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: 08/31/2013
Item 1 – Report to Stockholders
ANNUAL REPORT | ![]() |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
Page | ||||||
Dear Shareholder | 3 | |||||
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 | |||||
Report of Independent Registered Public Accounting Firm | 151 | |||||
Important Tax Information | 152 | |||||
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements | 153 | |||||
Automatic Dividend Reinvestment Plans | 157 | |||||
Officers and Trustees | 158 | |||||
Additional Information | 161 |
2 | ANNUAL REPORT | AUGUST 31, 2013 |
Dear Shareholder |
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/robkapito_sig.jpg)
President, BlackRock Advisors, LLC
![]() |
“Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments.” |
President, BlackRock Advisors, LLC
Total Returns as of August 31, 2013
6-month | 12-month | |||||||||
US large cap equities (S&P 500® Index) | 8.95 | % | 18.70 | % | ||||||
US small cap equities (Russell 2000® Index) | 11.73 | 26.27 | ||||||||
International equities (MSCI Europe, Australasia, Far East Index) | 3.71 | 18.66 | ||||||||
Emerging market equities (MSCI Emerging Markets Index) | (10.29 | ) | 0.54 | |||||||
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) | (6.10 | ) | (7.51 | ) | ||||||
US investment grade bonds (Barclays US Aggregate Bond Index) | (2.61 | ) | (2.47 | ) | ||||||
Tax-exempt municipal bonds (S&P Municipal Bond Index) | (5.99 | ) | (3.74 | ) | ||||||
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index) | 0.84 | 7.56 |
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Trust Summary as of August 31, 2013 | BlackRock Core Bond Trust |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (13.43)% based on market price and (1.42)% 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 (6.88)% based on market price and 3.69% 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. |
• | Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased. |
• | The Trust’s long duration bias (greater sensitivity to interest rate movements) and yield curve positioning detracted from performance as interest rates began to rise in the latter part of the period. (Bond prices fall as rates rise.) The Trust’s holdings of US Treasury securities particularly suffered in the rising rate environment. Exposure to 30-year agency pass-through mortgage-backed securities (“MBS”) and US agency debentures hurt results as both sectors were impacted by uncertainty around the US Federal Reserve’s stance on monetary policy. |
• | The Trust’s holdings in the euro and British pound sterling positions had a positive impact on returns, as did exposure to commercial mortgage-backed securities (“CMBS”), non-agency residential MBS and agency collateralized mortgage obligations (“CMOs”). Also contributing positively were the Trust’s holdings in asset-backed securities (“ABS”) and agency interest-only issues. |
• | 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 on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a negative impact on returns. |
• | During the 12-month period, the Trust only made slight changes to its overall asset allocation. The Trust slightly increased exposure to high yield credit, particularly in financials and industrials, and reduced exposure to agency MBS, mostly within 30-year pass-through issues. |
• | At period end, the Trust maintained diversified exposure to non-government sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency MBS. The Trust also held exposure to government-related sectors including US Treasury securities, agency debt and agency MBS. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
4 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Core Bond Trust |
Trust Information
Symbol on New York Stock Exchange (“NYSE”) | BHK | |||||
Initial Offering Date | November 27, 2001 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($12.50)1 | 7.25% | |||||
Current Monthly Distribution per Common Share2 | $0.0755 | |||||
Current Annualized Distribution per Common Share2 | $0.9060 | |||||
Economic Leverage as of August 31, 20133 | 31% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 12.50 | $ | 15.41 | (18.88 | )% | $ | 16.24 | $ | 12.27 | ||||||||||||
Net Asset Value | $ | 14.05 | $ | 15.21 | (7.63 | )% | $ | 15.69 | $ | 13.81 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/bhk.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
Corporate Bonds | 58 | % | 52 | % | ||||||
Non-Agency Mortgage-Backed Securities | 11 | 11 | ||||||||
US Government Sponsored Agency Securities | 10 | 13 | ||||||||
US Treasury Obligations | 8 | 14 | ||||||||
Preferred Securities | 5 | 2 | ||||||||
Asset-Backed Securities | 5 | 5 | ||||||||
Taxable Municipal Bonds | 2 | 2 | ||||||||
Foreign Agency Obligations | 1 | 1 |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
AAA/Aaa5 | 14 | % | 36 | % | ||||||
AA/Aa | 15 | 3 | ||||||||
A | 21 | 20 | ||||||||
BBB/Baa | 23 | 23 | ||||||||
BB/Ba | 12 | 7 | ||||||||
B | 13 | 9 | ||||||||
CCC/Caa | 1 | 2 | ||||||||
Not Rated | 1 | — |
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. |
ANNUAL REPORT | AUGUST 31, 2013 | 5 |
Trust Summary as of August 31, 2013 | BlackRock Corporate High Yield Fund V, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (4.96)% based on market price and 12.51% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% 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. |
• | The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, gaming and non-captive diversified (consumer credit-related businesses) industries boosted results. |
• | Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period. |
• | The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May. |
• | The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy. |
• | At period end, the Trust held 76% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred stocks and ABS. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Dana Holding Corp. (automotive). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
6 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Corporate High Yield Fund V, Inc. |
Trust Information
Symbol on NYSE | HYV | |||||
Initial Offering Date | November 30, 2001 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($11.72)1 | 8.75% | |||||
Current Monthly Distribution per Common Share2 | $ 0.0855 | |||||
Current Annualized Distribution per Common Share2 | $ 1.0260 | |||||
Economic Leverage as of August 31, 20133 | 30% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 11.72 | $ | 13.51 | (13.25 | )% | $ | 13.59 | $ | 11.40 | ||||||||||||
Net Asset Value | $ | 12.97 | $ | 12.63 | 2.69 | % | $ | 13.72 | $ | 12.60 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/hyv.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | | |||||||||
Corporate Bonds | 76 | % | 75 | % | ||||||||||
Floating Rate Loan Interests | 14 | 17 | ||||||||||||
Common Stocks | 7 | 6 | ||||||||||||
Preferred Stocks | 2 | 2 | ||||||||||||
Asset-Backed Securities | 1 | — |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | | |||||||||
A | 1 | % | 1 | % | ||||||||||
BBB/Baa | 5 | 6 | ||||||||||||
BB/Ba | 31 | 35 | ||||||||||||
B | 50 | 43 | ||||||||||||
CCC/Caa | 11 | 13 | ||||||||||||
Not Rated | 2 | 2 |
4 | Using the higher of S&P’s or Moody’s ratings. |
ANNUAL REPORT | AUGUST 31, 2013 | 7 |
Trust Summary as of August 31, 2013 | BlackRock Corporate High Yield Fund VI, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (4.16)% based on market price and 11.90% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% 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. |
• | The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, gaming and non-captive diversified (consumer credit-related businesses) industries boosted results. |
• | Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period. |
• | The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May. |
• | The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy. |
• | At period end, the Trust held 76% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred stocks and ABS. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Level 3 Financing, Inc. (wirelines). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
8 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Corporate High Yield Fund VI, Inc. |
Trust Information
Symbol on NYSE | HYT | |||||
Initial Offering Date | May 30, 2003 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($11.37)1 | 8.50% | |||||
Current Monthly Distribution per Common Share2 | $0.0805 | |||||
Current Annualized Distribution per Common Share2 | $0.9660 | |||||
Economic Leverage as of August 31, 20133 | 30% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 11.37 | $ | 12.96 | (12.27 | )% | $ | 13.37 | $ | 11.15 | ||||||||||||
Net Asset Value | $ | 12.62 | $ | 12.32 | 2.44 | % | $ | 13.37 | $ | 12.28 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/hyt.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | | |||||||||
Corporate Bonds | 76 | % | 75 | % | ||||||||||
Floating Rate Loan Interests | 14 | 17 | ||||||||||||
Common Stocks | 7 | 6 | ||||||||||||
Preferred Stocks | 2 | 2 | ||||||||||||
Asset-Backed Securities | 1 | — |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
A | — | 1 | % | |||||||
BBB/Baa | 5 | % | 6 | |||||||
BB/Ba | 30 | 35 | ||||||||
B | 51 | 43 | ||||||||
CCC/Caa | 12 | 14 | ||||||||
Not Rated | 2 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
ANNUAL REPORT | AUGUST 31, 2013 | 9 |
Trust Summary as of August 31, 2013 | BlackRock High Income Shares |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (9.23)% based on market price and 8.45% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% 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. |
• | The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, building materials and technology industries boosted results. |
• | Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period. |
• | The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May. |
• | The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy. |
• | At period end, the Trust held 81% of its total portfolio in corporate bonds and 16% in floating rate loan interests, with the remainder invested in preferred securities and common stocks. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), GMAC Capital Trust I (non-captive diversified) and Biomet, Inc. (healthcare). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
10 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock High Income Shares |
Trust Information
Symbol on NYSE | HIS | |||||
Initial Offering Date | August 10, 1988 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($2.00)1 | 8.52% | |||||
Current Monthly Distribution per Common Share2 | $0.0142 | |||||
Current Annualized Distribution per Common Share2 | $0.1704 | |||||
Economic Leverage as of August 31, 20133 | 23% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 2.00 | $ | 2.40 | (16.67 | )% | $ | 2.49 | $ | 1.96 | ||||||||||||
Net Asset Value | $ | 2.25 | $ | 2.26 | (0.44 | )% | $ | 2.40 | $ | 2.21 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/his.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
Corporate Bonds | 81 | % | 79 | % | ||||||
Floating Rate Loan Interests | 16 | 18 | ||||||||
Preferred Securities | 2 | 2 | ||||||||
Common Stocks | 1 | 1 |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
A | — | 1 | % | |||||||
BBB/Baa | 6 | % | 7 | |||||||
BB/Ba | 31 | 34 | ||||||||
B | 51 | 43 | ||||||||
CCC/Caa | 11 | 14 | ||||||||
Not Rated | 1 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
ANNUAL REPORT | AUGUST 31, 2013 | 11 |
Trust Summary as of August 31, 2013 | BlackRock High Yield Trust |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (9.60)% based on market price and 9.72% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% 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. |
• | The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, building materials and non-captive diversified (consumer credit-related businesses) industries boosted results. |
• | Detracting from performance was the Trust’s exposure to names in the paper, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period. |
• | The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May. |
• | The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy. |
• | At period end, the Trust held 79% of its total portfolio in corporate bonds, 13% in floating rate loan interests and 6% in common stocks, with the remainder invested in preferred securities. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Level 3 Financing, Inc. (wirelines). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
12 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock High Yield Trust |
Trust Information
Symbol on NYSE | BHY | |||||
Initial Offering Date | December 23, 1998 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.77)1 | 7.59% | |||||
Current Monthly Distribution per Common Share2 | $0.0428 | |||||
Current Annualized Distribution per Common Share2 | $0.5136 | |||||
Economic Leverage as of August 31, 20133 | 28% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 6.77 | $ | 8.04 | (15.80 | )% | $ | 8.54 | $ | 6.63 | ||||||||||||
Net Asset Value | $ | 7.45 | $ | 7.29 | 2.19 | % | $ | 7.90 | $ | 7.26 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/bhy.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
Corporate Bonds | 79 | % | 78 | % | ||||||
Floating Rate Loan Interests | 13 | 17 | ||||||||
Common Stocks | 6 | 3 | ||||||||
Preferred Securities | 2 | 2 |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
A | 1 | % | 1 | % | ||||||
BBB/Baa | 5 | 7 | ||||||||
BB/Ba | 30 | 35 | ||||||||
B | 51 | 44 | ||||||||
CCC/Caa | 11 | 12 | ||||||||
Not Rated | 2 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
ANNUAL REPORT | AUGUST 31, 2013 | 13 |
Trust Summary as of August 31, 2013 | BlackRock Income Opportunity Trust, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (11.39)% based on market price and (1.47)% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of (6.88)% based on market price and 3.69% 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. |
• | Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased. |
• | The Trust’s long duration bias (greater sensitivity to interest rate movements) and yield curve positioning detracted from performance as interest rates began to rise in the latter part of the period. (Bond prices fall as rates rise.) The Trust’s holdings of US Treasury securities particularly suffered in the rising rate environment. Exposure to 30-year agency pass-through MBS and US agency debentures hurt results as both sectors were impacted by uncertainty around the US Federal Reserve’s stance on monetary policy. Additionally, positions in corporate and municipal bonds had a slight negative impact on returns. |
• | The Trust’s holdings denominated in the euro and British pound sterling had a positive impact on returns, as did exposure to CMBS, non-agency residential MBS and CMOs. Also contributing positively were the Trust’s holdings in foreign sovereign debt and agency interest-only issues. |
• | 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 on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a negative impact on returns. |
• | During the 12-month period, the Trust only made slight changes to its overall asset allocation. The Trust slightly increased exposure to high yield credit, particularly in financials and industrials, and reduced exposure to agency MBS, mostly within 30-year pass-through issues. |
• | At period end, the Trust maintained diversified exposure to non-government sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency MBS. The Trust also held exposure to government-related sectors including US Treasury securities, agency debt and agency MBS. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
14 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Income Opportunity Trust, Inc. |
Trust Information
Symbol on NYSE | BNA | |||||
Initial Offering Date | December 20, 1991 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($9.64)1 | 7.41% | |||||
Current Monthly Distribution per Common Share2 | $0.0595 | |||||
Current Annualized Distribution per Common Share2 | $0.7140 | |||||
Economic Leverage as of August 31, 20133 | 31% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 9.64 | $ | 11.58 | (16.75 | )% | $ | 12.07 | $ | 9.48 | ||||||||||||
Net Asset Value | $ | 10.96 | $ | 11.84 | (7.43 | )% | $ | 12.26 | $ | 10.78 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/bna.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
Corporate Bonds | 58 | % | 51 | % | ||||||
Non-Agency Mortgage-Backed Securities | 11 | 11 | ||||||||
US Government Sponsored Agency Securities | 10 | 14 | ||||||||
US Treasury Obligations | 7 | 15 | ||||||||
Preferred Securities | 6 | 2 | ||||||||
Asset-Backed Securities | 5 | 4 | ||||||||
Taxable Municipal Bonds | 2 | 2 | ||||||||
Foreign Agency Obligations | 1 | 1 |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
AAA/Aaa5 | 24 | % | 37 | % | ||||||
AA/Aa | 4 | 3 | ||||||||
A | 21 | 19 | ||||||||
BBB/Baa | 24 | 23 | ||||||||
BB/Ba | 13 | 6 | ||||||||
B | 12 | 9 | ||||||||
CCC/Caa | 1 | 2 | ||||||||
Not Rated | 1 | 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. |
ANNUAL REPORT | AUGUST 31, 2013 | 15 |
Trust Summary as of August 31, 2013 | BlackRock Income Trust, Inc. |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (10.34)% based on market price and (1.45)% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of (4.73)% based on market price and 5.49% 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. |
• | Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased. |
• | The increase in interest rates in the latter part of the period had a negative impact on the Trust’s performance. (Bond prices fall as rates rise.) In particular, the Trust’s holdings of 15- and 30-year agency pass-through MBS and US Treasury securities detracted from performance. |
• | Contributing positively to performance was the Trust’s exposure to securitized assets. Specifically, agency CMOs and agency mortgage derivatives (including interest-only and principal-only securities) added to performance. Given improvements in the US housing market, the Trust also benefited from exposure to Alt-A (riskier than prime, but less risky than subprime) and prime non-agency residential MBS and CMBS. The Trust’s allocation to the ABS sector also contributed positively to performance. |
• | 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 on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a positive impact on returns. |
• | During the 12-month period, the Trust increased exposure to agency MBS, especially within agency CMO as these securities offered strong income. The Trust maintained a reduced exposure to 30- and 15-year agency pass-through MBS securities and mortgage derivatives. The Trust also retained its small allocations to ABS, CMBS and non-agency MBS as they continued to benefit from improving underlying fundamentals. |
• | As of period end, the Trust maintained exposure to high quality agency MBS with varying maturities and coupon rates. The Trust continued to hold small allocations to non-agency MBS and CMBS. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
16 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Income Trust, Inc. |
Trust Information
Symbol on NYSE | BKT | |||||
Initial Offering Date | July 22, 1988 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.40)1 | 6.94% | |||||
Current Monthly Distribution per Common Share2 | $0.037 | |||||
Current Annualized Distribution per Common Share2 | $0.444 | |||||
Economic Leverage as of August 31, 20133 | 24% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 6.40 | $ | 7.63 | (16.12 | )% | $ | 7.74 | $ | 6.33 | ||||||||||||
Net Asset Value | $ | 7.32 | $ | 7.94 | (7.81 | )% | $ | 7.96 | $ | 7.27 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/bkt.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
US Government Sponsored Agency Securities | 96 | % | 86 | % | ||||||
Non-Agency Mortgage-Backed Securities | 2 | 2 | ||||||||
US Treasury Obligations | 1 | 11 | ||||||||
Asset-Backed Securities | 1 | 1 |
Credit Quality Allocation4 | | 8/31/13 | | 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. |
ANNUAL REPORT | AUGUST 31, 2013 | 17 |
Trust Summary as of August 31, 2013 | BlackRock Strategic Bond Trust |
Trust Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2013, the Trust returned (6.29)% based on market price and 5.45% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% 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. |
• | Detracting from performance was the Trust’s exposure to names in the paper, media cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period. |
• | The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, exposure to select sovereign issuers and investment grade credits had a positive impact on performance. From an industry perspective, security selection within gaming, wirelines and non-captive diversified (consumer credit-related businesses) boosted results. |
• | The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May. |
• | The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the healthcare and building materials industries, while decreasing risk within chemicals and independent energy. |
• | At period end, the Trust held 83% of its total portfolio in corporate bonds and 14% in floating rate loan interests, with the remainder invested in US Treasury obligations and preferred securities. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Biomet, Inc. (healthcare). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
18 | ANNUAL REPORT | AUGUST 31, 2013 |
BlackRock Strategic Bond Trust |
Trust Information
Symbol on NYSE | BHD | |||||
Initial Offering Date | February 26, 2002 | |||||
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($12.68)1 | 7.38% | |||||
Current Monthly Distribution per Common Share2 | $0.078 | |||||
Current Annualized Distribution per Common Share2 | $0.936 | |||||
Economic Leverage as of August 31, 20133 | 22% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 12.68 | $ | 14.52 | (12.67 | )% | $ | 16.01 | $ | 12.41 | ||||||||||||
Net Asset Value | $ | 14.15 | $ | 14.40 | (1.74 | )% | $ | 15.08 | $ | 13.93 |
Market Price and Net Asset Value History For the Past Five Years
![](https://capedge.com/proxy/N-CSR/0000891092-13-009122/bhd.jpg)
Overview of the Trust’s Long-Term Investments
Portfolio Composition | | 8/31/13 | | 8/31/12 | ||||||
Corporate Bonds | 83 | % | 79 | % | ||||||
Floating Rate Loan Interests | 14 | 17 | ||||||||
US Treasury Obligations | 2 | 1 | ||||||||
Preferred Securities | 1 | 2 | ||||||||
Common Stocks | — | 1 |
Credit Quality Allocation4 | | 8/31/13 | | 8/31/12 | ||||||
AAA/Aaa | — | — | ||||||||
AA/Aa | 1 | % | 1 | % | ||||||
A | 12 | 12 | ||||||||
BBB/Baa | 16 | 21 | ||||||||
BB/Ba | 30 | 26 | ||||||||
B | 36 | 32 | ||||||||
CCC/Caa | 4 | 7 | ||||||||
Not Rated | 1 | 1 |
4 | Using the higher of S&P’s or Moody’s ratings. |
ANNUAL REPORT | AUGUST 31, 2013 | 19 |
The Benefits and Risks of Leveraging | |
Percent of Economic Leverage | ||||||
BHK | 31 | % | ||||
HYV | 30 | % | ||||
HYT | 30 | % | ||||
HIS | 23 | % | ||||
BHY | 28 | % | ||||
BNA | 31 | % | ||||
BKT | 24 | % | ||||
BHD | 22 | % |
20 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments August 31, 2013 | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 7.5% | �� | ||||||||||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a) | USD | 673 | $ | 687,269 | |||||||||||
ACAS CLO Ltd., Series 2013-1A, Class C, 3.24%, 4/20/25 (a)(b) | 500 | 480,000 | |||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17 | 400 | 415,284 | |||||||||||||
Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b) | 600 | 596,100 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b) | 750 | 712,875 | |||||||||||||
Babson CLO Ltd., Series 2012-1X, Class B, 2.77%, 4/15/22 (b) | 500 | 492,500 | |||||||||||||
Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.92%, 4/17/25 (a)(b) | 500 | 474,400 | |||||||||||||
CarMax Auto Owner Trust: | |||||||||||||||
Series 2012-1, Class B, 1.76%, 8/15/17 | 210 | 212,091 | |||||||||||||
Series 2012-1, Class C, 2.20%, 10/16/17 | 125 | 126,935 | |||||||||||||
Series 2012-1, Class D, 3.09%, 8/15/18 | 155 | 158,933 | |||||||||||||
Cavalry CLO Ltd. (a)(b): | |||||||||||||||
Series 2A, Class C, 3.12%, 1/17/24 | 1,035 | 991,012 | |||||||||||||
Series 2A, Class D, 4.27%, 1/17/24 | 770 | 748,825 | |||||||||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25 | 1,105 | 1,061,320 | |||||||||||||
CIFC Funding Ltd. (a)(b): | |||||||||||||||
Series 2012-1A, Class B1L, 5.51%, 8/14/24 | 750 | 752,812 | |||||||||||||
Series 2013-1A, Class B, 3.09%, 4/16/25 | 500 | 495,450 | |||||||||||||
Series 2013-1A, Class C, 3.88%, 4/16/25 | 500 | 502,400 | |||||||||||||
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.33%, 1/25/37 (b) | 984 | 852,236 | |||||||||||||
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a) | 1,028 | 1,028,961 | |||||||||||||
DT Auto Owner Trust, Series 2011-3A, Class C, 4.03%, 2/15/17 (a) | 255 | 256,222 | |||||||||||||
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.51%, 11/14/21 (a)(b) | 500 | 479,750 | |||||||||||||
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.91%, 3/21/24 (a)(b) | 500 | 481,550 | |||||||||||||
Ford Credit Floorplan Master Owner Trust: | |||||||||||||||
Series 2012-1, Class B, 1.08%, 1/15/16 (b) | 180 | 180,255 | |||||||||||||
Series 2012-1, Class C, 1.68%, 1/15/16 (b) | 475 | 476,545 | |||||||||||||
Series 2012-1, Class D, 2.28%, 1/15/16 (b) | 445 | 447,383 | |||||||||||||
Series 2012-2, Class B, 2.32%, 1/15/19 | 245 | 248,906 | |||||||||||||
Series 2012-2, Class C, 2.86%, 1/15/19 | 105 | 107,272 | |||||||||||||
Series 2012-2, Class D, 3.50%, 1/15/19 | 200 | 205,550 | |||||||||||||
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.88%, 4/15/25 (a)(b) | 500 | 476,250 | |||||||||||||
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.29%, 7/25/37 (b) | 4 | 3,973 | |||||||||||||
ING IM CLO Ltd., Series 2012-2A, Class C, 3.72%, 10/15/22 (a)(b) | 750 | 754,500 | |||||||||||||
Nelnet Student Loan Trust (b): | |||||||||||||||
Series 2006-1, Class A5, 0.37%, 8/23/27 | 525 | 510,692 | |||||||||||||
Series 2008-3, Class A4, 1.91%, 11/25/24 | 615 | 646,712 | |||||||||||||
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities (concluded) | |||||||||||||||
OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b) | USD | 500 | $ | 488,750 | |||||||||||
OZLM Funding Ltd., Series 2013-3A, Class B, 3.37%, 1/22/25 (a)(b) | 750 | 731,400 | |||||||||||||
PFS Financing Corp., Series 2012-AA, Class A, 1.38%, 2/15/16 (a)(b) | 480 | 480,969 | |||||||||||||
Santander Consumer Acquired Receivables Trust (a): | |||||||||||||||
Series 2011-S1A, Class B, 1.66%, 8/15/16 | 407 | 408,876 | |||||||||||||
Series 2011-S1A, Class C, 2.01%, 8/15/16 | 263 | 263,591 | |||||||||||||
Series 2011-S1A, Class D, 3.15%, 8/15/16 | 276 | 277,412 | |||||||||||||
Series 2011-WO, Class C, 3.19%, 10/15/15 | 580 | 587,024 | |||||||||||||
Santander Drive Auto Receivables Trust: | |||||||||||||||
Series 2010-2, Class B, 2.24%, 12/15/14 | 250 | 250,807 | |||||||||||||
Series 2010-2, Class C, 3.89%, 7/17/17 | 1,010 | 1,031,759 | |||||||||||||
Series 2010-B, Class C, 3.02%, 10/17/16 (a) | 609 | 614,684 | |||||||||||||
