224 | ) | (429,945 | ) | (38,569 | ) | (619,080 | ) | |||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 7,751,958 | $ | 421,602 | $ | 6,334,795 | $ | 886,840 | $ | 898 | $ | 15,396,093 |
1 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,274,046 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $371,621 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $641,226. |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
100 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 1.3% | |||||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.64%, 3/25/35 (a) | USD | 4,205 | $ | 4,112,005 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.63%, 10/25/35 (a) | 1,875 | 1,583,196 | |||||||||||||
Small Business Administration Participation Certificates, Class 1: | |||||||||||||||
Series 1996-20E, 7.60%, 5/01/16 | 91 | 95,755 | |||||||||||||
Series 1996-20G, 7.70%, 7/01/16 | 101 | 107,391 | |||||||||||||
Series 1996-20H, 7.25%, 8/01/16 | 118 | 124,655 | |||||||||||||
Series 1996-20K, 6.95%, 11/01/16 | 261 | 276,143 | |||||||||||||
Series 1997-20C, 7.15%, 3/01/17 | 100 | 108,136 | |||||||||||||
6,407,281 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Small Business Administration, Series 1, 2.00%, 4/01/15 | 1,324 | 11,585 | |||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b) | 3,988 | 307,820 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, 2.36%, 4/15/29 (a) | 6,958 | 508,785 | |||||||||||||
828,190 | |||||||||||||||
Total Asset-Backed Securities — 1.5% | 7,235,471 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 1.2% | |||||||||||||||
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18 | — | (c) | 73 | ||||||||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21 | 689 | 704,579 | |||||||||||||
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.47%, 10/25/35 (a) | 2,752 | 2,256,441 | |||||||||||||
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.25%, 8/25/23 (a) | 48 | 55,641 | |||||||||||||
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 | 1,596 | 1,684,330 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.70%, 8/25/34 (a) | 1,353 | 1,329,958 | |||||||||||||
6,031,022 | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.6% | |||||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a) | 2,420 | 2,764,668 | |||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.9% | |||||||||||||||
Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.28%, 5/25/33 (a) | 44,660 | 266,263 | |||||||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37 | 836 | 208,456 | |||||||||||||
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17 | 14 | 1,557 | |||||||||||||
GSMPS Mortgage Loan Trust, Series 1998-5, 0.01%, 6/19/27 (a)(b) | 3,816 | 78,034 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37 | 84,453 | 323,625 | |||||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a) | 10,480 | 116,267 | |||||||||||||
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19 | 372 | 44,825 | |||||||||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19 | 327 | 28,342 | |||||||||||||
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.05%, 3/20/35 (a) | 37,336 | 600,879 |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Interest Only Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 5.14%, 8/25/36 (a) | USD | 21,858 | $ | 2,564,879 | |||||||||||
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.03%, 5/15/29 (a) | 47,033 | 80,087 | |||||||||||||
4,313,214 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.0% | |||||||||||||||
CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.12%, 6/20/29 (a)(b) | 2,308 | 33,027 | |||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.4% | |||||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2003-26, 8/25/33 | 939 | 842,587 | |||||||||||||
Series 2003-J4, 6/25/33 | 183 | 162,162 | |||||||||||||
Series 2003-J5, 7/25/33 | 311 | 275,533 | |||||||||||||
Series 2003-J8, 9/25/23 | 210 | 192,888 | |||||||||||||
Drexel Burnham Lambert CMO Trust, Class 1: | |||||||||||||||
Series K, 9/23/17 | 6 | 6,013 | |||||||||||||
Series V, 9/01/18 | 9 | 9,141 | |||||||||||||
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34 | 25 | 22,740 | |||||||||||||
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36 | 692 | 425,373 | |||||||||||||
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24 | 7 | 5,831 | |||||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35 | 359 | 237,654 | |||||||||||||
2,179,922 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 3.1% | 15,321,853 | ||||||||||||||
US Government Sponsored Agency Securities | |||||||||||||||
Agency Obligations — 2.5% | |||||||||||||||
Federal Housing Administration: | |||||||||||||||
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22 | 147 | 143,611 | |||||||||||||
Merrill Projects, Series 54, 7.43%, 5/15/23 | 2 | 1,756 | |||||||||||||
Reilly Projects, Series 41, 8.28%, 3/01/20 | 181 | 180,363 | |||||||||||||
USGI Projects, Series 87, 7.43%, 12/01/22 | 60 | 59,016 | |||||||||||||
USGI Projects, Series 99, 7.43%, 6/01/21 | 3,929 | 3,850,661 | |||||||||||||
USGI Projects, Series 99, 7.43%, 10/01/23 | 37 | 36,370 | |||||||||||||
USGI Projects, Series 99, 7.43%, 10/01/23 | 110 | 107,456 | |||||||||||||
Resolution Funding Corp., 3.15%, 4/15/30 (d) | 13,000 | 7,606,742 | |||||||||||||
11,985,975 | |||||||||||||||
Collateralized Mortgage Obligations — 42.4% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 1991-46, Class S, 2,468.91%, 5/25/21 (a) | — | (c) | 5,414 | ||||||||||||
Series 1991-87, Class S, 26.10%, 8/25/21 (a) | 38 | 60,472 | |||||||||||||
Series 1993-247, Class SN, 10.00%, 12/25/23 (a) | 285 | 333,595 | |||||||||||||
Series 2003-135, Class PB, 6.00%, 1/25/34 | 12,264 | 14,977,189 | |||||||||||||
Series 2004-31, Class ZG, 7.50%, 5/25/34 | 3,548 | 4,416,193 | |||||||||||||
Series 2005-73, Class DS, 17.03%, 8/25/35 (a) | 2,165 | 2,862,439 | |||||||||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 | 43,000 | 50,304,238 | |||||||||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 | 14,350 | 16,378,824 | |||||||||||||
Series 2011-142, Class PE, 3.50%, 1/25/42 | �� | 15,567 | 16,401,570 | ||||||||||||
Series G-7, Class S, 1,119.90%, 3/25/21 (a) | — | (c) | 2,956 | ||||||||||||
Series G-17, Class S, 1,058.38%, 6/25/21 (a) | — | (c) | 3,751 | ||||||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 | — | (c) | 3,595 | ||||||||||||
Series G-49, Class S, 1,012.05%, 12/25/21 (a) | — | (c) | 1,494 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 101 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 19, Class F, 8.50%, 3/15/20 | USD | 54 | $ | 58,570 | |||||||||||
Series 19, Class R, 16,196.33%, 3/15/20 (a) | — | (c) | 856 | ||||||||||||
Series 40, Class K, 6.50%, 8/17/24 | 263 | 302,055 | |||||||||||||
Series 75, Class R, 9.50%, 1/15/21 | — | (c) | 2 | ||||||||||||
Series 75, Class RS, 29.92%, 1/15/21 (a) | — | (c) | 2 | ||||||||||||
Series 173, Class R, 9.00%, 11/15/21 | — | (c) | 9 | ||||||||||||
Series 173, Class RS, 9.37%, 11/15/21 (a) | — | (c) | 10 | ||||||||||||
Series 192, Class U, 1,009.03%, 2/15/22 (a) | — | (c) | 45 | ||||||||||||
Series 1057, Class J, 1,008.00%, 3/15/21 | — | (c) | 1,217 | ||||||||||||
Series 1160, Class F, 39.10%, 10/15/21 (a) | 15 | 30,195 | |||||||||||||
Series 2218, Class Z, 8.50%, 3/15/30 | 4,228 | 4,911,080 | |||||||||||||
Series 2542, Class UC, 6.00%, 12/15/22 | 5,190 | 5,790,769 | |||||||||||||
Series 2758, Class KV, 5.50%, 5/15/23 | 8,561 | 9,492,448 | |||||||||||||
Series 2861, Class AX, 10.50%, 9/15/34 (a) | 121 | 132,470 | |||||||||||||
Series 2927, Class BZ, 5.50%, 2/15/35 | 3,219 | 3,918,647 | |||||||||||||
Series 3856, Class PB, 5.00%, 5/15/41 | 10,000 | 11,858,570 | |||||||||||||
Series 4016, Class BX, 4.00%, 9/15/41 | 15,408 | 17,019,294 | |||||||||||||
Series T-11, Class A9, 2.80%, 1/25/28 (a) | 1,788 | 1,893,257 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 1996-5, Class Z, 7.00%, 5/16/26 | 421 | 452,039 | |||||||||||||
Series 2001-33, Class PB, 6.50%, 7/20/31 | 733 | 848,625 | |||||||||||||
Series 2004-89, Class PE, 6.00%, 10/20/34 | 3,392 | 3,528,405 | |||||||||||||
Series 2011-80, Class PB, 4.00%, 10/20/39 | �� | 11,489 | 12,855,008 | ||||||||||||
Series 2011-88, Class PY, 4.00%, 6/20/41 | 15,402 | 17,046,964 | |||||||||||||
Series 2012-16, Class HJ, 4.00%, 9/20/40 | 10,000 | 11,093,520 | |||||||||||||
206,985,787 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 4.5% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 7, Class 2, 8.50%, 4/01/17 | 3 | 393 | |||||||||||||
Series 89, Class 2, 8.00%, 10/01/18 | 5 | 551 | |||||||||||||
Series 94, Class 2, 9.50%, 8/01/21 | 2 | 393 | |||||||||||||
Series 1990-123, Class M, 1,009.50%, 10/25/20 | — | (c) | 398 | ||||||||||||
Series 1990-136, Class S, 19.86%, 11/25/20 (a) | 10 | 14,500 | |||||||||||||
Series 1991-99, Class L, 930.00%, 8/25/21 | — | (c) | 1,619 | ||||||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 | — | (c) | 2,797 | ||||||||||||
Series 1993-199, Class SB, 7.28%, 10/25/23 (a) | 433 | 49,445 | |||||||||||||
Series 1996-68, Class SC, 7.88%, 1/25/24 (a) | 7 | 21 | |||||||||||||
Series 1997-50, Class SI, 1.20%, 4/25/23 (a) | 256 | 8,560 | |||||||||||||
Series 1997-90, Class M, 6.00%, 1/25/28 | 4,020 | 631,364 | |||||||||||||
Series 1999-W4, 6.50%, 12/25/28 | 253 | 51,833 | |||||||||||||
Series 2010-74, Class DI, 5.00%, 12/25/39 | 27,040 | 2,377,257 | |||||||||||||
Series 2010-75, Class PI, 4.50%, 12/25/36 | 3,716 | 44,035 | |||||||||||||
Series 2010-126, Class UI, 5.50%, 10/25/40 | 16,464 | 2,420,506 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 10,936 | 1,224,742 | |||||||||||||
Series G-10, Class S, 1083.41%, 5/25/21 (a) | — | (c) | 11,663 | ||||||||||||
Series G-12, Class S, 1,150.07%, 5/25/21 (a) | — | (c) | 7,018 | ||||||||||||
Series G92-5, Class H, 9.00%, 1/25/22 | 53 | 6,462 | |||||||||||||
Series G92-12, Class C, 1,016.90%, 2/25/22 | — | (c) | 3,021 | ||||||||||||
Series G92-60, Class SB, 1.60%, 10/25/22 (a) | 175 | 6,782 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 176, Class M, 1,010.00%, 7/15/21 | — | (c) | 498 | ||||||||||||
Series 200, Class R, 196,091.09%, 12/15/22 (a) | — | (c) | 1,051 | ||||||||||||
Series 1043, Class H, 43.88%, 2/15/21 (a) | 7 | 14,310 | |||||||||||||
Series 1054, Class I, 859.64%, 3/15/21 (a) | — | (c) | 1,116 | ||||||||||||
Series 1056, Class KD, 1,084.50%, 3/15/21 | — | (c) | 1,058 | ||||||||||||
Series 1148, Class E, 1,167.37%, 10/15/21 (a) | — | (c) | 2,822 | ||||||||||||
Series 2559, 0.50%, 8/15/30 (a) | 133 | 1,722 | |||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | 2,416 | 271,769 | |||||||||||||
Series 2949, 5.50%, 3/15/35 | 269 | 4,803 | |||||||||||||
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Interest Only Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (concluded): | |||||||||||||||
Series 3744, Class PI, 4.00%, 6/15/39 | USD | 18,133 | $ | 2,501,387 | |||||||||||
Series 3745, Class IN, 4.00%, 1/15/35 | 38,842 | 3,170,222 | |||||||||||||
Series 4026, 4.50%, 4/15/32 | 6,358 | 885,591 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 2010-101, Class YT, 2.00%, 8/16/13 | 42,595 | 334,621 | |||||||||||||
Series 2011-52, Class MJ, 6.45%, 4/20/41 (a) | 22,881 | 3,909,569 | |||||||||||||
Series 2011-52, Class NS, 6.47%, 4/16/41 (a) | 24,720 | 4,112,050 | |||||||||||||
22,075,949 | |||||||||||||||
Mortgage-Backed Securities — 113.1% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 3/15/43–5/15/43 (e) | 1,900 | 1,964,407 | |||||||||||||
3.50%, 10/01/42–4/15/43 (e)(f) | 45,578 | 48,244,946 | |||||||||||||
4.00%, 1/01/41–9/01/42 (f) | 43,432 | 46,350,604 | |||||||||||||
4.50%, 8/01/25–4/15/43 (e)(f)(g) | 142,529 | 156,622,967 | |||||||||||||
5.00%, 1/01/23–3/15/43 (e)(f) | 120,276 | 131,714,822 | |||||||||||||
5.50%, 3/15/28–10/01/39 (e)(f)(g) | 57,478 | 63,311,689 | |||||||||||||
5.97%, 8/01/16 | 2,996 | 3,387,919 | |||||||||||||
6.00%, 3/15/43–4/15/43 (e) | 65,400 | 71,670,903 | |||||||||||||
6.50%, 12/01/37–10/01/39 | 24,712 | 27,630,786 | |||||||||||||
7.50%, 2/01/22 | — | (c) | 101 | ||||||||||||
9.50%, 1/01/19–9/01/19 | 2 | 2,415 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
2.48%, 1/01/35 (a) | 193 | 195,785 | |||||||||||||
2.55%, 10/01/34 (a) | 291 | 298,786 | |||||||||||||
2.73%, 11/01/17 (a) | 12 | 12,227 | |||||||||||||
5.00%, 2/01/22–4/01/22 | 583 | 625,565 | |||||||||||||
9.00%, 9/01/20 | �� | 33 | 37,305 | ||||||||||||
Ginnie Mae Mortgage-Backed Securities: | |||||||||||||||
7.50%, 8/15/21–12/15/23 | 162 | 172,731 | |||||||||||||
8.00%, 10/15/22–8/15/27 | 63 | 69,956 | |||||||||||||
9.00%, 4/15/20–9/15/21 | 7 | 7,059 | |||||||||||||
552,320,973 | |||||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.3% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 203, Class 1, 2/01/23 | 15 | 12,947 | |||||||||||||
Series 228, Class 1, 6/01/23 | 12 | 10,648 | |||||||||||||
Series 1991-7, Class J, 2/25/21 | 14 | 12,002 | |||||||||||||
Series 1993-51, Class E, 2/25/23 | 49 | 42,126 | |||||||||||||
Series 1993-70, Class A, 5/25/23 | 7 | 6,926 | |||||||||||||
Series 1999-W4, Class PO, 2/25/29 | 132 | 121,721 | |||||||||||||
Series 2002-13B, Class PR, 3/25/32 | 276 | 261,559 | |||||||||||||
Series G93-2, Class KB, 1/25/23 | 132 | 112,617 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 1418, Class M, 11/15/22 | 53 | 45,490 | |||||||||||||
Series 1571, Class G, 8/15/23 | 336 | 312,226 | |||||||||||||
Series 1691, Class B, 3/15/24 | 649 | 603,020 | |||||||||||||
Series 1739, Class B, 2/15/24 | — | (c) | 1 | ||||||||||||
Series T-8, Class A10, 11/15/28 | 102 | 95,533 | |||||||||||||
1,636,816 | |||||||||||||||
Total US Government Sponsored Agency Securities — 162.8% | 795,005,500 | ||||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Notes: | |||||||||||||||
0.63%, 9/30/17 (f) | 7,945 | 7,925,137 | |||||||||||||
1.00%, 11/30/19 (f) | 2,965 | 2,928,169 | |||||||||||||
1.63%, 11/15/22 | 780 | 763,791 | |||||||||||||
2.00%, 2/15/23 (f) | 1,635 | 1,651,605 | |||||||||||||
Total US Treasury Obligations — 2.7% | 13,268,702 | ||||||||||||||
Total Long-Term Investments (Cost — $819,292,461) — 170.1% | 830,831,526 |
102 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Short-Term Securities | Par (000) | Value | ||||||||||||
Borrowed Bond Agreements — 0.2% | ||||||||||||||
Credit Suisse Group AG, 0.04%, Open (Purchased on 2/4/13 to be repurchased at $847,102, collateralized by US Treasury Notes, 2.75%, par and fair value of USD 917,000 and $853,526, respectively) | USD | 847 | $ | 847,078 | ||||||||||
Shares | ||||||||||||||
Money Market Funds — 0.2% | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (h)(i) | 790,665 | 790,665 | ||||||||||||
Total Short-Term Securities (Cost — $1,637,743) — 0.4% | 1,637,743 | |||||||||||||
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $820,930,204) — 170.5% | 832,469,269 |
Borrowed Bonds | | | Par (000) | | Value | ||||||||||
US Treasury Bonds, 2.75%, 11/15/42 | USD | 917 | $ | (853,526 | ) | ||||||||||
Total Borrowed Bonds (Proceeds — $842,347) — (0.2)% | (853,526 | ) | |||||||||||||
TBA Sale Commitments (e) | |||||||||||||||
Fannie Mae Mortgage-Backed Securities, | |||||||||||||||
3.00%, 3/15/43–04/15/43 | 1,000 | (1,034,781 | ) | ||||||||||||
3.50%, 3/15/43 | 6,000 | (6,344,063 | ) | ||||||||||||
4.50%, 3/15/28–03/15/43 | 15,900 | (17,104,351 | ) | ||||||||||||
5.00%, 3/15/28–04/15/43 | 33,800 | (36,590,827 | ) | ||||||||||||
6.00%, 3/15/43 | 43,600 | (47,776,060 | ) | ||||||||||||
Total TBA Sale Commitments (Proceeds — $108,711,141) — (22.3)% | (108,850,082 | ) | |||||||||||||
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 148.0% | 722,765,661 | ||||||||||||||
Liabilities in Excess of Other Assets — (48.0)% | (234,496,111 | ) | |||||||||||||
Net Assets — 100.0% | $ | 488,269,550 |
Notes to Schedule of Investments
(a) | Variable rate security. Rate shown is as of report date. | |||
(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) | Amount is less than $500. | |||
(d) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(e) | Represents or includes a TBA transaction. Unsettled TBA transactions as of February 28, 2013 were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Bank of America Corp. | $ | 4,024,938 | $ | 13,422 | ||||||
Credit Suisse Group AG | $ | (563 | ) | $ | 16 | |||||
Deutsche Bank AG | $ | 11,078,493 | $ | 74,567 | ||||||
Goldman Sachs Group, Inc. | $ | 413,578 | $ | 1,508 | ||||||
JPMorgan Chase & Co. | $ | 10,994,097 | $ | (29,661 | ) | |||||
Morgan Stanley | $ | (442,125 | ) | $ | 4,016 |
(f) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. | |||
(g) | All or a portion of security has been pledged as collateral in connection with swaps. | |||
(h) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain |
BlackRock Liquidity Funds, TempFund, Institutional Class | 2,187,808 | (1,397,143) | 790,665 | $ 2,947 | $ 94 |
(i) | Represents the current yield as of report date. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 103 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) |
• | Reverse repurchase agreements outstanding as of February 28, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
Credit Suisse Securities (USA) LLC | 0.23% | 10/23/12 | Open | $ | 10,815,215 | $ | 10,824,128 | |||||||||||||||
Deutsche Bank Securities, Inc. | 0.26% | 11/14/12 | Open | 7,954,931 | 7,961,079 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.15% | 1/28/13 | Open | 19,590,818 | 19,593,430 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.15% | 1/28/13 | Open | 22,922,685 | 22,925,742 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 2/08/13 | Open | 2,916,819 | 2,916,819 | |||||||||||||||||
Barclays Capital, Inc. | 0.30% | 2/12/13 | 3/12/13 | 131,064,664 | 131,082,324 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.11% | 2/28/13 | 3/01/13 | 1,653,394 | 1,653,399 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.19% | 2/28/13 | 3/01/13 | 10,872,531 | 10,872,589 | |||||||||||||||||
Total | $ | 207,791,057 | $ | 207,829,510 | ||||||||||||||||||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Purchased (Sold) | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | |||
24 | 90-Day Euro-Dollar | Chicago Mercantile | March 2013 | USD | 5,982,300 | $ | 9,317 | |||||
63 | 90-Day Euro-Dollar | Chicago Mercantile | June 2013 | USD | 15,701,175 | 40,012 | ||||||
57 | 90-Day Euro-Dollar | Chicago Mercantile | September 2013 | USD | 14,202,975 | 35,996 | ||||||
18 | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | USD | 4,484,025 | 8,268 | ||||||
(97) | 2-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 21,385,469 | (11,333) | ||||||
(303) | 5-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 37,567,266 | (96,148) | ||||||
(204) | 10-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 26,835,562 | 10,247 | ||||||
(636) | 30-Year US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 91,444,875 | (854,492) | ||||||
(7) | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | USD | 1,743,350 | (2,992) | ||||||
(25) | 90-Day Euro-Dollar | Chicago Mercantile | June 2014 | USD | 6,223,750 | (18,491) | ||||||
(25) | 90-Day Euro-Dollar | Chicago Mercantile | September 2014 | USD | 6,220,625 | (20,697) | ||||||
(25) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 6,216,250 | (22,152) | ||||||
(25) | 90-Day Euro-Dollar | Chicago Mercantile | March 2015 | USD | 6,211,562 | (20,578) | ||||||
(152) | Ultra Long US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 24,016,000 | (271,851) | ||||||
Total | $ | (1,214,894) |
• | Interest rate swaps outstanding as of February 28, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Appreciation (Depreciation) | | ||
4.88%1 | 3-month LIBOR | UBS AG | 3/21/15 | USD | 25,000 | $ | 2,293,403 | ||||||
4.87%1 | 3-month LIBOR | Goldman Sachs Group, Inc. | 1/25/16 | USD | 5,500 | 693,985 | |||||||
2.81%1 | 3-month LIBOR | Citigroup, Inc. | 2/06/16 | USD | 20,000 | 1,348,662 | |||||||
5.72%1 | 3-month LIBOR | JPMorgan Chase & Co. | 7/14/16 | USD | 5,400 | 930,570 | |||||||
4.31%2 | 3-month LIBOR | Deutsche Bank AG | 10/01/18 | USD | 60,000 | (10,587,370 | ) | ||||||
3.43%1 | 3-month LIBOR | JPMorgan Chase & Co. | 3/28/21 | USD | 6,000 | 1,050,648 | |||||||
5.41%1 | 3-month LIBOR | JPMorgan Chase & Co. | 8/15/22 | USD | 9,565 | 2,993,286 | |||||||
Total | $ | (1,276,816 | ) |
1 | Trust pays the floating rate and receives the fixed rate. |
2 | Trust pays the fixed interest rate and receives the floating rate. |
• | Fair Value Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
104 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (concluded) | BlackRock Income Trust, Inc. (BKT) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 6,407,281 | $ | 828,190 | $ | 7,235,471 | |||||||||||
Non-Agency Mortgage-Backed Securities | — | 12,039,755 | 3,282,098 | 15,321,853 | ||||||||||||||
US Government Sponsored Agency Securities | — | 790,624,337 | 4,381,163 | 795,005,500 | ||||||||||||||
US Treasury Obligations | — | 13,268,702 | — | 13,268,702 | ||||||||||||||
Short-Term Securities: | ||||||||||||||||||
Borrowed Bond Agreements | — | 847,078 | — | 847,078 | ||||||||||||||
Money Market Funds | $ | 790,665 | — | — | 790,665 | |||||||||||||
Liabilities: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Borrowed Bonds | — | (853,526 | ) | — | (853,526 | ) | ||||||||||||
TBA Sale Commitments | — | (108,850,082 | ) | — | (108,850,082 | ) | ||||||||||||
Total | $ | 790,665 | $ | 713,483,545 | $ | 8,491,451 | $ | 722,765,661 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | $ | 103,840 | $ | 9,310,554 | — | $ | 9,414,394 | |||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (1,318,734 | ) | (10,587,370 | ) | — | (11,906,104 | ) | |||||||||||
Total | $ | (1,214,894 | ) | $ | (1,276,816 | ) | — | $ | (2,491,710 | ) |
1 | Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Cash pledged as collateral for financial futures contracts | $ | 3,087,000 | — | — | $ | 3,087,000 | ||||||||||||
Cash pledged as collateral for swaps | 4,700,000 | — | — | 4,700,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for reverse repurchase agreements | — | $ | (420,000 | ) | — | (420,000 | ) | |||||||||||
Cash received as collateral for swaps | — | (6,700,000 | ) | — | (6,700,000 | ) | ||||||||||||
Reverse repurchase agreements | — | (207,791,057 | ) | — | (207,791,057 | ) | ||||||||||||
Total | $ | 7,787,000 | $ | (214,911,057 | ) | — | $ | (207,124,057 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013.
Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Asset-Backed Securities | | Non-Agency Mortgage-Backed Securities | | US Government Sponsored Agency Securities | | Total | |||||||||||
Assets: | ||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 917,196 | $ | 4,067,898 | $ | 4,622,964 | $ | 9,608,058 | ||||||||||
Transfers into Level 32 | — | — | 4,733 | 4,733 | ||||||||||||||
Transfers out of Level 33 | — | (452,944 | ) | — | (452,944 | ) | ||||||||||||
Accrued discounts/premiums | (259,242 | ) | — | (6,679 | ) | (265,921 | ) | |||||||||||
Net realized gain (loss) | — | — | (8,793 | ) | (8,793 | ) | ||||||||||||
Net change in unrealized appreciation/depreciation4 | 170,236 | (332,856 | ) | 21,024 | (141,596 | ) | ||||||||||||
Sales | — | — | (252,086 | ) | (252,086 | ) | ||||||||||||
Closing Balance, as of February 28, 2013 | $ | 828,190 | $ | 3,282,098 | $ | 4,381,163 | $ | 8,491,451 |
2 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,733 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $452,944 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $(141,596). |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 105 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Common Stocks (a) | Shares | Value | |||||||||||||
Diversified Telecommunication Services — 0.0% | |||||||||||||||
Broadview Networks Holdings, Inc. | 5,037 | $ | 33,697 | ||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Recovery Trust | 396,568 | 793 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
NewPage Corp. | 3,380 | 287,300 | |||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. | 84 | 1 | |||||||||||||
Total Common Stocks — 0.3% | 321,791 | ||||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Aerospace & Defense — 0.3% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 85 | 88,187 | ||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 60 | 65,400 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) | 200 | 205,516 | |||||||||||||
359,103 | |||||||||||||||
Airlines — 0.5% | |||||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 | 125 | 124,687 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 137 | 151,542 | |||||||||||||
Series 2009-1, Class B, 9.75%, 2/17/16 | 36 | 39,924 | |||||||||||||
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14 | 205 | 216,423 | |||||||||||||
532,576 | |||||||||||||||
Auto Components — 1.3% | |||||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (b) | 150 | 153,000 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 180 | 195,975 | |||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 670 | 717,738 | |||||||||||||
Jaguar Land Rover Automotive Plc (FKA Jaguar Land Rover Plc), 8.25%, 3/15/20 | GBP | 177 | 301,062 | ||||||||||||
1,367,775 | |||||||||||||||
Beverages — 0.2% | |||||||||||||||
Crown European Holdings SA: | |||||||||||||||
7.13%, 8/15/18 (b) | EUR | 89 | 125,780 | ||||||||||||
7.13%, 8/15/18 | 50 | 70,663 | |||||||||||||
196,443 | |||||||||||||||
Building Products — 0.5% | |||||||||||||||
Building Materials Corp. of America (b): | |||||||||||||||
7.00%, 2/15/20 | USD | 210 | 227,325 | ||||||||||||
6.75%, 5/01/21 | 230 | 246,963 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 65 | 66,706 | |||||||||||||
540,994 | |||||||||||||||
Capital Markets — 2.1% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (b)(c)(d) | 100 | 104,563 | |||||||||||||
The Goldman Sachs Group, Inc.: | |||||||||||||||
5.38%, 3/15/20 | 225 | 258,662 | |||||||||||||
6.00%, 6/15/20 | 250 | 298,191 | |||||||||||||
5.75%, 1/24/22 | 525 | 615,925 | |||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b) | 120 | 141,117 | |||||||||||||
Merrill Lynch & Co., Inc., 6.05%, 5/16/16 | 325 | 362,582 | |||||||||||||
Morgan Stanley, 5.63%, 9/23/19 | 320 | 370,186 | |||||||||||||
2,151,226 | |||||||||||||||
Chemicals — 2.9% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 63 | 63,945 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 507 | 553,897 | |||||||||||||
Ciech Group Financing AB, 9.50%, 11/30/19 | EUR | 100 | 142,305 | ||||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (b) | USD | 133 | 135,161 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Chemicals (concluded) | ||||||||||||||
Huntsman International LLC: | ||||||||||||||
4.88%, 11/15/20 (b) | USD | 180 | $ | 178,200 | ||||||||||
8.63%, 3/15/21 | �� | 65 | 73,450 | |||||||||||
INEOS Finance Plc, 7.50%, 5/01/20 (b) | 85 | 91,588 | ||||||||||||
Kraton Polymers LLC, 6.75%, 3/01/19 | 45 | 46,800 | ||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 664 | 771,900 | ||||||||||||
Nexeo Solutions LLC, 8.38%, 3/01/18 | 30 | 29,325 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 60 | 63,600 | ||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 98 | 142,163 | |||||||||||
PolyOne Corp., 7.38%, 9/15/20 | USD | 80 | 88,600 | |||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 350 | 362,250 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 251 | 249,431 | ||||||||||||
2,992,615 | ||||||||||||||
Commercial Banks — 1.6% | ||||||||||||||
Amsouth Bank, Series AI, 4.85%, 4/01/13 | 650 | 652,275 | ||||||||||||
Barclays Bank Plc, 5.14%, 10/14/20 | 100 | 106,077 | ||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 110 | 118,250 | ||||||||||||
6.63%, 4/01/18 (b) | 110 | 124,850 | ||||||||||||
5.50%, 2/15/19 (b) | 120 | 130,500 | ||||||||||||
5.00%, 8/15/22 | 90 | 96,300 | ||||||||||||
HSBC Bank Plc, 7.65%, 5/01/25 | 350 | 474,519 | ||||||||||||
1,702,771 | ||||||||||||||
Commercial Services & Supplies — 1.5% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 61 | 65,575 | ||||||||||||
The ADT Corp. (b): | ||||||||||||||
3.50%, 7/15/22 | 75 | 73,366 | ||||||||||||
4.88%, 7/15/42 | 200 | 190,459 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 183 | 191,738 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 11 | 11,825 | ||||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 | 96 | 98,880 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 85 | 92,169 | ||||||||||||
EC Finance Plc, 9.75%, 8/01/17 | EUR | 50 | 70,989 | |||||||||||
HDTFS, Inc. (b): | ||||||||||||||
5.88%, 10/15/20 | USD | 55 | 57,200 | |||||||||||
6.25%, 10/15/22 | 95 | 102,125 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 135 | 150,188 | ||||||||||||
RSC Equipment Rental, Inc., 8.25%, 2/01/21 | 165 | 187,069 | ||||||||||||
Verisure Holding AB: | ||||||||||||||
8.75%, 9/01/18 | EUR | 100 | 140,999 | |||||||||||
8.75%, 12/01/18 | 100 | 133,166 | ||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 50 | 53,250 | |||||||||||
1,618,998 | ||||||||||||||
Communications Equipment — 1.0% | ||||||||||||||
Brocade Communications Systems, Inc., 6.88%, 1/15/20 | 175 | 191,187 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 578 | 645,915 | ||||||||||||
10.13%, 7/01/20 | 186 | 218,085 | ||||||||||||
1,055,187 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 | 75 | 77,813 | ||||||||||||
Construction Materials — 2.0% | ||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 100 | 140,438 | |||||||||||
HD Supply, Inc. (b): | ||||||||||||||
8.13%, 4/15/19 | USD | 937 | 1,055,296 | |||||||||||
11.00%, 4/15/20 | 230 | 277,150 | ||||||||||||
7.50%, 7/15/20 | 379 | 379,474 | ||||||||||||
11.50%, 7/15/20 | 65 | 74,913 |
106 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Construction Materials (concluded) | |||||||||||||||
HeidelbergCement AG, 7.50%, 4/03/20 | EUR | 21 | $ | 33,037 | |||||||||||
Xefin Lux SCA, 8.00%, 6/01/18 (b) | 100 | 140,183 | |||||||||||||
2,100,491 | |||||||||||||||
Consumer Finance — 1.4% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 185 | 201,650 | ||||||||||||
Ford Motor Credit Co. LLC, 2.75%, 5/15/15 | 500 | 510,842 | |||||||||||||
SLM Corp., 5.38%, 5/15/14 | 675 | 704,564 | |||||||||||||
Toll Brothers Finance Corp., 5.88%, 2/15/22 | 85 | 94,840 | |||||||||||||
1,511,896 | |||||||||||||||
Containers & Packaging — 1.3% | |||||||||||||||
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (b) | EUR | 260 | 368,296 | ||||||||||||
Berry Plastics Corp., 8.25%, 11/15/15 | USD | 45 | 46,899 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 54 | 70,690 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 15 | 16,350 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (b) | 169 | 165,197 | |||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 100 | 141,678 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 135 | 148,500 | ||||||||||||
Sealed Air Corp. (b): | |||||||||||||||
6.50%, 12/01/20 | 120 | 130,500 | |||||||||||||
8.38%, 9/15/21 | 60 | 68,400 | |||||||||||||
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b) | 200 | 205,000 | |||||||||||||
1,361,510 | |||||||||||||||
Diversified Consumer Services — 0.4% | |||||||||||||||
313 Group, Inc., 6.38%, 12/01/19 (b) | 157 | 153,075 | |||||||||||||
Service Corp. International, 4.50%, 11/15/20 | 307 | 305,849 | |||||||||||||
458,924 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Financial Services — 6.8% | |||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 174 | 187,485 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
8.30%, 2/12/15 | 400 | 445,000 | |||||||||||||
6.25%, 12/01/17 | 30 | 33,503 | |||||||||||||
8.00%, 3/15/20 | 60 | 73,650 | |||||||||||||
7.50%, 9/15/20 | 550 | 665,500 | |||||||||||||
8.00%, 11/01/31 | 1,106 | 1,389,412 | |||||||||||||
Bank of America Corp.: | |||||||||||||||
4.50%, 4/01/15 | 375 | 398,833 | |||||||||||||
6.50%, 8/01/16 | 410 | 473,104 | |||||||||||||
5.63%, 10/14/16 | 100 | 112,974 | |||||||||||||
5.75%, 12/01/17 | 240 | 277,759 | |||||||||||||
Citigroup, Inc., 8.13%, 7/15/39 | 55 | 81,655 | |||||||||||||
Co-Operative Group Ltd., 5.63%, 7/08/20 (e) | GBP | 100 | 158,987 | ||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | USD | 115 | 120,750 | ||||||||||||
7.25%, 10/15/21 | 310 | 332,475 | |||||||||||||
Gala Group Finance Plc, 8.88%, 9/01/18 | GBP | 100 | 163,841 | ||||||||||||
Itau Unibanco Holding SA, 5.75%, 1/22/21 (b) | USD | 225 | 237,713 | ||||||||||||
JPMorgan Chase & Co.: | |||||||||||||||
5.50%, 10/15/40 | 175 | 208,169 | |||||||||||||
5.60%, 7/15/41 | 175 | 211,152 | |||||||||||||
Macquarie Bank Ltd., 5.00%, 2/22/17 (b) | 200 | 219,930 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.88%, 8/15/19 | 180 | 198,900 | |||||||||||||
9.88%, 8/15/19 | 200 | 219,000 | |||||||||||||
5.75%, 10/15/20 | 510 | 526,575 | |||||||||||||
6.88%, 2/15/21 | 125 | 133,438 | |||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 151 | 175,349 | |||||||||||||
7,045,154 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services — 2.8% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | USD | 78 | $ | 75,756 | |||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (b) | 150 | 162,000 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 1,310 | 1,427,900 | |||||||||||||
8.63%, 7/15/20 | 188 | 208,680 | |||||||||||||
Qwest Corp., 7.25%, 10/15/35 | 200 | 206,010 | |||||||||||||
Telefonica Emisiones SAU, 5.46%, 2/16/21 | 250 | 263,556 | |||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | EUR | 200 | 267,638 | ||||||||||||
6.75%, 8/15/24 | 100 | 136,430 | |||||||||||||
Windstream Corp.: | |||||||||||||||
8.13%, 8/01/13 | USD | 45 | 46,179 | ||||||||||||
7.88%, 11/01/17 | 142 | 160,815 | |||||||||||||
2,954,964 | |||||||||||||||
Electric Utilities — 3.0% | |||||||||||||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 472 | 496,833 | |||||||||||||
Nisource Finance Corp., 3.85%, 2/15/23 | 400 | 410,503 | |||||||||||||
Oncor Electric Delivery Co. LLC, 4.10%, 6/01/22 | 325 | 352,610 | |||||||||||||
Progress Energy, Inc., 7.75%, 3/01/31 | 1,000 | 1,381,393 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 400 | 533,343 | ||||||||||||
3,174,682 | |||||||||||||||
Electrical Equipment — 0.2% | |||||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 (b) | USD | 150 | 159,375 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | 45 | 54,113 | |||||||||||||
Energy Equipment & Services — 4.5% | |||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 145 | 145,725 | |||||||||||||
Compagnie Générale de Géophysique, Veritas: | |||||||||||||||
7.75%, 5/15/17 | 55 | 56,719 | |||||||||||||
6.50%, 6/01/21 | 200 | 208,000 | |||||||||||||
Energy Transfer Partners LP, 5.20%, 2/01/22 | 600 | 674,273 | |||||||||||||
Ensco Plc, 4.70%, 3/15/21 | 425 | 475,623 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 465 | 481,275 | |||||||||||||
Genesis Energy LP/Genesi Energy Finance Corp., 5.75%, 2/15/21 (b) | 60 | 62,100 | |||||||||||||
MEG Energy Corp. (b): | |||||||||||||||
6.50%, 3/15/21 | 340 | 358,700 | |||||||||||||
6.38%, 1/30/23 | 35 | 36,225 | |||||||||||||
Oil States International, Inc., 6.50%, 6/01/19 | 115 | 123,050 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 108 | 114,750 | |||||||||||||
6.25%, 11/15/21 | 547 | 568,880 | |||||||||||||
Precision Drilling Corp., 6.50%, 12/15/21 | 105 | 111,300 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 535 | 541,687 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 132 | 135,960 | |||||||||||||
Transocean, Inc., 6.50%, 11/15/20 | 550 | 641,127 | |||||||||||||
4,735,394 | |||||||||||||||
Food & Staples Retailing — 0.2% | |||||||||||||||
Bakkavor Finance 2 Plc, 8.25%, 2/15/18 | GBP | 104 | 160,140 | ||||||||||||
Food Products — 1.3% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | USD | 90 | 102,375 | ||||||||||||
Mondelez International, Inc.: | |||||||||||||||
6.50%, 8/11/17 | 600 | 726,135 | |||||||||||||
6.13%, 8/23/18 | 250 | 304,712 | |||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 185 | 199,800 | |||||||||||||
1,333,022 | |||||||||||||||
Gas Utilities — 0.2% | |||||||||||||||
El Paso Natural Gas Co. LLC, 8.63%, 1/15/22 | 145 | 198,023 | |||||||||||||
Health Care Equipment & Supplies — 1.7% | |||||||||||||||
Biomet, Inc. (b): | |||||||||||||||
6.50%, 8/01/20 | 390 | 412,425 | |||||||||||||
6.50%, 10/01/20 | 630 | 648,900 | |||||||||||||
DJO Finance LLC, 7.75%, 4/15/18 | 40 | 39,800 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 107 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Equipment & Supplies (concluded) | |||||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (b) | USD | 38 | $ | 41,135 | |||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 410 | 470,475 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 105 | 114,187 | |||||||||||||
1,726,922 | |||||||||||||||
Health Care Providers & Services — 6.4% | |||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 150 | 160,875 | |||||||||||||
Care UK Health & Social Care Plc, 9.75%, 8/01/17 | GBP | 65 | 99,348 | ||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | USD | 100 | 105,125 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 200 | 276,776 | ||||||||||||
Crown Newco 3 Plc, 7.00%, 2/15/18 (b) | GBP | 200 | 313,271 | ||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | USD | 40 | 44,300 | ||||||||||||
6.50%, 2/15/20 | 685 | 767,200 | |||||||||||||
7.88%, 2/15/20 | 115 | 127,506 | |||||||||||||
7.25%, 9/15/20 | 805 | 893,550 | |||||||||||||
5.88%, 3/15/22 | 148 | 159,470 | |||||||||||||
4.75%, 5/01/23 | 470 | 468,825 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (b) | 240 | 253,200 | |||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 148 | 152,440 | |||||||||||||
INC Research LLC, 11.50%, 7/15/19 (b) | 124 | 132,370 | |||||||||||||
inVentiv Health, Inc. (b): | |||||||||||||||
9.00%, 1/15/18 | 80 | 83,400 | |||||||||||||
11.00%, 8/15/18 | 10 | 8,675 | |||||||||||||
Omnicare, Inc., 7.75%, 6/01/20 | 260 | 288,600 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 125 | 130,625 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 627 | 694,402 | |||||||||||||
8.88%, 7/01/19 | 195 | 220,350 | |||||||||||||
4.50%, 4/01/21 (b) | 150 | 147,938 | |||||||||||||
WellPoint, Inc., 5.95%, 12/15/34 | 1,000 | 1,180,103 | |||||||||||||
6,708,349 | |||||||||||||||
Health Care Technology — 0.8% | |||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (b) | 660 | 795,300 | |||||||||||||
Hotels, Restaurants & Leisure — 1.3% | |||||||||||||||
Caesars Entertainment Operating Co., Inc.: | |||||||||||||||
10.00%, 12/15/18 | 288 | 190,080 | |||||||||||||
9.00%, 2/15/20 (b) | 94 | 92,825 | |||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b) | 98 | 96,775 | |||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 51 | 65,251 | ||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 310 | 341,000 | ||||||||||||
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) | 50 | 49,687 | |||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 100 | 134,472 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | USD | 212 | 207,760 | ||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(f) | 50 | — | |||||||||||||
The Unique Pub Finance Co. Plc, Series A3, 6.54%, 3/30/21 | GBP | 100 | 151,326 | ||||||||||||
1,329,176 | |||||||||||||||
Household Durables — 1.4% | |||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | USD | 145 | 154,969 | ||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 130 | 143,000 | |||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 109 | 158,670 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 565 | 703,425 | ||||||||||||
8.38%, 1/15/21 | 200 | 237,500 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 50 | 53,812 | |||||||||||||
1,451,376 | |||||||||||||||
Household Products — 0.4% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 (b) | EUR | 100 | 135,777 | ||||||||||||
Series FEB, 7.50%, 4/15/18 | 100 | 135,777 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Products (concluded) | |||||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 50 | $ | 53,188 | |||||||||||
6.63%, 11/15/22 | 70 | 75,425 | |||||||||||||
400,167 | |||||||||||||||
Independent Power Producers & Energy Traders — 2.1% | |||||||||||||||
The AES Corp., 7.38%, 7/01/21 | 95 | 107,350 | |||||||||||||