Series 2011-1, Class D, 4.01%, 2/15/17 | 940 | 965,559 | |||||||||||||
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) | 137 | 137,726 | |||||||||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) | 26 | 25,903 | |||||||||||||
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a) | 362 | 364,260 | |||||||||||||
Series 2012-1, Class B, 2.72%, 5/16/16 | 240 | 243,836 | |||||||||||||
Series 2012-1, Class C, 3.78%, 11/15/17 | 325 | 332,170 | |||||||||||||
SLM Student Loan Trust: | |||||||||||||||
Series 2004-B, Class A2, 0.47%, 6/15/21 (b) | 149 | 146,910 | |||||||||||||
Series 2008-5, Class A3, 1.57%, 1/25/18 (b) | 515 | 520,582 | |||||||||||||
Series 2008-5, Class A4, 1.97%, 7/25/23 (b) | 615 | 646,387 | |||||||||||||
Series 2012-A, Class A1, 1.58%, 8/15/25 (a)(b) | 260 | 261,875 | |||||||||||||
Series 2012-A, Class A2, 3.83%, 1/17/45 (a) | 345 | 361,920 | |||||||||||||
Small Business Administration, Class 1, Series 2004-P10B, 4.75%, 8/10/14 | 74 | 75,748 | |||||||||||||
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32 | 1,136 | 1,130,106 | |||||||||||||
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.86%, 7/28/21 (a)(b) | 750 | 717,660 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22 | 1,180 | 1,227,888 | |||||||||||||
28,358,765 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.1% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | 3,140 | 221,786 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a) | 5,330 | 353,124 | |||||||||||||
574,910 | |||||||||||||||
Total Asset-Backed Securities — 7.6% | 28,933,675 | ||||||||||||||
Common Stocks | Shares | ||||||||||||||
Paper & Forest Products — 0.0% | |||||||||||||||
NewPage Corp. (c) | 1,720 | 137,600 |
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 | LIBOR | London Interbank Offered Rate |
CAD | Canadian Dollar | MSCI | Morgan Stanley Capital International | |
EAFE | Europe Australasia and Far East | PIK | Payment-in-Kind | |
ETF | Exchange-Traded Fund | RB | Revenue Bonds | |
EUR | Euro | S&P | Standard and Poor’s | |
EURIBOR | Euro Interbank Offered Rate | SPDR | Standard and Poor’s Depositary Receipts | |
FKA | Formerly Known As | TBA | To Be Announced | |
GBP | British Pound | USD | US Dollar | |
GO | General Obligation Bonds |
ANNUAL REPORT | AUGUST 31, 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 — 0.6% | ||||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | USD | 230 | $ | 248,400 | ||||||||||
United Technologies Corp. (d): | ||||||||||||||
4.88%, 5/01/15 | 1,125 | 1,203,841 | ||||||||||||
6.13%, 7/15/38 | 700 | 852,952 | ||||||||||||
2,305,193 | ||||||||||||||
Airlines — 1.7% | ||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/23 (a) | 2,000 | 1,980,000 | ||||||||||||
Continental Airlines Pass-Through Trust: | ||||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 521 | 534,172 | ||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 500 | 507,250 | ||||||||||||
United Airlines 2013-1 Class A Pass Through Trust, 4.30%, 2/15/27 | 2,000 | 1,965,000 | ||||||||||||
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 | 1,552 | 1,613,895 | ||||||||||||
6,600,317 | ||||||||||||||
Auto Components — 0.4% | ||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 1,450 | 1,526,125 | ||||||||||||
Automobiles — 0.5% | ||||||||||||||
Ford Motor Co., 4.75%, 1/15/43 | 1,995 | 1,763,630 | ||||||||||||
Building Products — 0.2% | ||||||||||||||
Cemex SAB de CV, 5.88%, 3/25/19 (a) | 200 | 189,500 | ||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 255 | 264,563 | ||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 324 | 353,970 | ||||||||||||
808,033 | ||||||||||||||
Capital Markets — 3.7% | ||||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d) | 2,935 | 3,352,333 | ||||||||||||
The Goldman Sachs Group, Inc. (d): | ||||||||||||||
5.38%, 3/15/20 | 1,220 | 1,327,273 | ||||||||||||
5.25%, 7/27/21 | 3,165 | 3,382,002 | ||||||||||||
5.75%, 1/24/22 | 1,800 | 1,976,843 | ||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (a) | 185 | 181,762 | ||||||||||||
Morgan Stanley: | ||||||||||||||
4.20%, 11/20/14 | 490 | 508,518 | ||||||||||||
4.00%, 7/24/15 | 410 | 428,256 | ||||||||||||
6.25%, 8/28/17 (d) | 1,930 | 2,179,665 | ||||||||||||
Murray Street Investment Trust I, 4.65%, 3/09/17 | 825 | 875,403 | ||||||||||||
14,212,055 | ||||||||||||||
Chemicals — 1.3% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 152 | 140,980 | ||||||||||||
The Dow Chemical Co., 4.13%, 11/15/21 | 350 | 355,832 | ||||||||||||
Huntsman International LLC, 4.88%, 11/15/20 | 298 | 283,845 | ||||||||||||
Methanex Corp., 3.25%, 12/15/19 | 2,074 | 2,018,944 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 245 | 245,000 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a) | 161 | 155,767 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,486 | 1,459,995 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a) | 182 | 173,810 | ||||||||||||
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 7.38%, 5/01/21 (a) | 151 | 154,397 | ||||||||||||
4,988,570 | ||||||||||||||
Commercial Banks — 3.1% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.50%, 2/15/19 (a) | 398 | 407,950 | ||||||||||||
5.38%, 5/15/20 | 1,650 | 1,658,250 | ||||||||||||
Depfa ACS Bank, 5.13%, 3/16/37 (a) | 3,775 | 3,137,969 | ||||||||||||
HSBC Bank Brasil SA — Banco Multiplo, 4.00%, 5/11/16 (a) | 1,400 | 1,433,600 | ||||||||||||
HSBC Bank PLC, 3.10%, 5/24/16 (a)(d) | 700 | 733,458 | ||||||||||||
HSBC Holdings PLC, 6.10%, 1/14/42 | 305 | 360,482 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Commercial Banks (concluded) | ||||||||||||||
Rabobank Nederland (d): | ||||||||||||||
3.88%, 2/08/22 | USD | 1,390 | $ | 1,379,692 | ||||||||||
3.95%, 11/09/22 | 1,500 | 1,429,470 | ||||||||||||
Wells Fargo & Co., 3.50%, 3/08/22 (d) | 1,390 | 1,380,983 | ||||||||||||
11,921,854 | ||||||||||||||
Commercial Services & Supplies — 1.4% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 246 | 259,530 | ||||||||||||
The ADT Corp., 4.88%, 7/15/42 | 539 | 394,091 | ||||||||||||
Aviation Capital Group Corp. (a): | ||||||||||||||
4.63%, 1/31/18 | 650 | 648,706 | ||||||||||||
7.13%, 10/15/20 | 900 | 979,228 | ||||||||||||
The Hertz Corp., 4.25%, 4/01/18 (a) | 236 | 231,280 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 1,330 | 1,481,354 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 320 | 348,800 | ||||||||||||
UR Merger Sub Corp.: | ||||||||||||||
5.75%, 7/15/18 | 194 | 207,095 | ||||||||||||
7.38%, 5/15/20 | 385 | 414,838 | ||||||||||||
7.63%, 4/15/22 | 452 | 485,900 | ||||||||||||
5,450,822 | ||||||||||||||
Communications Equipment — 1.3% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e) | 4,330 | 4,384,125 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 530 | 575,050 | ||||||||||||
4,959,175 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
ABB Finance USA, Inc., 4.38%, 5/08/42 | 192 | 180,633 | ||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a) | 200 | 201,000 | ||||||||||||
381,633 | ||||||||||||||
Construction Materials — 1.0% | ||||||||||||||
HD Supply, Inc.: | ||||||||||||||
8.13%, 4/15/19 | 1,815 | 2,019,187 | ||||||||||||
7.50%, 7/15/20 (a) | 1,544 | 1,613,480 | ||||||||||||
Lafarge SA, 7.13%, 7/15/36 | 135 | 140,400 | ||||||||||||
3,773,067 | ||||||||||||||
Consumer Finance — 0.9% | ||||||||||||||
Discover Financial Services, 3.85%, 11/21/22 | 250 | 235,873 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
8.13%, 1/15/20 | 1,265 | 1,538,045 | ||||||||||||
4.25%, 9/20/22 | 800 | 779,514 | ||||||||||||
SLM Corp., 6.25%, 1/25/16 | 661 | 703,965 | ||||||||||||
3,257,397 | ||||||||||||||
Containers & Packaging — 0.8% | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | 91 | 95,550 | ||||||||||||
Sealed Air Corp. (a): | ||||||||||||||
6.50%, 12/01/20 | 550 | 583,000 | ||||||||||||
8.38%, 9/15/21 | 225 | 254,531 | ||||||||||||
Smurfit Kappa Acquisitions (a): | ||||||||||||||
7.25%, 11/15/17 | EUR | 725 | 999,686 | |||||||||||
4.88%, 9/15/18 | USD | 410 | 410,000 | |||||||||||
7.75%, 11/15/19 | EUR | 410 | 586,625 | |||||||||||
2,929,392 | ||||||||||||||
Diversified Consumer Services — 0.3% | ||||||||||||||
APX Group, Inc., 6.38%, 12/01/19 (a) | USD | 636 | 599,430 | |||||||||||
Rent-A-Center, Inc., 4.75%, 5/01/21 (a) | 431 | 398,675 | ||||||||||||
998,105 | ||||||||||||||
Diversified Financial Services — 8.0% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 708 | 738,090 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
8.30%, 2/12/15 | 1,500 | 1,620,000 | ||||||||||||
5.50%, 2/15/17 | 1,500 | 1,581,193 | ||||||||||||
6.25%, 12/01/17 | 160 | 171,565 | ||||||||||||
8.00%, 3/15/20 | 560 | 644,700 | ||||||||||||
8.00%, 11/01/31 | 300 | 345,000 |
22 | ANNUAL REPORT | AUGUST 31, 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) | ||||||||||||||
Bank of America Corp. (d): | ||||||||||||||
5.63%, 7/01/20 | USD | 1,100 | $ | 1,210,623 | ||||||||||
3.30%, 1/11/23 | 4,990 | 4,612,916 | ||||||||||||
Citigroup, Inc., Series D, 5.35% (b)(f) | 1,050 | 931,875 | ||||||||||||
FMR LLC, 4.95%, 2/01/33 (a)(d) | 1,150 | 1,121,248 | ||||||||||||
General Electric Capital Corp. (d): | ||||||||||||||
6.15%, 8/07/37 | 2,150 | 2,413,358 | ||||||||||||
6.88%, 1/10/39 | 135 | 163,697 | ||||||||||||
General Motors Financial Co., Inc., 4.25%, 5/15/23 (a) | 401 | 360,900 | ||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a) | 500 | 495,000 | ||||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a) | 626 | 615,045 | ||||||||||||
JPMorgan Chase & Co.: | ||||||||||||||
3.70%, 1/20/15 (d) | 3,425 | 3,551,735 | ||||||||||||
6.30%, 4/23/19 (d) | 2,000 | 2,324,180 | ||||||||||||
Series Q 5.15%(b)(f) | 1,500 | 1,320,000 | ||||||||||||
JPMorgan Chase Bank NA, 6.00%, 10/01/17 | 800 | 908,500 | ||||||||||||
Macquarie Bank Ltd., 10.25%, 6/20/57 (b) | 900 | 994,500 | ||||||||||||
Moody’s Corp., 4.50%, 9/01/22 | 900 | 890,226 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 | 200 | 212,750 | ||||||||||||
7.88%, 8/15/19 | 560 | 616,000 | ||||||||||||
5.75%, 10/15/20 | 1,000 | 991,250 | ||||||||||||
6.88%, 2/15/21 | 680 | 717,400 | ||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 562 | 647,705 | ||||||||||||
30,199,456 | ||||||||||||||
Diversified Telecommunication Services — 2.0% | ||||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 400 | 392,000 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 698 | 738,135 | ||||||||||||
8.63%, 7/15/20 | 650 | 695,500 | ||||||||||||
Telecom Italia Capital SA, 6.00%, 9/30/34 | 1,550 | 1,341,514 | ||||||||||||
Verizon Communications, Inc. (d): | ||||||||||||||
3.50%, 11/01/21 | 500 | 489,577 | ||||||||||||
6.40%, 2/15/38 | 3,483 | 3,919,253 | ||||||||||||
Windstream Corp., 7.88%, 11/01/17 | 40 | 44,400 | ||||||||||||
7,620,379 | ||||||||||||||
Electric Utilities — 6.0% | ||||||||||||||
The Cleveland Electric Illuminating Co.: | ||||||||||||||
8.88%, 11/15/18 | 121 | 154,429 | ||||||||||||
5.95%, 12/15/36 | 217 | 221,806 | ||||||||||||
CMS Energy Corp., 5.05%, 3/15/22 | 915 | 983,891 | ||||||||||||
Duke Energy Carolinas LLC: | ||||||||||||||
6.10%, 6/01/37 | 315 | 367,424 | ||||||||||||
6.00%, 1/15/38 (d) | 825 | 978,879 | ||||||||||||
4.25%, 12/15/41 | 375 | 354,048 | ||||||||||||
E.ON International Finance BV, 6.65%, 4/30/38 (a)(d) | 1,525 | 1,865,507 | ||||||||||||
Electricite de France SA, 5.60%, 1/27/40 (a)(d) | 1,400 | 1,464,350 | ||||||||||||
Florida Power Corp. (d): | ||||||||||||||
6.35%, 9/15/37 | 1,325 | 1,625,737 | ||||||||||||
6.40%, 6/15/38 | 430 | 528,684 | ||||||||||||
Hydro-Quebec (d): | ||||||||||||||
9.40%, 2/01/21 | 390 | 534,052 | ||||||||||||
Series HY 8.40%, 1/15/22 | 730 | 973,567 | ||||||||||||
Series IO 8.05%, 7/07/24 | 1,900 | 2,561,513 | ||||||||||||
Jersey Central Power & Light Co., 7.35%, 2/01/19 | 245 | 290,713 | ||||||||||||
Nisource Finance Corp.: | ||||||||||||||
6.40%, 3/15/18 | 280 | 323,259 | ||||||||||||
5.25%, 2/15/43 | 500 | 483,036 | ||||||||||||
Ohio Power Co., Series D, 6.60%, 3/01/33 | 1,500 | 1,781,007 | ||||||||||||
PacifiCorp., 6.25%, 10/15/37 (d) | 575 | 709,908 | ||||||||||||
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d) | 1,200 | 1,509,281 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Electric Utilities (concluded) | ||||||||||||||
Southern California Edison Co. (d): | ||||||||||||||
5.63%, 2/01/36 | USD | 625 | $ | 718,268 | ||||||||||
Series 08-A, 5.95%, 2/01/38 | 1,075 | 1,285,570 | ||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 650 | 857,557 | |||||||||||
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d) | USD | 2,000 | 2,383,490 | |||||||||||
22,955,976 | ||||||||||||||
Energy Equipment & Services — 3.0% | ||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d) | 565 | 569,237 | ||||||||||||
Ensco PLC: | ||||||||||||||
3.25%, 3/15/16 | 160 | 166,609 | ||||||||||||
4.70%, 3/15/21 (d) | 1,745 | 1,845,896 | ||||||||||||
EOG Resources, Inc., 2.63%, 3/15/23 (d) | 1,902 | 1,739,193 | ||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 497 | 530,547 | ||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 71 | 69,935 | ||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 | 580 | 580,000 | ||||||||||||
Noble Holding International Ltd., 5.25%, 3/15/42 | 350 | 321,252 | ||||||||||||
Peabody Energy Corp.: | ||||||||||||||
6.00%, 11/15/18 | 1,251 | 1,244,745 | ||||||||||||
6.25%, 11/15/21 | 1,239 | 1,195,635 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 1,590 | 1,601,925 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 381 | 380,048 | ||||||||||||
Transocean, Inc.: | ||||||||||||||
5.05%, 12/15/16 | 850 | 929,661 | ||||||||||||
6.50%, 11/15/20 | 350 | 386,947 | ||||||||||||
11,561,630 | ||||||||||||||
Food & Staples Retailing — 0.1% | ||||||||||||||
Rite Aid Corp., 6.75%, 6/15/21 (a) | 279 | 282,488 | ||||||||||||
Food Products — 1.3% | ||||||||||||||
Barry Callebaut Services NV, 5.50%, 6/15/23 (a) | 593 | 596,433 | ||||||||||||
Kraft Foods Group, Inc.: | ||||||||||||||
5.38%, 2/10/20 | 1,570 | 1,762,248 | ||||||||||||
5.00%, 6/04/42 | 997 | 978,284 | ||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a) | 224 | 208,320 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 749 | 790,195 | ||||||||||||
Sun Merger Sub, Inc. (a): | ||||||||||||||
5.25%, 8/01/18 | 329 | 330,234 | ||||||||||||
5.88%, 8/01/21 | 169 | 168,578 | ||||||||||||
4,834,292 | ||||||||||||||
Gas Utilities — 0.6% | ||||||||||||||
CenterPoint Energy Resources Corp., 5.85%, 1/15/41 | 1,600 | 1,842,218 | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18 | 380 | 407,550 | ||||||||||||
2,249,768 | ||||||||||||||
Health Care Equipment & Supplies — 0.7% | ||||||||||||||
Boston Scientific Corp., 6.25%, 11/15/15 | 1,251 | 1,380,966 | ||||||||||||
DJO Finance LLC/DJO Finance Corp., 7.75%, 4/15/18 | 735 | 722,138 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 385 | 404,250 | ||||||||||||
2,507,354 | ||||||||||||||
Health Care Providers & Services — 3.8% | ||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 175 | 187,250 | ||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 400 | 409,000 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 494 | 695,333 | |||||||||||
HCA, Inc.: | ||||||||||||||
6.50%, 2/15/20 | USD | 2,118 | 2,274,202 | |||||||||||
7.25%, 9/15/20 | 350 | 381,063 | ||||||||||||
4.75%, 5/01/23 | 1,161 | 1,084,084 |
ANNUAL REPORT | AUGUST 31, 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 Providers & Services (concluded) | ||||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | USD | 75 | $ | 78,563 | ||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 310 | 316,200 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 455 | 477,750 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 859 | 907,319 | ||||||||||||
4.50%, 4/01/21 | 383 | 352,360 | ||||||||||||
4.38%, 10/01/21 (a) | 1,765 | 1,601,737 | ||||||||||||
UnitedHealth Group, Inc., 2.88%, 3/15/22 (d) | 2,000 | 1,884,586 | ||||||||||||
WellPoint, Inc., 4.65%, 1/15/43 (d) | 4,005 | 3,706,163 | ||||||||||||
14,355,610 | ||||||||||||||
Hotels, Restaurants & Leisure — 1.9% | ||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 | 398 | 382,080 | ||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 935 | 857,862 | ||||||||||||
Playa Resorts Holding BV, 8.00%, 8/15/20 (a) | 150 | 153,000 | ||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (a) | 524 | 522,690 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 865 | 817,425 | ||||||||||||
The Unique Pub Finance Co. PLC: | ||||||||||||||
Series A3 6.54%, 3/30/21 | GBP | 900 | 1,405,191 | |||||||||||
Series A4 5.66%, 6/30/27 | 1,327 | 1,922,783 | ||||||||||||
Series N 6.46%, 3/30/32 | 1,195 | 1,328,733 | ||||||||||||
7,389,764 | ||||||||||||||
Household Durables — 0.9% | ||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | USD | 580 | 611,175 | |||||||||||
Standard Pacific Corp., 10.75%, 9/15/16 | 2,100 | 2,493,750 | ||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a) | 372 | 351,540 | ||||||||||||
3,456,465 | ||||||||||||||
Household Products — 0.2% | ||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 190 | 263,709 | |||||||||||
Spectrum Brands Escrow Corp. (a): | ||||||||||||||
6.38%, 11/15/20 | USD | 200 | 207,000 | |||||||||||
6.63%, 11/15/22 | 275 | 281,875 | ||||||||||||
752,584 | ||||||||||||||
Independent Power Producers & Energy Traders — 0.4% | ||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (a) | 78 | 82,680 | ||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, 12/01/20 (a) | 890 | 935,613 | ||||||||||||
GenOn REMA LLC, Series C, 9.68%, 7/02/26 | 415 | 439,900 | ||||||||||||
1,458,193 | ||||||||||||||
Industrial Conglomerates — 0.0% | ||||||||||||||
Smiths Group PLC, 3.63%, 10/12/22 (a) | 180 | 166,186 | ||||||||||||
Insurance — 5.3% | ||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a) | 613 | 626,792 | ||||||||||||
Allianz Finance II BV, 5.75%, 7/08/41 (b) | EUR | 500 | 724,059 | |||||||||||
The Allstate Corp., 5.75%, 8/15/53 (b) | USD | 1,000 | 985,000 | |||||||||||
American International Group, Inc.: | ||||||||||||||
3.80%, 3/22/17 (d) | 5,580 | 5,905,035 | ||||||||||||
5.45%, 5/18/17 (d) | 800 | 888,101 | ||||||||||||
8.18%, 5/15/68 (b) | 970 | 1,137,325 | ||||||||||||
AXA SA, 5.25%, 4/16/40 (b) | EUR | 250 | 343,081 | |||||||||||
Hartford Financial Services Group, Inc.: | ||||||||||||||
6.00%, 1/15/19 | USD | 345 | 392,091 | |||||||||||
5.13%, 4/15/22 | 930 | 1,012,675 | ||||||||||||
Hartford Life Global Funding Trusts, 0.45%, 6/16/14 (b) | 425 | 424,771 | ||||||||||||
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) | 1,000 | 1,102,383 | ||||||||||||
Lincoln National Corp., 6.25%, 2/15/20 | 630 | 729,594 | ||||||||||||
Manulife Financial Corp., 3.40%, 9/17/15 (d) | 1,630 | 1,706,742 | ||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (a)(d) | 775 | 802,599 | ||||||||||||
Montpelier Re Holdings Ltd., 4.70%, 10/15/22 | 450 | 437,017 | ||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 340 | 350,200 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Insurance (concluded) | ||||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 200 | $ | 297,866 | ||||||||||
Prudential Financial, Inc. (d): | ||||||||||||||
7.38%, 6/15/19 | USD | 250 | 306,456 | |||||||||||
5.38%, 6/21/20 | 250 | 280,537 | ||||||||||||
4.50%, 11/15/20 | 450 | 480,770 | ||||||||||||
5.90%, 3/17/36 | 500 | 545,780 | ||||||||||||
5.70%, 12/14/36 | 675 | 719,721 | ||||||||||||
20,198,595 | ||||||||||||||
Internet Software & Services — 0.1% | ||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | 86 | 82,775 | ||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (a) | 345 | 322,575 | ||||||||||||
405,350 | ||||||||||||||
IT Services — 0.8% | ||||||||||||||
Ceridian Corp., 11.00%, 3/15/21 (a) | 440 | 508,200 | ||||||||||||
First Data Corp. (a): | ||||||||||||||
7.38%, 6/15/19 | 775 | 804,062 | ||||||||||||
6.75%, 11/01/20 | 680 | 695,300 | ||||||||||||
SunGard Data Systems, Inc., 7.38%, 11/15/18 | 1,080 | 1,147,500 | ||||||||||||
3,155,062 | ||||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Agilent Technologies, Inc., 3.20%, 10/01/22 | 250 | 231,312 | ||||||||||||
Machinery — 0.1% | ||||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 379 | 376,631 | ||||||||||||
Marine — 0.3% | ||||||||||||||
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a) | 1,050 | 1,102,500 | ||||||||||||
Media — 5.7% | ||||||||||||||
AMC Networks, Inc.: | ||||||||||||||
7.75%, 7/15/21 | 320 | 353,600 | ||||||||||||
4.75%, 12/15/22 | 343 | 321,562 | ||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 175 | 163,625 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 | 305 | 293,563 | ||||||||||||
Clear Channel Worldwide Holdings, Inc., Series B: | ||||||||||||||
6.50%, 11/15/22 | 674 | 668,945 | ||||||||||||
6.50%, 11/15/22 | 1,821 | 1,821,000 | ||||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d) | 600 | 840,666 | ||||||||||||
Comcast Corp., 6.45%, 3/15/37 (d) | 790 | 941,866 | ||||||||||||
Cox Communications, Inc., 8.38%, 3/01/39 (a) | 1,740 | 2,080,528 | ||||||||||||
DIRECTV Holdings LLC: | ||||||||||||||
6.38%, 3/01/41 | 260 | 259,998 | ||||||||||||
5.15%, 3/15/42 | 2,100 | 1,807,871 | ||||||||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a) | 109 | 113,360 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 395 | 385,125 | ||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a) | 292 | 295,650 | ||||||||||||
NBC Universal Media LLC (d): | ||||||||||||||
5.15%, 4/30/20 | 1,983 | 2,235,882 | ||||||||||||
4.38%, 4/01/21 | 1,015 | 1,085,515 | ||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 1,070 | 1,185,025 | ||||||||||||
News America, Inc., 7.63%, 11/30/28 | 385 | 468,661 | ||||||||||||
Omnicom Group, Inc., 3.63%, 5/01/22 (d) | 2,355 | 2,274,235 | ||||||||||||
Sirius XM Radio, Inc. (a): | ||||||||||||||
4.25%, 5/15/20 | 559 | 511,485 | ||||||||||||
4.63%, 5/15/23 | 275 | 242,688 | ||||||||||||
TCI Communications, Inc., 7.88%, 2/15/26 | 610 | 791,627 | ||||||||||||
Time Warner, Inc.: | ||||||||||||||
4.70%, 1/15/21 | 350 | 371,684 | ||||||||||||
6.10%, 7/15/40 | 215 | 231,866 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a) | 255 | 232,050 |
24 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | �� | |||||||||||||
Univision Communications, Inc., 5.13%, 5/15/23 (a) | USD | 1,153 | $ | 1,088,144 | ||||||||||
Virgin Media Secured Finance PLC, 6.50%, 1/15/18 | 525 | 547,312 | ||||||||||||
21,613,533 | ||||||||||||||
Metals & Mining — 3.9% | ||||||||||||||
Alcoa, Inc., 5.40%, 4/15/21 | 1,450 | 1,432,211 | ||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | 410 | 449,975 | ||||||||||||
4.25%, 2/25/15 | 174 | 178,568 | ||||||||||||
4.25%, 8/05/15 | 173 | 178,190 | ||||||||||||
4.25%, 3/01/16 | 175 | 178,500 | ||||||||||||
5.00%, 2/25/17 | 213 | 217,793 | ||||||||||||
6.13%, 6/01/18 | 313 | 322,390 | ||||||||||||
Commercial Metals Co., 4.88%, 5/15/23 | 534 | 483,270 | ||||||||||||
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a) | 1,565 | 1,384,397 | ||||||||||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||||||||||||
3.55%, 3/01/22 | 540 | 481,903 | ||||||||||||
5.45%, 3/15/43 (a) | 450 | 388,031 | ||||||||||||
New Gold, Inc., 6.25%, 11/15/22 (a) | 440 | 421,300 | ||||||||||||
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a) | 475 | 407,073 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,120 | 4,480,500 | ||||||||||||
Teck Resources Ltd., 5.38%, 10/01/15 | 2,359 | 2,541,105 | ||||||||||||
Xstrata Canada Corp., 6.20%, 6/15/35 | 1,250 | 1,126,697 | ||||||||||||
14,671,903 | ||||||||||||||
Multiline Retail — 0.8% | ||||||||||||||
Dollar General Corp., 3.25%, 4/15/23 | 2,000 | 1,821,376 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 1,260 | 1,285,894 | ||||||||||||
3,107,270 | ||||||||||||||
Oil, Gas & Consumable Fuels — 11.4% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22 | 400 | 411,000 | ||||||||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 1,916 | 2,148,882 | ||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a) | 159 | 160,590 | ||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 59 | 60,033 | ||||||||||||
BP Capital Markets PLC, 3.13%, 10/01/15 (d) | 330 | 345,433 | ||||||||||||
Burlington Resources Finance Co., 7.40%, 12/01/31 (d) | 875 | 1,152,515 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 400 | 422,000 | ||||||||||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 750 | 898,759 | ||||||||||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | 615 | 611,925 | ||||||||||||
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (d) | 535 | 619,907 | ||||||||||||
Continental Resources, Inc.: | ||||||||||||||
5.00%, 9/15/22 | 486 | 490,860 | ||||||||||||
4.50%, 4/15/23 | 113 | 111,023 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 623 | 556,027 | ||||||||||||
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32 | 275 | 360,814 | ||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20 | 240 | 275,126 | ||||||||||||
Energy Transfer Partners LP, 7.50%, 7/01/38 | 500 | 585,646 | ||||||||||||
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | 455 | 506,187 | ||||||||||||
Enterprise Products Operating LLC: | ||||||||||||||
4.05%, 2/15/22 (d) | 1,250 | 1,279,716 | ||||||||||||
6.13%, 10/15/39 | 700 | 783,786 | ||||||||||||
Series L, 6.30%, 9/15/17 | 575 | 663,050 | ||||||||||||
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d) | 505 | 570,198 | ||||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||||
5.95%, 2/15/18 | 1,300 | 1,488,265 | ||||||||||||
6.50%, 9/01/39 (d) | 3,000 | 3,343,026 | ||||||||||||
6.55%, 9/15/40 | 110 | 123,550 | ||||||||||||
6.38%, 3/01/41 | 150 | 165,646 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Kodiak Oil & Gas Corp.: | ||||||||||||||
8.13%, 12/01/19 | USD | 110 | $ | 120,450 | ||||||||||
5.50%, 2/01/22 (a) | 106 | 102,290 | ||||||||||||
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (a) | 355 | 326,600 | ||||||||||||
Marathon Petroleum Corp., 6.50%, 3/01/41 | 997 | 1,098,146 | ||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22 | 98 | 102,410 | ||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 212 | 204,580 | ||||||||||||
MidAmerican Energy Co., 5.80%, 10/15/36 | 700 | 801,908 | ||||||||||||
MidAmerican Energy Holdings Co.: | ||||||||||||||
5.95%, 5/15/37 | 800 | 894,609 | ||||||||||||
6.50%, 9/15/37 | 1,900 | 2,255,657 | ||||||||||||
Nexen, Inc., 7.50%, 7/30/39 | 1,000 | 1,227,145 | ||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 232 | 223,300 | ||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (a) | 368 | 355,120 | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 47 | 48,058 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 300 | 315,000 | ||||||||||||
Petrobras International Finance Co.: | ||||||||||||||
3.88%, 1/27/16 | 1,340 | 1,375,096 | ||||||||||||
5.75%, 1/20/20 | 1,725 | 1,746,035 | ||||||||||||
Pioneer Natural Resources Co., 3.95%, 7/15/22 | 350 | 345,628 | ||||||||||||
Premier Oil PLC, 5.00%, 6/09/18 | 1,900 | 1,900,000 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
5.75%, 6/01/21 (d) | 847 | 887,232 | ||||||||||||
5.00%, 8/15/22 | 88 | 86,020 | ||||||||||||
Regency Energy Partners LP, 4.50%, 11/01/23 (a) | 249 | 222,232 | ||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a) | 168 | 168,000 | ||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 239 | 230,635 | ||||||||||||
Sabine Pass Liquefaction LLC (a): | ||||||||||||||
5.63%, 2/01/21 | 1,787 | 1,706,585 | ||||||||||||
5.63%, 4/15/23 | 468 | 434,070 | ||||||||||||
Sabine Pass LNG LP: | ||||||||||||||
7.50%, 11/30/16 | 1,475 | 1,624,344 | ||||||||||||