Calpine Corp. (b): | |||||||||||||||
7.25%, 10/15/17 | 72 | 76,590 | |||||||||||||
7.50%, 2/15/21 | 72 | 78,300 | |||||||||||||
7.88%, 1/15/23 | 63 | 69,773 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
10.00%, 12/01/20 | 450 | 510,750 | |||||||||||||
10.00%, 12/01/20 (b) | 765 | 862,537 | |||||||||||||
GenOn REMA LLC, Series C, 9.68%, 7/02/26 | 105 | 114,450 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 115 | 129,950 | |||||||||||||
7.38%, 5/01/22 | 50 | 54,250 | |||||||||||||
NRG Energy, Inc., 6.63%, 3/15/23 (b) | 105 | 111,825 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 75 | 78,562 | |||||||||||||
2,194,337 | |||||||||||||||
Insurance — 3.2% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 | 147 | 147,735 | |||||||||||||
American International Group, Inc., 6.40%, 12/15/20 | 1,130 | 1,405,518 | |||||||||||||
Lincoln National Corp., 8.75%, 7/01/19 | 575 | 777,821 | |||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (b) | 250 | 264,423 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 90 | 89,100 | |||||||||||||
Prudential Financial, Inc., 5.38%, 6/21/20 | 400 | 471,617 | |||||||||||||
TMF Group Holding B.V., 9.88%, 12/01/19 | EUR | 100 | 131,861 | ||||||||||||
3,288,075 | |||||||||||||||
Internet Software & Services — 0.0% | |||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 22 | 22,000 | ||||||||||||
IT Services — 2.3% | |||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b) | 370 | 417,175 | |||||||||||||
First Data Corp.: | |||||||||||||||
7.38%, 6/15/19 (b) | 481 | 505,651 | |||||||||||||
8.88%, 8/15/20 (b) | 195 | 215,475 | |||||||||||||
6.75%, 11/01/20 (b) | 275 | 282,219 | |||||||||||||
8.25%, 1/15/21 (b) | 61 | 62,373 | |||||||||||||
12.63%, 1/15/21 | 425 | 453,156 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 280 | 300,650 | |||||||||||||
6.63%, 11/01/19 (b) | 205 | 210,637 | |||||||||||||
2,447,336 | |||||||||||||||
Machinery — 0.8% | |||||||||||||||
SPX Corp., 6.88%, 9/01/17 | 65 | 72,637 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
7.38%, 5/15/20 | 125 | 136,875 | |||||||||||||
7.63%, 4/15/22 | 550 | 609,125 | |||||||||||||
818,637 | |||||||||||||||
Media — 11.5% | |||||||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 | 141 | 107,160 | |||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 80 | 90,800 | |||||||||||||
4.75%, 12/15/22 | 86 | 85,677 | |||||||||||||
CCO Holdings LLC: | |||||||||||||||
6.50%, 4/30/21 | 320 | 340,800 | |||||||||||||
5.25%, 9/30/22 | 293 | 288,239 | |||||||||||||
Checkout Holding Corp., 11.49%, 11/15/15 (b)(c) | 157 | 115,984 | |||||||||||||
Cinemark USA, Inc.: | |||||||||||||||
8.63%, 6/15/19 | 60 | 66,525 | |||||||||||||
5.13%, 12/15/22 (b) | 44 | 44,220 |
108 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
9.00%, 12/15/19 (b)(g) | USD | 130 | $ | 120,900 | ||||||||||
9.00%, 3/01/21 | 276 | 249,780 | ||||||||||||
Clear Channel Worldwide Holdings, Inc. (b): | ||||||||||||||
6.50%, 11/15/22 | 167 | 174,515 | ||||||||||||
6.50%, 11/15/22 | 452 | 475,730 | ||||||||||||
DIRECTV Holdings LLC: | ||||||||||||||
3.80%, 3/15/22 | 250 | 250,985 | ||||||||||||
6.00%, 8/15/40 | 175 | 182,532 | ||||||||||||
DISH DBS Corp.: | ||||||||||||||
7.00%, 10/01/13 | 201 | 207,281 | ||||||||||||
5.88%, 7/15/22 | 340 | 358,700 | ||||||||||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 154 | 165,165 | ||||||||||||
Intelsat Luxembourg SA: | ||||||||||||||
11.25%, 2/04/17 | 440 | 467,500 | ||||||||||||
11.50%, 2/04/17 (h) | 480 | 510,600 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 340 | 385,475 | ||||||||||||
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 | 45 | 48,544 | ||||||||||||
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b) | EUR | 125 | 174,748 | |||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | USD | 150 | 162,750 | |||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 243 | 264,870 | ||||||||||||
Nara Cable Funding Ltd., 8.88%, 12/01/18 | EUR | 100 | 137,083 | |||||||||||
NBC Universal Media LLC, 6.40%, 4/30/40 | USD | 530 | 681,147 | |||||||||||
The New York Times Co., 6.63%, 12/15/16 | 500 | 546,250 | ||||||||||||
News America, Inc., 6.20%, 12/15/34 | 825 | 983,906 | ||||||||||||
Nielsen Finance LLC, 7.75%, 10/15/18 | 408 | 451,860 | ||||||||||||
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) | GBP | 100 | 157,773 | |||||||||||
ProQuest LLC, 9.00%, 10/15/18 (b) | USD | 47 | 46,647 | |||||||||||
TCI Communications, Inc., 7.88%, 2/15/26 | 1,000 | 1,380,146 | ||||||||||||
Time Warner Cable, Inc., 5.88%, 11/15/40 | 410 | 440,376 | ||||||||||||
Unitymedia GmbH: | ||||||||||||||
9.63%, 12/01/19 (b) | EUR | 190 | 274,472 | |||||||||||
9.50%, 3/15/21 | 150 | 222,975 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG, 7.50%, 3/15/19 | 337 | 478,468 | ||||||||||||
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) | 292 | 404,094 | ||||||||||||
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 | USD | 200 | 213,500 | |||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) | EUR | 75 | 105,749 | |||||||||||
Ziggo Finance BV, 6.13%, 11/15/17 (b) | 88 | 120,633 | ||||||||||||
11,984,559 | ||||||||||||||
Metals & Mining — 3.6% | ||||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | USD | 100 | 112,875 | |||||||||||
4.25%, 2/25/15 | 43 | 44,399 | ||||||||||||
4.25%, 8/05/15 | 38 | 39,343 | ||||||||||||
4.25%, 3/01/16 | 50 | 51,500 | ||||||||||||
Barrick Gold Corp., 2.90%, 5/30/16 | 225 | 236,384 | ||||||||||||
Barrick North America Finance LLC, 5.70%, 5/30/41 | 250 | 271,188 | ||||||||||||
Eco-Bat Finance Plc, 7.75%, 2/15/17 | EUR | 100 | 134,798 | |||||||||||
GoldCorp, Inc., 2.00%, 8/01/14 (d) | USD | 220 | 230,450 | |||||||||||
New Gold, Inc. (b): | ||||||||||||||
7.00%, 4/15/20 | 30 | 32,400 | ||||||||||||
6.25%, 11/15/22 | 105 | 110,513 | ||||||||||||
New World Resources NV: | ||||||||||||||
7.88%, 5/01/18 | EUR | 65 | 87,023 | |||||||||||
7.88%, 5/01/18 (b) | 76 | 101,750 | ||||||||||||
Newmont Mining Corp.: | ||||||||||||||
5.13%, 10/01/19 | USD | 225 | 261,297 | |||||||||||
Series A, 1.25%, 7/15/14 (d) | 200 | 220,875 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 1,195 | 1,338,400 | ||||||||||||
Schmolz & Bickenbach Luxembourg SA, 9.88%, 5/15/19 | EUR | 115 | 134,419 | |||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 150 | 149,250 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
Vedanta Resources Plc, 8.25%, 6/07/21 (b) | USD | 200 | $ | 227,500 | ||||||||||
3,784,364 | ||||||||||||||
Multiline Retail — 0.6% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 244 | 258,030 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 400 | 417,000 | ||||||||||||
675,030 | ||||||||||||||
Oil, Gas & Consumable Fuels — 10.0% | ||||||||||||||
Access Midstream Partners LP, 6.13%, 7/15/22 | 100 | 107,250 | ||||||||||||
Anadarko Petroleum Corp.: | ||||||||||||||
5.95%, 9/15/16 | 365 | 419,682 | ||||||||||||
6.38%, 9/15/17 | 75 | 89,559 | ||||||||||||
6.95%, 6/15/19 | 150 | 187,838 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 100 | 105,000 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 10 | 11,300 | ||||||||||||
6.63%, 8/15/20 | 90 | 98,550 | ||||||||||||
6.13%, 2/15/21 | 95 | 100,700 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 80 | 88,400 | ||||||||||||
6.50%, 1/15/22 | 50 | 54,500 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 625 | 689,062 | ||||||||||||
Continental Resources, Inc.: | ||||||||||||||
7.13%, 4/01/21 | 135 | 153,225 | ||||||||||||
5.00%, 9/15/22 | 121 | 130,075 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 157 | 154,056 | ||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/01/21 | 500 | 558,032 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 120 | 135,600 | ||||||||||||
7.75%, 6/15/19 | 320 | 343,200 | ||||||||||||
Enterprise Products Operating LLC, 3.70%, 6/01/15 | 500 | 530,635 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 60 | 65,400 | ||||||||||||
EV Energy Partners LP, 8.00%, 4/15/19 | 55 | 57,613 | ||||||||||||
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) | 70 | 77,175 | ||||||||||||
Kinder Morgan Energy Partners LP, 3.95%, 9/01/22 | 475 | 503,781 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 128 | 144,000 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.50%, 5/15/19 | 16 | 16,560 | ||||||||||||
6.25%, 11/01/19 (b) | 316 | 322,320 | ||||||||||||
7.75%, 2/01/21 | 130 | 140,400 | ||||||||||||
MarkWest Energy Partners LP: | ||||||||||||||
6.25%, 6/15/22 | 19 | 20,591 | ||||||||||||
5.50%, 2/15/23 | 40 | 42,000 | ||||||||||||
4.50%, 7/15/23 | 54 | 52,785 | ||||||||||||
Newfield Exploration Co., 5.63%, 7/01/24 | 70 | 73,150 | ||||||||||||
Nexen, Inc., 6.40%, 5/15/37 | 150 | 189,975 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 90 | 97,200 | ||||||||||||
6.50%, 11/01/21 | 110 | 118,800 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 41 | 44,690 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (b) | 25 | 27,188 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (b) | 75 | 79,312 | ||||||||||||
Petrobras International Finance Co.: | ||||||||||||||
3.88%, 1/27/16 | 1,100 | 1,149,862 | ||||||||||||
5.88%, 3/01/18 | 200 | 223,979 | ||||||||||||
7.88%, 3/15/19 | 100 | 122,419 | ||||||||||||
6.88%, 1/20/40 | 25 | 29,098 | ||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 210 | 231,000 | ||||||||||||
Pioneer Natural Resources Co., 6.88%, 5/01/18 | 35 | 42,510 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 235 | 270,837 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | 45 | 49,500 | ||||||||||||
5.75%, 6/01/21 | 350 | 372,750 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (b) | 572 | 590,590 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 109 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Sabine Pass Liquified Natural Gas LP: | |||||||||||||||
7.50%, 11/30/16 | USD | 380 | $ | 419,900 | |||||||||||
6.50%, 11/01/20 (b) | 120 | 126,600 | |||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 | 146 | 152,935 | |||||||||||||
SM Energy Co., 6.63%, 2/15/19 | 45 | 48,263 | |||||||||||||
Western Gas Partners LP, 5.38%, 6/01/21 | 325 | 367,436 | |||||||||||||
The Williams Cos., Inc., 8.75%, 3/15/32 | 124 | 169,216 | |||||||||||||
10,396,499 | |||||||||||||||
Paper & Forest Products — 0.8% | |||||||||||||||
Boise Paper Holdings LLC: | |||||||||||||||
9.00%, 11/01/17 | 45 | 48,656 | |||||||||||||
8.00%, 4/01/20 | 50 | 55,125 | |||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 215 | 232,738 | |||||||||||||
International Paper Co.: | |||||||||||||||
7.95%, 6/15/18 | 220 | 283,052 | |||||||||||||
7.30%, 11/15/39 | 5 | 6,632 | |||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b) | 120 | 126,000 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(f) | 781 | — | |||||||||||||
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) | 50 | 51,750 | |||||||||||||
803,953 | |||||||||||||||
Pharmaceuticals — 1.9% | |||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) | EUR | 100 | 146,874 | ||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | USD | 125 | 143,438 | ||||||||||||
Valeant Pharmaceuticals International (b): | |||||||||||||||
6.50%, 7/15/16 | 285 | 299,428 | |||||||||||||
6.38%, 10/15/20 | 145 | 156,056 | |||||||||||||
Watson Pharmaceuticals, Inc., 3.25%, 10/01/22 | 550 | 554,506 | |||||||||||||
Wyeth LLC, 6.50%, 2/01/34 | 500 | 677,838 | |||||||||||||
1,978,140 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.8% | |||||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 290 | 311,569 | |||||||||||||
5.63%, 3/01/23 (b) | 62 | 62,387 | |||||||||||||
HCP, Inc., 5.38%, 2/01/21 | 225 | 262,217 | |||||||||||||
The Rouse Co. LP, 6.75%, 11/09/15 | 145 | 150,800 | |||||||||||||
786,973 | |||||||||||||||
Real Estate Management & Development — 2.0% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 90 | 97,200 | |||||||||||||
Lennar Corp., 4.75%, 11/15/22 (b) | 110 | 106,288 | |||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (b) | 100 | 99,625 | |||||||||||||
Realogy Corp.: | |||||||||||||||
11.50%, 4/15/17 | 110 | 117,287 | |||||||||||||
12.00%, 4/15/17 | 35 | 37,363 | |||||||||||||
7.88%, 2/15/19 (b) | 951 | 1,034,212 | |||||||||||||
7.63%, 1/15/20 (b) | 130 | 146,575 | |||||||||||||
Shea Homes LP, 8.63%, 5/15/19 | 445 | 493,950 | |||||||||||||
2,132,500 | |||||||||||||||
Road & Rail — 1.3% | |||||||||||||||
Canadian National Railway Co., 6.90%, 7/15/28 | 500 | 675,012 | |||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 285 | 311,363 | |||||||||||||
7.38%, 1/15/21 | 380 | 418,950 | |||||||||||||
1,405,325 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 200 | 204,500 | |||||||||||||
Software — 1.2% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (b) | 151 | 147,602 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 630 | 707,175 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 130 | 131,625 | |||||||||||||
Oracle Corp., 5.38%, 7/15/40 | 210 | 253,468 | |||||||||||||
1,239,870 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail — 1.5% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | USD | 130 | $ | 144,950 | |||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 85 | 94,350 | |||||||||||||
House of Fraser Funding Plc: | |||||||||||||||
8.88%, 8/15/18 (b) | GBP | 100 | 160,807 | ||||||||||||
8.88%, 8/15/18 | 125 | 201,009 | |||||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 320 | 392,000 | ||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(h) | 59 | 60,918 | |||||||||||||
QVC, Inc. (b): | |||||||||||||||
7.13%, 4/15/17 | 80 | 83,325 | |||||||||||||
7.50%, 10/01/19 | 135 | 148,998 | |||||||||||||
7.38%, 10/15/20 | 95 | 105,302 | |||||||||||||
Sonic Automotive, Inc., 9.00%, 3/15/18 | 115 | 126,500 | |||||||||||||
1,518,159 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||||||||
PVH Corp., 4.50%, 12/15/22 | 122 | 120,323 | |||||||||||||
Tobacco — 0.1% | |||||||||||||||
Altria Group, Inc., 9.95%, 11/10/38 | 50 | 83,153 | |||||||||||||
Trading Companies & Distributors — 0.2% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 257 | 262,782 | |||||||||||||
Wireless Telecommunication Services — 6.0% | |||||||||||||||
America Movil SAB de CV: | |||||||||||||||
2.38%, 9/08/16 | 200 | 207,085 | |||||||||||||
5.00%, 3/30/20 | 400 | 455,034 | |||||||||||||
American Tower Corp.: | |||||||||||||||
4.50%, 1/15/18 | 375 | 413,056 | |||||||||||||
4.70%, 3/15/22 | 380 | 412,337 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (b) | 115 | 117,875 | |||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/40 (b) | 375 | 455,391 | |||||||||||||
Digicel Group Ltd. (b): | |||||||||||||||
8.25%, 9/01/17 | 365 | 385,075 | |||||||||||||
10.50%, 4/15/18 | 90 | 99,000 | |||||||||||||
8.25%, 9/30/20 | 220 | 234,630 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 123 | 128,689 | |||||||||||||
Phones4u Finance Plc: | |||||||||||||||
9.50%, 4/01/18 (b) | GBP | 100 | 156,635 | ||||||||||||
9.50%, 4/01/18 | 100 | 156,635 | |||||||||||||
SBA Tower Trust, 4.25%, 4/15/40 (b) | USD | 325 | 344,835 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 530 | 535,300 | |||||||||||||
Sprint Nextel Corp. (b): | |||||||||||||||
9.00%, 11/15/18 | 1,216 | 1,507,840 | |||||||||||||
7.00%, 3/01/20 | 560 | 655,200 | |||||||||||||
6,264,617 | |||||||||||||||
Total Corporate Bonds — 98.4% | 102,665,611 | ||||||||||||||
Floating Rate Loan Interests (i) | |||||||||||||||
Airlines — 0.2% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 162 | 163,372 | |||||||||||||
Auto Components — 0.5% | |||||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 485 | 484,879 | |||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 150 | 151,575 | |||||||||||||
Capital Markets — 0.3% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 343 | 346,430 | |||||||||||||
Chemicals — 0.4% | |||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 142 | 144,997 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 255 | 258,096 | |||||||||||||
403,093 |
110 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (i) | Par (000) | Value | ||||||||||||
Commercial Services & Supplies — 0.3% | ||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | USD | 134 | $ | 134,974 | ||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 225 | 226,312 | ||||||||||||
361,286 | ||||||||||||||
Communications Equipment — 1.4% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan C, 7.25%, 1/31/19 | 500 | 505,500 | ||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 195 | 255,254 | |||||||||||
Zayo Group, LLC Refinancing, Term Loan B, 5.25%, 7/12/19 | USD | 751 | 753,667 | |||||||||||
1,514,421 | ||||||||||||||
Construction & Engineering — 0.7% | ||||||||||||||
Safway Services LLC, Mezzanine Loan, 9.88%, 12/16/17 | 750 | 750,000 | ||||||||||||
Construction Materials — 0.4% | �� | |||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 408 | 409,035 | ||||||||||||
Consumer Finance — 1.7% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 1,750 | 1,756,195 | ||||||||||||
Diversified Consumer Services — 0.6% | ||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 485 | 487,670 | ||||||||||||
ServiceMaster Co., New Term Loan, 12.70%, 4/01/17 | 165 | 164,440 | ||||||||||||
652,110 | ||||||||||||||
Diversified Telecommunication Services — 0.6% | ||||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 135 | 136,178 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 110 | 111,123 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 350 | 352,800 | ||||||||||||
600,101 | ||||||||||||||
Energy Equipment & Services — 1.6% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 610 | 629,303 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 984 | 1,023,302 | ||||||||||||
Tervita Corp., Incremental Term Loan, 3.20%, 5/01/18 | 50 | 50,258 | ||||||||||||
1,702,863 | ||||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||||
Rite Aid Corp., Second Lien Term Loan, 5.75%, 7/07/20 | 40 | 40,911 | ||||||||||||
Food Products — 0.1% | ||||||||||||||
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 80 | 80,975 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 134 | 135,316 | ||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 278 | 277,900 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 104 | 106,826 | ||||||||||||
520,042 | ||||||||||||||
Health Care Providers & Services — 0.4% | ||||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 137 | 134,265 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 137 | 135,293 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 107 | 105,748 | ||||||||||||
375,306 | ||||||||||||||
Floating Rate Loan Interests (i) | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure — 3.6% | ||||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan B1, 3.20%—3.31%, 1/28/15 | USD | 185 | $ | 184,889 | ||||||||||
Term Loan B3, 3.20%—3.31%, 1/28/15 | 9 | 8,699 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 1,940 | 1,784,800 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 445 | 450,118 | ||||||||||||
Station Casinos, Inc.: | ||||||||||||||
Term Loan B, 5.50%, 9/27/19 | 369 | 371,227 | ||||||||||||
Term Loan B, 5.00%, 2/13/20 | 625 | 630,208 | ||||||||||||
Term Loan B1, 3.20%, 6/17/16 | 277 | 279,205 | ||||||||||||
3,709,146 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 209 | 211,192 | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 120 | 120,900 | ||||||||||||
IT Services — 0.3% | ||||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.20%, 3/23/18 | 285 | 281,409 | ||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 88 | 88,245 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 75 | 75,654 | ||||||||||||
Machinery — 0.4% | ||||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 213 | 214,182 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.75%, 12/05/19 | 230 | 230,000 | ||||||||||||
444,182 | ||||||||||||||
Media — 3.8% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 40 | 30,973 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 478 | 379,612 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 357 | 305,205 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 79 | 66,415 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 104 | 105,598 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 235 | 236,828 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 2,373 | 2,395,289 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 150 | 149,835 | ||||||||||||
Virgin Media Investment Holdings, Term Loan B, 3.50%, 2/17/20 | 270 | 268,388 | ||||||||||||
3,938,143 | ||||||||||||||
Metals & Mining — 1.0% | ||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 149 | 152,235 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 853 | 863,080 | ||||||||||||
1,015,315 | ||||||||||||||
Oil, Gas & Consumable Fuels — 1.2% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 515 | 525,676 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 313 | 316,500 | ||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 85 | 85,797 | ||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 351 | 352,315 | ||||||||||||
1,280,288 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 111 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (i) | Par (000) | Value | |||||||||||||
Pharmaceuticals — 0.1% | |||||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | USD | 109 | $ | 109,426 | |||||||||||
Professional Services — 0.1% | |||||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 134 | 135,585 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 200 | 199,851 | |||||||||||||
Real Estate Management & Development — 0.5% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit Loan, 4.46%, 10/10/16 | 50 | 50,179 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 426 | 425,650 | |||||||||||||
475,829 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 105 | 105,379 | |||||||||||||
Software — 0.6% | |||||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 443 | 447,573 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 185 | 192,400 | |||||||||||||
639,973 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 402 | 405,982 | |||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 1.00%, 1/22/18 | 215 | 217,597 | |||||||||||||
Wireless Telecommunication Services — 1.2% | |||||||||||||||
Vodafone Americas Finance 2, Inc. (h): | |||||||||||||||
Term Loan, 6.88%, 8/11/15 | 831 | 847,258 | |||||||||||||
Term Loan B, 6.25%, 7/11/16 | 413 | 423,844 | |||||||||||||
1,271,102 | |||||||||||||||
Total Floating Rate Loan Interests — 24.0% | 25,037,792 | ||||||||||||||
Foreign Agency Obligations — 0.2% | |||||||||||||||
Qatar Government International Bond, 4.00%, 1/20/15 (b) | 200 | 211,000 | |||||||||||||
Taxable Municipal Bonds — 0.4% | |||||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40 | 300 | 398,238 | |||||||||||||
Other Interests (j) | Beneficial Interest (000) | ||||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Communications Corp. Class A | 400 | 2,520 | |||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | Par (000) | ||||||||||||||
Capital Markets — 0.2% | |||||||||||||||
State Street Capital Trust IV, 1.31%, 6/01/67 (i) | 200 | 160,500 | |||||||||||||
Electric Utilities — 0.2% | |||||||||||||||
Electricite de France SA, 5.25% (b)(i)(k) | 225 | 221,513 |
Capital Trusts | Par (000) | Value | |||||||||||||
Insurance — 0.2% | |||||||||||||||
MetLife Capital Trust X, 9.25%, 4/08/68 (b) | USD | 150 | $ | 207,000 | |||||||||||
Total Capital Trusts — 0.6% | 589,013 | ||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||||||
MPG Office Trust, Inc., Series A, 7.63% (a) | 3,277 | 74,552 | |||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 0.4% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i) | 17,380 | 459,696 | |||||||||||||
Total Preferred Securities — 1.1% | 1,123,261 | ||||||||||||||
US Government Sponsored Agency Securities | Par (000) | ||||||||||||||
Collateralized Mortgage Obligations — 0.2% | |||||||||||||||
Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 5.16%, 6/16/31 (i) | USD | 155 | 156,260 | ||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Bonds, 3.00%, 5/15/42 | 700 | 688,625 | |||||||||||||
US Treasury Notes: | |||||||||||||||
2.00%, 2/15/22 | 70 | 71,734 | |||||||||||||
1.63%, 8/15/22 | 200 | 196,750 | |||||||||||||
Total US Treasury Obligations — 0.9% | 957,109 | ||||||||||||||
Warrants (l) | Shares | ||||||||||||||
Software — 0.0% | |||||||||||||||
Bankruptcy Management Solutions, Inc. (Expires 9/28/17) | 56 | — | |||||||||||||
Total Warrants — 0.0% | — | ||||||||||||||
Total Long-Term Investments (Cost — $123,441,711) — 125.5% | 130,873,582 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10%(m)(n) | 3,272,481 | 3,272,481 | |||||||||||||
Total Short-Term Securities (Cost — $3,272,481) — 3.1% | 3,272,481 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $84,104) — (0.0)% | 35,168 | ||||||||||||||
Total Investments Before Options Written (Cost — $126,798,296) — 128.6% | 134,181,231 | ||||||||||||||
Options Written | |||||||||||||||
(Premium Received—$45,000) — (0.0)% | (29,046 | ) | |||||||||||||
Total Investments, Net of Options Written — 128.6% | 134,152,185 | ||||||||||||||
Liabilities in Excess of Other Assets — (28.6)% | (29,845,931 | ) | |||||||||||||
Net Assets — 100.0% | $ | 104,306,254 |
112 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
Notes to Schedule of Investments
(a) | Non-income producing security. | |||
(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) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||
(d) | Convertible security. | |||
(e) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||
(f) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(g) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | Unrealized Appreciation | |
Citigroup, Inc | $120,900 | $2,948 |
(h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||
(i) | Variable rate security. Rate shown is as of report date. | |||
(j) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||
(k) | Security is perpetual in nature and has no stated maturity date. | |||
(l) | Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||
(m) | Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 3,272,481 | 3,272,481 | $ 395 | $ 22 |
(n) | Represents the current yield as of report date. | |||
• | Financial futures contracts as of February 28, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | ||
60 | 2-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 13,228,125 | $ | 6,569 | |||||
23 | 5-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 2,851,641 | 5,447 | ||||||
8 | Ultra Long US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 1,264,000 | (7,117) | ||||||
(26) | 10-Year US Treasury Note | Chicago Board of Trade | June 2013 | USD | 3,420,219 | (20,936) | ||||||
(30) | 30-Year US Treasury Bond | Chicago Board of Trade | June 2013 | USD | 4,313,438 | (40,312) | ||||||
Total | $ | (56,349) |
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | |||||
USD | 2,386,861 | GBP | 1,490,000 | Goldman Sachs Group, Inc. | 4/17/13 | $ | 126,984 | |||||
EUR | 100,000 | USD | 134,940 | Citigroup, Inc. | 4/23/13 | (4,337 | ) | |||||
USD | 160,321 | EUR | 120,000 | BNP Paribas SA | 4/23/13 | 3,597 | ||||||
USD | 6,349,363 | EUR | 4,765,000 | Citigroup, Inc. | 4/23/13 | 126,132 | ||||||
USD | 284,215 | EUR | 212,000 | Royal Bank of Scotland Group Plc | 4/23/13 | 7,337 | ||||||
Total | $ | 259,713 |
• | Over-the-counter options purchased as of February 28, 2013 were as follows: |
Description | Counterparty | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||
Marsico Parent Superholdco LLC | Goldman Sachs Group, Inc. | Call | USD | 942.86 | 12/14/19 | 6 | — |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 113 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
• | Over-the-counter interest rate swaptions purchased as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | ||
5-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.40% | Receive | 3-Month LIBOR | 5/08/14 | USD | 600 | $ | 7,412 | |||||||||
2-Year Interest Rate Swap | Credit Suisse Group AG | Put | 0.71% | Pay | 6-Month LIBOR | 7/01/13 | USD | 4,525 | 1,103 | ||||||||||
30-Year Interest Rate Swap | Credit Suisse Group AG | Put | 4.50% | Pay | 3-Month LIBOR | 9/16/13 | EUR | 600 | 71 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-Month LIBOR | 2/02/17 | USD | 1,000 | 26,582 | ||||||||||
Total | $ | 35,168 |
• | Over-the-counter interest rate swaptions written as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | ||
5-Year Interest Rate Swap | Citigroup, Inc. | Call | 1.40% | Pay | 3-Month LIBOR | 5/08/14 | USD | 600 | $ | (7,412 | ) | ||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-Month LIBOR | 2/02/17 | USD | 2,000 | (21,634 | ) | |||||||||
Total | $ | (29,046 | ) |
• | Credit default swaps — buy protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | ||||||||||||||||
The New York Times Co. | 1.00% | Barclays Plc | 12/20/16 | USD | 500 | $ | (11,367 | ) |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation | |||
MetLife, Inc. | 5.00% | Deutsche Bank AG | 6/20/15 | A- | USD | 150 | $ | 10,351 | |||||||
MetLife, Inc. | 1.00% | UBS AG | 9/20/15 | A- | USD | 175 | 8,099 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 12/20/15 | CCC | USD | 56 | 7,333 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 12/20/15 | CCC | USD | 27 | 2,647 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 23 | 2,771 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 91 | 10,244 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 98 | 16,561 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | UBS AG | 12/20/15 | CCC | USD | 130 | 12,188 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 13 | 615 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 13 | 233 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 3/20/16 | CCC | USD | 14 | 324 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 39 | 3,011 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 121 | 7,778 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 30 | 1,507 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 36 | 35 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 39 | 3,011 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 3/20/16 | CCC | USD | 15 | 536 | ||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 150 | 12,145 | ||||||||
ARAMARK Corp. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | B- | USD | 150 | 12,869 | ||||||||
ARAMARK Corp. | 5.00% | JPMorgan Chase & Co. | 6/20/16 | B- | USD | 50 | 4,195 | ||||||||
ARAMARK Corp. | 5.00% | JPMorgan Chase & Co. | 6/20/16 | B- | USD | 100 | 8,389 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 77 | 4,564 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 150 | 7,451 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/17 | CCC | USD | 13 | 100 | ||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 27 | 337 | ||||||||
Total | $ | 137,294 |
1 | Using S&P’s rating of the issuer. |
2 | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
114 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
• | Interest rate swaps outstanding as of February 28, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Appreciation (Depreciation) | ||
0.44%1 | 3-month LIBOR | Credit Suisse Group AG | 8/29/14 | USD | 2,000 | $ | (2,577) | |||||
0.42%1 | 3-month LIBOR | Goldman Sachs Group, Inc. | 2/08/15 | USD | 1,800 | (1,213) | ||||||
2.48%1 | 3-month LIBOR | Credit Suisse Group AG | 7/05/42 | USD | 500 | 47,228 | ||||||
2.26%1 | 3-month LIBOR | Goldman Sachs Group, Inc. | 7/26/42 | USD | 200 | 28,168 | ||||||
2.46%1 | 3-month LIBOR | Deutsche Bank AG | 8/07/42 | USD | 500 | 49,207 | ||||||
2.51%1 | 3-month LIBOR | Credit Suisse Group AG | 8/10/42 | USD | 200 | 18,011 | ||||||
Total | $ | 138,824 |
1 | Trust pays the fixed rate and receives the floating rate. |
• | For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements—Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and 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) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument 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 investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 115 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | $ | 793 | — | $ | 320,998 | $ | 321,791 | |||||||||||
Corporate Bonds | — | $ | 102,589,855 | 75,756 | 102,665,611 | |||||||||||||
Floating Rate Loan Interests | — | 20,739,678 | 4,298,114 | 25,037,792 | ||||||||||||||
Foreign Agency Obligations | — | 211,000 | — | 211,000 | ||||||||||||||
Municipal Bonds | — | 398,238 | — | 398,238 | ||||||||||||||
Other Interests | — | 2,520 | — | 2,520 | ||||||||||||||
Preferred Securities | 534,248 | 589,013 | — | 1,123,261 | ||||||||||||||
US Government Sponsored Agency Securities | — | 156,260 | — | 156,260 | ||||||||||||||
US Treasury Obligations | — | 957,109 | — | 957,109 | ||||||||||||||
Short-Term Securities | 3,272,481 | — | — | 3,272,481 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Interest Rate Contracts | — | 35,168 | — | 35,168 | ||||||||||||||
Total | $ | 3,807,522 | $ | 125,678,841 | $ | 4,694,868 | $ | 134,181,231 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 137,294 | — | $ | 137,294 | ||||||||||||
Foreign currency exchange contracts | — | 264,050 | — | 264,050 | ||||||||||||||
Interest rate contracts | $ | 12,016 | 142,614 | — | 154,630 | |||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (11,367 | ) | — | (11,367 | ) | ||||||||||||
Foreign currency exchange contracts | — | (4,337 | ) | — | (4,337 | ) | ||||||||||||
Interest rate contracts | (68,365 | ) | (32,836 | ) | — | (101,201 | ) | |||||||||||
Total | $ | (56,349 | ) | $ | 495,418 | — | $ | 439,069 |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are show at value. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 63,496 | — | — | $ | 63,496 | ||||||||||||
Cash pledged as collateral for financial futures contracts...... | 98,660 | — | — | 98,660 | ||||||||||||||
Cash pledged as collateral for swaps | 10,000 | — | — | 10,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (337,516 | ) | — | (337,516 | ) | |||||||||||
Loan payable | — | (28,000,000 | ) | — | (28,000,000 | ) | ||||||||||||
Total | $ | 172,156 | $ | (28,337,516 | ) | — | $ | (28,165,360 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013.
116 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (concluded) | BlackRock Strategic Bond Trust (BHD) |
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| Common Stocks | | Corporate Bonds | | Floating Rate Loans | | Total | |||||||||||
Assets: | ||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 1 | — | $ | 4,212,613 | $ | 4,212,614 | |||||||||||
Transfers into Level 31 | — | $ | 572,487 | 545,048 | 1,117,535 | |||||||||||||
Transfers out of Level 32 | — | — | (400,306 | ) | (400,306 | ) | ||||||||||||
Accrued discounts/premiums | — | (1,725 | ) | 3,429 | 1,704 | |||||||||||||
Net realized gain | — | 2,842 | 11,491 | 14,333 | ||||||||||||||
Net change in unrealized appreciation/depreciation3 | 274,078 | (541,548 | ) | 8,216 | (259,254 | ) | ||||||||||||
Purchases | 46,924 | 107,909 | 682,068 | 836,901 | ||||||||||||||
Sales | (5 | ) | (64,209 | ) | (764,445 | ) | (828,659 | ) | ||||||||||
Closing Balance, as of February 28, 2013 | $ | 320,998 | $ | 75,756 | $ | 4,298,114 | $ | 4,694,868 |
1 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $1,117,535 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $400,306 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $265,255. |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $3,641,613.