6.50%, 11/01/20 (a) | 475 | 477,375 | ||||||||||||
SandRidge Energy, Inc.: | ||||||||||||||
8.75%, 1/15/20 | 35 | 36,575 | ||||||||||||
7.50%, 2/15/23 | 382 | 369,585 | ||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a) | 386 | 391,790 | ||||||||||||
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17 | 1,040 | 1,225,300 | ||||||||||||
Western Gas Partners LP: | ||||||||||||||
5.38%, 6/01/21 | 710 | 767,209 | ||||||||||||
4.00%, 7/01/22 | 200 | 194,995 | ||||||||||||
The Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 2,500 | 2,803,765 | ||||||||||||
43,201,708 | ||||||||||||||
Paper & Forest Products — 0.4% | ||||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 155 | 166,237 | ||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 180 | 189,450 | ||||||||||||
International Paper Co.: | ||||||||||||||
7.50%, 8/15/21 | 75 | 92,316 | ||||||||||||
4.75%, 2/15/22 | 420 | 441,560 | ||||||||||||
6.00%, 11/15/41 | 435 | 471,913 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (c)(g) | 397 | — | ||||||||||||
1,361,476 |
ANNUAL REPORT | AUGUST 31, 2013 | 25 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Pharmaceuticals — 0.8% | |||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) | EUR | 200 | $ | 292,084 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 520 | 587,600 | ||||||||||||
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a) | 575 | 584,344 | |||||||||||||
VPII Escrow Corp., 6.75%, 8/15/18 (a) | 1,321 | 1,398,609 | |||||||||||||
2,862,637 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||||||
Felcor Lodging LP, 5.63%, 3/01/23 | 247 | 229,710 | |||||||||||||
Simon Property Group LP, 4.75%, 3/15/42 | 835 | 796,736 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 | 275 | 286,799 | |||||||||||||
Vornado Realty LP, 5.00%, 1/15/22 | 1,185 | 1,238,519 | |||||||||||||
2,551,764 | |||||||||||||||
Real Estate Management & Development — 0.9% | |||||||||||||||
Lennar Corp., 4.75%, 11/15/22 (a) | 440 | 403,700 | |||||||||||||
Punch Taverns Finance PLC, Series A2R, 6.82%, 7/15/20 | GBP | 669 | 1,046,804 | ||||||||||||
Realogy Corp. (a)(d): | |||||||||||||||
7.88%, 2/15/19 | USD | 374 | 406,725 | ||||||||||||
7.63%, 1/15/20 | 520 | 582,400 | |||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a) | 476 | 472,430 | |||||||||||||
WEA Finance LLC, 4.63%, 5/10/21 (a) | 305 | 317,501 | |||||||||||||
3,229,560 | |||||||||||||||
Road & Rail — 0.6% | |||||||||||||||
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 | 950 | 1,038,645 | |||||||||||||
The Hertz Corp.: | |||||||||||||||
5.88%, 10/15/20 | 230 | 236,038 | |||||||||||||
7.38%, 1/15/21 | 620 | 669,600 | |||||||||||||
6.25%, 10/15/22 | 385 | 391,737 | |||||||||||||
2,336,020 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) | 470 | 470,000 | |||||||||||||
Software — 0.6% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 598 | 551,655 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 1,085 | 1,033,462 | |||||||||||||
Oracle Corp., 5.38%, 7/15/40 (d) | 775 | 849,905 | |||||||||||||
2,435,022 | |||||||||||||||
Specialty Retail — 0.7% | |||||||||||||||
The Home Depot, Inc., 5.88%, 12/16/36 (d) | 830 | 956,119 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(h) | 244 | 250,710 | |||||||||||||
QVC, Inc. (a): | |||||||||||||||
7.50%, 10/01/19 | 395 | 425,841 | |||||||||||||
7.38%, 10/15/20 | 975 | 1,059,384 | |||||||||||||
2,692,054 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||||||
PVH Corp., 4.50%, 12/15/22 | 490 | 453,863 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a) | 402 | 396,975 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (a) | 328 | 329,640 | |||||||||||||
1,180,478 | |||||||||||||||
Thrifts & Mortgage Finance — 0.4% | |||||||||||||||
Radian Group, Inc., 5.38%, 6/15/15 | 1,400 | 1,449,000 | |||||||||||||
Tobacco — 1.2% | |||||||||||||||
Altria Group, Inc.: | |||||||||||||||
9.95%, 11/10/38 | 800 | 1,183,177 | |||||||||||||
10.20%, 2/06/39 | 1,388 | 2,107,132 | |||||||||||||
Lorillard Tobacco Co., 7.00%, 8/04/41 | 500 | 515,256 | |||||||||||||
Reynolds American, Inc., 4.75%, 11/01/42 | 1,050 | 917,650 | |||||||||||||
4,723,215 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services — 2.4% | |||||||||||||||
America Movil SAB de CV, 2.38%, 9/08/16 | USD | 795 | $ | 805,838 | |||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 465 | 439,425 | |||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) | 1,560 | 1,758,980 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 460 | 487,600 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (a) | 750 | 723,750 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 504 | 522,900 | |||||||||||||
Rogers Communications, Inc., 7.50%, 8/15/38 | 1,150 | 1,472,202 | |||||||||||||
SBA Tower Trust, 5.10%, 4/15/42 (a) | 360 | 386,299 | |||||||||||||
Softbank Corp., 4.50%, 4/15/20 (a) | 550 | 519,992 | |||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 464 | 418,760 | |||||||||||||
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a): | |||||||||||||||
9.00%, 11/15/18 | 530 | 618,775 | |||||||||||||
7.00%, 3/01/20 | 888 | 954,600 | |||||||||||||
9,109,121 | |||||||||||||||
Total Corporate Bonds — 83.8% | 318,129,724 | ||||||||||||||
Foreign Agency Obligations | |||||||||||||||
Italy Government International Bond, 5.38%, 6/15/33 | 455 | 455,955 | |||||||||||||
Slovenia Government Bond, Series RS65, 4.38%, 4/02/14 | EUR | 1,600 | 2,129,337 | ||||||||||||
Slovenia Government International Bond, 5.85%, 5/10/23 (a) | USD | 432 | 406,080 | ||||||||||||
Total Foreign Agency Obligations — 0.8% | 2,991,372 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.0% | |||||||||||||||
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37 | 846 | 743,080 | |||||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 1,212 | 1,056,486 | |||||||||||||
Series 2006-OA21, Class A1, 0.37%, 3/20/47 (b)(d) | 728 | 495,744 | |||||||||||||
Series 2007-HY4, Class 4A1, 4.87%, 6/25/47 (b) | 589 | 467,778 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2006-OA5, Class 2A1, 0.38%, 4/25/46 (b) | 294 | 216,808 | |||||||||||||
Series 2007-10, Class A22, 6.00%, 7/25/37 | 463 | 403,370 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b) | 1,121 | 1,117,004 | |||||||||||||
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.19%, 6/19/35 (b) | 793 | 783,118 | |||||||||||||
GSR Mortgage Loan Trust: | |||||||||||||||
Series 2006-4F, Class 1A1, 5.00%, 5/25/36 | 374 | 352,706 | |||||||||||||
Series 2007-4F, Class 3A1, 6.00%, 7/25/37 | 565 | 520,803 | |||||||||||||
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.36%, 12/25/36 (b) | 522 | 431,947 | |||||||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | 670 | 574,704 | |||||||||||||
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36 | 206 | 178,129 |
26 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.91%, 5/25/36 (b) | USD | 580 | $ | 466,765 | |||||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 | 37 | 34,963 | |||||||||||||
7,843,405 | |||||||||||||||
Commercial Mortgage-Backed Securities — 12.2% | |||||||||||||||
Banc of America Commercial Mortgage Trust: | |||||||||||||||
Series 2007-1, Class A4, 5.45%, 1/15/49 | 500 | 542,152 | |||||||||||||
Series 2007-2, Class A4, 5.79%, 4/10/49 (b) | 750 | 833,602 | |||||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 | 800 | 846,269 | |||||||||||||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.34%, 12/10/49 (b) | 1,370 | 1,535,351 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 1,093 | 1,185,740 | |||||||||||||
Commercial Mortgage Pass-Through Certificates: | |||||||||||||||
Series 2006-C7, Class AM, 5.97%, 6/10/46 (b) | 1,750 | 1,870,773 | |||||||||||||
Series 2013-LC6, Class B, 3.74%, 1/10/46 | 695 | 640,929 | |||||||||||||
Series 2013-LC6, Class D, 4.43%, 1/10/46 (a)(b) | 835 | 685,330 | |||||||||||||
Credit Suisse Mortgage Capital Certificates: | |||||||||||||||
Series 2006-C3, Class AM, 5.99%, 6/15/38 (b) | 1,000 | 1,082,354 | |||||||||||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,750 | 1,854,505 | |||||||||||||
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b) | 1,010 | 1,107,708 | |||||||||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | 705 | 731,934 | |||||||||||||
DBRR Trust, Series 2011-C32, Class A3A, 5.92%, 6/17/49 (a)(b) | 365 | 403,267 | |||||||||||||
Greenwich Capital Commercial Funding Corp.: | |||||||||||||||
Series 2006-GG7, Class A4, 6.06%, 7/10/38 (b) | 1,165 | 1,279,129 | |||||||||||||
Series 2007-GG9, Class A4, 5.44%, 3/10/39 | 2,190 | 2,403,945 | |||||||||||||
GS Mortgage Securities Trust: | |||||||||||||||
Series 2007-GG10, Class A4, 6.00%, 8/10/45 (b)(d) | 435 | 478,911 | |||||||||||||
Series 2013-GC10, Class B, 3.68%, 2/10/46 (a) | 1,250 | 1,142,999 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a) | 1,267 | 1,280,917 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | |||||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 820 | 839,603 | |||||||||||||
Series 2006-CB14, Class AM, 5.63%, 12/12/44 (b) | 330 | 356,008 | |||||||||||||
LB-UBS Commercial Mortgage Trust (b): | |||||||||||||||
Series 2004-C8, Class C, 4.93%, 12/15/39 | 1,385 | 1,422,074 | |||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 5,201 | 5,693,748 | |||||||||||||
Series 2007-C7, Class A3, 5.87%, 9/15/45 | 1,400 | 1,534,739 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b) | 4,000 | 4,413,436 | |||||||||||||
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a) | 384 | 384,137 | |||||||||||||
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a) | 916 | 913,440 | |||||||||||||
Titan Europe PLC, Series 2007-1X, Class A, 0.76%, 1/20/17 (b) | GBP | 1,607 | 2,142,216 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust: | |||||||||||||||
Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,049 | 4,075,696 | ||||||||||||
Series 2007-C33, Class A4, 6.12%, 2/15/51 (b) | 2,185 | 2,384,320 | |||||||||||||
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | USD | 695 | $ | 682,050 | |||||||||||
Series 2012-C8, Class C, 5.04%, 8/15/45 (b) | 895 | 867,651 | |||||||||||||
Series 2013-C11, Class D, 4.32%, 3/15/45 (a)(b) | 800 | 643,526 | |||||||||||||
46,258,459 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.3% | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 2.05%, 8/15/45 (a)(b) | 15,750 | 1,562,518 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.86%, 3/15/45 (a)(b) | 9,480 | 1,224,905 | |||||||||||||
WF-RBS Commercial Mortgage Trust (a)(b): | |||||||||||||||
Series 2012-C8, Class XA, 2.40%, 8/15/45 | 6,026 | 734,324 | |||||||||||||
Series 2012-C9, Class XA, 2.43%, 11/15/45 | 10,745 | 1,384,456 | |||||||||||||
4,906,203 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 15.5% | 59,008,067 | ||||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | |||||||||||||||
Capital Markets — 0.4% | |||||||||||||||
The Bank of New York Mellon Corp., Series D, 4.50% (b)(f) | 1,698 | 1,519,710 | |||||||||||||
State Street Capital Trust IV, 1.27%, 6/01/77 (b) | 70 | 56,700 | |||||||||||||
1,576,410 | |||||||||||||||
Commercial Banks — 0.9% | |||||||||||||||
BNP Paribas SA, 7.20% (a)(b)(f) | 1,000 | 987,500 | |||||||||||||
BPCE SA, 12.50% (a)(b)(f) | 800 | 996,000 | |||||||||||||
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) | 505 | 501,213 | |||||||||||||
Wachovia Capital Trust III, 5.57% (b)(f) | 1,025 | 968,625 | |||||||||||||
3,453,338 | |||||||||||||||
Diversified Financial Services — 1.5% | |||||||||||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 960 | 1,010,155 | |||||||||||||
General Electric Capital Corp., Series B, 6.25% (b)(f) | 900 | 913,500 | |||||||||||||
JPMorgan Chase & Co., Series 1, 7.90% (b)(f) | 3,500 | 3,858,750 | |||||||||||||
5,782,405 | |||||||||||||||
Electric Utilities — 0.5% | |||||||||||||||
Electricite de France SA, 5.25% (a)(b)(f) | 2,100 | 1,968,750 | |||||||||||||
Insurance — 3.2% | |||||||||||||||
The Allstate Corp., 6.50%, 5/15/67 (b)(d) | 1,950 | 2,067,000 | |||||||||||||
AXA SA, 6.46% (a)(b)(f) | 1,025 | 1,019,875 | |||||||||||||
Genworth Holdings, Inc., 6.15%, 11/15/66 (b) | 1,150 | 1,000,500 | |||||||||||||
Liberty Mutual Group, Inc., 7.00%, 3/07/67 (a)(b) | 975 | 989,625 | |||||||||||||
Lincoln National Corp., 6.05%, 4/20/67 (b) | 675 | 668,250 | |||||||||||||
MetLife Capital Trust IV, 7.88%, 12/15/67 (a) | 640 | 726,400 | |||||||||||||
MetLife, Inc., 6.40%, 12/15/66 | 3,500 | 3,517,500 | |||||||||||||
Swiss Re Capital I LP, 6.85% (a)(b)(f) | 1,060 | 1,107,700 | |||||||||||||
XL Group PLC, Series E, 6.50% (b)(f) | 815 | 788,512 | |||||||||||||
11,885,362 | |||||||||||||||
Total Capital Trusts — 6.5% | 24,666,265 | ||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Capital Markets — 0.3% | |||||||||||||||
The Goldman Sachs Group, Inc., Series J, 5.50% (b) | 46,000 | 1,041,900 | |||||||||||||
Commercial Banks — 1.0% | |||||||||||||||
US Bancorp, Series G, 6.00% (b) | 150,000 | 4,023,000 | |||||||||||||
Total Preferred Stocks — 1.3% | 5,064,900 |
ANNUAL REPORT | AUGUST 31, 2013 | 27 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Trust Preferreds | Shares | Value | |||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Citigroup Capital XIII, 7.88%, 10/30/40 (b) | 14,773 | $ | 403,673 | ||||||||||||
Total Trust Preferreds — 0.1% | 403,673 | ||||||||||||||
Total Preferred Securities — 7.9% | 30,134,838 | ||||||||||||||
Municipal Bonds | Par (000 | ) | |||||||||||||
City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 (c)(g) | USD | 1,525 | 610,000 | ||||||||||||
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35 | 1,000 | 1,096,800 | |||||||||||||
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40 | 950 | 1,095,749 | |||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40 | 1,275 | 1,474,461 | |||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 | 625 | 823,531 | |||||||||||||
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57 | 1,000 | 1,000,470 | |||||||||||||
New York City Municipal Water Finance Authority, Second General Resolution, Refunding RB: | |||||||||||||||
Build America Bonds, Series GG, 5.72%, 6/15/42 | 700 | 790,797 | |||||||||||||
Series EE, 5.38%, 6/15/43 | 385 | 400,858 | |||||||||||||
Series EE, 5.50%, 6/15/43 | 465 | 489,464 | |||||||||||||
New York State Dormitory Authority, RB, Build American Bonds: | |||||||||||||||
5.63%, 3/15/39 | 550 | 595,188 | |||||||||||||
5.60%, 3/15/40 | 950 | 1,025,905 | |||||||||||||
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29 | 385 | 445,053 | |||||||||||||
State of California, GO: | |||||||||||||||
Build America Bonds, 7.63%, 3/01/40 | 860 | 1,114,835 | |||||||||||||
Various Purpose, 7.55%, 4/01/39 | 140 | 181,472 | |||||||||||||
State of Illinois, GO, Taxable-Pension, 5.10%, 6/01/33 | 1,000 | 876,150 | |||||||||||||
University of California, RB, Build America Bonds, 5.95%, 5/15/45 | 445 | 482,144 | |||||||||||||
Total Taxable Municipal Bonds — 3.3% | 12,502,877 | ||||||||||||||
US Government Sponsored Agency Securities | |||||||||||||||
Agency Obligations — 2.6% | |||||||||||||||
Fannie Mae (d): | |||||||||||||||
2.95%, 10/09/19 (i) | 7,055 | 5,899,497 | |||||||||||||
5.63%, 7/15/37 (j) | 775 | 949,917 | |||||||||||||
Federal Home Loan Bank (d): | |||||||||||||||
5.25%, 12/09/22 | 675 | 783,107 | |||||||||||||
5.37%, 9/09/24 | 1,075 | 1,244,024 | |||||||||||||
Resolution Funding Corp. (i): | |||||||||||||||
1.86%, 7/15/18 | 525 | 479,617 | |||||||||||||
1.81%, 10/15/18 | 525 | 478,648 | |||||||||||||
9,834,810 | |||||||||||||||
Collateralized Mortgage Obligations — 0.2% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34 | 390 | 415,459 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, Series 2825, Class VP, 5.50%, 6/15/15 | 361 | 364,981 | |||||||||||||
780,440 | |||||||||||||||
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities — 0.7% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (b): | |||||||||||||||
Series 2012-K706, Class C, 4.16%, 11/25/44 (a) | USD | 165 | $ | 154,321 | |||||||||||
Series 2013-K24, Class B, 3.62%, 11/25/45 (a) | 1,750 | 1,532,653 | |||||||||||||
Series K013, Class A2, 3.97%, 1/25/21 | 940 | 996,563 | |||||||||||||
2,683,537 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 2.5% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 2012-47, Class NI, 4.50%, 4/25/42 | 5,347 | 1,095,114 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 7,557 | 889,513 | |||||||||||||
Series 2012-M9, Class X1, 4.25%, 12/25/17 (b) | 13,208 | 1,876,808 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | 1,127 | 123,609 | |||||||||||||
Series K707, Class X1, 1.69%, 12/25/18 (b) | 2,497 | 172,706 | |||||||||||||
Series K710, Class X1, 1.91%, 5/25/19 (b) | 8,616 | 723,937 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities (b): | |||||||||||||||
Series 2009-116, Class KS, 6.29%, 12/16/39 | 3,759 | 507,721 | |||||||||||||
Series 2009-78, Class SD, 6.02%, 9/20/32 | 5,973 | 968,805 | |||||||||||||
Series 2011-52, Class NS, 6.49%, 4/16/41 | 16,285 | 3,156,347 | |||||||||||||
9,514,560 | |||||||||||||||
Mortgage-Backed Securities — 8.1% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 9/15/42 (k) | 16,300 | 15,630,808 | |||||||||||||
4.00%, 12/01/41 (d) | 3,302 | 3,413,009 | |||||||||||||
4.50%, 7/01/41 (d) | 4,186 | 4,426,122 | |||||||||||||
5.00%, 8/01/34 (d) | 2,839 | 3,054,733 | |||||||||||||
5.50%, 6/01/38 (d) | 1,766 | 1,915,121 | |||||||||||||
6.00%, 12/01/38 (d) | 1,545 | 1,688,059 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, 6.00%, 11/01/13–12/01/18 | 368 | 391,158 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33 | 65 | 71,399 | |||||||||||||
30,590,409 | |||||||||||||||
Total US Government Sponsored Agency Securities — 14.1% | 53,403,756 | ||||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Bonds: | |||||||||||||||
8.13%, 8/15/21 (d) | 1,550 | 2,202,210 | |||||||||||||
6.25%, 8/15/23 (d) | 5,085 | 6,664,528 | |||||||||||||
3.50%, 2/15/39 (d) | 330 | 324,019 | |||||||||||||
4.25%, 5/15/39 (d) | 6,045 | 6,720,341 | |||||||||||||
4.38%, 5/15/40 (d) | 6,375 | 7,223,672 | |||||||||||||
4.75%, 2/15/41 (d) | 1,630 | 1,957,273 | |||||||||||||
4.38%, 5/15/41 (d) | 800 | 906,250 | |||||||||||||
3.13%, 11/15/41 (d) | 9,930 | 8,977,336 | |||||||||||||
3.13%, 2/15/42 (d) | 6,268 | 5,657,848 | |||||||||||||
3.00%, 5/15/42 (d) | 2,730 | 2,398,136 | |||||||||||||
3.13%, 2/15/43 | 2,337 | 2,098,833 | |||||||||||||
US Treasury Notes: | |||||||||||||||
2.25%, 7/31/18 (d) | 495 | 510,817 | |||||||||||||
1.75%, 5/15/22 | 156 | 145,665 | |||||||||||||
Total US Treasury Obligations — 12.1% | 45,786,928 | ||||||||||||||
Total Long-Term Investments (Cost — $544,491,691) — 145.1% | 551,028,837 | ||||||||||||||
Short-Term Securities | Shares | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(m) | 5,335,491 | 5,335,491 | |||||||||||||
Total Short-Term Securities | |||||||||||||||
(Cost — $5,335,491) — 1.4% | 5,335,491 |
28 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Options Purchased | Value | |||||||||||||
(Cost — $1,198,937) — 0.4% | $ | 1,600,620 | ||||||||||||
Total Investments Before Options Written | ||||||||||||||
(Cost — $551,026,119) — 146.9% | 557,964,948 | |||||||||||||
Options Written | Value | |||||||||||||
(Premiums Received — $802,073) — (0.4)% | $ | (1,332,765 | ) | |||||||||||
Total Investments, Net of Options Written — 146.5% | 556,632,183 | |||||||||||||
Liabilities in Excess of Other Assets — (46.5)% | (176,719,580 | ) | ||||||||||||
Net Assets — 100.0% | $ | 379,912,603 |
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) | Non-income producing security. | |||||
(d) | All or a portion of securities with an aggregate market value of $165,853,735 have been pledged as collateral for open reverse repurchase agreements. | |||||
(e) | Convertible security. | |||||
(f) | Security is perpetual in nature and has no stated maturity date. | |||||
(g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||||
(h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(i) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(j) | All or a portion of security has been pledged in connection with open financial futures contracts. | |||||
(k) | Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows: |
Counterparty | | Value | | Unrealized Depreciation | ||||||
J.P. Morgan Securities LLC | $ | 15,630,808 | $ | (12,098 | ) |
(l) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 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 August 31, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 534,025 | 4,801,466 | 5,335,491 | $ | 2,396 | $72 |
(m) | 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. | |||||
• | Reverse repurchase agreements outstanding as of August 31, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
Deutsche Bank Securities, Inc. | (0.63%) | 10/24/12 | Open | $ | 345,482 | $ | 343,611 | |||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/11/13 | Open | 4,741,000 | 4,751,740 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 1/14/13 | Open | 2,166,425 | 2,171,269 | |||||||||||||||||
UBS Securities LLC | (0.25%) | 1/15/13 | Open | 484,487 | 483,720 | |||||||||||||||||
UBS Securities LLC | 0.28% | 1/15/13 | Open | 3,529,338 | 3,535,597 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 2,375,000 | 2,379,813 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 2,622,000 | 2,627,314 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 1,438,650 | 1,441,566 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 2,606,875 | 2,612,158 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 1,571,500 | 1,574,685 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 1,421,275 | 1,424,155 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 985,500 | 987,497 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 1,223,250 | 1,225,807 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 707,000 | 708,478 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 170,100 | 170,455 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 382,775 | 383,575 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 762,500 | 764,142 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 733,125 | 734,704 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 904,812 | 906,760 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 784,687 | 786,377 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 602,212 | 603,509 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 1,179,063 | 1,181,602 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 334,950 | 335,671 |
ANNUAL REPORT | AUGUST 31, 2013 | 29 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
Reverse repurchase agreements outstanding as of August 31, 2013 were as follows (concluded):
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | $ | 1,473,750 | $ | 1,476,923 | |||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 561,600 | 562,809 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 4,466,948 | 4,476,567 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 1,950,000 | 1,954,199 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 871,500 | 873,377 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 1,181,250 | 1,183,794 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 1,354,500 | 1,357,417 | |||||||||||||||||
UBS Securities LLC | (0.50%) | 1/15/13 | Open | 496,600 | 495,027 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/22/13 | Open | 883,000 | 884,906 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/22/13 | Open | 1,243,000 | 1,245,683 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/01/13 | Open | 1,875,750 | 1,879,616 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/01/13 | Open | 1,797,390 | 1,801,095 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.10% | 2/07/13 | Open | 2,418,000 | 2,419,377 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.15% | 2/07/13 | Open | 2,194,388 | 2,196,262 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.16% | 2/07/13 | Open | 6,155,488 | 6,161,096 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/07/13 | Open | 642,000 | 643,249 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/07/13 | Open | 1,095,375 | 1,097,506 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 2/08/13 | Open | 1,968,000 | 1,971,586 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 2/08/13 | Open | 505,000 | 505,920 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.15% | 2/14/13 | Open | 9,942,413 | 9,950,657 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 2/14/13 | Open | 1,020,000 | 1,021,861 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 2/28/13 | Open | 2,269,000 | 2,272,964 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 2/28/13 | Open | 1,109,000 | 1,110,938 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 1,884,000 | 1,887,074 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 1,228,000 | 1,230,004 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 2,313,000 | 2,316,774 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/11/13 | Open | 879,000 | 880,402 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/11/13 | Open | 983,000 | 984,568 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.20% | 4/02/13 | Open | 7,563,806 | 7,570,193 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.22% | 4/02/13 | Open | 1,097,844 | 1,098,864 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 369,609 | 370,152 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 280,250 | 280,661 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 553,137 | 553,949 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 480,937 | 481,643 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 995,363 | 996,824 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 544,530 | 545,329 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 304,000 | 304,446 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 5,725,080 | 5,733,485 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 727,819 | 728,887 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.20% | 4/02/13 | Open | 533,362 | 533,812 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.19% | 4/02/13 | Open | 2,719,763 | 2,721,945 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.20% | 4/02/13 | Open | 7,246,125 | 7,252,244 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.22% | 4/02/13 | Open | 875,812 | 876,626 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.19% | 4/03/13 | Open | 851,537 | 852,216 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,648,500 | 1,650,904 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 3,437,844 | 3,442,858 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 2,020,500 | 2,023,447 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,700,969 | 1,703,450 | |||||||||||||||||
UBS Securities LLC | 0.32% | 4/11/13 | Open | 1,630,000 | 1,632,072 | |||||||||||||||||
UBS Securities LLC | 0.40% | 4/11/13 | Open | 4,055,063 | 4,061,506 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.14% | 4/25/13 | Open | 8,430,938 | 8,435,167 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 4/29/13 | Open | 1,039,000 | 1,039,000 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 4/29/13 | Open | 377,850 | 377,850 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 5/24/13 | Open | 1,342,000 | 1,343,267 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 6/03/13 | Open | 3,258,750 | 3,263,584 | |||||||||||||||||
Citigroup Global Markets, Inc. | 0.00% | 6/06/13 | Open | 443,156 | 443,156 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 6/24/13 | Open | 3,334,398 | 3,336,635 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.07% | 6/24/13 | Open | 5,876,250 | 5,877,038 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.16% | 8/08/13 | 9/12/13 | 14,179,000 | 14,180,260 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.34% | 8/29/13 | Open | 1,850,000 | 1,850,035 | |||||||||||||||||
Total | $ | 172,326,150 | $ | 172,537,361 | ||||||||||||||||||
30 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
• | Financial futures contracts as of August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||
270 | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 59,332,500 | $ | 23,559 | ||||||||||||||||||||
5 | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 598,398 | (264 | ) | ||||||||||||||||||||
(544) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 67,609,000 | (196,940 | ) | ||||||||||||||||||||
251 | 30-Year US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 33,108,469 | 252,657 | |||||||||||||||||||||
78 | Ultra Long US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 11,066,250 | 129,675 | |||||||||||||||||||||
150 | 90-Day Euribor Future | NYSE Liffe | December 2014 | USD | 49,262,024 | (23,168 | ) | ||||||||||||||||||||
(197) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 48,907,713 | 42,419 | |||||||||||||||||||||
Total | $ | 227,938 |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||
USD | 7,746,217 | EUR | 5,765,000 | UBS AG | 9/25/13 | $ | 126,421 | ||||||||||||||||||||
USD | 467,323 | GBP | 300,000 | BNP Paribas S.A. | 10/22/13 | 2,587 | |||||||||||||||||||||
USD | 7,439,482 | GBP | 4,933,000 | Deutsche Bank AG | 10/22/13 | (202,326 | ) | ||||||||||||||||||||
Total | $ | (73,318 | ) |
• | Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows: |
Description | Counterparty | Put/ Call | Exercise Rate | Pay/Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount (000) | Market Value | |||||||||||
10-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Call | 2.11% | Receive | 3-month LIBOR | 9/03/13 | USD | 5,200 | $ | 1 | |||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.10% | Pay | 3-month LIBOR | 2/22/16 | USD | 2,500 | 120,133 | ||||||||||
10-Year Interest Rate Swap | Goldman Sachs Bank USA | Put | 4.00% | Pay | 3-month LIBOR | 3/14/16 | USD | 15,000 | 789,419 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 3/16/17 | USD | 6,300 | 322,292 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 5/22/18 | USD | 6,000 | 368,775 | ||||||||||
Total | $ | 1,600,620 |
• | Over-the-counter interest rate swaptions written as of August 31, 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 | Barclays Bank PLC | Call | 1.35% | Pay | 3-month LIBOR | 4/08/14 | USD | 15,200 | $ | (20,815 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Call | 1.35% | Pay | 3-month LIBOR | 7/11/14 | USD | 15,500 | (23,989 | ) | ||||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Put | 2.00% | Receive | 3-month LIBOR | 4/08/14 | USD | 15,200 | (292,132 | ) | ||||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Put | 2.00% | Receive | 3-month LIBOR | 7/11/14 | USD | 15,500 | (417,132 | ) | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 3/16/17 | USD | 12,600 | (255,618 | ) | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 5/22/18 | USD | 12,000 | (323,079 | ) | ||||||||||
Total | $ | (1,332,765 | ) |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | Pay Fixed Rate | Counterparty | Expiration Date | Notional Amount (000) | Market Value | Premiums Paid | Unrealized Depreciation | |||||||||||
Radian Group, Inc. | 5.00% | Citibank N.A. | 6/20/15 | USD | 1,400 | $(81,904) | $29,242 | $ | (111,146 | ) | ||||||||
The New York Times Co. | 1.00% | Barclays Bank PLC | 12/20/16 | USD | 1,800 | 11,384 | 82,977 | (71,593 | ) | |||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (2) | 13 | (15 | ) | |||||||||
Westpac Banking Corp. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (2) | 13 | (15 | ) | |||||||||
Total | $(70,524) | $112,245 | $ | (182,769 | ) |
ANNUAL REPORT | AUGUST 31, 2013 | 31 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer | Receive Fixed Rate | Counterparty | Expiration Date | Credit Rating1 | Notional Amount (000)2 | Market Value | Premiums Received | Unrealized Appreciation | |||||||||||||
MetLife, Inc. | 1.00% | Credit Suisse AG | 9/20/16 | A- | USD | 535 | $ 5,380 | $ | (29,963 | ) | $ | 35,343 | |||||||||
MetLife, Inc. | 1.00% | Deutsche Bank AG | 9/20/16 | A- | USD | 730 | 7,342 | (37,387 | ) | 44,729 | |||||||||||
MetLife, Inc. | 1.00% | Goldman Sachs Bank USA | 9/20/16 | A- | USD | 500 | 5,028 | (24,922 | ) | 29,950 | |||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley Capital Services LLC | 9/20/16 | A- | USD | 900 | 9,051 | (45,202 | ) | 54,253 | |||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley Capital Services LLC | 9/20/16 | A- | USD | 275 | 2,765 | (12,319 | ) | 15,084 | |||||||||||
MetLife, Inc. | 1.00% | Citibank N.A. | 12/20/16 | A- | USD | 298 | 2,563 | (14,302 | ) | 16,865 | |||||||||||
MetLife, Inc. | 1.00% | Citibank N.A. | 12/20/16 | A- | USD | 285 | 2,451 | (14,855 | ) | 17,306 | |||||||||||
Total | $34,580 | $ | (178,950 | ) | $ | 213,530 |
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. |
• | Interest rate swaps outstanding as of August 31, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty/ Clearinghouse | | Effective Date | | Expiration Date | | Notional Amount (000) | | Market Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
0.56%3 | 3-month LIBOR | Chicago Mercantile | N/A | 6/25/15 | USD | 20,900 | $ | (15,973 | ) | $ | (16,201 | ) | ||||||||||||||||||||||
0.48%3 | 3-month LIBOR | Chicago Mercantile | N/A | 8/01/15 | USD | 50,000 | 55,825 | 55,253 | ||||||||||||||||||||||||||
0.68%3 | 3-month LIBOR | Chicago Mercantile | 2/03/145 | 2/01/16 | USD | 20,800 | 53,235 | 52,995 | ||||||||||||||||||||||||||
1.56%3 | 3-month LIBOR | Chicago Mercantile | N/A | 8/01/18 | USD | 2,100 | 17,267 | 17,239 | ||||||||||||||||||||||||||
1.25%4 | 6-Month Euribor | Chicago Mercantile | N/A | 8/23/18 | EUR | 5,000 | (34,650 | ) | (7,884 | ) | ||||||||||||||||||||||||
1.05%4 | 6-Month Euribor | Chicago Mercantile | N/A | 8/28/18 | EUR | 5,000 | (100,256 | ) | (79,184 | ) | ||||||||||||||||||||||||
1.89%4 | 3-month LIBOR | Chicago Mercantile | 2/03/145 | 2/01/19 | USD | 8,500 | (64,497 | ) | (64,611 | ) | ||||||||||||||||||||||||
2.42%3 | 3-month LIBOR | Chicago Mercantile | N/A | 8/22/20 | USD | 7,500 | (21,164 | ) | (21,274 | ) | ||||||||||||||||||||||||
2.06%4 | 3-month LIBOR | Deutsche Bank AG | N/A | 2/25/23 | USD | 3,400 | (234,323 | ) | (234,323 | ) | ||||||||||||||||||||||||
2.11%4 | 3-month LIBOR | Goldman Sachs & Co. | N/A | 3/14/23 | USD | 300 | (19,664 | ) | (19,664 | ) | ||||||||||||||||||||||||
2.63%3 | 3-month LIBOR | Chicago Mercantile | N/A | 6/24/23 | USD | 900 | 22,241 | 22,226 | ||||||||||||||||||||||||||
4.27%4 | 3-month LIBOR | Chicago Mercantile | 8/23/165 | 8/23/26 | USD | 4,800 | 69,702 | 69,623 | ||||||||||||||||||||||||||
3.05%3 | 3-month LIBOR | Deutsche Bank AG | N/A | 2/07/43 | USD | 4,800 | 567,479 | 567,479 | ||||||||||||||||||||||||||
3.04%3 | 3-month LIBOR | Deutsche Bank AG | N/A | 3/28/43 | USD | 600 | 72,932 | 72,932 | ||||||||||||||||||||||||||
Total | $ | 368,154 | $ | 414,606 |
3 | Fund pays the fixed rate and receives the floating rate. |
4 | Fund pays the floating rate and receives the fixed rate. |
5 | Forward interest rate swap. |
• | 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Note 2 of the Notes to Financial Statements. |
32 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Core Bond Trust (BHK) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 17,982,531 | $ | 10,951,144 | $ | 28,933,675 | |||||||||||
Common Stocks | — | — | 137,600 | 137,600 | ||||||||||||||
Corporate Bonds | — | 311,845,599 | 6,284,125 | 318,129,724 | ||||||||||||||
Foreign Agency Obligations | — | 2,991,372 | — | 2,991,372 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 59,008,067 | — | 59,008,067 | ||||||||||||||
Preferred Securities | $ | 5,468,573 | 24,666,265 | — | 30,134,838 | |||||||||||||
Municipal Bonds | — | 12,502,877 | — | 12,502,877 | ||||||||||||||
US Government Sponsored Agency Securities | — | 53,403,756 | — | 53,403,756 | ||||||||||||||
US Treasury Obligations | — | 45,786,928 | — | 45,786,928 | ||||||||||||||
Short-Term Securities | 5,335,491 | — | — | 5,335,491 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Interest Rate Contracts | — | 1,600,620 | — | 1,600,620 | ||||||||||||||
Total | $ | 10,804,064 | $ | 529,788,015 | $ | 17,372,869 | $ | 557,964,948 | ||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 213,530 | — | $ | 213,530 | ||||||||||||
Foreign currency exchange contracts | — | 129,008 | — | 129,008 | ||||||||||||||
Interest rate contracts | $ | 448,310 | 857,747 | — | 1,306,057 | |||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (182,769 | ) | — | (182,769 | ) | ||||||||||||
Foreign currency exchange contracts | — | (202,326 | ) | — | (202,326 | ) | ||||||||||||
Interest rate contracts | (220,372 | ) | (1,775,906 | ) | — | (1,996,278 | ) | |||||||||||
Total | $ | 227,938 | $ | (960,716 | ) | — | $ | (732,778 | ) | |||||||||
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 August 31, 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 | $ | 52,785 | — | — | $ | 52,785 | ||||||||||||
Cash pledged for financial futures contracts | 287,000 | — | — | 287,000 | ||||||||||||||
Cash pledged for centrally cleared swaps | 420,000 | — | — | 420,000 | ||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 5,147,000 | — | — | 5,147,000 | ||||||||||||||
Cash pledged as collateral for over-the-counter swaps | 690,000 | — | — | 690,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (157,427 | ) | — | (157,427 | ) | |||||||||||
Reverse repurchase agreements | — | (172,537,361 | ) | — | (172,537,361 | ) | ||||||||||||
Cash received as collateral for over-the-counter for swaps | — | (1,400,000 | ) | — | (1,400,000 | ) | ||||||||||||
Total | $ | 6,596,785 | $ | (174,094,788 | ) | — | $ | (167,498,003 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013. |
ANNUAL REPORT | AUGUST 31, 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 year 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 31 | (745,445 | ) | — | — | — | (745,445 | ) | |||||||||||||||
Accrued discounts/premiums | (417,197 | ) | — | (11,673 | ) | 2,575 | (426,295 | ) | ||||||||||||||
Net realized gain (loss) | — | (1,586 | ) | 1,476 | 34,906 | 34,796 | ||||||||||||||||
Net change in unrealized appreciation/depreciation2 | 228,445 | 139,186 | (344,957 | ) | (4,835 | ) | 17,839 | |||||||||||||||
Purchases | 10,380,026 | — | — | — | 10,380,026 | |||||||||||||||||
Sales | — | (1 | ) | (3,298,477 | ) | (544,103 | ) | (3,842,581 | ) | |||||||||||||
Closing Balance, as of August 31, 2013 | $ | 10,951,144 | $ | 137,600 | $ | 6,284,125 | — | $ | 17,372,869 |
1 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of August 31, 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 | 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 August 31, 2013 was $23,822. |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
34 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments August 31, 2013 | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
ALM Loan Funding (a)(b)(c): | |||||||||||||||
Series 2013-7R2A, Class B, 2.86%, 4/24/24 | USD | 575 | $ | 549,125 | |||||||||||
Series 2013-7RA, Class C, 3.71%, 4/24/24 | 1,600 | 1,510,080 | |||||||||||||
Series 2013-7RA, Class D, 5.26%, 4/24/24 | 710 | 652,135 | |||||||||||||
Total Asset-Backed Securities — 0.6% | 2,711,340 | ||||||||||||||
Common Stocks | Shares | ||||||||||||||
Auto Components — 0.8% | |||||||||||||||
Dana Holding Corp. | 9,157 | 191,931 | |||||||||||||
Delphi Automotive PLC | 13,100 | 720,762 | |||||||||||||
The Goodyear Tire & Rubber Co. (d) | 125,547 | 2,526,005 | |||||||||||||
Lear Corp. | 653 | 44,894 | |||||||||||||
3,483,592 | |||||||||||||||
Automobiles — 1.5% | |||||||||||||||
General Motors Co. (d) | 184,063 | 6,272,867 | |||||||||||||
Biotechnology — 0.0% | |||||||||||||||
Ironwood Pharmaceuticals, Inc. (d) | 10,590 | 123,374 | |||||||||||||
Capital Markets — 1.9% | |||||||||||||||
American Capital Ltd. (d) | 545,247 | 6,804,682 | |||||||||||||
E*Trade Financial Corp. (d) | 72,200 | 1,013,688 | |||||||||||||
Uranium Participation Corp. (d) | 53,140 | 245,192 | |||||||||||||
8,063,562 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
Advanced Emissions Solutions, Inc. (d) | 9,890 | 386,205 | |||||||||||||
Huntsman Corp. | 68,400 | 1,197,000 | |||||||||||||
1,583,205 | |||||||||||||||
Communications Equipment — 0.3% | |||||||||||||||
Loral Space & Communications Ltd. | 19,132 | 1,264,817 | |||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
Kcad Holdings I Ltd. (d) | 422,854,200 | 2,135,414 | |||||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||||||
Broadview Networks Holdings, Inc. (d) | 49,725 | 313,268 | |||||||||||||
Level 3 Communications, Inc. (d) | 33,620 | 751,743 | |||||||||||||
1,065,011 | |||||||||||||||
Electrical Equipment — 0.0% | |||||||||||||||
Medis Technologies Ltd. (d) | 109,685 | 1 | |||||||||||||
Energy Equipment & Services — 0.9% | |||||||||||||||
Laricina Energy Ltd. (d) | 70,588 | 2,371,028 | |||||||||||||
Osum Oil Sands Corp. (d) | 120,000 | 1,443,463 | |||||||||||||
3,814,491 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||||||||
Caesars Entertainment Corp. (d) | 68,974 | 1,480,872 | |||||||||||||
Pinnacle Entertainment, Inc. (d) | 13,261 | 314,020 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (d) | 1,440,364 | 1,274,722 | |||||||||||||
3,069,614 | |||||||||||||||
Insurance — 0.6% | |||||||||||||||
American International Group, Inc. (d) | 59,082 | 2,744,950 | |||||||||||||
Media — 0.2% | |||||||||||||||
Cablevision Systems Corp., Class A | 48,526 | 860,366 | |||||||||||||
Clear Channel Outdoor Holdings, Inc., Class A (d) | 14,202 | 107,367 | |||||||||||||
967,733 | |||||||||||||||
Metals & Mining — 0.1% | |||||||||||||||
African Minerals Ltd. (d) | 65,551 | 193,543 | |||||||||||||
Peninsula Energy Ltd. (d) | 11,250,902 | 258,308 | |||||||||||||
451,851 | |||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | |||||||||||||||
African Petroleum Corp. Ltd. (d) | 294,600 | 31,465 |
Common Stocks | Shares | Value | |||||||||||||
Paper & Forest Products — 0.9% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (a) | 208,741 | $ | 605,349 | ||||||||||||
Ainsworth Lumber Co. Ltd. (a)(d) | 728,451 | 2,005,609 | |||||||||||||
NewPage Corp. (d) | 12,520 | 1,001,600 | |||||||||||||
Western Forest Products, Inc. (d) | 74,889 | 101,100 | |||||||||||||
Western Forest Products, Inc. (d) | 74,936 | 101,025 | |||||||||||||
3,814,683 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | |||||||||||||||
SunPower Corp. (d) | 200 | 4,298 | |||||||||||||
Software — 0.2% | |||||||||||||||
HMH Holdings/EduMedia (d) | 30,127 | 907,565 | |||||||||||||
Trading Companies & Distributors — 0.3% | |||||||||||||||
HD Supply Holdings, Inc. (d) | 62,760 | 1,427,162 | |||||||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||||||
Crown Castle International Corp. (d) | 14,451 | 1,003,188 | |||||||||||||
SBA Communications Corp., Class A (d) | 14,451 | 1,083,825 | |||||||||||||
2,087,013 | |||||||||||||||
Total Common Stocks — 10.1% | 43,312,668 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a) | USD | 720 | 744,300 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 240 | 258,600 | |||||||||||||
7.13%, 3/15/21 | 375 | 405,000 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 1,244 | 1,343,520 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a) | 285 | 290,315 | |||||||||||||
3,041,735 | |||||||||||||||
Air Freight & Logistics — 0.2% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | 507 | 507,143 | |||||||||||||
Series 2, 12.38%, 8/16/15 | 514 | 513,989 | |||||||||||||
1,021,132 | |||||||||||||||
Airlines — 2.3% | |||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a) | 599 | 596,964 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 1997-4, Class B, 6.90%, 7/02/18 | 17 | 17,110 | |||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 521 | 534,172 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 1,370 | 1,389,865 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 867 | 944,597 | |||||||||||||
Series 2009-1, Class B, 9.75%, 6/17/18 | 247 | 270,808 | |||||||||||||
Series 2010-1, Class B, 6.38%, 7/02/17 | 800 | 830,000 | |||||||||||||
US Airways Group, Inc., 6.13%, 6/01/18 | 485 | 440,138 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 682 | 719,540 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 622 | 646,389 | |||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 600 | 619,500 | |||||||||||||
Series 2012-2, Class C, 5.45%, 6/03/18 | 1,525 | 1,422,063 | |||||||||||||
Series 2013-1, Class B, 5.38%, 5/15/23 | 1,400 | 1,330,000 | |||||||||||||
9,761,146 | |||||||||||||||
Auto Components — 3.0% | |||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (a) | 991 | 1,018,252 | |||||||||||||
Brighthouse Group PLC, 7.88%, 5/15/18 | GBP | 100 | 156,520 | ||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (a) | USD | 300 | 303,150 | ||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 660 | 700,425 | |||||||||||||
Delphi Corp., 6.13%, 5/15/21 | 115 | 125,638 | |||||||||||||
GKN Holdings PLC, 5.38%, 9/19/22 | GBP | 290 | 457,494 |
ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Auto Components (concluded) | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | USD | 4,455 | $ | 4,688,887 | |||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (a) | 585 | 647,887 | |||||||||||||
Jaguar Land Rover Automotive PLC (FKA Jaguar Land Rover PLC), 8.25%, 3/15/20 | GBP | 610 | 1,047,412 | ||||||||||||
Schaeffler Finance BV, 4.25%, 5/15/18 | EUR | 193 | 255,129 | ||||||||||||
Schaeffler Holding Finance BV (e): | |||||||||||||||
6.88%, 8/15/18 (a) | USD | 715 | 743,600 | ||||||||||||
6.88%, 8/15/18 | EUR | 495 | 672,208 | ||||||||||||
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18 | 428 | 574,264 | |||||||||||||
Titan International, Inc.: | |||||||||||||||
7.88%, 10/01/17 (a) | USD | 725 | 768,500 | ||||||||||||
7.88%, 10/01/17 | 685 | 726,100 | |||||||||||||
12,885,466 | |||||||||||||||
Building Products — 1.5% | |||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a) | 690 | 669,300 | |||||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (a) | 592 | 592,000 | |||||||||||||
Building Materials Corp. of America (a): | |||||||||||||||
7.00%, 2/15/20 | 810 | 860,625 | |||||||||||||
6.75%, 5/01/21 | 1,170 | 1,240,200 | |||||||||||||
Cemex SAB de CV, 5.88%, 3/25/19 (a) | 340 | 322,150 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 1,120 | 1,162,000 | |||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 347 | 379,098 | |||||||||||||
USG Corp., 9.75%, 1/15/18 | 1,045 | 1,204,362 | |||||||||||||
6,429,735 | |||||||||||||||
Capital Markets — 0.3% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (a)(f)(g) | 356 | 483,270 | |||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (a) | 336 | 330,120 | |||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (a) | 313 | 308,305 | |||||||||||||
1,121,695 | |||||||||||||||
Chemicals — 3.0% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 160 | 148,400 | |||||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (a) | 610 | 771,448 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 1,072 | 1,098,800 | |||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 250 | 278,750 | |||||||||||||
INEOS Finance PLC, 7.50%, 5/01/20 (a) | 570 | 609,900 | |||||||||||||
INEOS Group Holdings SA: | |||||||||||||||
6.13%, 8/15/18 (a) | 445 | 430,538 | |||||||||||||
6.50%, 8/15/18 | EUR | 463 | 594,851 | ||||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19 | USD | 185 | 187,775 | ||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 (a) | 350 | 362,250 | |||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 (h) | 3,870 | 4,291,938 | |||||||||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 | 135 | 134,325 | |||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 335 | 335,000 | |||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 505 | 744,875 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a) | USD | 252 | 243,810 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 320 | 352,800 | |||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,370 | 1,346,025 | |||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a) | 366 | 349,530 | |||||||||||||
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV: | |||||||||||||||
5.75%, 2/01/21 | EUR | 100 | 130,513 | ||||||||||||
7.38%, 5/01/21 (a) | USD | 525 | 536,812 | ||||||||||||
12,948,340 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Commercial Banks — 1.1% | |||||||||||||||
CIT Group, Inc.: | |||||||||||||||
5.25%, 3/15/18 | USD | 830 | $ | 856,975 | |||||||||||
6.63%, 4/01/18 (a) | 340 | 367,200 | |||||||||||||
5.50%, 2/15/19 (a) | 2,428 | 2,488,700 | |||||||||||||
6.00%, 4/01/36 | 810 | 775,361 | |||||||||||||
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (b) | EUR | 60 | 97,538 | ||||||||||||
4,585,774 | |||||||||||||||
Commercial Services & Supplies — 3.6% Value | |||||||||||||||
AA Bond Co. Ltd., 9.50%, 7/31/19 | GBP | 270 | 446,662 | ||||||||||||
ACCO Brands Corp., 6.75%, 4/30/20 | USD | 112 | 110,600 | ||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 412 | 434,660 | |||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (a) | 962 | 981,240 | |||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (a) | 800 | 842,410 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 210 | 217,102 | |||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 38 | 40,708 | |||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 | 749 | 758,362 | |||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 940 | 953,815 | |||||||||||||
EC Finance PLC, 9.75%, 8/01/17 | EUR | 518 | 746,162 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 1,990 | 2,216,462 | |||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | USD | 545 | 594,050 | ||||||||||||
Mustang Merger Corp., 8.50%, 8/15/21 (a) | 777 | 765,345 | |||||||||||||
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18 | 95 | 105,688 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
5.75%, 7/15/18 | 379 | 404,582 | |||||||||||||
7.38%, 5/15/20 | 505 | 544,137 | |||||||||||||
8.25%, 2/01/21 | 686 | 758,030 | |||||||||||||
7.63%, 4/15/22 | 3,386 | 3,639,950 | |||||||||||||
6.13%, 6/15/23 | 280 | 275,800 | |||||||||||||
Verisure Holding AB: | |||||||||||||||
8.75%, 9/01/18 | EUR | 174 | 251,814 | ||||||||||||
8.75%, 12/01/18 | 234 | 327,049 | |||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 205 | 221,913 | ||||||||||||
15,636,541 | |||||||||||||||
Communications Equipment — 1.7% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
8.88%, 1/01/20 (a) | 1,220 | 1,244,400 | |||||||||||||
6.50%, 1/15/28 | 85 | 64,600 | |||||||||||||
6.45%, 3/15/29 | 279 | 214,830 | |||||||||||||
Avaya, Inc. (a): | |||||||||||||||
7.00%, 4/01/19 | �� | 400 | 366,000 | ||||||||||||
10.50%, 3/01/21 | 1,237 | 955,582 | |||||||||||||
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(e) | 705 | 697,950 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | |||||||||||||||
8.13%, 1/01/20 | 1,340 | 1,453,900 | |||||||||||||
10.13%, 7/01/20 | 2,190 | 2,485,650 | |||||||||||||
7,482,912 | |||||||||||||||
Computers & Peripherals — 0.1% | |||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (g) | 298 | 478,476 | |||||||||||||
Construction & Engineering — 0.3% | |||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a) | 275 | 222,750 | |||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 | 654 | 694,875 | |||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a) | 347 | 348,735 | |||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a) | 230 | 223,100 | |||||||||||||
1,489,460 |
36 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Construction Materials — 3.4% | |||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 201 | $ | 282,914 | |||||||||||
HD Supply, Inc.: | |||||||||||||||
8.13%, 4/15/19 | USD | 4,929 | 5,483,512 | ||||||||||||
11.00%, 4/15/20 | 2,881 | 3,442,795 | |||||||||||||
7.50%, 7/15/20 (a) | 5,086 | 5,314,870 | |||||||||||||
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20 | EUR | 81 | 126,323 | ||||||||||||
14,650,414 | |||||||||||||||
Consumer Finance — 0.3% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 660 | 704,550 | ||||||||||||
IVS F. SpA, 7.13%, 4/01/20 | EUR | 320 | 421,871 | ||||||||||||
Springleaf Finance, 6.90%, 12/15/17 | USD | 155 | 157,906 | ||||||||||||
1,284,327 | |||||||||||||||
Containers & Packaging — 1.5% | |||||||||||||||
Ardagh Packaging Finance PLC: | |||||||||||||||
7.38%, 10/15/17 | EUR | 200 | 281,379 | ||||||||||||
9.13%, 10/15/20 (a) | USD | 459 | 489,983 | ||||||||||||
9.13%, 10/15/20 (a) | 590 | 626,875 | |||||||||||||
7.00%, 11/15/20 (a) | 357 | 347,183 | |||||||||||||
5.00%, 11/15/22 | EUR | 320 | 408,405 | ||||||||||||
Berry Plastics Corp., 9.75%, 1/15/21 | USD | 270 | 312,525 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 867 | 1,145,916 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 24 | 25,200 | ||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (a) | EUR | 394 | 562,388 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 550 | 598,125 | ||||||||||||
OI European Group BV, 4.88%, 3/31/21 | EUR | 221 | 294,947 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | USD | 691 | 611,535 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (a) | 590 | 660,800 | |||||||||||||
6,365,261 | |||||||||||||||
Distributors — 0.5% | |||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 | 2,030 | 2,111,200 | |||||||||||||
Diversified Consumer Services — 1.0% | |||||||||||||||
APX Group, Inc. (a): | |||||||||||||||
6.38%, 12/01/19 | 1,456 | 1,372,280 | |||||||||||||
8.75%, 12/01/20 | 882 | 868,770 | |||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (a) | 1,845 | 1,992,600 | |||||||||||||
4,233,650 | |||||||||||||||
Diversified Financial Services — 5.7% | |||||||||||||||
Aircastle Ltd.: | |||||||||||||||
6.75%, 4/15/17 | 550 | 583,000 | |||||||||||||
6.25%, 12/01/19 | 481 | 501,443 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
7.50%, 12/31/13 | 460 | 468,050 | |||||||||||||
8.00%, 3/15/20 | 447 | 514,609 | |||||||||||||
7.50%, 9/15/20 | 303 | 340,875 | |||||||||||||
8.00%, 11/01/31 | 5,137 | 5,907,550 | |||||||||||||
8.00%, 11/01/31 | 300 | 340,125 | |||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (a) | 162 | 151,875 | |||||||||||||
Co-Operative Group Ltd. (i): | |||||||||||||||
6.88%, 7/08/20 | GBP | 250 | 367,085 | ||||||||||||
7.50%, 7/08/26 | 100 | 144,897 | |||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | USD | 450 | 474,750 | ||||||||||||
7.25%, 10/15/21 | 1,275 | 1,300,500 | |||||||||||||
Gala Group Finance PLC, 8.88%, 9/01/18 | GBP | 706 | 1,165,204 | ||||||||||||
General Motors Financial Co., Inc.: | |||||||||||||||
6.75%, 6/01/18 | USD | 460 | 512,325 | ||||||||||||
4.25%, 5/15/23 (a) | 357 | 321,300 | |||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a) | 750 | 742,500 | |||||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a) | 857 | 842,003 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Financial Services (concluded) | |||||||||||||||
Lehman Brothers Holdings, Inc. (d)(j): | |||||||||||||||
5.38%, 10/17/13 | EUR | 200 | $ | 70,047 | |||||||||||