| Value | | Valuation Techniques | | Unobservable Inputs4 | | Range of Unobservable Inputs Utilized | ||||
Assets: | |||||||||||
Common Stocks | $ | 33,697 | Restructure Terms5 | N/A | — | ||||||
Floating Rate Loan Interests | 269,558 | Discounted Cash Flow | Yield | 9.50% | |||||||
750,000 | Cost6 | N/A | — | ||||||||
Total | $ | 1,053,255 |
4 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||
Yield | Decrease | Increase |
5 | Investment is valued based on the company’s financial restructuring plan. |
6 | The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 117 |
Statements of Assets and Liabilities |
February 28, 2013 (Unaudited) | BlackRock Core Bond Trust (BHK) | BlackRock Corporate High Yield Fund V, Inc. (HYV)* | BlackRock Corporate High Yield Fund VI, Inc. (HYT)* | BlackRock High Income Shares (HIS) | |||||||||||||||
Assets | |||||||||||||||||||
Investments at value — unaffiliated1 | $ | 603,571,102 | $ | 619,085,952 | $ | 642,601,094 | $ | 171,735,959 | |||||||||||
Investments at value — affiliated2 | 2,677,125 | 4,128,807 | 4,840,770 | 2,757,840 | |||||||||||||||
Foreign currency at value3 | 159,393 | 5,581 | 317,411 | 31,721 | |||||||||||||||
Cash | 60,313 | — | — | — | |||||||||||||||
Cash pledged as collateral for financial futures contracts | 882,000 | 307,000 | 324,000 | 122,000 | |||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 1,615,619 | — | — | — | |||||||||||||||
Cash pledged as collateral for swaps | 3,210,000 | 400,000 | 400,000 | — | |||||||||||||||
TBA sale commitments receivable | 8,690,719 | — | — | — | |||||||||||||||
Investments sold receivable | 15,017,429 | 4,489,425 | 4,435,130 | 1,496,304 | |||||||||||||||
Interest receivable | 6,196,024 | 8,392,201 | 8,759,343 | 2,506,481 | |||||||||||||||
Unrealized appreciation on swaps | 1,206,296 | 1,328,092 | 1,351,785 | — | |||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 622,183 | 1,524,216 | 1,622,949 | 138,583 | |||||||||||||||
Swaps receivable | 90,131 | 252,044 | 255,273 | — | |||||||||||||||
Swap premiums paid | 133,461 | 118,134 | 119,910 | — | |||||||||||||||
Principal paydown receivable | 175,916 | — | — | — | |||||||||||||||
Variation margin receivable | 27,006 | 9,125 | 9,625 | 3,125 | |||||||||||||||
Dividends receivable | — | 6,488 | 3,278 | — | |||||||||||||||
Prepaid expenses | 21,404 | 13,249 | 14,133 | 6,847 | |||||||||||||||
Other assets | 30,391 | — | — | — | |||||||||||||||
Total assets | 644,386,512 | 640,060,314 | 665,054,701 | 178,798,860 | |||||||||||||||
Liabilities | |||||||||||||||||||
Bank overdraft | — | 138,781 | 307,820 | — | |||||||||||||||
Reverse repurchase agreements | 183,433,858 | — | — | — | |||||||||||||||
Loan payable | — | 174,000,000 | 178,000,000 | 44,000,000 | |||||||||||||||
Cash received as collateral for swaps | 1,100,000 | 1,200,000 | 1,200,000 | — | |||||||||||||||
Investments purchased payable | 34,919,617 | 26,718,481 | 27,476,434 | 7,677,701 | |||||||||||||||
TBA sale commitments at value4 | 8,696,625 | — | — | — | |||||||||||||||
Unrealized depreciation on swaps | 466,953 | 56,309 | 58,957 | — | |||||||||||||||
Options written at value5 | 2,733,943 | 81,138 | 84,883 | — | |||||||||||||||
Swap premiums received | 328,028 | 1,786,064 | 1,861,346 | — | |||||||||||||||
Swaps payable | 640,526 | 3,619 | 3,747 | — | |||||||||||||||
Investment advisory fees payable | 238,879 | 276,770 | 335,392 | 94,722 | |||||||||||||||
Interest expense payable | 83,240 | 122,838 | 128,677 | 28,691 | |||||||||||||||
Officer’s and Trustees’ fees payable | 46,725 | 108,692 | 112,784 | 12,765 | |||||||||||||||
Income dividends payable | 54,520 | 70,432 | 88,498 | — | |||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 23,595 | 12,470 | 13,704 | 8,050 | |||||||||||||||
Other liabilities | 240,760 | — | — | — | |||||||||||||||
Other accrued expenses payable | 179,051 | 256,322 | 234,256 | 97,828 | |||||||||||||||
Total liabilities | 233,186,320 | 204,831,916 | 209,906,498 | 51,919,757 | |||||||||||||||
Net Assets | $ | 411,200,192 | $ | 435,228,398 | $ | 455,148,203 | $ | 126,879,103 | |||||||||||
1 Investments at cost — unaffiliated | $ | 565,566,273 | $ | 598,717,928 | $ | 622,082,858 | $ | 167,334,601 | |||||||||||
2 Investments at cost — affiliated | $ | 2,677,125 | $ | 4,128,807 | $ | 4,840,770 | $ | 2,757,840 | |||||||||||
3 Foreign currency at cost | $ | 165,295 | $ | 5,647 | $ | 320,044 | $ | 32,595 | |||||||||||
4 Proceeds from TBA sale commitments | $ | 8,690,719 | — | — | — | ||||||||||||||
5 Premiums received | $ | 3,446,258 | $ | 157,950 | $ | 165,240 | — |
* | Consolidated Statements of Assets and Liabilities. |
118 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Assets and Liabilities (concluded) |
February 28, 2013 (Unaudited) | BlackRock Core Bond Trust (BHK) | BlackRock Corporate High Yield Fund V, Inc. (HYV)* | BlackRock Corporate High Yield Fund VI, Inc. (HYT)* | BlackRock High Income Shares (HIS) | |||||||||||||||
Net Assets Consist of | |||||||||||||||||||
Paid-in capital6,7,8 | $ | 378,960,758 | $ | 470,688,615 | $ | 506,565,764 | $ | 158,633,827 | |||||||||||
Undistributed net investment income | 6,052,344 | 4,434,679 | 5,837,020 | 1,549,178 | |||||||||||||||
Accumulated net realized loss | (13,435,739 | ) | (63,018,441 | ) | (80,641,018 | ) | (37,796,069 | ) | |||||||||||
Net unrealized appreciation/depreciation | 39,622,829 | 23,123,545 | 23,386,437 | 4,492,167 | |||||||||||||||
Net Assets | $ | 411,200,192 | $ | 435,228,398 | $ | 455,148,203 | $ | 126,879,103 | |||||||||||
Net asset value per share | $ | 15.21 | $ | 13.18 | $ | 12.85 | $ | 2.31 | |||||||||||
6 Par value per share | $ | 0.001 | $ | 0.100 | $ | 0.100 | — | ||||||||||||
7 Shares outstanding | 27,041,847 | 33,015,111 | 35,414,156 | 54,824,195 | |||||||||||||||
8 Shares authorized | unlimited | 200 million | 200 million | unlimited |
* | Consolidated Statements of Assets and Liabilities. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 119 |
Statements of Assets and Liabilities |
February 28, 2013 (Unaudited) | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust, Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Assets | |||||||||||||||||||
Investments at value — unaffiliated1 | $ | 66,013,096 | $ | 599,851,356 | $ | 831,678,604 | $ | 130,908,750 | |||||||||||
Investments at value — affiliated2 | 2,001,193 | — | 790,665 | 3,272,481 | |||||||||||||||
Foreign currency at value3 | 11,231 | 22,379 | — | 63,496 | |||||||||||||||
Cash | — | 1,805,619 | — | — | |||||||||||||||
Cash pledged as collateral for financial futures contracts | 63,000 | 1,146,000 | 3,087,000 | 98,660 | |||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | — | 846,837 | — | — | |||||||||||||||
Cash pledged as collateral for swaps | — | 3,210,000 | 4,700,000 | 10,000 | |||||||||||||||
TBA sale commitments receivable | — | 8,690,719 | 108,711,141 | — | |||||||||||||||
Investments sold receivable | 868,700 | 15,991,976 | 11,068,127 | 530,766 | |||||||||||||||
Interest receivable | 947,007 | 6,271,404 | 3,080,548 | 1,781,150 | |||||||||||||||
Unrealized appreciation on swaps | 132,849 | 1,547,435 | 9,310,554 | 279,908 | |||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 65,846 | 640,651 | — | 264,050 | |||||||||||||||
Swaps receivable | 28,472 | 91,145 | 785,236 | 25,799 | |||||||||||||||
Swap premiums paid | 19,640 | 133,273 | — | 43,465 | |||||||||||||||
Principal paydown receivable | — | — | 152,793 | — | |||||||||||||||
Variation margin receivable | 1,000 | 26,612 | — | 3,526 | |||||||||||||||
Dividends receivable | 40 | — | — | — | |||||||||||||||
Prepaid expenses | 2,408 | 18,889 | 19,633 | 4,578 | |||||||||||||||
Other assets | — | 99,337 | 16,767 | — | |||||||||||||||
Total assets | 70,154,482 | 640,393,632 | 973,401,068 | 137,286,629 | |||||||||||||||
Liabilities | |||||||||||||||||||
Bank overdraft | — | — | — | 337,516 | |||||||||||||||
Reverse repurchase agreements | — | 180,802,432 | 207,791,057 | — | |||||||||||||||
Loan payable | 18,000,000 | — | — | 28,000,000 | |||||||||||||||
Cash received as collateral for swaps | — | 1,100,000 | 6,700,000 | — | |||||||||||||||
Cash received as collateral for reverse repurchase agreements | — | — | 420,000 | — | |||||||||||||||
Investments purchased payable | 2,832,853 | 34,977,401 | 147,730,464 | 4,092,370 | |||||||||||||||
TBA sale commitments at value4 | — | 8,696,625 | 108,850,082 | — | |||||||||||||||
Unrealized depreciation on swaps | 11,053 | 361,123 | 10,587,370 | 15,157 | |||||||||||||||
Options written at value5 | 9,362 | 2,733,396 | — | 29,046 | |||||||||||||||
Swap premiums received | 209,283 | 330,779 | 225,876 | 297,770 | |||||||||||||||
Swaps payable | 858 | 666,035 | 1,111,577 | 9,129 | |||||||||||||||
Investment advisory fees payable | 44,900 | 187,243 | 243,836 | 75,185 | |||||||||||||||
Borrowed bonds6 | — | — | 853,526 | — | |||||||||||||||
Interest expense payable | 12,035 | 94,683 | 45,836 | 19,261 | |||||||||||||||
Officer’s and Trustees’ fees payable | 13,311 | 95,553 | 99,505 | 12,268 | |||||||||||||||
Income dividends payable | — | 49,992 | 111,430 | — | |||||||||||||||
Variation margin payable | — | — | 149,679 | — | |||||||||||||||
Administration fees payable | 4,992 | 31,209 | 56,339 | — | |||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 2,598 | 23,321 | — | 4,337 | |||||||||||||||
Other liabilities | — | 879,346 | — | — | |||||||||||||||
Other accrued expenses payable | 78,352 | 159,797 | 154,941 | 88,336 | |||||||||||||||
Total liabilities | 21,219,597 | 231,188,935 | 485,131,518 | 32,980,375 | |||||||||||||||
Net Assets | $ | 48,934,885 | $ | 409,204,697 | $ | 488,269,550 | $ | 104,306,254 | |||||||||||
1 Investments at cost — unaffiliated | $ | 62,948,174 | $ | 562,145,838 | $ | 820,139,539 | $ | 123,525,815 | |||||||||||
2 Investments at cost — affiliated | $ | 2,001,193 | — | $ | 790,665 | $ | 3,272,481 | ||||||||||||
3 Foreign currency at cost | $ | 11,506 | $ | 23,179 | — | $ | 65,244 | ||||||||||||
4 Proceeds from TBA sale commitments | — | $ | 8,690,719 | $ | 108,711,141 | — | |||||||||||||
5 Premiums received | $ | 18,225 | $ | 3,446,468 | — | $ | 45,000 | ||||||||||||
6 Borrowed bonds — cost | — | — | $ | 842,347 | — |
120 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Assets and Liabilities (concluded) |
February 28, 2013 (Unaudited) | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust, Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Net Assets Consist of | |||||||||||||||||||
Paid-in capital7,8,9 | $ | 58,179,449 | $ | 402,924,496 | $ | 478,542,248 | $ | 98,547,751 | |||||||||||
Cost of shares held in the treasury10 | — | (17,377,850 | ) | — | — | ||||||||||||||
Undistributed net investment income | 200,744 | 5,361,903 | 2,970,779 | 623,475 | |||||||||||||||
Accumulated net realized loss | (12,691,635 | ) | (21,503,257 | ) | (2,157,480 | ) | (2,728,146 | ) | |||||||||||
Net unrealized appreciation/depreciation | 3,246,327 | 39,799,405 | 8,914,003 | 7,863,174 | |||||||||||||||
Net Assets | $ | 48,934,885 | $ | 409,204,697 | $ | 488,269,550 | $ | 104,306,254 | |||||||||||
Net asset value per share | $ | 7.61 | $ | 11.88 | $ | 7.64 | $ | 14.76 | |||||||||||
7 Par value per share | $ | 0.001 | $ | 0.01 | $ | 0.01 | $ | 0.001 | |||||||||||
8 Shares outstanding | 6,430,618 | 34,456,370 | 63,942,535 | 7,065,121 | |||||||||||||||
9 Shares authorized | unlimited | 200 million | 200 million | unlimited | |||||||||||||||
10 Shares held in treasury | — | 1,757,400 | — | — |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 121 |
Statements of Operations |
Six Months Ended February 28, 2013 (Unaudited) | BlackRock Core Bond Trust (BHK) | BlackRock Corporate High Yield Fund V, Inc. (HYV)1 | BlackRock Corporate High Yield Fund VI, Inc. (HYT)1 | BlackRock High Income Shares (HIS) | |||||||||||||||
Investment Income | |||||||||||||||||||
Interest | $ | 14,036,307 | $ | 19,902,069 | $ | 20,785,080 | $ | 5,893,517 | |||||||||||
Dividends — unaffiliated | 112,500 | 769,377 | 840,690 | 56,653 | |||||||||||||||
Dividends — affiliated | 1,715 | 893 | 872 | 402 | |||||||||||||||
Total income | 14,150,522 | 20,672,339 | 21,626,642 | 5,950,572 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment advisory | 1,656,990 | 1,786,245 | 2,168,937 | 611,926 | |||||||||||||||
Professional | 60,096 | 63,997 | 70,110 | 39,182 | |||||||||||||||
Accounting services | 43,015 | 65,095 | 67,270 | 35,730 | |||||||||||||||
Borrowing costs2 | — | 102,238 | 109,816 | 38,537 | |||||||||||||||
Custodian | 27,607 | 41,299 | 48,301 | 18,704 | |||||||||||||||
Transfer agent | 25,011 | 22,157 | 25,067 | 27,580 | |||||||||||||||
Officer and Trustees | 24,502 | 27,647 | 30,076 | 7,411 | |||||||||||||||
Printing | 11,413 | 12,335 | 12,314 | 6,218 | |||||||||||||||
Registration | 4,556 | 5,571 | 5,950 | 9,255 | |||||||||||||||
Miscellaneous | 16,971 | 47,732 | 43,189 | 6,523 | |||||||||||||||
Total expenses excluding interest expense and income tax | 1,870,161 | 2,174,316 | 2,581,030 | 801,066 | |||||||||||||||
Interest expense | 266,182 | 810,947 | 834,304 | 181,839 | |||||||||||||||
Income tax | — | 4,230 | 4,230 | — | |||||||||||||||
Total expenses | 2,136,343 | 2,989,493 | 3,419,564 | 982,905 | |||||||||||||||
Less fees waived by Manager | (91,160 | ) | (511 | ) | (481 | ) | (212 | ) | |||||||||||
Total expenses after fees waived | 2,045,183 | 2,988,982 | 3,419,083 | 982,693 | |||||||||||||||
Net investment income | 12,105,339 | 17,683,357 | 18,207,559 | 4,967,879 | |||||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||
Investments — unaffiliated | 798,600 | 15,843,838 | 15,155,587 | 2,261,074 | |||||||||||||||
Capital gain distributions received from affiliated investment companies | 72 | 114 | 110 | 33 | |||||||||||||||
Financial futures contracts | (487,641 | ) | (1,190,225 | ) | (1,244,415 | ) | (352,864 | ) | |||||||||||
Foreign currency transactions | (927,467 | ) | (2,739,206 | ) | (2,876,970 | ) | (405,782 | ) | |||||||||||
Options written | 833,231 | — | — | — | |||||||||||||||
Swaps | 22,253 | 1,037,844 | 1,071,254 | 43,127 | |||||||||||||||
Borrowed bonds | 155,006 | — | — | — | |||||||||||||||
394,054 | 12,952,365 | 12,105,566 | 1,545,588 | ||||||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||||||
Investments | (1,740,284 | ) | 5,306,703 | 5,911,289 | 1,656,322 | ||||||||||||||
Financial futures contracts | (221,494 | ) | 748,203 | 781,449 | 222,399 | ||||||||||||||
Foreign currency translations | 901,402 | 2,544,773 | 2,682,440 | 267,007 | |||||||||||||||
Options written | 662,437 | 76,812 | 80,357 | — | |||||||||||||||
Swaps | 1,178,428 | 93,922 | 79,613 | — | |||||||||||||||
780,489 | 8,770,413 | 9,535,148 | 2,145,728 | ||||||||||||||||
Total realized and unrealized gain | 1,174,543 | 21,722,778 | 21,640,714 | 3,691,316 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 13,279,882 | $ | 39,406,135 | $ | 39,848,273 | $ | 8,659,195 |
1 | Consolidated Statement of Operations. |
2 | See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
122 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Operations |
Six Months Ended February 28, 2013 (Unaudited) | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust, Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Investment Income | |||||||||||||||||||
Interest | $ | 2,240,324 | $ | 13,510,406 | $ | 12,978,930 | $ | 4,180,508 | |||||||||||
Dividends — unaffiliated | 20,368 | 112,500 | — | 33,810 | |||||||||||||||
Dividends — affiliated | 366 | 960 | 2,947 | 395 | |||||||||||||||
Total income | 2,261,058 | 13,623,866 | 12,981,877 | 4,214,713 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment advisory | 292,616 | 1,221,104 | 1,603,578 | 493,276 | |||||||||||||||
Administration | 32,513 | 203,517 | 370,057 | — | |||||||||||||||
Professional | 29,111 | 49,416 | 56,310 | 33,994 | |||||||||||||||
Accounting services | 26,068 | 42,902 | 40,297 | 30,821 | |||||||||||||||
Borrowing costs1 | 9,903 | — | — | 23,122 | |||||||||||||||
Custodian | 13,350 | 27,910 | 31,790 | 16,546 | |||||||||||||||
Transfer agent | 16,379 | 31,707 | 61,609 | 15,097 | |||||||||||||||
Officer and Trustees | 3,693 | 27,317 | 32,161 | 6,672 | |||||||||||||||
Printing | 4,844 | 11,718 | 11,564 | 5,806 | |||||||||||||||
Registration | 4,573 | 5,832 | 10,875 | 4,528 | |||||||||||||||
Miscellaneous | 5,237 | 18,903 | 17,328 | 4,670 | |||||||||||||||
Total expenses excluding interest expense | 438,287 | 1,640,326 | 2,235,569 | 634,532 | |||||||||||||||
Interest expense | 82,687 | 274,835 | 289,520 | 136,901 | |||||||||||||||
Total expenses | 520,974 | 1,915,161 | 2,525,089 | 771,433 | |||||||||||||||
Less fees waived by Manager | (199 | ) | (543 | ) | (1,707 | ) | (202 | ) | |||||||||||
Total expenses after fees waived | 520,775 | 1,914,618 | 2,523,382 | 771,231 | |||||||||||||||
Net investment income | 1,740,283 | 11,709,248 | 10,458,495 | 3,443,482 | |||||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||
Investments | 1,455,975 | 2,578,180 | (4,457,570 | ) | 2,661,057 | ||||||||||||||
Capital gain distributions received from affiliated investment companies | 12 | 26 | 94 | 22 | |||||||||||||||
Financial futures contracts | (133,577 | ) | (651,542 | ) | 1,194,444 | 105,956 | |||||||||||||
Foreign currency transactions | (139,649 | ) | (789,721 | ) | — | (490,157 | ) | ||||||||||||
Options written | — | 829,609 | — | 27,072 | |||||||||||||||
Swaps | 73,654 | (401,629 | ) | 226,694 | 25,595 | ||||||||||||||
Borrowed bonds | — | 342,608 | 343,788 | — | |||||||||||||||
1,256,415 | 1,907,531 | (2,692,550 | ) | 2,329,545 | |||||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||||||
Investments | 550,111 | (3,707,486 | ) | (12,785,293 | ) | (208,512 | ) | ||||||||||||
Financial futures contracts | 75,707 | (135,736 | ) | 625,431 | (23,586 | ) | |||||||||||||
Foreign currency translations | 112,393 | 886,296 | — | 419,459 | |||||||||||||||
Options written | 8,863 | 663,827 | — | (486 | ) | ||||||||||||||
Swaps | 23,252 | 1,596,722 | (311,671 | ) | 205,542 | ||||||||||||||
Borrowed bonds | — | — | 661,354 | — | |||||||||||||||
770,326 | (696,377 | ) | (11,810,179 | ) | 392,417 | ||||||||||||||
Total realized and unrealized gain (loss) | 2,026,741 | 1,211,154 | (14,502,729 | ) | 2,721,962 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 3,767,024 | $ | 12,920,402 | $ | (4,044,234 | ) | $ | 6,165,444 |
1 | See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 123 |
Statements of Changes in Net Assets |
BlackRock Core Bond Trust (BHK) | BlackRock High Income Shares (HIS) | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 12,105,339 | $ | 23,862,728 | $ | 4,967,879 | $ | 10,999,966 | |||||||||||||||
Net realized gain (loss) | 394,054 | 12,725,546 | 1,545,588 | (1,548,634 | ) | ||||||||||||||||||
Net change in unrealized appreciation/depreciation | 780,489 | 24,398,010 | 2,145,728 | 6,381,729 | |||||||||||||||||||
Net increase in net assets resulting from operations | 13,279,882 | 60,986,284 | 8,659,195 | 15,833,061 | |||||||||||||||||||
Dividends to Shareholders From | |||||||||||||||||||||||
Net investment income | (13,437,322 | ) | (22,212,928 | )1 | (5,707,816 | ) | (11,172,280 | )1 | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Refund of offering costs previously charged to paid-in capital | — | — | — | 2,126 | |||||||||||||||||||
Reinvestment of dividends | 221,789 | 67,030 | 182,367 | 273,904 | |||||||||||||||||||
Net increase in net assets resulting from capital share transactions | 221,789 | 67,030 | 182,367 | 276,030 | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase in net assets | 64,349 | 38,840,386 | 3,133,746 | 4,936,811 | |||||||||||||||||||