4.75%, 1/16/14 | 1,130 | 395,768 | |||||||||||||
1.00%, 2/05/14 | 2,350 | 807,528 | |||||||||||||
1.00%, 9/22/18 | USD | 255 | 65,025 | ||||||||||||
1.00%, 12/31/49 | 915 | 233,325 | |||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 1,148 | 1,280,020 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.13%, 4/15/19 | 565 | 601,019 | |||||||||||||
9.00%, 4/15/19 | 860 | 887,950 | |||||||||||||
7.88%, 8/15/19 | 189 | 207,900 | |||||||||||||
9.88%, 8/15/19 | 696 | 739,500 | |||||||||||||
5.75%, 10/15/20 | 3,360 | 3,330,600 | |||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 1,128 | 1,300,020 | |||||||||||||
24,596,793 | |||||||||||||||
Diversified Telecommunication Services — 3.4% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 765 | 757,350 | |||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 2,037 | 1,996,260 | |||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a) | 630 | 579,600 | |||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 | 515 | 592,250 | |||||||||||||
Frontier Communications Corp., 8.50%, 4/15/20 | 775 | 846,687 | |||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 | 475 | 507,063 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 2,269 | 2,399,467 | |||||||||||||
7.00%, 6/01/20 | 639 | 643,793 | |||||||||||||
8.63%, 7/15/20 | 2,572 | 2,752,040 | |||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | EUR | 431 | 571,340 | ||||||||||||
6.75%, 8/15/24 | 520 | 695,849 | |||||||||||||
tw telecom holdings, Inc.: | |||||||||||||||
5.38%, 10/01/22 (a) | USD | 380 | 361,950 | ||||||||||||
5.38%, 10/01/22 | 440 | 419,100 | |||||||||||||
Windstream Corp.: | |||||||||||||||
7.88%, 11/01/17 | 630 | 699,300 | |||||||||||||
7.75%, 10/15/20 | 230 | 235,175 | |||||||||||||
6.38%, 8/01/23 | 356 | 321,735 | |||||||||||||
14,378,959 | |||||||||||||||
Electric Utilities — 0.6% | |||||||||||||||
Homer City Generation LP (e): | |||||||||||||||
8.14%, 10/01/19 | 225 | 226,125 | |||||||||||||
8.73%, 10/01/26 | 330 | 334,950 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 344 | 361,364 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 1,200 | 1,583,182 | ||||||||||||
2,505,621 | |||||||||||||||
Electrical Equipment — 0.9% | |||||||||||||||
Belden, Inc.: | |||||||||||||||
5.50%, 9/01/22 (a) | 550 | 533,500 | |||||||||||||
5.50%, 4/15/23 | 180 | 228,381 | |||||||||||||
General Cable Corp., 5.75%, 10/01/22 (a) | USD | 890 | 856,625 | ||||||||||||
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a) | 411 | 427,440 | |||||||||||||
Rexel SA, 5.13%, 6/15/20 | EUR | 388 | 520,492 | ||||||||||||
Techem GmbH: | |||||||||||||||
6.13%, 10/01/19 (a) | 105 | 149,062 | |||||||||||||
6.13%, 10/01/19 | 633 | 898,630 | |||||||||||||
7.88%, 10/01/20 | 105 | 150,916 | |||||||||||||
Trionista TopCo GmbH, 6.88%, 4/30/21 | 106 | 141,502 | |||||||||||||
3,906,548 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | USD | 350 | 412,125 |
ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Energy Equipment & Services — 3.8% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | USD | 205 | $ | 219,350 | |||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 497 | 500,728 | |||||||||||||
CGG (FKA Compagnie Generale de Geophysique, Veritas): | |||||||||||||||
7.75%, 5/15/17 | 365 | 374,125 | |||||||||||||
6.50%, 6/01/21 | 1,855 | 1,878,187 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 988 | 1,054,690 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 75 | 73,875 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 230 | 232,875 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 465 | 470,813 | |||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (a) | 2,124 | 2,161,170 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 986 | 1,040,230 | |||||||||||||
5.13%, 1/15/23 (a) | 510 | 557,175 | |||||||||||||
Parker Drilling Co., 7.50%, 8/01/20 (a) | 575 | 564,937 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 992 | 987,040 | |||||||||||||
6.25%, 11/15/21 | 978 | 943,770 | |||||||||||||
7.88%, 11/01/26 | 555 | 553,612 | |||||||||||||
4.75%, 12/15/66 (g) | 630 | 487,463 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 115 | 121,038 | |||||||||||||
6.50%, 12/15/21 | 265 | 276,925 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a) | 349 | 349,000 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 2,009 | 2,024,067 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 404 | 402,990 | |||||||||||||
Trionista Holdco GmbH, 5.00%, 4/30/20 | EUR | 615 | 820,943 | ||||||||||||
16,095,003 | |||||||||||||||
Food & Staples Retailing — 0.6% | |||||||||||||||
Bakkavor Finance 2 PLC: | |||||||||||||||
8.25%, 2/15/18 | GBP | 393 | 634,916 | ||||||||||||
8.75%, 6/15/20 | 200 | 323,887 | |||||||||||||
R&R Ice Cream PLC, 9.25%, 5/15/18 (e) | EUR | 205 | 277,712 | ||||||||||||
Rite Aid Corp.: | �� | ||||||||||||||
9.25%, 3/15/20 | 555 | 627,844 | |||||||||||||
6.75%, 6/15/21 (a) | USD | 608 | 615,600 | ||||||||||||
Zobele Holding SpA, 7.88%, 2/01/18 | EUR | 140 | 192,432 | ||||||||||||
2,672,391 | |||||||||||||||
Food Products — 0.9% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | USD | 170 | 187,000 | ||||||||||||
Findus Bondco SA: | |||||||||||||||
9.13%, 7/01/18 | EUR | 249 | 346,401 | ||||||||||||
9.50%, 7/01/18 | GBP | 126 | 204,850 | ||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a) | USD | 576 | 535,680 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 840 | 886,200 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 702 | 719,550 | |||||||||||||
Sun Merger Sub, Inc. (a): | |||||||||||||||
5.25%, 8/01/18 | 824 | 827,090 | |||||||||||||
5.88%, 8/01/21 | 257 | 256,357 | |||||||||||||
3,963,128 | |||||||||||||||
Health Care Equipment & Supplies — 2.3% | |||||||||||||||
Biomet, Inc.: | |||||||||||||||
6.50%, 8/01/20 | 2,655 | 2,721,375 | |||||||||||||
6.50%, 10/01/20 | 3,076 | 3,068,310 | |||||||||||||
DJO Finance LLC/DJO Finance Corp.: | |||||||||||||||
8.75%, 3/15/18 | 560 | 606,200 | |||||||||||||
7.75%, 4/15/18 | 155 | 152,287 | |||||||||||||
9.88%, 4/15/18 | 844 | 886,200 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a) | 420 | 428,400 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Equipment & Supplies (concluded) | |||||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a) | 800 | $ | 891,000 | ||||||||||||
IDH Finance PLC: | |||||||||||||||
6.00%, 12/01/18 | GBP | 150 | 231,874 | ||||||||||||
6.00%, 12/01/18 (a) | 100 | 154,583 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 | USD | 343 | 357,149 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 435 | 456,750 | |||||||||||||
9,954,128 | |||||||||||||||
Health Care Providers & Services — 5.7% | |||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 845 | 904,150 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | USD | 1,180 | 1,206,550 | ||||||||||||
8.00%, 11/15/19 | 159 | 166,950 | |||||||||||||
7.13%, 7/15/20 | 1,020 | 1,030,200 | |||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 517 | 727,707 | ||||||||||||
Crown Newco 3 PLC: | |||||||||||||||
7.00%, 2/15/18 | GBP | 100 | 158,224 | ||||||||||||
7.00%, 2/15/18 (a) | 547 | 865,488 | |||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 1,319 | 1,305,810 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 1,079 | 1,081,697 | |||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | 200 | 216,000 | |||||||||||||
6.50%, 2/15/20 | 2,161 | 2,320,374 | |||||||||||||
7.88%, 2/15/20 | 405 | 436,894 | |||||||||||||
7.25%, 9/15/20 | 2,045 | 2,226,494 | |||||||||||||
5.88%, 3/15/22 | 865 | 893,113 | |||||||||||||
4.75%, 5/01/23 | 541 | 505,159 | |||||||||||||
Health Management Associates, Inc., 7.38%, 1/15/20 | 305 | 340,838 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 | 1,817 | 1,894,222 | |||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 140 | 146,650 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 930 | 948,600 | |||||||||||||
Omnicare, Inc., 3.75%, 4/01/42 (g) | 426 | 590,276 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 510 | 535,500 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 1,741 | 1,838,931 | |||||||||||||
6.75%, 2/01/20 | 775 | 759,500 | |||||||||||||
4.38%, 10/01/21 (a) | 1,122 | 1,018,215 | |||||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19 | 1,594 | 1,705,580 | |||||||||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 | GBP | 270 | 415,490 | ||||||||||||
24,238,612 | |||||||||||||||
Health Care Technology — 1.0% | |||||||||||||||
IMS Health, Inc. (a): | |||||||||||||||
12.50%, 3/01/18 | USD | 3,290 | 3,882,200 | ||||||||||||
6.00%, 11/01/20 | 212 | 217,565 | |||||||||||||
4,099,765 | |||||||||||||||
Hotels, Restaurants & Leisure — 3.2% | |||||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (a) | 485 | 492,275 | |||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 680 | 912,203 | ||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 1,983 | 2,201,130 | ||||||||||||
Enterprise Inns PLC, 6.50%, 12/06/18 | GBP | 477 | 741,055 | ||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 657 | 890,032 | ||||||||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | 640 | 875,461 | |||||||||||||
Isle of Capri Casinos, Inc.: | |||||||||||||||
7.75%, 3/15/19 | USD | 75 | 77,438 | ||||||||||||
5.88%, 3/15/21 | 322 | 297,850 | |||||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (a) | 433 | 424,340 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 998 | 915,665 | |||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e) | 412 | 434,765 | |||||||||||||
Playa Resorts Holding BV, 8.00%, 8/15/20 (a) | 150 | 153,000 |
38 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Hotels, Restaurants & Leisure (concluded) | |||||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (a) | USD | 765 | $ | 763,087 | |||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 130 | 119,600 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 882 | 833,490 | |||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 | 2,080 | 2,142,400 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (a): | |||||||||||||||
6.40%, 3/01/16 (b) | 122 | 118,061 | |||||||||||||
11.88%, 9/01/16 | 50 | 48,478 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(j) | 475 | — | |||||||||||||
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21 | GBP | 500 | 780,662 | ||||||||||||
Vougeot Bidco PLC, 7.88%, 7/15/20 | 252 | 401,264 | |||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22 | USD | 111 | 109,612 | ||||||||||||
13,731,868 | |||||||||||||||
Household Durables — 2.7% | |||||||||||||||
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18 | EUR | 205 | 279,744 | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a) | USD | 336 | 332,640 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 55 | 57,956 | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a) | 605 | 618,612 | |||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a) | 427 | 421,663 | |||||||||||||
Jarden Corp., 7.50%, 1/15/20 | EUR | 447 | 623,306 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a) | USD | 1,400 | 1,477,000 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 427 | 456,356 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 280 | 250,600 | |||||||||||||
RPG Byty Sro, 6.75%, 5/01/20 | EUR | 383 | 488,475 | ||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | USD | 500 | 518,750 | ||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 339 | 499,564 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 2,050 | 2,434,375 | ||||||||||||
8.38%, 1/15/21 | 1,450 | 1,624,000 | |||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a): | |||||||||||||||
7.75%, 4/15/20 | 440 | 480,700 | |||||||||||||
5.25%, 4/15/21 | 395 | 373,275 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 | 445 | 471,700 | |||||||||||||
11,408,716 | |||||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 | EUR | 100 | 138,794 | ||||||||||||
7.50%, 4/15/18 (a) | 220 | 305,348 | |||||||||||||
9.00%, 4/15/19 | 321 | 440,159 | |||||||||||||
Spectrum Brands Escrow Corp. (a): | |||||||||||||||
6.38%, 11/15/20 | USD | 568 | 587,880 | ||||||||||||
6.63%, 11/15/22 | 370 | 379,250 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 1,395 | 1,534,500 | |||||||||||||
6.75%, 3/15/20 | 142 | 149,810 | |||||||||||||
3,535,741 | |||||||||||||||
Independent Power Producers & Energy Traders — 3.9% | |||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (a) | 67 | 71,020 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||||||||||||||
6.88%, 8/15/17 (a) | 611 | 617,874 | |||||||||||||
11.25%, 12/01/18 (a)(e) | 949 | 744,651 | |||||||||||||
10.00%, 12/01/20 | 4,766 | 5,022,172 | |||||||||||||
10.00%, 12/01/20 (a) | 2,645 | 2,780,556 | |||||||||||||
12.25%, 3/01/22 (a) | 1,897 | 2,110,413 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Independent Power Producers & Energy Traders (concluded) | |||||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B, 9.24%, 7/02/17 | USD | 133 | $ | 136,752 | |||||||||||
Series C, 9.68%, 7/02/26 | 662 | 701,720 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 730 | 812,125 | |||||||||||||
7.38%, 5/01/22 | 550 | 580,250 | |||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 | 2,336 | 2,587,120 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 488 | 466,040 | |||||||||||||
16,630,693 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (a) | 680 | 680,000 | |||||||||||||
Insurance — 0.8% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a) | 1,661 | 1,698,372 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (a) | 332 | 346,940 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 968 | 997,040 | |||||||||||||
TMF Group Holding BV, 9.88%, 12/01/19 | EUR | 270 | 372,925 | ||||||||||||
3,415,277 | |||||||||||||||
Internet Software & Services — 0.3% | |||||||||||||||
Bankrate, Inc., 6.13%, 8/15/18 (a) | USD | 430 | 425,163 | ||||||||||||
Cerved Technologies SpA: | |||||||||||||||
6.38%, 1/15/20 | EUR | 200 | 267,026 | ||||||||||||
8.00%, 1/15/21 | 100 | 132,495 | |||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (a) | USD | 410 | 383,350 | ||||||||||||
1,208,034 | |||||||||||||||
IT Services — 4.7% | |||||||||||||||
Ceridian Corp.: | |||||||||||||||
11.25%, 11/15/15 | 185 | 187,313 | |||||||||||||
8.88%, 7/15/19 (a) | 2,480 | 2,790,000 | |||||||||||||
11.00%, 3/15/21 (a) | 3,859 | 4,457,145 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 820 | 865,100 | |||||||||||||
First Data Corp. (a): | |||||||||||||||
7.38%, 6/15/19 | 3,519 | 3,650,962 | |||||||||||||
8.88%, 8/15/20 | 795 | 858,600 | |||||||||||||
6.75%, 11/01/20 | 1,989 | 2,033,752 | |||||||||||||
10.63%, 6/15/21 | 1,088 | 1,081,200 | |||||||||||||
11.75%, 8/15/21 | 530 | 495,550 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 810 | 860,625 | |||||||||||||
6.63%, 11/01/19 | 2,209 | 2,242,135 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (a) | 726 | 660,660 | |||||||||||||
20,183,042 | |||||||||||||||
Machinery — 0.4% | |||||||||||||||
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a) | 500 | 530,000 | |||||||||||||
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a) | 137 | 141,453 | |||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 541 | 537,619 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 260 | 287,950 | |||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a) | 269 | 262,947 | |||||||||||||
1,759,969 | |||||||||||||||
Media — 10.0% | |||||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 330 | 364,650 | |||||||||||||
4.75%, 12/15/22 | 430 | 403,125 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 820 | 783,100 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||||||||||||
5.25%, 9/30/22 | 870 | 793,875 | |||||||||||||
5.13%, 2/15/23 | 1,105 | 991,737 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(j) | 942 | 690,015 | |||||||||||||
Checkout Holding Corp., 9.92%, 11/15/15 (a)(f) | 675 | 545,063 | |||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 374 | 349,690 |
ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Media (concluded) | |||||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
9.00%, 12/15/19 | USD | 995 | $ | 957,687 | |||||||||||
9.00%, 3/01/21 | 1,801 | 1,710,950 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., Series B: | |||||||||||||||
7.63%, 3/15/20 | 1,425 | 1,428,562 | |||||||||||||
6.50%, 11/15/22 | 916 | 909,130 | |||||||||||||
6.50%, 11/15/22 | 2,827 | 2,827,000 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
4.25%, 4/01/18 | 775 | 763,375 | |||||||||||||
5.13%, 5/01/20 | 1,326 | 1,282,905 | |||||||||||||
5.88%, 7/15/22 | 1,505 | 1,474,900 | |||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a) | 259 | 266,123 | |||||||||||||
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a) | 1,335 | 1,448,475 | |||||||||||||
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a) | 1,209 | 1,121,347 | |||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a) | 1,865 | 1,930,275 | |||||||||||||
Live Nation Entertainment, Inc. (a): | |||||||||||||||
8.13%, 5/15/18 | 1,130 | 1,234,536 | |||||||||||||
7.00%, 9/01/20 | 285 | 296,400 | |||||||||||||
Lynx I Corp., 6.00%, 4/15/21 | GBP | 1,676 | 2,603,791 | ||||||||||||
The McClatchy Co., 9.00%, 12/15/22 | USD | 820 | 865,100 | ||||||||||||
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a) | 1,378 | 1,381,445 | |||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 660 | 714,912 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a) | 580 | 587,250 | |||||||||||||
Nara Cable Funding Ltd.: | |||||||||||||||
8.88%, 12/01/18 | EUR | 200 | 278,406 | ||||||||||||
8.88%, 12/01/18 (a) | USD | 200 | 204,500 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co.: | |||||||||||||||
11.63%, 2/01/14 | 91 | 94,758 | |||||||||||||
7.75%, 10/15/18 | 1,779 | 1,934,662 | |||||||||||||
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (a) | GBP | 308 | 491,627 | ||||||||||||
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a) | USD | 270 | 271,350 | ||||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a) | 385 | 381,150 | |||||||||||||
Sirius XM Radio, Inc. (a): | |||||||||||||||
4.25%, 5/15/20 | 759 | 694,485 | |||||||||||||
5.75%, 8/01/21 | 523 | 512,540 | |||||||||||||
4.63%, 5/15/23 | 373 | 329,173 | |||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,275 | 1,275,000 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | |||||||||||||||
7.50%, 3/15/19 | 1,249 | 1,786,927 | |||||||||||||
5.50%, 1/15/23 (a) | 760 | 691,600 | |||||||||||||
5.63%, 4/15/23 | EUR | 104 | 133,328 | ||||||||||||
Unitymedia KabelBW GmbH, 9.50%, 3/15/21 | 518 | 776,867 | |||||||||||||
Univision Communications, Inc. (a): | |||||||||||||||
8.50%, 5/15/21 | USD | 426 | 461,145 | ||||||||||||
6.75%, 9/15/22 | 176 | 182,600 | |||||||||||||
5.13%, 5/15/23 | 1,037 | 978,669 | |||||||||||||
UPCB Finance II Ltd.: | |||||||||||||||
6.38%, 7/01/20 | EUR | 114 | 158,028 | ||||||||||||
6.38%, 7/01/20 (a) | 1,218 | 1,688,407 | |||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a) | USD | 531 | 549,585 | ||||||||||||
42,600,225 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Metals & Mining — 3.6% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | USD | 445 | $ | 488,387 | |||||||||||
4.25%, 8/05/15 | 436 | 449,080 | |||||||||||||
4.25%, 3/01/16 | 175 | 178,500 | |||||||||||||
5.00%, 2/25/17 | 545 | 557,262 | |||||||||||||
6.13%, 6/01/18 | 489 | 503,670 | |||||||||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 | EUR | 585 | 788,629 | ||||||||||||
FMG Resources August 2006 Property Ltd. (a): | |||||||||||||||
6.38%, 2/01/16 | 1,496 | 1,533,400 | |||||||||||||
6.00%, 4/01/17 | USD | 2,003 | 2,038,052 | ||||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a) | 445 | 485,050 | |||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 330 | 367,950 | |||||||||||||
New Gold, Inc., 6.25%, 11/15/22 (a) | 445 | 426,088 | |||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,560 | 4,959,000 | |||||||||||||
Peninsula Energy Ltd., 11.00%, 12/14/14 | 800 | 800,000 | |||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (a) | 285 | 291,413 | |||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 | 355 | 370,088 | |||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 605 | 595,925 | |||||||||||||
Vedanta Resources PLC, 8.25%, 6/07/21 (a) | 415 | 390,100 | |||||||||||||
15,222,594 | |||||||||||||||
Multiline Retail — 0.4% | |||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 1,169 | 1,227,577 | |||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 455 | 464,351 | |||||||||||||
1,691,928 | |||||||||||||||
Oil, Gas & Consumable Fuels — 9.1% | |||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: | |||||||||||||||
5.88%, 4/15/21 | 436 | 447,990 | |||||||||||||
6.13%, 7/15/22 | 405 | 416,137 | |||||||||||||
4.88%, 5/15/23 | 655 | 609,150 | |||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (g) | 1,335 | 1,224,028 | |||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a) | 281 | 283,810 | |||||||||||||
Aurora USA Oil & Gas, Inc. (a): | |||||||||||||||
9.88%, 2/15/17 | 990 | 1,044,450 | |||||||||||||
7.50%, 4/01/20 | 490 | 485,100 | |||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 126 | 128,205 | |||||||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22 | 375 | 371,250 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 354 | 373,470 | |||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 325 | 325,813 | |||||||||||||
Chesapeake Energy Corp.: | |||||||||||||||
7.25%, 12/15/18 | 180 | 203,850 | |||||||||||||
6.63%, 8/15/20 | 121 | 129,773 | |||||||||||||
6.88%, 11/15/20 | 399 | 431,917 | |||||||||||||
6.13%, 2/15/21 | 122 | 126,880 | |||||||||||||
Concho Resources, Inc.: | |||||||||||||||
7.00%, 1/15/21 | 125 | 137,188 | |||||||||||||
6.50%, 1/15/22 | 436 | 462,160 | |||||||||||||
5.50%, 10/01/22 | 536 | 523,940 | |||||||||||||
5.50%, 4/01/23 | 109 | 105,730 | |||||||||||||
CONSOL Energy, Inc.: | |||||||||||||||
8.00%, 4/01/17 | 621 | 655,155 | |||||||||||||
8.25%, 4/01/20 | 460 | 487,600 | |||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 545 | 596,775 | |||||||||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18 | 225 | 239,063 | |||||||||||||
Crown Oil Partners IV LP, 15.00%, 3/07/15 | 922 | 960,555 | |||||||||||||
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a) | 503 | 497,970 | |||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 1,132 | 1,010,310 | |||||||||||||
Energy XXI Gulf Coast, Inc.: | |||||||||||||||
9.25%, 12/15/17 | 695 | 773,187 | |||||||||||||
7.75%, 6/15/19 | 795 | 826,800 | |||||||||||||
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20 | 315 | 346,500 |
40 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Oil, Gas & Consumable Fuels (continued) | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | USD | 510 | $ | 541,875 | |||||||||||
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 | 215 | 215,000 | |||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 | 616 | 617,540 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a) | 392 | 417,480 | |||||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20 | 230 | 236,900 | |||||||||||||
Kodiak Oil & Gas Corp.: | |||||||||||||||
8.13%, 12/01/19 | 510 | 558,450 | |||||||||||||
5.50%, 2/01/22 (a) | 238 | 229,670 | |||||||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a) | 225 | 213,750 | |||||||||||||
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a) | 380 | 361,000 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||||||||
6.50%, 5/15/19 | 66 | 62,040 | |||||||||||||
6.25%, 11/01/19 (a) | 1,055 | 970,600 | |||||||||||||
8.63%, 4/15/20 | 1,160 | 1,165,800 | |||||||||||||
7.75%, 2/01/21 | 95 | 92,150 | |||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.: | |||||||||||||||
6.25%, 6/15/22 | 246 | 257,070 | |||||||||||||
4.50%, 7/15/23 | 365 | 332,150 | |||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 289 | 278,885 | |||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 1,150 | 1,204,625 | |||||||||||||
Northern Oil & Gas, Inc., 8.00%, 6/01/20 | 460 | 466,900 | |||||||||||||
Oasis Petroleum, Inc.: | |||||||||||||||
7.25%, 2/01/19 | 295 | 312,700 | |||||||||||||
6.50%, 11/01/21 | 430 | 451,500 | |||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 622 | 598,675 | |||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (a) | 598 | 577,070 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 140 | 143,150 | |||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 310 | 325,500 | |||||||||||||
Penn Virginia Corp., 8.50%, 5/01/20 | 294 | 294,000 | |||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 | 514 | 472,782 | |||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a) | 850 | 930,750 | |||||||||||||
Range Resources Corp.: | |||||||||||||||
8.00%, 5/15/19 | 515 | 553,625 | |||||||||||||
6.75%, 8/01/20 | 177 | 190,718 | |||||||||||||
5.75%, 6/01/21 | 1,439 | 1,507,352 | |||||||||||||
5.00%, 8/15/22 | 473 | 462,357 | |||||||||||||
5.00%, 3/15/23 | 230 | 224,825 | |||||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18 | 166 | 178,035 | |||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a) | 187 | 187,000 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 393 | 379,245 | |||||||||||||
Sabine Pass Liquefaction LLC (a): | |||||||||||||||
5.63%, 2/01/21 | 1,721 | 1,643,555 | |||||||||||||
5.63%, 4/15/23 | 498 | 461,895 | |||||||||||||
Sabine Pass LNG LP: | |||||||||||||||
7.50%, 11/30/16 | 2,565 | 2,824,706 | |||||||||||||
6.50%, 11/01/20 (a) | 480 | 482,400 | |||||||||||||
SandRidge Energy, Inc.: | |||||||||||||||
8.75%, 1/15/20 | 45 | 47,025 | |||||||||||||
7.50%, 2/15/23 | 433 | 418,927 | |||||||||||||
SESI LLC, 6.38%, 5/01/19 | 301 | 316,803 | |||||||||||||
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a) | 148 | 151,700 | |||||||||||||
SM Energy Co.: | |||||||||||||||
6.63%, 2/15/19 | 315 | 329,175 | |||||||||||||
6.50%, 11/15/21 | 390 | 409,500 | |||||||||||||
6.50%, 1/01/23 | 455 | 468,650 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a) | USD | 420 | $ | 426,300 | |||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a) | 229 | 228,428 | |||||||||||||
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20 | 400 | 405,000 | |||||||||||||
38,849,989 | |||||||||||||||
Paper & Forest Products — 0.6% | |||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a) | 468 | 493,740 | |||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 180 | 193,050 | |||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 85 | 89,463 | |||||||||||||
Clearwater Paper Corp.: | |||||||||||||||
7.13%, 11/01/18 | 865 | 929,875 | |||||||||||||
4.50%, 2/01/23 | 65 | 58,825 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (d)(j) | 2,887 | — | |||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a) | 200 | 209,000 | |||||||||||||
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a) | 385 | 385,962 | |||||||||||||
2,359,915 | |||||||||||||||
Pharmaceuticals — 2.2% | |||||||||||||||
Capsugel Finance Co. SCA: | |||||||||||||||
9.88%, 8/01/19 (a) | EUR | 300 | 438,127 | ||||||||||||
9.88%, 8/01/19 | 100 | 146,042 | |||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 1,002 | 1,132,260 | ||||||||||||
Valeant Pharmaceuticals International (a): | |||||||||||||||
6.88%, 12/01/18 | 1,343 | 1,423,580 | |||||||||||||
6.38%, 10/15/20 | 402 | 408,533 | |||||||||||||
6.75%, 8/15/21 | 673 | 693,190 | |||||||||||||
VPII Escrow Corp. (a): | |||||||||||||||
6.75%, 8/15/18 | 3,610 | 3,822,087 | |||||||||||||
7.50%, 7/15/21 | 218 | 233,260 | |||||||||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 905 | 988,713 | |||||||||||||
9,285,792 | |||||||||||||||