Beginning of period | 411,135,843 | 372,295,457 | 123,745,357 | 118,808,546 | |||||||||||||||||||
End of period | $ | 411,200,192 | $ | 411,135,843 | $ | 126,879,103 | $ | 123,745,357 | |||||||||||||||
Undistributed net investment income | $ | 6,052,344 | $ | 7,384,327 | $ | 1,549,178 | $ | 2,289,115 | |||||||||||||||
BlackRock Corporate High Yield Fund V, Inc. (HYV) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) | ||||||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | |||||||||||||||||||||||||
Operations | |||||||||||||||||||||||||||||
Net investment income | $ | 17,683,357 | $ | 35,444,739 | $ | 18,207,559 | $ | 36,665,376 | |||||||||||||||||||||
Net realized gain (loss) | 12,952,365 | (2,168,911 | ) | 12,105,566 | (3,682,719 | ) | |||||||||||||||||||||||
Net change in unrealized appreciation/depreciation | 8,770,413 | 32,228,184 | 9,535,148 | 32,859,977 | |||||||||||||||||||||||||
Net increase in net assets resulting from operations | 39,406,135 | 65,504,012 | 39,848,273 | 65,842,634 | |||||||||||||||||||||||||
Dividends to Shareholders From | |||||||||||||||||||||||||||||
Net investment income | (21,029,035 | ) | (35,208,709 | )1 | (21,096,527 | ) | (36,599,844 | )1 | |||||||||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||||||||
Refund of offering costs previously charged to paid-in capital | — | — | — | 8,495 | |||||||||||||||||||||||||
Reinvestment of dividends | 150,281 | 718,285 | 441,434 | 1,006,632 | |||||||||||||||||||||||||
Net increase in net assets resulting from capital share transactions | 150,281 | 718,285 | 441,434 | 1,015,127 | |||||||||||||||||||||||||
Net Assets | |||||||||||||||||||||||||||||
Total increase in net assets | 18,527,381 | 31,013,588 | 19,193,180 | 30,257,917 | |||||||||||||||||||||||||
Beginning of period | 416,701,017 | 385,687,429 | 435,955,023 | 405,697,106 | |||||||||||||||||||||||||
End of period | $ | 435,228,398 | $ | 416,701,017 | $ | 455,148,203 | $ | 435,955,023 | |||||||||||||||||||||
Undistributed net investment income | $ | 4,434,679 | $ | 7,780,357 | $ | 5,837,020 | $ | 8,725,988 |
1 | Dividends are determined in accordance with federal income tax regulations. |
124 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Changes in Net Assets |
BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust, Inc. (BNA) | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 1,740,283 | $ | 3,397,215 | $ | 11,709,248 | $ | 23,112,371 | |||||||||||||||
Net realized gain | 1,256,415 | 793,181 | 1,907,531 | 10,895,929 | |||||||||||||||||||
Net change in unrealized appreciation/depreciation | 770,326 | 2,402,266 | (696,377 | ) | 25,143,570 | ||||||||||||||||||
Net increase in net assets resulting from operations | 3,767,024 | 6,592,662 | 12,920,402 | 59,151,870 | |||||||||||||||||||
Dividends to Shareholders From | |||||||||||||||||||||||
Net investment income | (1,716,806 | ) | (3,374,830 | )1 | (11,784,079 | ) | (22,258,816 | )1 | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Reinvestment of dividends | 8,274 | 14,323 | — | — | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase in net assets | 2,058,492 | 3,232,155 | 1,136,323 | 36,893,054 | |||||||||||||||||||
Beginning of period | 46,876,393 | 43,644,238 | 408,068,374 | 371,175,320 | |||||||||||||||||||
End of period | $ | 48,934,885 | $ | 46,876,393 | $ | 409,204,697 | $ | 408,068,374 | |||||||||||||||
Undistributed net investment income | $ | 200,744 | $ | 177,267 | $ | 5,361,903 | $ | 5,436,734 | |||||||||||||||
BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | ||||||||||||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 10,458,495 | $ | 24,774,308 | $ | 3,443,482 | $ | 6,983,209 | |||||||||||||||
Net realized gain (loss) | (2,692,550 | ) | 13,620,770 | 2,329,545 | 1,329,497 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation | (11,810,179 | ) | (8,999,000 | ) | 392,417 | 5,886,978 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (4,044,234 | ) | 29,396,078 | 6,165,444 | 14,199,684 | ||||||||||||||||||
Dividends and Distributions to Shareholders From | |||||||||||||||||||||||
Net investment income | (15,538,036 | ) | (17,586,939 | )2 | (3,630,533 | ) | (7,652,086 | )1 | |||||||||||||||
Net realized gain | — | (12,721,826 | )2 | — | — | ||||||||||||||||||
Decrease in net assets resulting from dividends and distributions to shareholders | (15,538,036 | ) | (30,308,765 | ) | (3,630,533 | ) | (7,652,086 | ) | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Reinvestment of dividends | — | — | 46,856 | 50,250 | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total decrease in net assets | (19,582,270 | ) | (912,687 | ) | 2,581,767 | 6,597,848 | |||||||||||||||||
Beginning of period | 507,851,820 | 508,764,507 | 101,724,487 | 95,126,639 | |||||||||||||||||||
End of period | $ | 488,269,550 | $ | 507,851,820 | $ | 104,306,254 | $ | 101,724,487 | |||||||||||||||
Undistributed net investment income | $ | 2,970,779 | $ | 8,050,320 | $ | 623,475 | $ | 810,526 |
1 | Dividends are determined in accordance with federal income tax regulations. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 125 |
Statements of Cash Flows |
Six Months Ended February 28, 2013 (Unaudited) | BlackRock Core Bond Trust (BHK) | BlackRock Corporate High Yield Fund V, Inc. (HYV)1 | BlackRock Corporate High Yield Fund VI, Inc. (HYT)1 | BlackRock High Income Shares (HIS) | |||||||||||||||
Cash Provided by Operating Activities | |||||||||||||||||||
Net increase in net assets resulting from operations | $ | 13,279,882 | $ | 39,406,135 | $ | 39,848,273 | $ | 8,659,195 | |||||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | |||||||||||||||||||
(Increase) decrease in interest receivable | (167,454 | ) | 440,587 | 524,481 | 47,159 | ||||||||||||||
(Increase) decrease in swaps receivable | 91,141 | (63,147 | ) | (61,906 | ) | — | |||||||||||||
Increase in other assets | (30,391 | ) | — | — | — | ||||||||||||||
Increase in prepaid expenses | (19,201 | ) | (6,558 | ) | (6,757 | ) | (3,533 | ) | |||||||||||
(Increase) decrease in dividends receivable | — | 1,546 | (371 | ) | — | ||||||||||||||
Increase in variation margin receivable | (16,176 | ) | (9,125 | ) | (9,625 | ) | (3,125 | ) | |||||||||||
(Increase) decrease in cash pledged as collateral for financial futures contracts | (423,000 | ) | 424,000 | 441,000 | 86,000 | ||||||||||||||
Decrease in cash pledged as collateral for swaps | 4,180,000 | — | — | — | |||||||||||||||
Decrease in cash pledged as collateral for reverse repurchase agreements | 27,381 | — | — | — | |||||||||||||||
Decrease in investment advisory fees payable | (21,384 | ) | (18,524 | ) | (23,493 | ) | (8,577 | ) | |||||||||||
Increase in interest expense payable | 27,610 | 66,977 | 68,937 | 20,604 | |||||||||||||||
Decrease in other accrued expenses payable | (5,869 | ) | (48,803 | ) | (26,236 | ) | (12,230 | ) | |||||||||||
Decrease in variation margin payable | — | (69,600 | ) | (72,800 | ) | (21,600 | ) | ||||||||||||
Increase (decrease) in swaps payable | 383,228 | (78,215 | ) | (83,517 | ) | — | |||||||||||||
Increase in Officer’s and Trustees’ fees payable | 1,421 | 17,770 | 19,742 | 1,809 | |||||||||||||||
Increase (decrease) in cash received as collateral for swaps | (100,000 | ) | 600,000 | 600,000 | — | ||||||||||||||
Decrease in cash received as collateral for reverse repurchase agreements | (590,475 | ) | — | — | — | ||||||||||||||
Net periodic and termination payments of swaps | 229,525 | 2,554,799 | 2,641,126 | 43,127 | |||||||||||||||
Net realized and unrealized gain on investments | (2,730,358 | ) | (23,823,358 | ) | (24,925,651 | ) | (4,135,089 | ) | |||||||||||
Amortization of premium and accretion of discount on investments | 2,172,048 | (734,827 | ) | (49,369 | ) | (84,191 | ) | ||||||||||||
Premiums received from options written | 5,066,398 | 157,950 | 165,240 | — | |||||||||||||||
Proceeds from sales of long-term investments | 390,405,852 | 242,463,197 | 255,726,999 | 67,437,159 | |||||||||||||||
Purchases of long-term investments | (389,406,029 | ) | (237,301,794 | ) | (248,773,738 | ) | (66,923,392 | ) | |||||||||||
Proceeds from borrowed bond transactions | 12,005,469 | — | — | — | |||||||||||||||
Payments for borrowed bond transactions | (11,850,463 | ) | — | — | — | ||||||||||||||
Net proceeds from sales (purchases) of short-term securities | (2,143,100 | ) | (4,128,668 | ) | (4,840,770 | ) | (2,757,840 | ) | |||||||||||
Premiums paid on closing options written | (9,490,509 | ) | — | — | — | ||||||||||||||
Cash provided by operating activities | 10,875,546 | 19,850,342 | 21,161,565 | 2,345,476 | |||||||||||||||
Cash Used for Financing Activities | |||||||||||||||||||
Net borrowing of reverse repurchase agreements | 755,038 | — | — | — | |||||||||||||||
Cash receipts from borrowings | — | 99,000,000 | 102,000,000 | 28,000,000 | |||||||||||||||
Cash payments on borrowings | — | (100,000,000 | ) | (105,000,000 | ) | (26,000,000 | ) | ||||||||||||
Cash dividends paid to shareholders | (13,161,013 | ) | (20,808,322 | ) | (20,566,595 | ) | (5,525,449 | ) | |||||||||||
Increase in bank overdraft | — | 138,781 | 307,820 | — | |||||||||||||||
Cash used for financing activities | (12,405,975 | ) | (21,669,541 | ) | (23,258,775 | ) | (3,525,449 | ) | |||||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||||||
Cash impact from foreign exchange fluctuations | (29,111 | ) | (505 | ) | (3,489 | ) | (1,473 | ) | |||||||||||
Cash and Foreign Currency | |||||||||||||||||||
Net increase in cash and foreign currency | (1,559,540 | ) | (1,819,704 | ) | (2,100,699 | ) | (1,181,446 | ) | |||||||||||
Cash and foreign currency at beginning of period | 1,779,246 | 1,825,285 | 2,418,110 | 1,213,167 | |||||||||||||||
Cash and foreign currency at end of period | $ | 219,706 | $ | 5,581 | $ | 317,411 | $ | 31,721 | |||||||||||
Cash Flow Information | |||||||||||||||||||
Cash paid during the period for interest | $ | 238,572 | $ | 743,970 | $ | 765,367 | $ | 161,235 | |||||||||||
Non-cash Financing Activities | |||||||||||||||||||
Capital shares issued in reinvestment of dividends | $ | 221,789 | $ | 150,281 | $ | 441,434 | $ | 182,367 |
1 | Consolidated Statement of Cash Flows. |
126 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Cash Flows |
Six Months Ended February 28, 2013 (Unaudited) | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Cash Provided by (Used for) Operating Activities | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,767,024 | $ | 12,920,402 | $ | (4,044,234 | ) | $ | 6,165,444 | ||||||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |||||||||||||||||||
(Increase) decrease in interest receivable | 57,473 | (52,860 | ) | (149,051 | ) | 78,264 | |||||||||||||
(Increase) decrease in swaps receivable | (13,705 | ) | 100,390 | 69,020 | (16,353 | ) | |||||||||||||
Increase in other assets | — | (99,337 | ) | (16,767 | ) | — | |||||||||||||
Increase in prepaid expenses | (1,425 | ) | (1,842 | ) | (987 | ) | (3,695 | ) | |||||||||||
Increase in dividends receivable | (40 | ) | — | — | — | ||||||||||||||
Increase in variation margin receivable | (1,000 | ) | (26,612 | ) | — | (2,434 | ) | ||||||||||||
(Increase) decrease in cash pledged as collateral for financial futures contracts | 8,000 | 198,000 | (623,000 | ) | — | ||||||||||||||
(Increase) derease in cash pledged as collateral for reverse repurchase agreements | — | (94,837 | ) | 50,000 | — | ||||||||||||||
(Increase) decrease in cash pledged as collateral for swaps | — | 4,110,000 | (1,400,000 | ) | 20,000 | ||||||||||||||
Decrease in investment advisory fees payable | (3,632 | ) | (17,795 | ) | (35,876 | ) | (5,081 | ) | |||||||||||
Increase in interest expense payable | 7,051 | 39,487 | 13,108 | 18,171 | |||||||||||||||
Decrease in administration fees payable | (402 | ) | (2,976 | ) | (8,250 | ) | — | ||||||||||||
Decrease in other accrued expenses payable | (11,915 | ) | (19,144 | ) | (24,755 | ) | (7,921 | ) | |||||||||||
Decrease in variation margin payable | (7,200 | ) | (36,766 | ) | (937,600 | ) | (14,398 | ) | |||||||||||
Increase (decrease) in swaps payable | (20,058 | ) | 405,864 | (47,093 | ) | 3,168 | |||||||||||||
Increase (decrease) in Officer’s and Trustees’ fees payable | 1,558 | 5,927 | (540 | ) | 2,041 | ||||||||||||||
Increase in cash received as collateral for reverese repurchase agreements | — | (127,000 | ) | 420,000 | — | ||||||||||||||
Increase (decrease) in cash received as collateral for swaps | — | (100,000 | ) | 2,600,000 | — | ||||||||||||||
Net periodic and termination payments of swaps | 260,099 | (194,576 | ) | 213,051 | 334,402 | ||||||||||||||
Net realized and unrealized (gain) loss on investments | (2,186,715 | ) | (2,583,504 | ) | 17,300,030 | (3,065,268 | ) | ||||||||||||
Amortization of premium and accretion of discount on investments | 3,375 | 2,461,762 | 5,484,056 | 58,233 | |||||||||||||||
Premiums received from options written | 18,225 | 5,072,909 | — | 143,425 | |||||||||||||||
Proceeds from sales of long-term investments | 25,299,243 | 393,992,380 | 1,579,169,796 | 33,761,253 | |||||||||||||||
Purchases of long-term investments | (23,683,345 | ) | (388,140,937 | ) | (1,672,359,053 | ) | (30,620,607 | ) | |||||||||||
Proceeds from borrowed bond transactions | — | 13,456,176 | 41,962,393 | — | |||||||||||||||
Payments for borrowed bond transactions | — | (13,113,568 | ) | (59,828,221 | ) | — | |||||||||||||
Net proceeds from sales (purchases) of short-term securities | (796,225 | ) | 1,343,014 | 19,658,846 | (3,272,481 | ) | |||||||||||||
Premiums paid on closing options written | — | (9,491,046 | ) | — | (158,423 | ) | |||||||||||||
Cash provided by (used for) operating activities | 2,696,386 | 20,003,511 | (72,535,127 | ) | 3,417,740 | ||||||||||||||
Cash Provided by (Used for) Financing Activities | |||||||||||||||||||
Net borrowing of reverse repurchase agreements | — | (7,252,913 | ) | 88,084,978 | — | ||||||||||||||
Cash receipts from borrowings | 12,000,000 | — | — | 21,000,000 | |||||||||||||||
Cash payments on borrowings | (13,000,000 | ) | — | — | (23,000,000 | ) | |||||||||||||
Cash dividends paid to shareholders | (1,708,532 | ) | (11,788,309 | ) | (15,549,851 | ) | (3,583,677 | ) | |||||||||||
Increase in bank overdraft | — | — | — | 337,516 | |||||||||||||||
Cash provided by (used for) financing activities | (2,708,532 | ) | (19,041,222 | ) | 72,535,127 | (5,246,161 | ) | ||||||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||||||
Cash impact from foreign exchange fluctuations | (688 | ) | (7,427 | ) | — | (2,024 | ) | ||||||||||||
Cash and Foreign Currency | |||||||||||||||||||
Net increase (decrease) in cash and foreign currency | (12,834 | ) | 954,862 | — | (1,830,445 | ) | |||||||||||||
Cash and foreign currency at beginning of period | 24,065 | 873,136 | — | 1,893,941 | |||||||||||||||
Cash and foreign currency at end of period | $ | 11,231 | $ | 1,827,998 | — | $ | 63,496 | ||||||||||||
Cash Flow Information | |||||||||||||||||||
Cash paid during the period for interest | $ | 75,636 | $ | 235,348 | $ | 276,412 | $ | 118,473 | |||||||||||
Non-cash Financing Activities | |||||||||||||||||||
Capital shares issued in reinvestment of dividends | $ | 8,274 | — | — | $ | 46,856 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 127 |
Financial Highlights | BlackRock Core Bond Trust (BHK) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.21 | $ | 13.78 | $ | 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | $ | 13.82 | |||||||||||||||||
Net investment income | 0.45 | 1 | 0.88 | 1 | 0.83 | 1 | 0.87 | 1 | 0.80 | 1 | 0.50 | 1 | 0.74 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | 1.37 | (0.36 | ) | 1.76 | (0.28 | ) | (0.69 | ) | (0.13 | ) | ||||||||||||||||||||
Net increase (decrease) from investment operations | 0.50 | 2.25 | 0.47 | 2.63 | 0.52 | (0.19 | ) | 0.61 | |||||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||||||
Net investment income | (0.50 | ) | (0.82 | )2 | (0.88 | )2 | (1.00 | )2 | (0.77 | )2 | (0.61 | )2 | (0.61 | )2 | |||||||||||||||||
Tax return of capital | — | — | — | — | — | (0.02 | )2 | (0.19 | )2 | ||||||||||||||||||||||
Total dividends and distributions | (0.50 | ) | (0.82 | ) | (0.88 | ) | (1.00 | ) | (0.77 | ) | (0.63 | ) | (0.80 | ) | |||||||||||||||||
Net asset value, end of period | $ | 15.21 | $ | 15.21 | $ | 13.78 | $ | 14.19 | $ | 12.56 | $ | 12.81 | $ | 13.63 | |||||||||||||||||
Market price, end of period | $ | 14.99 | $ | 15.41 | $ | 12.69 | $ | 13.92 | $ | 11.98 | $ | 11.51 | $ | 12.23 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | 3.30% | 4 | 17.06% | 4.02% | 22.44% | 5.28% | (1.00)% | 4 | 5.04% | ||||||||||||||||||||||
Based on market price | 0.49% | 4 | 28.78% | (2.35)% | 25.93% | 11.76% | (0.87)% | 4 | 1.29% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 1.04% | 5 | 0.95% | 1.02% | 1.18% | 1.06% | 2.29% | 5 | 1.60% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.00% | 5 | 0.94% | 1.02% | 1.18% | 1.06% | 2.29% | 5 | 1.60% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and fees | 0.87% | 5 | 0.86% | 0.93% | 0.95% | 0.83% | 0.89% | 5 | 0.78% | ||||||||||||||||||||||
Net investment income | 5.91% | 5 | 6.13% | 6.05% | 6.62% | 7.09% | 4.55% | 5 | 5.36% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 411,200 | $ | 411,136 | $ | 372,295 | $ | 383,540 | $ | 339,524 | $ | 346,177 | $ | 368,335 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 183,434 | $ | 182,679 | $ | 152,301 | $ | 168,938 | $ | 74,572 | $ | 107,690 | $ | 103,354 | |||||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 195,158 | $ | 143,234 | $ | 151,080 | $ | 162,760 | $ | 73,467 | $ | 134,784 | $ | 44,786 | |||||||||||||||||
Portfolio turnover | 63% | 6 | 290% | 7 | 824% | 8 | 641% | 9 | 315% | 10 | 598% | 11 | 122% | ||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,242 | $ | 3,251 | $ | 3,444 | $ | 3,270 | $ | 5,553 | $ | 4,215 | $ | 4,564 |
1 | Based on average shares outstanding. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 42%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 237%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%. |
9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%. |
10 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%. |
11 | Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%. |
128 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Financial Highlights | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
Six Months Ended February 28, 20131 (Unaudited) | Year Ended August 31, | ||||||||||||||||||||||||||
20121 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.63 | $ | 11.71 | $ | 11.61 | $ | 9.71 | $ | 11.94 | $ | 13.83 | |||||||||||||||
Net investment income2 | 0.54 | 1.08 | 1.09 | 1.06 | 1.07 | 1.18 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.65 | 0.91 | 0.07 | 1.86 | (2.10 | ) | (1.85 | ) | |||||||||||||||||||
Net increase (decrease) from investment operations | 1.19 | 1.99 | 1.16 | 2.92 | (1.03 | ) | (0.67 | ) | |||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.64 | ) | (1.07 | )3 | (1.06 | )3 | (1.02 | )3 | (1.20 | )3 | (1.17 | )3 | |||||||||||||||
Net realized gain | — | — | — | — | — | (0.05 | )3 | ||||||||||||||||||||
Total dividends and distributions | (0.64 | ) | (1.07 | ) | (1.06 | ) | (1.02 | ) | (1.20 | ) | (1.22 | ) | |||||||||||||||
Net asset value, end of period | $ | 13.18 | $ | 12.63 | $ | 11.71 | $ | 11.61 | $ | 9.71 | $ | 11.94 | |||||||||||||||
Market price, end of period | $ | 13.09 | $ | 13.51 | $ | 11.55 | $ | 11.40 | $ | 9.32 | $ | 10.15 | |||||||||||||||
Total Investment Return4 | |||||||||||||||||||||||||||