Professional Services — 0.3% | |||||||||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 324 | 417,509 | ||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 | USD | 760 | 807,500 | ||||||||||||
1,225,009 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a) | 417 | 426,383 | |||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 1,507 | 1,578,582 | |||||||||||||
5.63%, 3/01/23 | 379 | 352,470 | |||||||||||||
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(g) | 180 | 245,250 | |||||||||||||
iStar Financial, Inc., 4.88%, 7/01/18 | 602 | 583,940 | |||||||||||||
3,186,625 | |||||||||||||||
Real Estate Management & Development — 2.5% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 500 | 531,250 | |||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a) | 1,270 | 1,365,250 | |||||||||||||
IVG Finance BV, 1.75%, 3/29/17 (g) | EUR | 400 | 343,629 | ||||||||||||
Realogy Corp. (a): | |||||||||||||||
7.88%, 2/15/19 | USD | 3,425 | 3,724,687 | ||||||||||||
7.63%, 1/15/20 | 750 | 840,000 | |||||||||||||
9.00%, 1/15/20 | 485 | 560,175 | |||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a) | 498 | 494,265 |
ANNUAL REPORT | AUGUST 31, 2013 | 41 |
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 Management & Development (concluded) | |||||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 | USD | 2,005 | $ | 2,200,488 | |||||||||||
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a) | 665 | 661,675 | |||||||||||||
10,721,419 | |||||||||||||||
Road & Rail — 0.7% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 820 | 885,600 | |||||||||||||
6.75%, 4/15/19 | 430 | 458,487 | |||||||||||||
5.88%, 10/15/20 | 95 | 97,494 | |||||||||||||
7.38%, 1/15/21 | 645 | 696,600 | |||||||||||||
6.25%, 10/15/22 | 395 | 401,913 | |||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a) | 290 | 286,375 | |||||||||||||
2,826,469 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||||||||||||
NXP BV/NXP Funding LLC (a): | |||||||||||||||
3.75%, 6/01/18 | 635 | 613,569 | |||||||||||||
9.75%, 8/01/18 | 100 | 110,500 | |||||||||||||
5.75%, 2/15/21 | 500 | 500,000 | |||||||||||||
1,224,069 | |||||||||||||||
Software — 1.9% | |||||||||||||||
BMC Software Finance, Inc., 8.13%, 7/15/21 (a) | 1,065 | 1,078,312 | |||||||||||||
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(e) | 495 | 502,425 | |||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 621 | 572,872 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(e) | 436 | 445,810 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 3,040 | 3,382,000 | |||||||||||||
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a) | 219 | 226,118 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 1,380 | 1,314,450 | |||||||||||||
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a) | 645 | 699,825 | |||||||||||||
8,221,812 | |||||||||||||||
Specialty Retail — 3.1% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 540 | 596,700 | |||||||||||||
Claire’s Stores, Inc. (a): | |||||||||||||||
9.00%, 3/15/19 | 1,288 | 1,434,510 | |||||||||||||
7.75%, 6/01/20 | 488 | 485,560 | |||||||||||||
CST Brands, Inc., 5.00%, 5/01/23 (a) | 557 | 529,150 | |||||||||||||
House of Fraser Funding PLC: | |||||||||||||||
8.88%, 8/15/18 (a) | GBP | 420 | 688,918 | ||||||||||||
8.88%, 8/15/18 | 321 | 526,530 | |||||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 1,170 | 1,382,062 | ||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 | EUR | 446 | 596,883 | ||||||||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(e) | USD | 865 | 865,000 | ||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 346 | 372,382 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(e) | 319 | 327,773 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (a) | 1,500 | 1,606,875 | |||||||||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(e) | 421 | 416,264 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 | 476 | 471,240 | |||||||||||||
QVC, Inc. (a): | |||||||||||||||
7.50%, 10/01/19 | 920 | 991,832 | |||||||||||||
7.38%, 10/15/20 | 440 | 478,081 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc.: | |||||||||||||||
6.88%, 11/15/19 | 805 | 877,450 | |||||||||||||
5.75%, 6/01/22 | 753 | 753,941 | |||||||||||||
13,401,151 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | USD | 645 | $ | 685,313 | |||||||||||
PVH Corp., 4.50%, 12/15/22 | 373 | 345,491 | |||||||||||||
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a) | 176 | 181,500 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a) | 743 | 733,712 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (a) | 374 | 375,870 | |||||||||||||
2,321,886 | |||||||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||||||
MGIC Investment Corp., 2.00%, 4/01/20 (g) | 75 | 94,313 | |||||||||||||
Radian Group, Inc. (g): | |||||||||||||||
3.00%, 11/15/17 | 88 | 121,825 | |||||||||||||
2.25%, 3/01/19 | 211 | 301,730 | |||||||||||||
517,868 | |||||||||||||||
Trading Companies & Distributors — 0.7% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 880 | 915,200 | |||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (a) | 735 | 777,262 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a): | |||||||||||||||
Series 2012-1, Class A, 5.13%, 11/30/24 | 892 | 878,722 | |||||||||||||
Series 2012-1, Class B, 6.50%, 5/30/21 | 289 | 291,725 | |||||||||||||
2,862,909 | |||||||||||||||
Transportation Infrastructure — 0.5% | |||||||||||||||
Aguila 3 SA (a): | |||||||||||||||
7.88%, 1/31/18 | 632 | 662,020 | |||||||||||||
Series 144, 7.88%, 1/31/18 | 470 | 492,325 | |||||||||||||
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a) | 1,085 | 1,112,125 | |||||||||||||
2,266,470 | |||||||||||||||
Wireless Telecommunication Services — 4.6% | |||||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 1,658 | 1,566,810 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | �� | 1,430 | 1,515,800 | ||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (a) | 2,296 | 2,215,640 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 773 | 801,988 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 517 | 395,505 | |||||||||||||
Phones4u Finance PLC: | |||||||||||||||
9.50%, 4/01/18 | GBP | 200 | 320,788 | ||||||||||||
9.50%, 4/01/18 (a) | 545 | 874,147 | |||||||||||||
Softbank Corp., 4.50%, 4/15/20 (a) | USD | 1,155 | 1,091,983 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 1,503 | 1,356,458 | |||||||||||||
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a): | |||||||||||||||
9.00%, 11/15/18 | 5,339 | 6,233,282 | |||||||||||||
7.00%, 3/01/20 | 2,777 | 2,985,275 | |||||||||||||
T-Mobile USA, Inc., 5.25%, 9/01/18 (a) | 550 | 555,500 | |||||||||||||
19,913,176 | |||||||||||||||
Total Corporate Bonds — 108.3% | 463,602,983 | ||||||||||||||
Floating Rate Loan Interests (b) | |||||||||||||||
Airlines — 1.0% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 644 | 645,181 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.30%, 3/10/17 | 943 | 872,897 | |||||||||||||
2.30%, 3/10/17 | 945 | 874,542 | |||||||||||||
1.68%, 9/10/18 | 799 | 707,450 | |||||||||||||
1.68%, 9/10/18 | 793 | 701,771 | |||||||||||||
1.68%, 9/10/18 | 787 | 696,903 | |||||||||||||
4,498,744 |
42 | ANNUAL REPORT | AUGUST 31, 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 (b) | Par (000) | Value | |||||||||||||
Auto Components — 1.2% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.12% – 2.13%, 12/29/14 | USD | 3,093 | $ | 3,011,878 | |||||||||||
Term Loan C, 2.12% – 2.13%, 12/28/15 | 1,439 | 1,400,759 | |||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 915 | 916,418 | |||||||||||||
5,329,055 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | 622 | 616,564 | |||||||||||||
Capital Markets — 0.8% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 2,082 | 2,088,431 | |||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 525 | 522,706 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
2nd Lien Term Loan, 6.50%, 2/28/19 | 505 | 502,056 | |||||||||||||
Term Loan, 4.18%, 5/15/17 | 192 | 191,327 | |||||||||||||
3,304,520 | |||||||||||||||
Chemicals — 0.2% | |||||||||||||||
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20 | 160 | 161,600 | |||||||||||||
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 | 415 | 413,834 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 80 | 80,319 | |||||||||||||
655,753 | |||||||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 594 | 593,971 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 380 | 381,190 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 608 | 606,815 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 380 | 380,357 | |||||||||||||
1,962,333 | |||||||||||||||
Communications Equipment — 1.3% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
Term Loan C, 5.75%, 1/30/19 | 2,070 | 2,078,023 | |||||||||||||
Term Loan D, 6.25%, 1/30/19 | EUR | 806 | 1,067,580 | ||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 184 | 174,070 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19 | 2,158 | 2,164,083 | |||||||||||||
5,483,756 | |||||||||||||||
Construction Materials — 0.3% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 1,294 | 1,297,308 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19 | 395 | 393,025 | |||||||||||||
Diversified Consumer Services — 0.2% | |||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 212 | 210,962 | |||||||||||||
ServiceMaster Co.: | |||||||||||||||
Extended Term Loan, 4.44%, 1/31/17 | 245 | 237,990 | |||||||||||||
Term Loan, 4.25%, 1/31/17 | 677 | 655,964 | |||||||||||||
1,104,916 | |||||||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2016 Term Loan B, 4.00%, 1/15/20 | 585 | 584,514 | |||||||||||||
2019 Term Loan B, 4.00%, 8/01/19 | 405 | 404,243 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 690 | 689,276 | |||||||||||||
1,678,033 | |||||||||||||||
Energy Equipment & Services — 0.1% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 265 | 263,232 | |||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Food & Staples Retailing — 0.0% | |||||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | USD | 160 | $ | 163,950 | |||||||||||
Food Products — 0.1% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 318 | 321,087 | |||||||||||||
Health Care Equipment & Supplies — 0.3% | |||||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 1,106 | 1,101,894 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 411 | 406,742 | |||||||||||||
1,508,636 | |||||||||||||||
Health Care Providers & Services — 0.2% | |||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17 | 345 | 354,571 | |||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 576 | 561,564 | |||||||||||||
916,135 | |||||||||||||||
Hotels, Restaurants & Leisure — 4.3% | |||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 680 | 678,728 | |||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 645 | 645,800 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 1,770 | 1,765,575 | |||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 10,632 | 10,115,967 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 794 | 790,459 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 825 | 827,054 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 960 | 962,803 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 | 1,372 | 1,380,711 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc.: | |||||||||||||||
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e) | 651 | 650,549 | |||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 144 | 149,355 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 425 | 429,038 | |||||||||||||
18,396,039 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 856 | 858,605 | |||||||||||||
Insurance — 0.1% | |||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 498 | 499,057 | |||||||||||||
IT Services — 0.4% | |||||||||||||||
Ceridian Corp., Term Loan B, 4.43%, 5/09/17 | 455 | 454,527 | |||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18 | 1,160 | 1,147,750 | |||||||||||||
1,602,277 | |||||||||||||||
Life Sciences Tools & Services — 0.1% | |||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 303 | 304,983 | |||||||||||||
Machinery — 1.3% | |||||||||||||||
Gardner Denver, Inc., Term Loan: | |||||||||||||||
4.25%, 7/30/20 | 1,820 | 1,809,516 | |||||||||||||
4.75%, 7/30/20 | EUR | 1,992 | 2,625,326 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20 | USD | 1,058 | 1,046,355 | ||||||||||||
5,481,197 |
ANNUAL REPORT | AUGUST 31, 2013 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Media — 1.6% | |||||||||||||||
Cengage Learning Acquisitions, Inc.: | |||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 | USD | 477 | $ | 340,746 | |||||||||||
Tranche 1 Incremental, 6.00%, 7/03/14 | 2,285 | 1,614,114 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
Term Loan B, 3.83%, 1/29/16 | 198 | 184,709 | |||||||||||||
Term Loan C, 3.83%, 1/29/16 | 147 | 134,746 | |||||||||||||
Term Loan D, 6.93%, 1/30/19 | 2,204 | 2,021,206 | |||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 630 | 632,291 | |||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 69 | 66,392 | |||||||||||||
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20 | 875 | 875,726 | |||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | 330 | 338,250 | |||||||||||||
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 369 | 367,674 | |||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20 | 175 | 174,120 | |||||||||||||
6,749,974 | |||||||||||||||
Metals & Mining — 0.8% | |||||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 1,317 | 1,346,326 | |||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 2,098 | 2,105,231 | |||||||||||||
3,451,557 | |||||||||||||||
Multiline Retail — 0.4% | |||||||||||||||
HEMA Holding BV, Mezzanine, 8.63%, 7/05/17 | EUR | 1,518 | 1,805,247 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | USD | 3,255 | 3,314,664 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,008 | 1,008,083 | |||||||||||||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 345 | 346,511 | |||||||||||||
Vantage Drilling Co.: | |||||||||||||||
Term Loan, 6.25%, 10/26/17 | 1,277 | 1,286,266 | |||||||||||||
Term Loan B, 5.75%, 3/22/19 | 539 | 542,690 | |||||||||||||
6,498,214 | |||||||||||||||
Pharmaceuticals — 0.7% | |||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,463 | 1,465,249 | |||||||||||||
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19 | 1,052 | 1,046,477 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 458 | 457,094 | |||||||||||||
2,968,820 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 1,421 | 1,421,436 | |||||||||||||
Real Estate Management & Development — 0.2% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 136 | 136,402 | |||||||||||||
Extended Term Loan, 4.50%, 3/05/20 | 673 | 677,016 | |||||||||||||
813,418 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 | 403 | 401,745 | |||||||||||||
Software — 0.4% | |||||||||||||||
BMC Software, Inc., Term Loan, 5.00%, 8/07/20 | 205 | 204,574 | |||||||||||||
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20 | 85 | 86,275 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 747 | 750,700 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 760 | 785,650 | |||||||||||||
1,827,199 | |||||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Specialty Retail — 0.3% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | USD | 796 | $ | 800,171 | |||||||||||
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | 385 | 383,964 | |||||||||||||
1,184,135 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,620 | 1,550,671 | |||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 898 | 906,279 | |||||||||||||
Total Floating Rate Loan Interests — 20.1% | 86,217,900 | ||||||||||||||
Investment Companies — 0.2% | Shares | ||||||||||||||
Exchange-Traded Fund — 0.2% | |||||||||||||||
iShares MSCI EAFE Index Fund (l) | 17,990 | 1,064,468 | |||||||||||||
Other Interests (m) | Beneficial Interest (000) | ||||||||||||||
Auto Components — 0.0% | |||||||||||||||
Lear Corp. Escrow | USD | 790 | 3,950 | ||||||||||||
Chemicals — 0.0% | |||||||||||||||
Wellman Holdings, Inc., Litigation Trust Certificate (d) | 4,650 | 47 | |||||||||||||
Hotels, Restaurants & Leisure — 0.0% | |||||||||||||||
Buffets, Inc. (d) | 970 | 10 | |||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Escrow (d) | 1,250 | 12 | |||||||||||||
Adelphia Recovery Trust (d) | 1,568 | 15,677 | |||||||||||||
15,689 | |||||||||||||||
Total Other Interests — 0.0% | 19,696 | ||||||||||||||
Preferred Securities | Par (000 | ) | |||||||||||||
Capital Trusts — 0.0% | |||||||||||||||
Media — 0.0% | |||||||||||||||
NBCUniversal Enterprise, Inc., 5.25% (a)(k) | 100 | 97,921 | |||||||||||||
Preferred Stocks — 2.0% | Shares | ||||||||||||||
Auto Components — 2.0% | |||||||||||||||
Dana Holding Corp., 4.00% (a)(g) | 47,370 | 8,322,317 | |||||||||||||
Trust Preferreds — 1.4% | |||||||||||||||
Diversified Financial Services — 1.4% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) | 225,570 | 5,956,951 | |||||||||||||
Total Preferred Securities — 3.4% | 14,377,189 |
44 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets) |
Warrants (n) | Shares | Value | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
MDP Acquisitions PLC (Issued/Exercisable 12/31/02, 3 Shares for 1 Warrant, Expires 10/01/13, Strike Price EUR 0.001) | 1,100 | $ | 116,011 | ||||||||||||
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 | 33,934 | |||||||||||||
(Expires 9/30/14) | 3,995 | 7,343 | |||||||||||||
41,277 | |||||||||||||||
Metals & Mining — 0.0% | |||||||||||||||
Peninsula Energy Ltd. (Expires 12/31/17) (d) | 3,455,851 | 23,684 | |||||||||||||
Peninsula Minerals Ltd. (Expires 12/31/15) (d) | 5,850,469 | 57,280 | |||||||||||||
80,964 | |||||||||||||||
Software — 0.0% | |||||||||||||||
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% | 238,253 | ||||||||||||||
Total Long-Term Investments (Cost — $606,641,350) — 142.7% | 611,544,497 |
Short-Term Securities | Shares | Value | |||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(o) | 1,683,977 | $ | 1,683,977 | ||||||||||||
Total Short-Term Securities (Cost — $1,683,977) — 0.4% | 1,683,977 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $1,664,859) — 0.5% | 1,928,050 | ||||||||||||||
Total Investments Before Options Written (Cost — $609,990,186) — 143.7% | 615,156,524 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $421,361) — (0.1)% | (445,000 | ) | |||||||||||||
Total Investments, Net of Options Written — 143.6% | 614,711,524 | ||||||||||||||
Liabilities in Excess of Other Assets — (43.6)% | (186,583,193 | ) | |||||||||||||
Net Assets — 100.0% | $ | 428,128,331 |
Notes to Consolidated 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 Appreciation (Depreciation) | ||||||
J.P. Morgan Securities LLC | $ | 2,711,340 | — |
(d) | Non-income producing security. | |||||
(e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(f) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(g) | Convertible security. | |||||
(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) | Security is perpetual in nature and has no stated maturity date. | |||||
(l) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Shares Purchased | | Shares Sold | | Shares Held at August 31, 2013 | | Value at August 31, 2013 | | Income | | Realized Gain (Loss) | ||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 1,683,9771 | — | 1,683,977 | $ | 1,683,977 | $ | 1,320 | $ | 114 | ||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF2 | — | 39,471 | (39,471 | ) | — | — | $ | 18,910 | $ | (54,141 | ) | |||||||||||||||||||
iShares MSCI EAFE Index Fund | — | 17,990 | — | 17,990 | $ | 1,064,468 | — | — |
1 | Represents net shares purchased. |
2 | No longer held by the Trust as of report date. |
(m) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||||
(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) | Represents the current yield as of report date. |
ANNUAL REPORT | AUGUST 31, 2013 | 45 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
• | 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 Fund 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 August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||
(18) | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 3,955,500 | $(256) | |||||||||||||||||||||
(48) | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 5,744,625 | 7,062 | |||||||||||||||||||||
(32) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 3,977,000 | (2,050) | |||||||||||||||||||||
Total | $4,756 |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD | 2,634,974 | EUR | 1,974,000 | Barclays Bank PLC | 9/25/13 | $ | 25,858 | |||||||
USD | 32,419,901 | EUR | 24,128,000 | UBS AG | 9/25/13 | 528,935 | ||||||||
USD | 680,492 | AUD | 747,000 | UBS AG | 10/22/13 | 17,739 | ||||||||
USD | 6,858,484 | CAD | 7,137,000 | JPMorgan Chase Bank N.A. | 10/22/13 | 90,700 | ||||||||
USD | 189,961 | GBP | 126,000 | Bank of America N.A. | 10/22/13 | (5,229 | ) | |||||||
USD | 317,860 | GBP | 205,000 | Bank of America N.A. | 10/22/13 | 289 | ||||||||
USD | 109,924 | GBP | 71,000 | Barclays Bank PLC | 10/22/13 | (63 | ) | |||||||
USD | 13,344,336 | GBP | 8,849,000 | Deutsche Bank AG | 10/22/13 | (363,876 | ) | |||||||
USD | 231,143 | GBP | 152,000 | Deutsche Bank AG | 10/22/13 | (4,324 | ) | |||||||
USD | 47,346 | GBP | 30,443 | Deutsche Bank AG | 10/22/13 | 186 | ||||||||
Total | $ | 290,215 |
• | Exchange-traded options purchased as of August 31, 2013 were as follows: |
Description | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 165.00 | 9/21/13 | 450 | $ | 151,200 | ||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 164.00 | 9/21/13 | 1,500 | 425,250 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 161.00 | 10/19/13 | 1,732 | 519,600 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 164.00 | 10/19/13 | 2,000 | 832,000 | |||||||||||||||||||||
Total | $ | 1,928,050 |
• | Exchange-traded options written as of August 31, 2013 were as follows: |
Description | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 156.00 | 9/21/13 | 1,500 | $ | (105,000 | ) | |||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 156.00 | 10/19/13 | 2,000 | (340,000 | ) | ||||||||||||||||||||
Total | $ | (445,000 | ) |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 98 | $24,594 | $ | 30,452 | $ | (5,858 | ) | |||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 98 | 24,595 | 29,985 | (5,390 | ) | |||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 98 | 24,594 | 27,169 | (2,575 | ) | |||||||||||||||||||||||||
Total | $73,783 | $ | 87,606 | $ | (13,823 | ) |
46 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Received | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 98 | $(10,437) | $ | (15,218 | ) | $ | 4,781 | |||||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 98 | (10,437) | (15,238 | ) | 4,801 | |||||||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 98 | (10,437) | (12,478 | ) | 2,041 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 403 | (76,799) | (116,072 | ) | 39,273 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 112 | (21,294) | (27,899 | ) | 6,605 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 483 | (108,676) | (110,210 | ) | 1,534 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 118 | (26,577) | (25,631 | ) | (946 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 558 | (125,539) | (97,766 | ) | (27,773 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 163 | (36,735) | (39,086 | ) | 2,351 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 163 | (36,735) | (39,086 | ) | 2,351 | |||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 3/20/16 | CCC- | USD | 68 | (15,359) | (13,987 | ) | (1,372 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 331 | (86,110) | (82,861 | ) | (3,249 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 630 | (164,134) | (152,963 | ) | (11,171 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 1,132 | (294,976) | (278,718 | ) | (16,258 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 182 | (47,390) | (37,197 | ) | (10,193 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 299 | (106,005) | (82,770 | ) | (23,235 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 355 | (125,935) | (110,507 | ) | (15,428 | ) | ||||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 207 | (73,435) | (60,981 | ) | (12,454 | ) | ||||||||||||||||||||||||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B | USD | 690 | 112,258 | — | 112,258 | ||||||||||||||||||||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 2,400 | 490,360 | — | 490,360 | ||||||||||||||||||||||||||||||
Level 3 Communications, Inc. | 5.00% | Goldman Sachs International | 6/20/19 | B | USD | 1,500 | 31,152 | (133,551 | ) | 164,703 | |||||||||||||||||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 115 | (13,080) | (10,815 | ) | (2,265 | ) | ||||||||||||||||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 225 | (25,592) | (21,301 | ) | (4,291 | ) | ||||||||||||||||||||||||||||
Total | $(781,912) | $ | (1,484,335 | ) | $ | 702,423 |
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 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements. |
ANNUAL REPORT | AUGUST 31, 2013 | 47 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | — | $ | 2,711,340 | $ | 2,711,340 | ||||||||||||
Common Stocks | $ | 32,808,407 | $ | 3,239,487 | 7,264,774 | 43,312,668 | ||||||||||||
Corporate Bonds | — | 459,121,956 | 4,481,027 | 463,602,983 | ||||||||||||||
Floating Rate Loan Interests | — | 73,752,994 | 12,464,906 | 86,217,900 | ||||||||||||||
Investment Companies | 1,064,468 | — | — | 1,064,468 | ||||||||||||||
Other Interests | 15,677 | — | 4,019 | 19,696 | ||||||||||||||
Preferred Securities | 5,956,951 | 8,420,238 | — | 14,377,189 | ||||||||||||||
Warrants | 173,292 | — | 64,961 | 238,253 | ||||||||||||||
Short-Term Securities | 1,683,977 | — | — | 1,683,977 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Equity Contracts | 1,928,050 | — | — | 1,928,050 | ||||||||||||||
Unfunded Loan Commitments | — | 11,909 | — | 11,909 | ||||||||||||||
$ | 43,630,822 | $ | 544,546,584 | $ | 26,991,027 | $ | 615,168,433 | |||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | $ | 7,062 | — | $ | 602,618 | $ | 7,062 | |||||||||||
Foreign currency exchange contracts | — | $ | 663,707 | — | 663,707 | |||||||||||||
Credit contracts | — | 228,440 | — | 831,058 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (2,306 | ) | — | — | (2,306 | ) | ||||||||||||
Equity contracts | (445,000 | ) | — | — | (445,000 | ) | ||||||||||||
Foreign currency exchange contracts | — | (373,492 | ) | — | (373,492 | ) | ||||||||||||
Credit contracts | — | (142,458 | ) | — | (142,458 | ) | ||||||||||||
Total | $ | (440,244 | ) | $ | 376,197 | $ | 602,618 | $ | 538,571 | |||||||||
1 Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options 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 August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: | ||||||||||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 178 | — | — | $ | 178 | ||||||||||||
Foreign currency at value | 14,803 | — | — | 14,803 | ||||||||||||||
Cash pledged for financial futures contracts | 120,000 | — | — | 120,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for over-the-counter swaps | — | $ | (700,000 | ) | — | (700,000 | ) | |||||||||||
Loan payable | — | (186,000,000 | ) | — | (186,000,000 | ) | ||||||||||||
Total | $ | 134,981 | $ | (186,700,000 | ) | — | $ | (186,565,019 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013. |