Based on net asset value | 9.62% | 5 | 17.92% | 10.29% | 31.40% | (3.83)% | (3.99)% | ||||||||||||||||||||
Based on market price | 1.78% | 5 | 27.88% | 10.79% | 34.42% | 8.59% | (7.78)% | ||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||
Total expenses | 1.41% | 6 | 1.42% | 1.34% | 1.26% | 1.84% | 2.11% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.41% | 6 | 1.42% | 1.34% | 1.26% | 1.84% | 2.11% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax | 1.03% | 6,7 | 1.08% | 8 | 1.02% | 0.99% | 1.16% | 0.97% | |||||||||||||||||||
Net investment income | 8.35% | 6 | 8.96% | 8.82% | 9.52% | 13.00% | 9.16% | ||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 435,228 | $ | 416,701 | $ | 385,687 | $ | 382,603 | $ | 320,045 | $ | 393,389 | |||||||||||||||
Borrowings outstanding, end of period (000) | $ | 174,000 | $ | 175,000 | $ | 129,000 | $ | 92,000 | $ | 54,000 | $ | 94,700 | |||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 173,282 | $ | 140,036 | $ | 119,652 | $ | 79,427 | $ | 65,403 | $ | 106,140 | |||||||||||||||
Portfolio turnover | 40% | 61% | 87% | 90% | 65% | 46% | |||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,501 | $ | 3,381 | $ | 3,990 | $ | 5,159 | $ | 6,927 | $ | 5,154 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends and distributions are determined in accordance with federal income tax regulations. |
4 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | For the six months ended February 28, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 0.98%. |
8 | For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 0.99%. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 129 |
Financial Highlights | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
Six Months Ended February 28, 20131 (Unaudited) | Year Ended August 31, | ||||||||||||||||||||||||||
20121 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 11.49 | $ | 11.38 | $ | 9.68 | $ | 11.89 | $ | 13.81 | |||||||||||||||
Net investment income2 | 0.51 | 1.04 | 1.06 | 1.05 | 1.05 | 1.16 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.62 | 0.83 | 0.05 | 1.67 | (2.07 | ) | (1.87 | ) | |||||||||||||||||||
Net increase (decrease) from investment operations | 1.13 | 1.87 | 1.11 | 2.72 | (1.02 | ) | (0.71 | ) | |||||||||||||||||||
Dividends from net investment income | (0.60 | ) | (1.04 | )3 | (1.00 | )3 | (1.02 | )3 | (1.19 | )3 | (1.21 | )3 | |||||||||||||||
Net asset value, end of period | $ | 12.85 | $ | 12.32 | $ | 11.49 | $ | 11.38 | $ | 9.68 | $ | 11.89 | |||||||||||||||
Market price, end of period | $ | 12.72 | $ | 12.96 | $ | 11.21 | $ | 11.19 | $ | 9.47 | $ | 10.14 | |||||||||||||||
Total Investment Return4 | |||||||||||||||||||||||||||
Based on net asset value | 9.31% | 5 | 17.14% | 9.95% | 29.26% | (4.03)% | (4.30)% | ||||||||||||||||||||
Based on market price | 2.86% | 5 | 26.30% | 9.09% | 29.92% | 10.09% | (7.24)% | ||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||
Total expenses | 1.54% | 6 | 1.51% | 1.41% | 1.34% | 2.01% | 2.24% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.54% | 6 | 1.51% | 1.41% | 1.34% | 2.01% | 2.24% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax | 1.17% | 6,7 | 1.19% | 8 | 1.12% | 1.09% | 1.28% | 1.10% | |||||||||||||||||||
Net investment income | 8.22% | 6 | 8.84% | 8.80% | 9.52% | 12.82% | 9.02% | ||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 455,148 | $ | 435,955 | $ | 405,697 | $ | 401,760 | $ | 341,415 | $ | 419,502 | |||||||||||||||
Borrowings outstanding, end of period (000) | $ | 178,000 | $ | 181,000 | $ | 130,000 | $ | 89,000 | $ | 58,000 | $ | 110,900 | |||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 178,282 | $ | 142,342 | $ | 115,512 | $ | 76,356 | $ | 73,784 | $ | 113,996 | |||||||||||||||
Portfolio turnover | 41% | 61% | 87% | 85% | 60% | 45% | |||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,557 | $ | 3,409 | $ | 4,121 | $ | 5,514 | $ | 6,886 | $ | 4,783 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends are determined in accordance with federal income tax regulations. |
4 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | For the six months ended February 28, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.12%. |
8 | For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%. |
130 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Financial Highlights | BlackRock High Income Shares (HIS) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period January 1, 2008 to August 31, 2008 | Year Ended December 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 2.26 | $ | 2.18 | $ | 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | $ | 2.68 | |||||||||||||||||
Net investment income | 0.09 | 1 | 0.20 | 1 | 0.20 | 1 | 0.20 | 1 | 0.19 | 1 | 0.15 | 1 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.06 | 0.08 | — | 0.31 | (0.36 | ) | (0.26 | ) | (0.21 | ) | |||||||||||||||||||||
Net increase (decrease) from investment operations | 0.15 | 0.28 | 0.20 | 0.51 | (0.17 | ) | (0.11 | ) | 0.03 | ||||||||||||||||||||||
Dividends from net investment income | (0.10 | ) | (0.20 | )2 | (0.21 | )2 | (0.17 | )2 | (0.21 | )2 | (0.13 | )2 | (0.24 | )2 | |||||||||||||||||
Net asset value, end of period | $ | 2.31 | $ | 2.26 | $ | 2.18 | $ | 2.19 | $ | 1.85 | $ | 2.23 | $ | 2.47 | |||||||||||||||||
Market price, end of period | $ | 2.42 | $ | 2.40 | $ | 2.10 | $ | 2.09 | $ | 1.68 | $ | 1.88 | $ | 2.14 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | 6.92% | 4 | 13.91% | 9.56% | 28.95% | (3.01)% | (4.00)% | 4 | 1.58% | ||||||||||||||||||||||
Based on market price | 5.48% | 4 | 25.58% | 10.59% | 35.52% | 4.47% | (6.59)% | 4 | (7.51)% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 1.58% | 5 | 1.54% | 1.49% | 1.49% | 2.01% | 1.98% | 5 | 3.56% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.58% | 5 | 1.54% | 1.49% | 1.49% | 2.01% | 1.98% | 5 | 3.55% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.28% | 5,6 | 1.29% | 6 | 1.25% | 1.27% | 1.41% | 1.05% | 5 | 1.27% | |||||||||||||||||||||
Net investment income | 7.97% | 5 | 9.19% | 8.66% | 9.34% | 12.06% | 9.52% | 5 | 8.89% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets applicable, end of period (000) | $ | 126,879 | $ | 123,745 | $ | 118,809 | $ | 119,642 | $ | 100,921 | $ | 121,808 | $ | 135,098 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 44,000 | $ | 42,000 | $ | 29,000 | $ | 25,000 | $ | 18,000 | $ | 27,000 | $ | 46,000 | |||||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 38,862 | $ | 30,746 | $ | 26,729 | $ | 21,027 | $ | 21,220 | $ | 27,069 | $ | 55,868 | |||||||||||||||||
Portfolio turnover | 41% | 63% | 90% | 85% | 55% | 25% | 69% | ||||||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,884 | $ | 3,946 | $ | 5,097 | $ | 5,786 | $ | 6,607 | $ | 5,512 | $ | 3,937 |
1 | Based on average shares outstanding. |
2 | Dividends are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | For the six months ended February 28, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.22% and 1.19%, respectively. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 131 |
Financial Highlights | BlackRock High Yield Trust (BHY) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.29 | $ | 6.79 | $ | 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | $ | 7.85 | |||||||||||||||||
Net investment income | 0.27 | 1 | 0.53 | 1 | 0.51 | 1 | 0.51 | 1 | 0.51 | 1 | 0.50 | 1 | 0.63 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | 0.50 | 0.11 | 0.92 | (1.00 | ) | (1.06 | ) | 0.04 | ||||||||||||||||||||||
Net increase (decrease) from investment operations | 0.59 | 1.03 | 0.62 | 1.43 | (0.49 | ) | (0.56 | ) | 0.67 | ||||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.53 | )2 | (0.51 | )2 | (0.50 | )2 | (0.55 | )2 | (0.51 | )2 | (0.61 | )2 | |||||||||||||||||
Tax return of capital | — | — | (0.01 | )2 | (0.02 | )2 | (0.02 | )2 | — | — | |||||||||||||||||||||
Total dividends and distributions | (0.27 | ) | (0.53 | ) | (0.52 | ) | (0.52 | ) | (0.57 | ) | (0.51 | ) | (0.61 | ) | |||||||||||||||||
Net asset value, end of period | $ | 7.61 | $ | 7.29 | $ | 6.79 | $ | 6.69 | $ | 5.78 | $ | 6.84 | $ | 7.91 | |||||||||||||||||
Market price, end of period | $ | 8.08 | $ | 8.04 | $ | 6.60 | $ | 6.44 | $ | 5.84 | $ | 5.96 | $ | 6.92 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | 8.14% | 4 | 15.70% | 9.66% | 25.70% | (5.30)% | (6.47)% | 4 | 9.03% | ||||||||||||||||||||||
Based on market price | 4.11% | 4 | 31.27% | 10.73% | 19.76% | 9.81% | (6.85)% | 4 | (3.63)% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 2.19% | 5 | 2.01% | 2.04% | 2.10% | 2.61% | 2.61% | 5 | 4.16% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 2.19% | 5 | 2.01% | 2.04% | 2.10% | 2.61% | 2.61% | 5 | 4.14% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and fees | 1.84% | 5,6 | 1.79% | 6 | 1.85% | 1.91% | 2.16% | 1.77% | 5 | 2.10% | |||||||||||||||||||||
Net investment income | 7.32% | 5 | 7.59% | 7.18% | 7.89% | 10.22% | 8.34% | 5 | 7.84% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 48,935 | $ | 46,876 | $ | 43,644 | $ | 42,980 | $ | 37,137 | $ | 43,897 | $ | 50,782 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 18,000 | $ | 19,000 | $ | 6,000 | $ | 8,000 | $ | 4,000 | $ | 6,250 | $ | 9,250 | |||||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 17,657 | $ | 10,615 | $ | 7,427 | $ | 6,427 | $ | 5,223 | $ | 7,443 | $ | 17,710 | |||||||||||||||||
Portfolio turnover | 40% | 59% | 81% | 80% | 54% | 34% | 69% | ||||||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,719 | $ | 3,467 | $ | 8,274 | $ | 6,373 | $ | 10,284 | $ | 8,023 | $ | 6,490 |
1 | Based on average shares outstanding. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | For the six months ended February 28, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing cost was 1.80% and 1.69%, respectively. |
132 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Financial Highlights | BlackRock Income Opportunity Trust, Inc. (BNA) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | �� | 2009 | |||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.84 | $ | 10.77 | $ | 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | $ | 11.17 | |||||||||||||||||
Net investment income | 0.34 | 1 | 0.67 | 1 | 0.63 | 1 | 0.59 | 1 | 0.59 | 1 | 0.53 | 1 | 0.62 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | 1.05 | (0.28 | ) | 1.25 | (0.31 | ) | (0.69 | ) | (0.11 | ) | ||||||||||||||||||||
Net increase (decrease) from investment operations | 0.38 | 1.72 | 0.35 | 1.84 | 0.28 | (0.16 | ) | 0.51 | |||||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||||||
Net investment income | (0.34 | ) | (0.65 | )2 | (0.65 | )2 | (0.79 | )2 | (0.61 | )2 | (0.51 | )2 | (0.61 | )2 | |||||||||||||||||
Tax return of capital | — | — | — | — | — | — | (0.05 | )2 | |||||||||||||||||||||||
Total dividends and distributions | (0.34 | ) | (0.65 | ) | (0.65 | ) | (0.79 | ) | (0.61 | ) | (0.51 | ) | (0.66 | ) | |||||||||||||||||
Net asset value, end of period | $ | 11.88 | $ | 11.84 | $ | 10.77 | $ | 11.07 | $ | 10.02 | $ | 10.35 | $ | 11.02 | |||||||||||||||||
Market price, end of period | $ | 11.20 | $ | 11.58 | $ | 9.85 | $ | 10.56 | $ | 9.65 | $ | 9.82 | $ | 10.19 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | 3.33% | 4 | 16.81% | 3.91% | 19.83% | 3.90% | (1.07)% | 4 | 5.11% | ||||||||||||||||||||||
Based on market price | (0.39)% | 4 | 24.92% | (0.37)% | 18.69% | 5.46% | 1.51% | 4 | 2.62% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 0.94% | 5 | 0.90% | 0.95% | 1.09% | 0.95% | 2.25% | 5 | 2.01% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 0.94% | 5 | 0.90% | 0.95% | 1.09% | 0.95% | 2.25% | 5 | 2.00% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.81% | 5 | 0.82% | 0.85% | 0.86% | 0.85% | 0.83% | 5 | 0.87% | ||||||||||||||||||||||
Net investment income | 5.75% | 5 | 5.97% | 5.94% | 5.81% | 6.45% | 5.89% | 5 | 5.68% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 409,205 | $ | 408,068 | $ | 371,175 | $ | 381,379 | $ | 345,101 | $ | 356,456 | $ | 379,605 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 180,802 | $ | 188,055 | $ | 154,883 | $ | 157,776 | $ | 77,474 | $ | 100,740 | $ | 105,262 | |||||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 192,811 | $ | 151,411 | $ | 148,617 | $ | 151,700 | $ | 49,573 | $ | 131,462 | $ | 68,241 | |||||||||||||||||
Portfolio turnover | 64% | 6 | 285% | 7 | 774% | 8 | 720% | 9 | 270% | 10 | 441% | 11 | 196% | ||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,263 | $ | 3,170 | $ | 3,396 | $ | 3,417 | $ | 5,454 | $ | 4,538 | $ | 4,606 |
1 | Based on average shares outstanding. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 42%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 492%. |
9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 608%. |
10 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 165%. |
11 | Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 133 |
Financial Highlights | BlackRock Income Trust, Inc. (BKT) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.94 | $ | 7.96 | $ | 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | $ | 6.48 | |||||||||||||||||
Net investment income | 0.16 | 1 | 0.39 | 1 | 0.35 | 1 | 0.20 | 1 | 0.28 | 1 | 0.26 | 1 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | 0.06 | 0.19 | 0.73 | 0.19 | 0.40 | 0.12 | |||||||||||||||||||||||
Net increase (decrease) from investment operations | (0.06 | ) | 0.45 | 0.54 | 0.93 | 0.47 | 0.66 | 0.42 | |||||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.27 | )2 | (0.34 | )2 | (0.26 | )2 | (0.29 | )2 | (0.25 | )2 | (0.29 | )2 | |||||||||||||||||
Net realized gain | — | (0.20 | )2 | — | (0.03 | )2 | — | — | — | ||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | — | (0.08 | )2 | |||||||||||||||||||||||
Total dividends and distributions | (0.24 | ) | (0.47 | ) | (0.34 | ) | (0.29 | ) | (0.29 | ) | (0.25 | ) | (0.37 | ) | |||||||||||||||||
Net asset value, end of period | $ | 7.64 | $ | 7.94 | $ | 7.96 | $ | 7.76 | $ | 7.12 | $ | 6.94 | $ | 6.53 | |||||||||||||||||
Market price, end of period | $ | 7.13 | $ | 7.63 | $ | 7.18 | $ | 6.95 | $ | 6.53 | $ | 6.07 | $ | 5.81 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | (0.60)% | 4 | 6.24% | 7.70% | 13.86% | 7.64% | 10.82% | 4 | 7.06% | ||||||||||||||||||||||
Based on market price | (3.47)% | 4 | 13.19% | 8.47% | 11.19% | 12.87% | 8.94% | 4 | 1.69% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 1.02% | 5 | 0.97% | 1.06% | 1.05% | 1.09% | 1.63% | 5 | 2.77% | ||||||||||||||||||||||
Total expenses after fees waived and before fees paid indirectly | 1.02% | 5 | 0.97% | 1.05% | 1.02% | 1.08% | 1.63% | 5 | 2.77% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.02% | 5 | 0.97% | 1.05% | 1.02% | 1.08% | 1.63% | 5 | 2.76% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.91% | 5 | 0.90% | 0.94% | 0.92% | 0.93% | 0.91% | 5 | 0.98% | ||||||||||||||||||||||
Net investment income | 4.24% | 5 | 4.86% | 4.43% | 2.72% | 4.09% | 4.67% | 5 | 4.60% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 488,270 | $ | 507,852 | $ | 508,765 | $ | 496,260 | $ | 455,529 | $ | 444,054 | $ | 417,651 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 207,791 | $ | 119,706 | $ | 233,676 | $ | 106,985 | $ | 11,815 | — | $ | 33,895 | ||||||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 180,117 | $ | 183,890 | $ | 116,771 | $ | 23,316 | $ | 537 | $ | 61,777 | $ | 93,325 | |||||||||||||||||
Portfolio turnover | 214% | 6 | 487% | 7 | 899% | 8 | 883% | 9 | 700% | 10 | 263% | 11 | 250% | ||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,350 | $ | 5,242 | $ | 3,177 | $ | 5,639 | $ | 39,555 | — | $ | 13,322 |
1 | Based on average shares outstanding. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 134%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 230%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 387%. |
9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 207%. |
10 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%. |
11 | Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%. |
134 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Financial Highlights | BlackRock Strategic Bond Trust (BHD) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | ||||||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.40 | $ | 13.48 | $ | 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | $ | 13.83 | |||||||||||||||||
Net investment income | 0.49 | 1 | 0.99 | 1 | 1.06 | 1 | 1.01 | 1 | 0.93 | 1 | 0.76 | 1 | 0.95 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.38 | 1.01 | (0.04 | ) | 1.35 | (0.69 | ) | (1.03 | ) | (0.06 | ) | ||||||||||||||||||||
Net increase (decrease) from investment operations | 0.87 | 2.00 | 1.02 | 2.36 | 0.24 | (0.27 | ) | 0.89 | |||||||||||||||||||||||
Dividends and distributions from net investment income | (0.51 | ) | (1.08 | )2 | (1.11 | )2 | (0.91 | )2 | (0.88 | )2 | (0.77 | )2 | (0.92 | )2 | |||||||||||||||||
Net asset value, end of period | $ | 14.76 | $ | 14.40 | $ | 13.48 | $ | 13.57 | $ | 12.12 | $ | 12.76 | $ | 13.80 | |||||||||||||||||
Market price, end of period | $ | 15.09 | $ | 14.52 | $ | 12.93 | $ | 13.17 | $ | 11.43 | $ | 10.85 | $ | 11.88 | |||||||||||||||||
Total Investment Return3 | |||||||||||||||||||||||||||||||
Based on net asset value | 6.12% | 4 | 15.66% | 8.09% | 20.38% | 3.99% | (1.19)% | 4 | 7.26% | ||||||||||||||||||||||
Based on market price | 7.60% | 4 | 21.58% | 6.83% | 23.88% | 15.34% | (2.40)% | 4 | (0.62)% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 1.50% | 5 | 1.45% | 1.52% | 1.13% | 1.00% | 0.93% | 5 | 1.45% | ||||||||||||||||||||||
Total expenses after fees waived and before fees paid indirectly | 1.50% | 5 | 1.45% | 1.51% | 1.11% | 0.92% | 0.82% | 5 | 1.27% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.50% | 5 | 1.45% | 1.51% | 1.11% | 0.92% | 0.82% | 5 | 1.27% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and fees2 | 1.24% | 5,6 | 1.24% | 6 | 1.26% | 1.04% | 0.92% | 0.81% | 5 | 0.87% | |||||||||||||||||||||
Net investment income | 6.71% | 5 | 7.15% | 7.59% | 7.77% | 8.67% | 6.85% | 5 | 6.86% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 104,306 | $ | 101,724 | $ | 95,127 | $ | 95,794 | $ | 85,581 | $ | 90,092 | $ | 97,410 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 28,000 | $ | 30,000 | $ | 24,000 | $ | 12,000 | — | $ | 1,571 | $ | 413 | ||||||||||||||||||
Average borrowings outstanding during the period (000) | $ | 29,384 | $ | 22,089 | $ | 22,696 | $ | 5,701 | $ | 303 | $ | 391 | $ | 7,240 | |||||||||||||||||
Portfolio turnover | 25% | 47% | 72% | 83% | 61% | 27% | 34% | ||||||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 4,725 | $ | 4,391 | $ | 4,964 | $ | 8,983 | — | $ | 58,347 | $ | 236,789 |
1 | Based on average shares outstanding. |
2 | Dividends and distributions are determined in accordance with federal income tax regulations. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | For the six months ended February 28, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing cost were 1.19% and 1.14%, respectively. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 135 |
Notes to Financial Statements (Unaudited) |
136 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 137 |
Notes to Financial Statements (continued) |
pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
138 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 139 |
Notes to Financial Statements (continued) |
can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
140 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 141 |
Notes to Financial Statements (continued) |
(foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.