48 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
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: |
| | Asset-Backed Securities | | 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 3 | — | 329 | 2,120,575 | 1,620,899 | — | — | 3,741,803 | |||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (2,707,741 | ) | — | — | (2,707,741 | ) | |||||||||||||||||||||
Accrued discounts/premiums | — | — | 5,414 | 104,443 | — | — | 109,857 | |||||||||||||||||||||||
Net realized gain (loss) | — | (8,657 | ) | 10,758 | 193,694 | — | (6 | ) | 195,789 | |||||||||||||||||||||
Net change in unrealized appreciation/ depreciation1 | — | (241,656 | ) | (1,651,001 | ) | 807,868 | (4,444 | ) | 63,313 | (1,025,920 | ) | |||||||||||||||||||
Purchases | $ | 2,711,340 | 759,460 | 2,111,376 | 9,539,934 | — | 1,653 | 15,123,763 | ||||||||||||||||||||||
Sales | — | (4 | ) | (4,693,049 | ) | (16,506,183 | ) | — | — | (21,199,236 | ) | |||||||||||||||||||
Closing Balance, as of August 31, 2013 | $ | 2,711,340 | $ | 7,264,774 | $ | 4,481,027 | $ | 12,464,906 | $ | 4,019 | $ | 64,961 | $ | 26,991,027 |
1 | 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 August 31, 2013 was $(2,034,675). |
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 3 | — | |||||
Transfers out of Level 3 | — | |||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation2 | (227,292 | ) | ||||
Purchases | — | |||||
Issues3 | — | |||||
Sales | — | |||||
Settlements4 | — | |||||
Closing Balance, as of August 31, 2013 | $ | 602,618 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $397,267. |
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. |
ANNUAL REPORT | AUGUST 31, 2013 | 49 |
Consolidated Schedule of Investments (concluded) | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
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 and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values derived based upon unadjusted third party pricing information. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments and derivative financial instruments. The value of Level 3 investments and derivative financial instruments derived using third party pricing information is $16,606,206. |
| | Value | | Valuation Techniques | | Unobservable Inputs1 | | Range of Unobservable Inputs Utilized | ||||||||||
Assets: | ||||||||||||||||||
Common Stocks2 | $ | 3,814,491 | Market Comparable Companies | 2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple | CAD3 $0.35x—$0.53x | |||||||||||||
PV-10 Multiple4 | 0.13x — 0.21x | |||||||||||||||||
313,268 | Market Comparable Companies | Forecasted EBITDA Multiple | 3.50x | |||||||||||||||
2,135,414 | Market Comparable Companies | Offshore EBITDA Multiple | 8.25x | |||||||||||||||
Onshore EBITDA Multiple | 4.75x | |||||||||||||||||
Implied Last 12 Months EBITDA Multiple | 6.95x | |||||||||||||||||
Corporate Bonds5 | 960,555 | Discounted Cash Flow | Yield | 12.00% | ||||||||||||||
1,021,132 | Market Comparable Companies | Yield | 12.10% | |||||||||||||||
1,275,000 | Market Comparable Companies | Last 12 Months EBITDA Multiple | 10.00x | |||||||||||||||
800,000 | Cost6 | N/A | — | |||||||||||||||
Warrant7 | 41,277 | Estimated Recovery Value | Distribution Rate | $1.36—$1.63 | ||||||||||||||
23,684 | Black-Scholes | Implied Volatility | 67.605% | |||||||||||||||
Total | $ | 10,384,821 |
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 | ||
2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple | Increase | Decrease | ||||
PV-10 Multiple | Increase | Decrease | ||||
Forecasted EBITDA Multiple | Increase | Decrease | ||||
Offshore EBITDA Multiple | Increase | Decrease | ||||
Onshore EBITDA Multiple | Increase | Decrease | ||||
Implied Last 12 Months EBITDA Multiple | Increase | Decrease | ||||
Yield | Decrease | Increase | ||||
Last 12 Months EBITDA Multiple | Increase | Decrease | ||||
Distribution Rate | Decrease | Increase | ||||
Implied Volatility | Increase | Decrease |
2 | For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
3 | Canadian Dollar. |
4 | Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual discount rate of 10%. |
5 | For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
6 | The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. 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. |
7 | For the year ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to a estimated recovery value approach. The investment was previously valued using a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for this investment. |
50 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments August 31, 2013 | BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
ALM Loan Funding (a)(b)(c): | |||||||||||||||
Series 2013-7R2A, Class B, 2.86%, 4/24/24 | USD | 600 | $ | 573,000 | |||||||||||
Series 2013-7RA, Class C, 3.71%, 4/24/24 | 1,680 | 1,585,584 | |||||||||||||
Series 2013-7RA, Class D, 5.26%, 4/24/24 | 725 | 665,913 | |||||||||||||
Total Asset-Backed Securities — 0.6% | 2,824,497 | ||||||||||||||
Common Stocks | Shares | ||||||||||||||
Auto Components — 0.8% | |||||||||||||||
Dana Holding Corp. | 9,558 | 226,520 | |||||||||||||
Delphi Automotive PLC | 13,700 | 753,774 | |||||||||||||
The Goodyear Tire & Rubber Co. (d) | 130,904 | 2,633,788 | |||||||||||||
3,614,082 | |||||||||||||||
Automobiles — 1.5% | |||||||||||||||
General Motors Co. (d) | 193,621 | 6,598,604 | |||||||||||||
Biotechnology — 0.0% | |||||||||||||||
Ironwood Pharmaceuticals, Inc. (d) | 11,018 | 128,360 | |||||||||||||
Capital Markets — 1.9% | |||||||||||||||
American Capital Ltd. (d) | 562,613 | 7,021,410 | |||||||||||||
E*Trade Financial Corp. (d) | 76,600 | 1,075,464 | |||||||||||||
Uranium Participation Corp. (d) | 54,600 | 251,928 | |||||||||||||
8,348,802 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
Advanced Emissions Solutions, Inc. (d) | 10,410 | 380,327 | |||||||||||||
Huntsman Corp. | 71,500 | 1,251,250 | |||||||||||||
1,631,577 | |||||||||||||||
Communications Equipment — 0.3% | |||||||||||||||
Loral Space & Communications Ltd. | 21,531 | 1,423,414 | |||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
Kcad Holdings I Ltd. | 461,295,490 | 2,329,542 | |||||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||||||
Broadview Networks Holdings, Inc. (d) | 54,600 | 343,980 | |||||||||||||
Level 3 Communications, Inc. (d) | 34,800 | 778,128 | |||||||||||||
1,122,108 | |||||||||||||||
Electrical Equipment — 0.0% | |||||||||||||||
Medis Technologies Ltd. (d) | 116,910 | 1 | |||||||||||||
Energy Equipment & Services — 0.9% | |||||||||||||||
Laricina Energy Ltd. (d) | 70,588 | 2,371,028 | |||||||||||||
Osum Oil Sands Corp. (d) | 124,000 | 1,491,579 | |||||||||||||
3,862,607 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||||||||
Caesars Entertainment Corp. (d) | 69,602 | 1,494,355 | |||||||||||||
Pinnacle Entertainment, Inc. (d) | 14,058 | 332,893 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (d) | 1,507,583 | 1,334,211 | |||||||||||||
3,161,459 | |||||||||||||||
Insurance — 0.7% | |||||||||||||||
American International Group, Inc. (d) | 64,081 | 2,977,203 | |||||||||||||
Media — 0.2% | |||||||||||||||
Cablevision Systems Corp., Class A | 50,740 | 899,620 | |||||||||||||
Clear Channel Outdoor Holdings, Inc., Class A (d) | 14,553 | 110,021 | |||||||||||||
1,009,641 | |||||||||||||||
Metals & Mining — 0.1% | |||||||||||||||
African Minerals Ltd. (d) | 72,301 | 213,474 | |||||||||||||
Peninsula Energy Ltd. (d) | 11,756,996 | 269,927 | |||||||||||||
483,401 | |||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | |||||||||||||||
African Petroleum Corp. Ltd. (d) | 307,100 | 32,800 | |||||||||||||
Paper & Forest Products — 0.9% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (a)(d) | 221,591 | 642,614 | |||||||||||||
Ainsworth Lumber Co. Ltd. (d) | 773,706 | 2,130,207 |
Comon Stocks | Shares | Value | |||||||||||||
Paper & Forest Products (concluded) | |||||||||||||||
NewPage Corp. (d) | 13,400 | $ | 1,072,000 | ||||||||||||
Western Forest Products, Inc. (d) | 78,039 | 105,208 | |||||||||||||
3,950,029 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | |||||||||||||||
SunPower Corp. (d) | 431 | 9,262 | |||||||||||||
Software — 0.2% | |||||||||||||||
HMH Holdings/EduMedia (d) | 31,742 | 956,234 | |||||||||||||
Trading Companies & Distributors — 0.3% | |||||||||||||||
HD Supply Holdings, Inc. (d) | 65,450 | 1,488,333 | |||||||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||||||
Crown Castle International Corp. (d) | 15,414 | 1,070,040 | |||||||||||||
SBA Communications Corp., Class A (d) | 15,414 | 1,156,050 | |||||||||||||
2,226,090 | |||||||||||||||
Total Common Stocks — 10.2% | 45,353,549 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a) | USD | 750 | 775,312 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 260 | 280,150 | |||||||||||||
7.13%, 3/15/21 | 410 | 442,800 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 1,274 | 1,375,920 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a) | 284 | 289,297 | |||||||||||||
3,163,479 | |||||||||||||||
Airlines — 2.3% | |||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a) | 623 | 620,882 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 1997-4, Class B, 6.90%, 7/02/18 | 265 | 273,762 | |||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 521 | 534,172 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 1,435 | 1,455,807 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 904 | 985,274 | |||||||||||||
Series 2009-1, Class B, 9.75%, 6/17/18 | 262 | 287,057 | |||||||||||||
Series 2010-1, Class B, 6.38%, 7/02/17 | 900 | 933,750 | |||||||||||||
US Airways Group, Inc., 6.13%, 6/01/18 | 510 | 462,825 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 715 | 754,812 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 650 | 675,487 | |||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 600 | 619,500 | |||||||||||||
Series 2012-2, Class C, 5.45%, 6/03/18 | 1,540 | 1,436,050 | |||||||||||||
Series 2013-1, Class B, 5.38%, 5/15/23 | 1,465 | 1,391,750 | |||||||||||||
10,431,128 | |||||||||||||||
Auto Components — 3.0% | |||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (a) | 1,046 | 1,074,765 | |||||||||||||
Brighthouse Group PLC, 7.88%, 5/15/18 | GBP | 100 | 156,520 | ||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (a) | USD | 300 | 303,150 | ||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 700 | 742,875 | |||||||||||||
Delphi Corp., 6.13%, 5/15/21 | 115 | 125,637 | |||||||||||||
GKN Holdings PLC, 5.38%, 9/19/22 | GBP | 310 | 489,045 | ||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | USD | 4,690 | 4,936,225 | ||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (a) | 595 | 658,962 | |||||||||||||
Jaguar Land Rover Automotive PLC (FKA Jaguar Land Rover PLC), 8.25%, 3/15/20 | GBP | 638 | 1,095,489 | ||||||||||||
Schaeffler Finance BV, 4.25%, 5/15/18 | EUR | 202 | 267,027 | ||||||||||||
Schaeffler Holding Finance BV (e): | |||||||||||||||
6.88%, 8/15/18 (a) | USD | 750 | 780,000 | ||||||||||||
6.88%, 8/15/18 | EUR | 520 | 706,158 | ||||||||||||
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18 | 438 | 587,682 |
ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Auto Components (concluded) | |||||||||||||||
Titan International, Inc.: | |||||||||||||||
7.88%, 10/01/17 | USD | 720 | $ | 763,200 | |||||||||||
7.88%, 10/01/17 (a) | 760 | 805,600 | |||||||||||||
13,492,335 | |||||||||||||||
Building Products — 1.5% | |||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a) | 715 | 693,550 | |||||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (a) | 623 | 623,000 | |||||||||||||
Building Materials Corp. of America (a): | |||||||||||||||
7.00%, 2/15/20 | 840 | 892,500 | |||||||||||||
6.75%, 5/01/21 | 1,220 | 1,293,200 | |||||||||||||
Cemex SAB de CV, 5.88%, 3/25/19 (a) | 355 | 336,362 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 1,174 | 1,218,025 | |||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 362 | 395,485 | |||||||||||||
USG Corp., 9.75%, 1/15/18 | 1,100 | 1,267,750 | |||||||||||||
6,719,872 | |||||||||||||||
Capital Markets — 0.3% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (a)(f)(g) | 380 | 515,850 | |||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (a) | 351 | 344,858 | |||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (a) | 326 | 321,110 | |||||||||||||
1,181,818 | |||||||||||||||
Chemicals — 3.0% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 167 | 154,893 | |||||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (a) | 645 | 815,712 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 1,132 | 1,160,300 | |||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 265 | 295,475 | |||||||||||||
INEOS Finance PLC, 7.50%, 5/01/20 (a) | 590 | 631,300 | |||||||||||||
INEOS Group Holdings SA: | |||||||||||||||
6.13%, 8/15/18 (a) | 470 | 454,725 | |||||||||||||
6.50%, 8/15/18 | EUR | 463 | 594,851 | ||||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19 | USD | 195 | 197,925 | ||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 (a) | 366 | 378,810 | |||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 4,050 | 4,491,563 | |||||||||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 | 145 | 144,275 | |||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 350 | 350,000 | |||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 532 | 784,708 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a) | USD | 264 | 255,420 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 335 | 369,337 | |||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,425 | 1,400,062 | |||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a) | 384 | 366,720 | |||||||||||||
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV: | |||||||||||||||
5.75%, 2/01/21 | EUR | 100 | 130,513 | ||||||||||||
7.38%, 5/01/21 (a) | USD | 550 | 562,375 | ||||||||||||
13,538,964 | |||||||||||||||
Commercial Banks — 1.1% | |||||||||||||||
CIT Group, Inc.: | |||||||||||||||
5.25%, 3/15/18 | 860 | 887,950 | |||||||||||||
6.63%, 4/01/18 (a) | 355 | 383,400 | |||||||||||||
5.50%, 2/15/19 (a) | 2,552 | 2,615,800 | |||||||||||||
6.00%, 4/01/36 | 850 | 813,650 | |||||||||||||
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (c) | EUR | 60 | 97,538 | ||||||||||||
4,798,338 | |||||||||||||||
Commercial Services & Supplies — 3.6% | |||||||||||||||
AA Bond Co. Ltd., 9.50%, 7/31/19 | GBP | 280 | 463,205 | ||||||||||||
ACCO Brands Corp., 6.75%, 4/30/20 | USD | 117 | 115,537 | ||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 431 | 454,705 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Commercial Services & Supplies (concluded) | |||||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (a) | USD | 1,005 | $ | 1,025,100 | |||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (a) | 840 | 884,531 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 134 | 138,442 | |||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 43 | 46,064 | |||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 | 782 | 791,775 | |||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 985 | 999,477 | |||||||||||||
EC Finance PLC, 9.75%, 8/01/17 | EUR | 625 | 900,291 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 2,080 | 2,316,704 | |||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | USD | 570 | 621,300 | ||||||||||||
Mustang Merger Corp., 8.50%, 8/15/21 (a) | 810 | 797,850 | |||||||||||||
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18 | 99 | 110,137 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
5.75%, 7/15/18 | 398 | 424,865 | |||||||||||||
7.38%, 5/15/20 | 520 | 560,300 | |||||||||||||
8.25%, 2/01/21 | 718 | 793,390 | |||||||||||||
7.63%, 4/15/22 | 3,359 | 3,610,925 | |||||||||||||
6.13%, 6/15/23 | 295 | 290,575 | |||||||||||||
Verisure Holding AB: | |||||||||||||||
8.75%, 9/01/18 | EUR | 163 | 235,895 | ||||||||||||
8.75%, 12/01/18 | 239 | 334,037 | |||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 210 | 227,325 | ||||||||||||
16,142,430 | |||||||||||||||
Communications Equipment — 1.8% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
8.88%, 1/01/20 (a) | 1,476 | 1,505,520 | |||||||||||||
6.50%, 1/15/28 | 90 | 68,400 | |||||||||||||
6.45%, 3/15/29 | 288 | 221,760 | |||||||||||||
Avaya, Inc. (a): | |||||||||||||||
7.00%, 4/01/19 | 420 | 384,300 | |||||||||||||
10.50%, 3/01/21 | 1,296 | 1,001,160 | |||||||||||||
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(e) | 740 | 732,600 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | |||||||||||||||
8.13%, 1/01/20 | 1,410 | 1,529,850 | |||||||||||||
10.13%, 7/01/20 | 2,285 | 2,593,475 | |||||||||||||
8,037,065 | |||||||||||||||
Computers & Peripherals — 0.1% | |||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (g) | 307 | 492,927 | |||||||||||||
Construction & Engineering — 0.4% | |||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a) | 300 | 243,000 | |||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 | 687 | 729,938 | |||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a) | 363 | 364,815 | |||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a) | 240 | 232,800 | |||||||||||||
1,570,553 | |||||||||||||||
Construction Materials — 3.4% | |||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 213 | 299,804 | ||||||||||||
HD Supply, Inc.: | |||||||||||||||
8.13%, 4/15/19 | USD | 5,183 | 5,766,088 | ||||||||||||
11.00%, 4/15/20 | 3,024 | 3,613,680 | |||||||||||||
7.50%, 7/15/20 (a) | 5,327 | 5,566,715 | |||||||||||||
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20 | EUR | 83 | 129,442 | ||||||||||||
15,375,729 | |||||||||||||||
Consumer Finance — 0.3% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 710 | 757,925 | ||||||||||||
IVS F. SpA, 7.13%, 4/01/20 | EUR | 330 | 435,054 | ||||||||||||
Springleaf Finance, 6.90%, 12/15/17 | USD | 160 | 163,000 | ||||||||||||
1,355,979 |
52 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Containers & Packaging — 1.5% | |||||||||||||||
Ardagh Packaging Finance PLC: | |||||||||||||||
7.38%, 10/15/17 | EUR | 200 | $ | 281,379 | |||||||||||
9.13%, 10/15/20 (a) | USD | 470 | 501,725 | ||||||||||||
9.13%, 10/15/20 (a) | 615 | 653,438 | |||||||||||||
7.00%, 11/15/20 (a) | 374 | 363,715 | |||||||||||||
5.00%, 11/15/22 | EUR | 360 | 459,455 | ||||||||||||
Berry Plastics Corp., 9.75%, 1/15/21 | USD | 280 | 324,100 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 882 | 1,165,742 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 26 | 27,300 | ||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (a) | EUR | 414 | 590,936 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 580 | 630,750 | ||||||||||||
OI European Group BV, 4.88%, 3/31/21 | EUR | 330 | 440,419 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | USD | 722 | 638,970 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (a) | 614 | 687,680 | |||||||||||||
6,765,609 | |||||||||||||||
Distributors — 0.5% | |||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 | 2,126 | 2,211,040 | |||||||||||||
Diversified Consumer Services — 1.0% | |||||||||||||||
APX Group, Inc. (a): | |||||||||||||||
6.38%, 12/01/19 | 1,527 | 1,439,198 | |||||||||||||
8.75%, 12/01/20 | 924 | 910,140 | |||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (a) | 1,930 | 2,084,400 | |||||||||||||
4,433,738 | |||||||||||||||
Diversified Financial Services — 5.5% | |||||||||||||||
Aircastle Ltd.: | |||||||||||||||
6.75%, 4/15/17 | 575 | 609,500 | |||||||||||||
6.25%, 12/01/19 | 500 | 521,250 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
7.50%, 12/31/13 | 700 | 712,250 | |||||||||||||
8.00%, 3/15/20 | 467 | 537,634 | |||||||||||||
7.50%, 9/15/20 | 317 | 356,625 | |||||||||||||
8.00%, 11/01/31 (h) | 5,380 | 6,187,000 | |||||||||||||
8.00%, 11/01/31 | 310 | 351,462 | |||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (a) | 166 | 155,625 | |||||||||||||
Co-Operative Group Ltd. (i): | |||||||||||||||
6.88%, 7/08/20 | GBP | 370 | 543,286 | ||||||||||||
7.50%, 7/08/26 | 100 | 144,897 | |||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | USD | 470 | 495,850 | ||||||||||||
7.25%, 10/15/21 | 1,345 | 1,371,900 | |||||||||||||
Gala Group Finance PLC, 8.88%, 9/01/18 | GBP | 802 | 1,323,646 | ||||||||||||
General Motors Financial Co., Inc.: | |||||||||||||||
6.75%, 6/01/18 | USD | 460 | 512,325 | ||||||||||||
4.25%, 5/15/23 (a) | 383 | 344,700 | |||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a) | 785 | 777,150 | |||||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a) | 902 | 886,215 | |||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 1,232 | 1,373,680 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.13%, 4/15/19 | 585 | 622,294 | |||||||||||||
9.00%, 4/15/19 | 900 | 929,250 | |||||||||||||
7.88%, 8/15/19 | 189 | 207,900 | |||||||||||||
9.88%, 8/15/19 | 716 | 760,750 | |||||||||||||
5.75%, 10/15/20 | 3,515 | 3,484,244 | |||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 1,186 | 1,366,865 | |||||||||||||
24,576,298 | |||||||||||||||
Diversified Telecommunication Services — 3.4% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 840 | 831,600 | |||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 2,128 | 2,085,440 | |||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a) | 655 | 602,600 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services (concluded) | |||||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 | USD | 530 | $ | 609,500 | |||||||||||
Frontier Communications Corp., 8.50%, 4/15/20 | 805 | 879,462 | |||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 | 495 | 528,413 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 2,374 | 2,510,505 | |||||||||||||
7.00%, 6/01/20 | 660 | 664,950 | |||||||||||||
8.63%, 7/15/20 | 2,690 | 2,878,300 | |||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | EUR | 444 | 588,573 | ||||||||||||
6.75%, 8/15/24 | 645 | 863,120 | |||||||||||||
tw telecom holdings, Inc.: | |||||||||||||||
5.38%, 10/01/22 (a) | USD | 400 | 381,000 | ||||||||||||
5.38%, 10/01/22 | 460 | 438,150 | |||||||||||||
Windstream Corp.: | |||||||||||||||
7.88%, 11/01/17 | 627 | 695,970 | |||||||||||||
7.75%, 10/15/20 | 246 | 251,535 | |||||||||||||
6.38%, 8/01/23 | 371 | 335,291 | |||||||||||||
15,144,409 | |||||||||||||||
Electric Utilities — 0.6% | |||||||||||||||
Homer City Generation LP (e): | |||||||||||||||
8.14%, 10/01/19 | 240 | 241,200 | |||||||||||||
8.73%, 10/01/26 | 345 | 350,175 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 361 | 378,905 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 1,250 | 1,649,148 | ||||||||||||
2,619,428 | |||||||||||||||
Electrical Equipment — 0.9% | |||||||||||||||
Belden, Inc.: | |||||||||||||||
5.50%, 9/01/22 (a) | 570 | 552,900 | |||||||||||||
5.50%, 4/15/23 | 190 | 241,069 | |||||||||||||
General Cable Corp., 5.75%, 10/01/22 (a) | USD | 950 | 914,375 | ||||||||||||
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a) | 428 | 445,120 | |||||||||||||
Rexel SA, 5.13%, 6/15/20 | EUR | 406 | 544,639 | ||||||||||||
Techem GmbH: | |||||||||||||||
6.13%, 10/01/19 (a) | 105 | 149,062 | |||||||||||||
6.13%, 10/01/19 | 644 | 914,246 | |||||||||||||
7.88%, 10/01/20 | 105 | 150,916 | |||||||||||||
Trionista TopCo GmbH, 6.88%, 4/30/21 | 112 | 149,511 | |||||||||||||
4,061,838 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | USD | 365 | 429,788 | ||||||||||||
Energy Equipment & Services — 3.8% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 215 | 230,050 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 518 | 521,885 | |||||||||||||
CGG (FKA Compagnie Generale de Geophysique, Veritas): | |||||||||||||||
7.75%, 5/15/17 | 395 | 404,875 | |||||||||||||
6.50%, 6/01/21 | 1,945 | 1,969,313 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 1,042 | 1,112,335 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 79 | 77,815 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 245 | 248,063 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 490 | 496,125 | |||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (a) | 2,213 | 2,251,727 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 1,035 | 1,091,925 | |||||||||||||
5.13%, 1/15/23 (a) | 530 | 579,025 | |||||||||||||
Parker Drilling Co., 7.50%, 8/01/20 (a) | 600 | 589,500 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 1,046 | 1,040,770 | |||||||||||||
6.25%, 11/15/21 | 1,034 | 997,810 | |||||||||||||
7.88%, 11/01/26 | 580 | 578,550 | |||||||||||||
4.75%, 12/15/66 (g) | 659 | 509,901 |
ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Energy Equipment & Services (concluded) | |||||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | USD | 120 | $ | 126,300 | |||||||||||
6.50%, 12/15/21 | 280 | 292,600 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a) | 364 | 364,000 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 2,107 | 2,122,802 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 425 | 423,938 | |||||||||||||
Trionista Holdco GmbH, 5.00%, 4/30/20 | EUR | 618 | 824,947 | ||||||||||||
16,854,256 | |||||||||||||||
Food & Staples Retailing — 0.7% | |||||||||||||||
Bakkavor Finance 2 PLC: | |||||||||||||||
8.25%, 2/15/18 | GBP | 502 | 811,013 | ||||||||||||
8.75%, 6/15/20 | 300 | 485,831 | |||||||||||||
R&R Ice Cream PLC, 9.25%, 5/15/18 (e) | EUR | 205 | 277,712 | ||||||||||||
Rite Aid Corp.: | |||||||||||||||
9.25%, 3/15/20 | 580 | 656,125 | |||||||||||||
6.75%, 6/15/21 (a) | USD | 636 | 643,950 | ||||||||||||
Zobele Holding SpA, 7.88%, 2/01/18 | EUR | 140 | 192,432 | ||||||||||||
3,067,063 | |||||||||||||||
Food Products — 0.9% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | USD | 180 | 198,000 | ||||||||||||
Findus Bondco SA: | |||||||||||||||
9.13%, 7/01/18 | EUR | 260 | 361,704 | ||||||||||||
9.50%, 7/01/18 | GBP | 139 | 225,985 | ||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a) | USD | 603 | 560,790 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 875 | 923,125 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 729 | 747,225 | |||||||||||||
Sun Merger Sub, Inc. (a): | |||||||||||||||
5.25%, 8/01/18 | 857 | 860,214 | |||||||||||||
5.88%, 8/01/21 | 269 | 268,327 | |||||||||||||
4,145,370 | |||||||||||||||
Health Care Equipment & Supplies — 2.4% | |||||||||||||||
Biomet, Inc.: | |||||||||||||||
6.50%, 8/01/20 | 2,779 | 2,848,475 | |||||||||||||
6.50%, 10/01/20 | 3,220 | 3,211,950 | |||||||||||||
DJO Finance LLC/DJO Finance Corp.: | |||||||||||||||
8.75%, 3/15/18 | 586 | 634,345 | |||||||||||||
7.75%, 4/15/18 | 160 | 157,200 | |||||||||||||
9.88%, 4/15/18 | 884 | 928,200 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a) | 440 | 448,800 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a) | 850 | 946,687 | |||||||||||||
IDH Finance PLC: | |||||||||||||||
6.00%, 12/01/18 | GBP | 258 | 398,823 | ||||||||||||
6.00%, 12/01/18 (a) | 100 | 154,583 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 | USD | 355 | 369,644 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 455 | 477,750 | |||||||||||||
10,576,457 | |||||||||||||||
Health Care Providers & Services — 5.7% | |||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 880 | 941,600 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | 1,180 | 1,206,550 | |||||||||||||
8.00%, 11/15/19 | 167 | 175,350 | |||||||||||||
7.13%, 7/15/20 | 1,066 | 1,076,660 | |||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 522 | 734,745 | ||||||||||||
Crown Newco 3 PLC: | |||||||||||||||
7.00%, 2/15/18 | GBP | 100 | 158,224 | ||||||||||||