142 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
• | Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
• | Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty. |
• | Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
• | Forward interest rate swaps — The Trusts enter into forward interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). In a forward interest rate swap, each Trust and the counterparty agree to make periodic net payments on a specified notional contract amount, commencing on a specified future effective date, unless terminated earlier. The Trusts generally intend to close each forward interest rate swap before the effective date specified in the agreement and therefore avoid entering into the interest rate swap underlying each forward interest rate swap. |
Fair Values of Derivative Financial Instruments as of February 28, 2013 | |||||||||||||||||||||||||||||||||||
Asset Derivatives | |||||||||||||||||||||||||||||||||||
| BHK | HYV | HYT | HIS | BHY | BNA | BKT | BHD | |||||||||||||||||||||||||||
| Statements of Assets and Liabilities Location | | Value | ||||||||||||||||||||||||||||||||
Interest rate contracts | Net unrealized appreciation/ depreciation1; Unrealized appreciation on swaps1; Investments at value — unaffiliated2 | $ | 2,312,048 | — | — | — | — | $ | 2,628,828 | $ | 9,414,394 | $ | 189,825 | ||||||||||||||||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 622,183 | $ | 1,524,216 | $ | 1,622,949 | $ | 138,583 | $ | 65,846 | 640,651 | — | 264,050 | ||||||||||||||||||||||
Credit contracts | Unrealized appreciation on swaps; swap premiums paid | 435,633 | 1,446,226 | 1,471,695 | — | 152,489 | 438,082 | — | 180,732 | ||||||||||||||||||||||||||
Equity contracts | Investments at value — unaffiliated2 | — | 3,140 | 3,320 | — | — | — | — | — | ||||||||||||||||||||||||||
Total | $ | 3,369,864 | $ | 2,973,582 | $ | 3,097,964 | $ | 138,583 | $ | 218,335 | $ | 3,707,561 | $ | 9,414,394 | $ | 634,607 | |||||||||||||||||||
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 143 |
Notes to Financial Statements (continued) |
Liability Derivatives | |||||||||||||||||||||||||||||||||||
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | BHD | | ||||||||||||||||||||
| Statements of Assets and Liabilities Location | | Value | ||||||||||||||||||||||||||||||||
Interest rate contracts | Net unrealized appreciation/ depreciation1; Unrealized appreciation on swaps1; Investments at value — unaffiliated2 | $ | 3,611,868 | — | — | — | — | $ | 3,548,724 | $ | 12,131,980 | $ | 101,201 | ||||||||||||||||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 23,595 | $ | 12,470 | $ | 13,704 | $ | 8,050 | $ | 2,598 | 23,321 | — | 4,337 | ||||||||||||||||||||||
Credit contracts | Unrealized appreciation on swaps; Swap premiums received | 452,040 | 1,923,511 | 2,005,186 | — | 229,698 | 454,758 | — | 309,137 | ||||||||||||||||||||||||||
Equity contracts | Investments at value — unaffiliated2 | — | 92,603 | 98,075 | 38,018 | 11,294 | — | — | — | ||||||||||||||||||||||||||
Total | $ | 4,087,503 | $ | 2,028,584 | $ | 2,116,965 | $ | 46,068 | $ | 243,590 | $ | 4,026,803 | $ | 12,131,980 | $ | 414,675 |
1 | Includes cumulative appreciation/depreciation of financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
2 | Includes options purchased at value as reported in the Schedules of Investments. |
The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended February 28, 2013 | | ||||||||||||||||||||||||||||||||||
Net Realized Gain (Loss) From | |||||||||||||||||||||||||||||||||||
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | ||||||||||||||||||||
Interest rate contracts: | |||||||||||||||||||||||||||||||||||
Financial futures contracts | $ | (487,641 | ) | — | — | — | — | $ | (651,542 | ) | $ | 1,194,444 | $ | 105,956 | |||||||||||||||||||||
Swaps | 438,496 | — | — | — | — | 14,495 | 226,694 | (18,175 | ) | ||||||||||||||||||||||||||
Options3 | (263,796 | ) | — | — | — | — | (267,965 | ) | — | (5,393 | ) | ||||||||||||||||||||||||
Foreign currency exchange contracts: | |||||||||||||||||||||||||||||||||||
Foreign currency transactions | (765,221 | ) | $ | (2,877,649 | ) | $ | (3,050,555 | ) | $ | (411,326 | ) | $ | (145,723 | ) | (979,248 | ) | — | (504,549 | ) | ||||||||||||||||
Credit contracts: | |||||||||||||||||||||||||||||||||||
Swaps | (331,356 | ) | 1,037,844 | 1,071,254 | 43,127 | 73,654 | (331,011 | ) | — | 43,770 | |||||||||||||||||||||||||
Equity contracts: | �� | ||||||||||||||||||||||||||||||||||
Financial futures contracts | — | (1,190,225 | ) | (1,244,415 | ) | (352,864 | ) | (133,577 | ) | — | — | — | |||||||||||||||||||||||
Options3 | (139,550 | ) | (268,903 | ) | (278,175 | ) | — | — | (139,550 | ) | — | — | |||||||||||||||||||||||
Other contracts: | |||||||||||||||||||||||||||||||||||
Swaps | (84,887 | ) | — | — | — | — | (85,113 | ) | — | — | |||||||||||||||||||||||||
Total | $ | (1,633,955 | ) | $ | (3,298,933 | ) | $ | (3,501,891 | ) | $ | (721,063 | ) | $ | (205,646 | ) | $ | (2,439,934 | ) | $ | 1,421,138 | $ | (378,391 | ) |
Net Change in Unrealized Appreciation/Depreciation on | ||||||||||||||||||||||||||||||||||
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||||||||||||
Financial futures contracts | $ | (221,494 | ) | — | — | — | — | $ | (135,736 | ) | $ | 625,431 | $ | (23,586 | ) | |||||||||||||||||||
Swaps | 1,285,384 | — | — | — | — | 1,702,493 | (311,671 | ) | 143,855 | |||||||||||||||||||||||||
Options3 | 1,174,376 | — | — | — | $ | 8,863 | 1,176,531 | — | (27,919 | ) | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||||||
Foreign currency translations | 936,122 | $ | 2,558,709 | $ | 2,701,373 | $ | 269,824 | 114,173 | 898,568 | — | 422,455 | |||||||||||||||||||||||
Options3 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||||||
Swaps | (150,228 | ) | 93,922 | 79,613 | — | 23,252 | (149,158 | ) | — | 61,687 | ||||||||||||||||||||||||
Options3 | — | 76,812 | 80,357 | — | — | — | — | — | ||||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||||||
Financial futures contracts | — | 748,203 | 781,449 | 222,399 | 75,707 | — | — | — | ||||||||||||||||||||||||||
Options3 | (1,964 | ) | (11,671 | ) | (12,327 | ) | — | — | (1,964 | ) | — | — | ||||||||||||||||||||||
Other contracts: | ||||||||||||||||||||||||||||||||||
Swaps | 43,272 | — | — | — | — | 43,387 | — | — | ||||||||||||||||||||||||||
Total | $ | 3,065,468 | $ | 3,465,975 | $ | 3,630,465 | $ | 492,223 | $ | 221,995 | $ | 3,534,121 | $ | 313,760 | $ | 576,492 |
3 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
144 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||
Financial futures contracts: | |||||||||||||||||||||||||||||||
Average number of contracts purchased | 883 | — | — | — | — | 821 | 210 | 94 | |||||||||||||||||||||||
Average number of contracts sold | 1,171 | 81 | 84 | 17 | 9 | 1,176 | 2,180 | 58 | |||||||||||||||||||||||
Average notional value of contracts purchased | $ | 170,545,550 | — | — | — | — | $ | 162,511,195 | $ | 50,413,175 | $ | 17,757,648 | |||||||||||||||||||
Average notional value of contracts sold | $ | 220,492,556 | $ | 5,873,453 | $ | 6,130,863 | $ | 1,264,053 | $ | 620,900 | $ | 222,180,147 | $ | 312,683,231 | $ | 8,055,555 | |||||||||||||||
Foreign currency exchange contracts: | |||||||||||||||||||||||||||||||
Average number of contracts — US dollars purchased | 7 | 14 | 15 | 3 | 3 | 7 | — | 6 | |||||||||||||||||||||||
Average number of contracts — US dollars sold | 1 | 5 | 4 | 3 | 1 | 1 | — | 3 | |||||||||||||||||||||||
Average US dollar amounts purchased | $ | 19,558,099 | $ | 51,019,463 | $ | 53,810,848 | $ | 5,887,213 | $ | 2,185,785 | $ | 18,258,857 | — | $ | 9,049,918 | ||||||||||||||||
Average US dollar amounts sold | $ | 3,028,033 | $ | 1,890,866 | $ | 2,084,039 | $ | 311,336 | $ | 72,198 | $ | 2,832,212 | — | $ | 322,732 | ||||||||||||||||
Options: | |||||||||||||||||||||||||||||||
Average number of option contracts purchased | — | 79 | 83 | — | 3 | — | — | 6 | |||||||||||||||||||||||
Average number of option contracts written | — | — | — | — | — | — | — | — | |||||||||||||||||||||||
Average notional value of option contracts purchased | — | $ | 549,500 | $ | 581,000 | — | $ | 2,829 | — | — | — | ||||||||||||||||||||
Average notional value of option contracts written | — | — | — | — | — | — | — | $ | 5,657 | ||||||||||||||||||||||
Average number of swaption contracts purchased | 7 | — | — | — | — | 7 | — | 4 | |||||||||||||||||||||||
Average number of swaption contracts written | 24 | 1 | 1 | — | 1 | 24 | — | 3 | |||||||||||||||||||||||
Average notional value of swaption contracts purchased | $ | 67,050,000 | — | — | — | — | $ | 66,950,000 | — | $ | 6,906,830 | ||||||||||||||||||||
Average notional value of swaption contracts written | $ | 331,350,000 | $ | 6,500,000 | $ | 6,800,000 | — | $ | 750,000 | $ | 337,555,951 | — | $ | 3,400,000 | |||||||||||||||||
Credit default swaps: | — | ||||||||||||||||||||||||||||||
Average number of contracts — buy protection | 6 | 5 | 5 | 1 | 6 | 5 | — | 2 | |||||||||||||||||||||||
Average number of contracts — sell protection | 9 | 18 | 18 | — | 16 | 9 | — | 16 | |||||||||||||||||||||||
Average notional value — buy protection | $ | 6,323,939 | $ | 1,760,500 | $ | 1,840,000 | $ | 30,000 | $ | 412,000 | $ | 6,323,823 | — | $ | 555,000 | ||||||||||||||||
Average notional value — sell protection | $ | 4,572,500 | $ | 13,712,802 | $ | 14,070,810 | — | $ | 1,142,341 | $ | 4,607,500 | — | $ | 1,330,482 | |||||||||||||||||
Interest rate swaps: | |||||||||||||||||||||||||||||||
Average number of contracts — pays fixed rate | 18 | — | — | — | — | 18 | 1 | 6 | |||||||||||||||||||||||
Average number of contracts — receives fixed rate | 11 | — | — | — | — | 11 | 6 | — | |||||||||||||||||||||||
Average notional value — pays fixed rate | $ | 207,176,826 | — | — | — | — | $ | 207,132,671 | $ | 60,000,000 | $ | 4,300,000 | |||||||||||||||||||
Average notional value — receives fixed rate | $ | 103,277,503 | — | — | — | — | $ | 102,776,164 | $ | 71,465,000 | — | ||||||||||||||||||||
Total return swaps: | |||||||||||||||||||||||||||||||
Average number of contracts | 1 | — | — | — | — | 1 | — | — | |||||||||||||||||||||||
Average notional value | $ | 940,000 | — | — | — | — | $ | 942,500 | — | — |
BHK | 0.55% |
HIS | 0.75% of the first $200 million and 0.50% thereafter |
BHY | 0.90% |
BHD | 0.75% |
HYV | 0.60 | % | ||||
HYT | 0.70 | % |
BNA | 0.60 | % | ||||
BKT | 0.65 | % |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 145 |
Notes to Financial Statements (continued) |
BHK | $ | 90,381 |
BHK | $ | 779 | ||||
HYV | $ | 511 | ||||
HYT | $ | 481 | ||||
HIS | $ | 212 | ||||
BHY | $ | 199 | ||||
BNA | $ | 543 | ||||
BKT | $ | 1,707 | ||||
BHD | $ | 202 |
Purchases | | Sales | |||
BHK | $ | 359,465,493 | $ | 345,110,737 | |
HYV | $ | 259,172,617 | $ | 245,394,516 | |
HYT | $ | 271,192,662 | $ | 258,681,116 | |
HIS | $ | 73,370,773 | $ | 68,761,170 | |
BHY | $ | 26,048,353 | $ | 26,039,058 | |
BNA | $ | 358,074,886 | $ | 335,872,650 | |
BKT | $ | 1,313,380,047 | $ | 1,225,253,757 | |
BHD | $ | 33,743,186 | $ | 33,419,076 |
Purchases | | Sales | |||
BHK | $ | 36,329,415 | $ | 67,590,342 | |
BNA | $ | 36,515,382 | $ | 81,523,172 | |
BKT | $ | 227,836,022 | $ | 307,949,374 | |
BHD | $ | 196,876 | $ | 199,969 |
Purchases | | Sales | |||
BHK | $ | 135,272,813 | $ | 135,530,805 | |
BNA | $ | 135,277,438 | $ | 135,535,719 | |
BKT | $ | 573,220,504 | $ | 573,457,053 |
Calls | Puts | ||||||||||||||||||||||||||||||
| Contracts | | Notional (000) | | Premiums Received | | | Contracts | | Notional (000) | | Premiums Received | |||||||||||||||||||
BHK | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | $ | 174,300 | $ | 3,758,484 | 9,500 | $ | 234,100 | $ | 4,974,415 | |||||||||||||||||||||
Options written | — | 73,800 | 2,246,062 | — | 153,800 | 2,775,536 | |||||||||||||||||||||||||
Options expired | — | — | — | (9,500 | ) | — | (119,700 | ) | |||||||||||||||||||||||
Options closed | — | (128,700 | ) | (4,672,760 | ) | — | (235,900 | ) | (5,515,779 | ) | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 119,400 | $ | 1,331,786 | — | $ | 152,000 | $ | 2,114,472 | |||||||||||||||||||||
HYV | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | — | — | — | — | — | |||||||||||||||||||||||||
Options written | — | $ | 6,500 | $ | 44,200 | — | $ | 6,500 | $ | 113,750 | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 6,500 | $ | 44,200 | — | $ | 6,500 | $ | 113,750 |
146 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
Calls | Puts | ||||||||||||||||||||||||||||||
| Contracts | | Notional (000) | | Premiums Received | | | Contracts | | Notional (000) | | Premiums Received | |||||||||||||||||||
HYT | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | — | — | — | — | — | |||||||||||||||||||||||||
Options written | — | $ | 6,800 | $ | 46,240 | — | $ | 6,800 | $ | 119,000 | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 6,800 | $ | 46,240 | — | $ | 6,800 | $ | 119,000 | |||||||||||||||||||||
BHY | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | — | — | — | — | — | |||||||||||||||||||||||||
Options written | — | $ | 750 | $ | 5,100 | — | $ | 750 | $ | 13,125 | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 750 | $ | 5,100 | — | $ | 750 | $ | 13,125 | |||||||||||||||||||||
BNA | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | $ | 173,900 | $ | 3,754,227 | 9,500 | $ | 233,700 | $ | 4,969,287 | |||||||||||||||||||||
Options written | — | 73,900 | 2,250,197 | — | 153,800 | 2,777,911 | |||||||||||||||||||||||||
Options expired | — | — | — | (9,500 | ) | — | (119,700 | ) | |||||||||||||||||||||||
Options closed | — | (128,300 | ) | (4,671,896 | ) | — | (235,500 | ) | (5,513,558 | ) | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 119,500 | $ | 1,332,528 | — | $ | 152,000 | $ | 2,113,940 | |||||||||||||||||||||
BHD | |||||||||||||||||||||||||||||||
Outstanding options, beginning of period | — | $ | 2,300 | $ | 17,900 | — | $ | 4,300 | $ | 69,170 | |||||||||||||||||||||
Options written | — | 4,500 | 62,250 | — | 4,500 | 81,175 | |||||||||||||||||||||||||
Options closed | — | (6,200 | ) | (74,150 | ) | — | (6,800 | ) | (111,345 | ) | |||||||||||||||||||||
Outstanding options, end of period | — | $ | 600 | $ | 6,000 | — | $ | 2,000 | $ | 39,000 |
Expires August 31, | | BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BHD | ||||||||||||||||
2014 | — | — | — | $ | 7,043,976 | $ | 2,060,533 | — | — | |||||||||||||||||||||
2015 | — | — | — | — | 2,467,772 | — | — | |||||||||||||||||||||||
2016 | $ | 5,726,723 | — | — | 10,829,322 | 2,039,760 | $ | 4,475,065 | $ | 49,487 | ||||||||||||||||||||
2017 | 7,416,000 | $ | 25,473,528 | $ | 31,939,528 | 3,140,056 | 916,541 | 7,369,088 | 930,008 | |||||||||||||||||||||
2018 | — | 45,786,653 | 54,927,764 | 15,169,557 | 5,191,260 | 10,964,638 | 3,835,687 | |||||||||||||||||||||||
2019 | — | — | — | — | 737,843 | — | — | |||||||||||||||||||||||
No expiration date1 | — | 5,919,232 | 5,403,603 | 2,557,959 | 657,820 | — | — | |||||||||||||||||||||||
Total | $ | 13,142,723 | $ | 77,179,413 | $ | 92,270,895 | $ | 38,740,870 | $ | 14,071,529 | $ | 22,808,791 | $ | 4,815,182 |
1 | Must be utilized prior to losses subject to expiration. |
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | ||||||||||||||||||||
Tax cost | $ | 569,055,421 | $ | 604,490,000 | $ | 628,402,945 | $ | 170,174,352 | $ | 65,079,773 | $ | 562,955,695 | $ | 820,982,010 | $ | 127,040,617 | |||||||||||||||||||
Gross unrealized appreciation | $ | 42,540,771 | $ | 35,687,080 | $ | 36,671,097 | $ | 8,418,605 | $ | 3,790,961 | $ | 45,303,077 | $ | 36,184,229 | $ | 8,818,178 | |||||||||||||||||||
Gross unrealized depreciation | (5,347,965 | ) | (16,962,321 | ) | (17,632,178 | ) | (4,099,158 | ) | (856,445 | ) | (8,407,416 | ) | (24,696,970 | ) | (1,677,564 | ) | |||||||||||||||||||
Net unrealized appreciation | $ | 37,192,806 | $ | 18,724,759 | $ | 19,038,919 | $ | 4,319,447 | $ | 2,934,516 | $ | 36,895,661 | $ | 11,487,259 | $ | 7,140,614 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 147 |
Notes to Financial Statements (continued) |
Commitment Amounts | ||
HYV | $ | 204,500,000 |
HYT | $ | 213,800,000 |
HIS | $ | 63,600,000 |
BHY | $ | 23,000,000 |
BHD | $ | 50,200,000 |
Daily Weighted Average Interest Rate | |
HYV | 0.94% |
HYT | 0.94% |
HIS | 0.94% |
BHY | 0.94% |
BHD1 | 0.94% |
1 | Includes treasury roll transactions. |
Daily Weighted Average Interest Rate | |
BHK | 0.27% |
BNA | 0.28% |
BKT | 0.26% |
148 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (concluded) |
| Six Months Ended February 28, 2013 | | Year Ended August 31, 2012 | |||||
BHK | 14,416 | 4,404 | ||||||
HYV | 11,735 | 59,289 | ||||||
HYT | 34,967 | 85,180 | ||||||
HIS | 79,118 | 124,205 | ||||||
BHY | 1,093 | 2,000 | ||||||
BHD | 3,174 | 3,546 |
| Common Dividend Per Share | ||||
BHK | $ | 0.0730 | |||
HYV | $ | 0.0900 | |||
HYT | $ | 0.0875 | |||
HIS | $ | 0.0152 | |||
BHY | $ | 0.0445 | |||
BNA | $ | 0.0570 | |||
BKT | $ | 0.0405 | |||
BHD | $ | 0.0845 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 149 |
Officers and Trustees |
Richard E. Cavanagh, Chairman of the Board and Trustee
Karen P. Robards, Vice Chairperson of the Board,
Chairperson of the Audit Committee and Trustee
Paul L. Audet, Trustee
Michael J. Castellano, Trustee and Member of the Audit
Committee
Frank J. Fabozzi, Trustee and Member of the Audit
Committee
Kathleen F. Feldstein, Trustee
James T. Flynn, Trustee and Member of the Audit Committee
Henry Gabbay, Trustee
Jerrold B. Harris, Trustee
R. Glenn Hubbard, Trustee
W. Carl Kester, Trustee and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Anne Ackerley, Vice President
Brendan Kyne, Vice President
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer
Janey Ahn, Secretary
BlackRock Advisors, LLC
Wilmington, DE 19809
BlackRock Financial Management, Inc.
New York, NY 10055
State Street Bank and Trust Company
Boston, MA 02110
Computershare Trust Company, N.A.
Canton, MA 02021
Deloitte & Touche LLP
Boston, MA 02116
Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036
100 Bellevue Parkway
Wilmington, DE 19809
1 | For BHK, HYV, HYT, HIS and BHD. |
150 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Additional Information |
Regulation Regarding Derivatives
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 151 |
Additional Information (continued) |
Dividend Policy
152 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Additional Information (continued) |
General Information
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 153 |
Additional Information (concluded) |
BlackRock Privacy Principles
154 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
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CEF-1-8-2/13-SAR | ![]() |
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – Exhibits attached hereto
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Certifications – Attached hereto
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Strategic Bond Trust
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Strategic Bond Trust
Date: May 1, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Strategic Bond Trust
Date: May 1, 2013
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Strategic Bond Trust
Date: May 1, 2013