7.00%, 2/15/18 (a) | 575 | 909,790 | |||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 1,376 | 1,362,240 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 1,128 | 1,130,820 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | USD | 205 | $ | 221,400 | |||||||||||
6.50%, 2/15/20 | 2,288 | 2,456,740 | |||||||||||||
7.88%, 2/15/20 | 430 | 463,863 | |||||||||||||
7.25%, 9/15/20 | 2,140 | 2,329,925 | |||||||||||||
5.88%, 3/15/22 | 900 | 929,250 | |||||||||||||
4.75%, 5/01/23 | 610 | 569,588 | |||||||||||||
Health Management Associates, Inc., 7.38%, 1/15/20 | 320 | 357,600 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 | 1,901 | 1,981,792 | |||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 137 | 143,508 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 970 | 989,400 | |||||||||||||
Omnicare, Inc., 3.75%, 4/01/42 (g) | 447 | 619,374 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 535 | 561,750 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 1,826 | 1,928,712 | |||||||||||||
6.75%, 2/01/20 | 810 | 793,800 | |||||||||||||
4.38%, 10/01/21 (a) | 1,173 | 1,064,498 | |||||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19 | 1,671 | 1,787,970 | |||||||||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 | GBP | 280 | 430,879 | ||||||||||||
25,326,028 | |||||||||||||||
Health Care Technology — 1.0% | |||||||||||||||
IMS Health, Inc. (a): | |||||||||||||||
12.50%, 3/01/18 | USD | 3,480 | 4,106,400 | ||||||||||||
6.00%, 11/01/20 | 221 | 226,801 | |||||||||||||
4,333,201 | |||||||||||||||
Hotels, Restaurants & Leisure — 3.2% | |||||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (a) | 510 | 517,650 | |||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 714 | 957,813 | ||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 2,089 | 2,318,790 | ||||||||||||
Enterprise Inns PLC, 6.50%, 12/06/18 | GBP | 501 | 778,341 | ||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 670 | 907,643 | ||||||||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | 665 | 909,659 | |||||||||||||
Isle of Capri Casinos, Inc.: | |||||||||||||||
7.75%, 3/15/19 | USD | 80 | 82,600 | ||||||||||||
5.88%, 3/15/21 | 337 | 311,725 | |||||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (a) | 441 | 432,180 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 1,044 | 957,870 | |||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e) | 431 | 454,863 | |||||||||||||
Playa Resorts Holding BV, 8.00%, 8/15/20 (a) | 150 | 153,000 | |||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (a) | 794 | 792,015 | |||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 138 | 126,960 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 918 | 867,510 | |||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 | 2,176 | 2,241,280 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (a): | |||||||||||||||
6.40%, 3/01/16 (c) | 117 | 113,025 | |||||||||||||
11.88%, 9/01/16 | 52 | 50,740 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(j) | 515 | — | |||||||||||||
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21 | GBP | 500 | 780,662 | ||||||||||||
Vougeot Bidco PLC, 7.88%, 7/15/20 | 261 | 415,595 | |||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22 | USD | 117 | 115,537 | ||||||||||||
14,285,458 | |||||||||||||||
Household Durables — 2.6% | |||||||||||||||
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18 | EUR | 206 | 281,108 | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a) | USD | 352 | 348,480 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 55 | 57,956 |
54 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Household Durables (concluded) | |||||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a) | USD | 635 | $ | 649,288 | |||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a) | 447 | 441,413 | |||||||||||||
Jarden Corp., 7.50%, 1/15/20 | EUR | 455 | 634,461 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a) | USD | 1,465 | 1,545,575 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 447 | 477,731 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 290 | 259,550 | |||||||||||||
RPG Byty Sro, 6.75%, 5/01/20 | EUR | 393 | 501,229 | ||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | USD | 525 | 544,688 | ||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 264 | 389,041 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 2,185 | 2,594,687 | ||||||||||||
8.38%, 1/15/21 | 1,510 | 1,691,200 | |||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a): | |||||||||||||||
7.75%, 4/15/20 | 460 | 502,550 | |||||||||||||
5.25%, 4/15/21 | 413 | 390,285 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 | 470 | 498,200 | |||||||||||||
11,807,442 | |||||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 | EUR | 100 | 138,794 | ||||||||||||
7.50%, 4/15/18 (a) | 220 | 305,348 | |||||||||||||
9.00%, 4/15/19 | 316 | 433,303 | |||||||||||||
Spectrum Brands Escrow Corp. (a): | |||||||||||||||
6.38%, 11/15/20 | USD | 592 | 612,720 | ||||||||||||
6.63%, 11/15/22 | 385 | 394,625 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 1,470 | 1,617,000 | |||||||||||||
6.75%, 3/15/20 | 148 | 156,140 | |||||||||||||
3,657,930 | |||||||||||||||
Independent Power Producers & Energy Traders — 4.0% | |||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (a) | 72 | 76,320 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||||||||||||||
6.88%, 8/15/17 (a) | 641 | 648,211 | |||||||||||||
11.25%, 12/01/18 (a)(e) | 1,102 | 865,293 | |||||||||||||
10.00%, 12/01/20 | 5,180 | 5,458,425 | |||||||||||||
10.00%, 12/01/20 (a) | 2,810 | 2,954,012 | |||||||||||||
12.25%, 3/01/22 (a) | 1,902 | 2,115,975 | |||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B, 9.24%, 7/02/17 | 140 | 143,676 | |||||||||||||
Series C, 9.68%, 7/02/26 | 688 | 729,280 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 765 | 851,063 | |||||||||||||
7.38%, 5/01/22 | 575 | 606,625 | |||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 | 2,439 | 2,701,192 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 513 | 489,915 | |||||||||||||
17,639,987 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (a) | 710 | 710,000 | |||||||||||||
Insurance — 0.8% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a) | 1,731 | 1,769,947 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (a) | 346 | 361,570 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 1,015 | 1,045,450 | |||||||||||||
TMF Group Holding BV, 9.88%, 12/01/19 | EUR | 270 | 372,925 | ||||||||||||
3,549,892 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Internet Software & Services — 0.3% | |||||||||||||||
Bankrate, Inc., 6.13%, 8/15/18 (a) | USD | 449 | $ | 443,949 | |||||||||||
Cerved Technologies SpA: | |||||||||||||||
6.38%, 1/15/20 | EUR | 201 | 268,361 | ||||||||||||
8.00%, 1/15/21 | 100 | 132,495 | |||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (a) | USD | 435 | 406,725 | ||||||||||||
1,251,530 | |||||||||||||||
IT Services — 4.7% | |||||||||||||||
Ceridian Corp.: | |||||||||||||||
11.25%, 11/15/15 | 195 | 197,438 | |||||||||||||
8.88%, 7/15/19 (a) | 2,595 | 2,919,375 | |||||||||||||
11.00%, 3/15/21 (a) | 4,025 | 4,648,875 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 860 | 907,300 | |||||||||||||
First Data Corp. (a): | |||||||||||||||
7.38%, 6/15/19 | 3,698 | 3,836,675 | |||||||||||||
8.88%, 8/15/20 | 830 | 896,400 | |||||||||||||
6.75%, 11/01/20 | 2,079 | 2,125,777 | |||||||||||||
10.63%, 6/15/21 | 1,138 | 1,130,887 | |||||||||||||
11.75%, 8/15/21 | 552 | 516,120 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 840 | 892,500 | |||||||||||||
6.63%, 11/01/19 | 2,304 | 2,338,560 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (a) | 759 | 690,690 | |||||||||||||
21,100,597 | |||||||||||||||
Machinery — 0.4% | |||||||||||||||
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a) | 500 | 530,000 | |||||||||||||
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a) | 144 | 148,680 | |||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 566 | 562,462 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 275 | 304,563 | |||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a) | 281 | 274,678 | |||||||||||||
1,820,383 | |||||||||||||||
Media — 9.9% | |||||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 350 | 386,750 | |||||||||||||
4.75%, 12/15/22 | 449 | 420,938 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 855 | 816,525 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||||||||||||
5.25%, 9/30/22 | 915 | 834,938 | |||||||||||||
5.13%, 2/15/23 | 1,150 | 1,032,125 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(j) | 1,026 | 751,545 | |||||||||||||
Checkout Holding Corp., 9.92%, 11/15/15 (a)(f) | 710 | 573,325 | |||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 391 | 365,585 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
9.00%, 12/15/19 | 1,041 | 1,001,962 | |||||||||||||
9.00%, 3/01/21 | 1,884 | 1,789,800 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., Series B: | |||||||||||||||
7.63%, 3/15/20 | 1,490 | 1,493,725 | |||||||||||||
6.50%, 11/15/22 | 2,959 | 2,959,000 | |||||||||||||
6.50%, 11/15/22 | 959 | 951,807 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
4.25%, 4/01/18 | 810 | 797,850 | |||||||||||||
5.13%, 5/01/20 | 1,382 | 1,337,085 | |||||||||||||
5.88%, 7/15/22 | 1,575 | 1,543,500 | |||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a) | 274 | 281,535 | |||||||||||||
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a) | 1,410 | 1,529,850 | |||||||||||||
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a) | 1,271 | 1,178,852 | �� | ||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a) | 1,950 | 2,018,250 | |||||||||||||
Live Nation Entertainment, Inc. (a): | |||||||||||||||
8.13%, 5/15/18 | 1,170 | 1,278,237 | |||||||||||||
7.00%, 9/01/20 | 298 | 309,920 | |||||||||||||
Lynx I Corp., 6.00%, 4/15/21 | GBP | 1,876 | 2,914,506 | ||||||||||||
The McClatchy Co., 9.00%, 12/15/22 | USD | 858 | 905,190 |
ANNUAL REPORT | AUGUST 31, 2013 | 55 |
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 | |||||||||||||
Media (concluded) | |||||||||||||||
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a) | USD | 1,442 | $ | 1,445,605 | |||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 812 | 879,558 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a) | 607 | 614,588 | |||||||||||||
Nara Cable Funding Ltd.: | |||||||||||||||
8.88%, 12/01/18 | EUR | 190 | 264,485 | ||||||||||||
8.88%, 12/01/18 (a) | USD | 200 | 204,500 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co.: | |||||||||||||||
11.63%, 2/01/14 | 147 | 153,071 | |||||||||||||
7.75%, 10/15/18 | 1,825 | 1,984,687 | |||||||||||||
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (a) | GBP | 324 | 517,166 | ||||||||||||
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a) | USD | 281 | 282,405 | ||||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a) | 405 | 400,950 | |||||||||||||
Sirius XM Radio, Inc. (a): | |||||||||||||||
4.25%, 5/15/20 | 474 | 433,710 | |||||||||||||
5.75%, 8/01/21 | 550 | 539,000 | |||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,335 | 1,335,000 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | |||||||||||||||
7.50%, 3/15/19 | EUR | 1,313 | 1,878,491 | ||||||||||||
5.50%, 1/15/23 (a) | USD | 795 | 723,450 | ||||||||||||
5.63%, 4/15/23 | EUR | 104 | 133,328 | ||||||||||||
Unitymedia KabelBW GmbH, 9.50%, 3/15/21 | 548 | 821,859 | |||||||||||||
Univision Communications, Inc. (a): | |||||||||||||||
8.50%, 5/15/21 | USD | 445 | 481,713 | ||||||||||||
6.75%, 9/15/22 | 184 | 190,900 | |||||||||||||
5.13%, 5/15/23 | 1,084 | 1,023,025 | |||||||||||||
UPCB Finance II Ltd.: | |||||||||||||||
6.38%, 7/01/20 (a) | EUR | 1,273 | 1,764,649 | ||||||||||||
6.38%, 7/01/20 | 114 | 158,028 | |||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a) | USD | 555 | 574,425 | ||||||||||||
44,277,393 | |||||||||||||||
Metals & Mining — 3.6% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | 470 | 515,825 | |||||||||||||
4.25%, 8/05/15 | 453 | 466,590 | |||||||||||||
4.25%, 3/01/16 | 200 | 204,000 | |||||||||||||
5.00%, 2/25/17 | 568 | 580,780 | |||||||||||||
6.13%, 6/01/18 | 505 | 520,150 | |||||||||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 | EUR | 610 | 822,331 | ||||||||||||
FMG Resources August 2006 Property Ltd. (a): | |||||||||||||||
6.38%, 2/01/16 | 1,554 | 1,593,157 | |||||||||||||
6.00%, 4/01/17 | USD | 2,099 | 2,135,732 | ||||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a) | 460 | 501,400 | |||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 345 | 384,675 | |||||||||||||
New Gold, Inc., 6.25%, 11/15/22 (a) | 465 | 445,237 | |||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,760 | 5,176,500 | |||||||||||||
Peninsula Energy Ltd., 11.00%, 12/14/14 | 900 | 900,000 | |||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (a) | 295 | 301,638 | |||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 | 375 | 390,938 | |||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 650 | 640,250 | |||||||||||||
Vedanta Resources PLC, 8.25%, 6/07/21 (a) | 435 | 408,900 | |||||||||||||
15,988,103 | |||||||||||||||
Multiline Retail — 0.4% | |||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 1,225 | 1,286,383 | |||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 466 | 475,577 | |||||||||||||
1,761,960 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels — 9.1% | |||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: | |||||||||||||||
5.88%, 4/15/21 | USD | 456 | $ | 468,540 | |||||||||||
6.13%, 7/15/22 | 425 | 436,688 | |||||||||||||
4.88%, 5/15/23 | 684 | 636,120 | |||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (g) | 1,381 | 1,266,204 | |||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a) | 294 | 296,940 | |||||||||||||
Aurora USA Oil & Gas, Inc. (a): | |||||||||||||||
9.88%, 2/15/17 | 1,005 | 1,060,275 | |||||||||||||
7.50%, 4/01/20 | 510 | 504,900 | |||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 131 | 133,293 | |||||||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22 | 400 | 396,000 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 367 | 387,185 | |||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 340 | 340,850 | |||||||||||||
Chesapeake Energy Corp.: | |||||||||||||||
7.25%, 12/15/18 | 190 | 215,175 | |||||||||||||
6.63%, 8/15/20 | 125 | 134,063 | |||||||||||||
6.88%, 11/15/20 | 420 | 454,650 | |||||||||||||
6.13%, 2/15/21 | 130 | 135,200 | |||||||||||||
Concho Resources, Inc.: | |||||||||||||||
7.00%, 1/15/21 | 130 | 142,675 | |||||||||||||
6.50%, 1/15/22 | 458 | 485,480 | |||||||||||||
5.50%, 10/01/22 | 561 | 548,377 | |||||||||||||
5.50%, 4/01/23 | 113 | 109,610 | |||||||||||||
CONSOL Energy, Inc.: | |||||||||||||||
8.00%, 4/01/17 | 647 | 682,585 | |||||||||||||
8.25%, 4/01/20 | 485 | 514,100 | |||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 575 | 629,625 | |||||||||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18 | 235 | 249,688 | |||||||||||||
Crown Oil Partners IV LP, 15.00%, 3/07/15 | 967 | 1,006,734 | |||||||||||||
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a) | 526 | 520,740 | |||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 1,187 | 1,059,397 | |||||||||||||
Energy XXI Gulf Coast, Inc.: | |||||||||||||||
9.25%, 12/15/17 | 725 | 806,562 | |||||||||||||
7.75%, 6/15/19 | 830 | 863,200 | |||||||||||||
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20 | 325 | 357,500 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 535 | 568,437 | |||||||||||||
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 | 220 | 220,000 | |||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 | 645 | 646,612 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a) | 408 | 434,520 | |||||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20 | 245 | 252,350 | |||||||||||||
Kodiak Oil & Gas Corp.: | |||||||||||||||
8.13%, 12/01/19 | 540 | 591,300 | |||||||||||||
5.50%, 2/01/22 (a) | 249 | 240,285 | |||||||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a) | 235 | 223,250 | |||||||||||||
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a) | 397 | 377,150 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||||||||
6.50%, 5/15/19 | 66 | 62,040 | |||||||||||||
6.25%, 11/01/19 (a) | 1,105 | 1,016,600 | |||||||||||||
8.63%, 4/15/20 | 1,202 | 1,208,010 | |||||||||||||
7.75%, 2/01/21 | 100 | 97,000 | |||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.: | |||||||||||||||
6.25%, 6/15/22 | 253 | 264,385 | |||||||||||||
4.50%, 7/15/23 | 380 | 345,800 | |||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 305 | 294,325 |
56 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | USD | 1,205 | $ | 1,262,237 | |||||||||||
Northern Oil & Gas, Inc., 8.00%, 6/01/20 | 480 | 487,200 | |||||||||||||
Oasis Petroleum, Inc.: | |||||||||||||||
7.25%, 2/01/19 | 315 | 333,900 | |||||||||||||
6.50%, 11/01/21 | 450 | 472,500 | |||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 650 | 625,625 | |||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (a) | 625 | 603,125 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 149 | 152,353 | |||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 325 | 341,250 | |||||||||||||
Penn Virginia Corp., 8.50%, 5/01/20 | 308 | 308,000 | |||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 | 537 | 493,938 | |||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a) | 901 | 986,595 | |||||||||||||
Range Resources Corp.: | |||||||||||||||
8.00%, 5/15/19 | 600 | 645,000 | |||||||||||||
6.75%, 8/01/20 | 177 | 190,718 | |||||||||||||
5.75%, 6/01/21 | 1,506 | 1,577,535 | |||||||||||||
5.00%, 8/15/22 | 481 | 470,177 | |||||||||||||
5.00%, 3/15/23 | 247 | 241,443 | |||||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18 | 174 | 186,615 | |||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a) | 194 | 194,000 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 411 | 396,615 | |||||||||||||
Sabine Pass Liquefaction LLC (a): | |||||||||||||||
5.63%, 2/01/21 | 1,800 | 1,719,000 | |||||||||||||
5.63%, 4/15/23 | 521 | 483,227 | |||||||||||||
Sabine Pass LNG LP: | |||||||||||||||
7.50%, 11/30/16 | 2,675 | 2,945,844 | |||||||||||||
6.50%, 11/01/20 (a) | 505 | 507,525 | |||||||||||||
SandRidge Energy, Inc.: | |||||||||||||||
8.75%, 1/15/20 | 48 | 50,160 | |||||||||||||
7.50%, 2/15/23 | 461 | 446,018 | |||||||||||||
SESI LLC, 6.38%, 5/01/19 | 318 | 334,695 | |||||||||||||
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a) | 152 | 155,800 | |||||||||||||
SM Energy Co.: | |||||||||||||||
6.63%, 2/15/19 | 330 | 344,850 | |||||||||||||
6.50%, 11/15/21 | 405 | 425,250 | |||||||||||||
6.50%, 1/01/23 | 475 | 489,250 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a) | 436 | 442,540 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a) | 240 | 239,400 | |||||||||||||
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20 | 420 | 425,250 | |||||||||||||
40,662,055 | |||||||||||||||
Paper & Forest Products — 0.5% | |||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a) | 491 | 518,005 | |||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 180 | 193,050 | |||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 90 | 94,725 | |||||||||||||
Clearwater Paper Corp.: | |||||||||||||||
7.13%, 11/01/18 | 885 | 951,375 | |||||||||||||
4.50%, 2/01/23 | 70 | 63,350 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (d)(j) | 3,090 | — | |||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a) | 200 | 209,000 | |||||||||||||
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a) | 405 | 406,013 | |||||||||||||
2,435,518 | |||||||||||||||
Pharmaceuticals — 2.2% | |||||||||||||||
Capsugel Finance Co. SCA: | |||||||||||||||
9.88%, 8/01/19 | EUR | 105 | 153,344 | ||||||||||||
9.88%, 8/01/19 (a) | 300 | 438,127 | |||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 1,048 | 1,184,240 | ||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Pharmaceuticals (concluded) | |||||||||||||||
Valeant Pharmaceuticals International (a): | |||||||||||||||
6.88%, 12/01/18 | USD | 1,398 | $ | 1,481,880 | |||||||||||
6.38%, 10/15/20 | 419 | 425,809 | |||||||||||||
6.75%, 8/15/21 | 701 | 722,030 | |||||||||||||
VPII Escrow Corp. (a): | |||||||||||||||
6.75%, 8/15/18 | 3,779 | 4,001,016 | |||||||||||||
7.50%, 7/15/21 | 228 | 243,960 | |||||||||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 945 | 1,032,413 | |||||||||||||
9,682,819 | |||||||||||||||
Professional Services — 0.3% | |||||||||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 311 | 400,757 | ||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 | USD | 790 | 839,375 | ||||||||||||
1,240,132 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a) | 436 | 445,810 | |||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 1,578 | 1,652,955 | |||||||||||||
5.63%, 3/01/23 | 397 | 369,210 | |||||||||||||
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(g) | 190 | 258,875 | |||||||||||||
iStar Financial, Inc., 4.88%, 7/01/18 | 628 | 609,160 | |||||||||||||
3,336,010 | |||||||||||||||
Real Estate Management & Development — 2.4% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 520 | 552,500 | |||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a) | 1,330 | 1,429,750 | |||||||||||||
Realogy Corp. (a): | |||||||||||||||
7.88%, 2/15/19 | 3,610 | 3,925,875 | |||||||||||||
7.63%, 1/15/20 | 785 | 879,200 | |||||||||||||
9.00%, 1/15/20 | 510 | 589,050 | |||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a) | 521 | 517,093 | |||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 | 2,125 | 2,332,187 | |||||||||||||
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a) | 695 | 691,525 | |||||||||||||
10,917,180 | |||||||||||||||
Road & Rail — 0.7% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 855 | 923,400 | |||||||||||||
6.75%, 4/15/19 | 450 | 479,812 | |||||||||||||
5.88%, 10/15/20 | 100 | 102,625 | |||||||||||||
7.38%, 1/15/21 | 675 | 729,000 | |||||||||||||
6.25%, 10/15/22 | 410 | 417,175 | |||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a) | 305 | 301,188 | |||||||||||||
2,953,200 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||||||||||||
NXP BV/NXP Funding LLC (a): | |||||||||||||||
3.75%, 6/01/18 | 660 | 637,725 | |||||||||||||
9.75%, 8/01/18 | 100 | 110,500 | |||||||||||||
5.75%, 2/15/21 | 525 | 525,000 | |||||||||||||
1,273,225 | |||||||||||||||
Software — 1.9% | |||||||||||||||
BMC Software Finance, Inc., 8.13%, 7/15/21 (a) | 1,110 | 1,123,875 | |||||||||||||
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(e) | 517 | 524,755 | |||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 650 | 599,625 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(e) | 454 | 464,215 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 3,180 | 3,537,750 |
ANNUAL REPORT | AUGUST 31, 2013 | 57 |
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 | |||||||||||||
Software (concluded) | |||||||||||||||
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a) | USD | 229 | $ | 236,443 | |||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 1,445 | 1,376,362 | |||||||||||||
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a) | 666 | 722,610 | |||||||||||||
8,585,635 | |||||||||||||||
Speciality Retail — 3.1% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 565 | 624,325 | |||||||||||||
Claire’s Stores, Inc. (a): | |||||||||||||||
9.00%, 3/15/19 | 1,348 | 1,501,335 | |||||||||||||
7.75%, 6/01/20 | 510 | 507,450 | |||||||||||||
CST Brands, Inc., 5.00%, 5/01/23 (a) | 579 | 550,050 | |||||||||||||
House of Fraser Funding PLC: | |||||||||||||||
8.88%, 8/15/18 (a) | GBP | 439 | 720,083 | ||||||||||||
8.88%, 8/15/18 | 322 | 528,170 | |||||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 1,255 | 1,482,469 | ||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 | EUR | 455 | 608,928 | ||||||||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(e) | USD | 901 | 901,000 | ||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 362 | 389,603 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(e) | 334 | 343,185 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (a) | 1,559 | 1,670,079 | |||||||||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(e) | 438 | 433,072 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 | 498 | 493,020 | |||||||||||||
QVC, Inc. (a): | |||||||||||||||
7.50%, 10/01/19 | 970 | 1,045,736 | |||||||||||||
7.38%, 10/15/20 | 455 | 494,379 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc.: | |||||||||||||||
6.88%, 11/15/19 | 840 | 915,600 | |||||||||||||
5.75%, 6/01/22 | 788 | 788,985 | |||||||||||||
13,997,469 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 675 | 717,188 | |||||||||||||
PVH Corp., 4.50%, 12/15/22 | 390 | 361,238 | |||||||||||||
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a) | 184 | 189,750 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a) | 773 | 763,337 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (a) | 388 | 389,940 | |||||||||||||
2,421,453 | |||||||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||||||
MGIC Investment Corp., 2.00%, 4/01/20 (g) | 78 | 98,085 | |||||||||||||
Radian Group, Inc. (g): | |||||||||||||||
3.00%, 11/15/17 | 92 | 127,363 | |||||||||||||
2.25%, 3/01/19 | 110 | 157,300 | |||||||||||||
382,748 | |||||||||||||||
Trading Companies & Distributors — 0.6% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 920 | 956,800 | |||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (a) | 765 | 808,987 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a): | |||||||||||||||
Series 2012-1, Class A, 5.13%, 11/30/24 | 761 | 749,779 | |||||||||||||
Series 2012-1, Class B, 6.50%, 5/30/21 | 312 | 314,516 | |||||||||||||
2,830,082 | |||||||||||||||
Transportation Infrastructure — 0.5% | |||||||||||||||
Aguila 3 SA (a): | |||||||||||||||
7.88%, 1/31/18 | 665 | 696,588 | |||||||||||||
Series 144, 7.88%, 1/31/18 | 490 | 513,275 | |||||||||||||
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a) | 1,135 | 1,163,375 | |||||||||||||
2,373,238 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services — 4.7% | |||||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | USD | 1,732 | $ | 1,636,740 | |||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 1,520 | 1,611,200 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (a) | 2,576 | 2,485,840 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 812 | 842,450 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 539 | 412,335 | |||||||||||||
Phones4u Finance PLC: | |||||||||||||||
9.50%, 4/01/18 (a) | GBP | 570 | 914,246 | ||||||||||||
9.50%, 4/01/18 | 200 | 320,788 | |||||||||||||
Softbank Corp., 4.50%, 4/15/20 (a) | USD | 1,205 | 1,139,255 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 1,563 | 1,410,607 | |||||||||||||
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a): | |||||||||||||||
9.00%, 11/15/18 | 5,566 | 6,498,305 | |||||||||||||
7.00%, 3/01/20 | 2,922 | 3,141,150 | |||||||||||||
T-Mobile USA, Inc., 5.25%, 9/01/18 (a) | 575 | 580,750 | |||||||||||||
20,993,666 | |||||||||||||||
Total Corporate Bonds — 108.0% | 482,780,245 | ||||||||||||||
Floating Rate Loan Interests (c) | |||||||||||||||
Airlines — 1.0% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 646 | 647,622 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.30%, 3/10/17 | 986 | 912,967 | |||||||||||||
2.30%, 3/10/17 | 988 | 914,274 | |||||||||||||
1.68%, 9/10/18 | 829 | 733,411 | |||||||||||||
1.68%, 9/10/18 | 823 | 728,544 | |||||||||||||
1.68%, 9/10/18 | 836 | 739,902 | |||||||||||||
4,676,720 | |||||||||||||||
Auto Components — 1.2% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.12% – 2.13%, 12/29/14 | 3,210 | 3,125,473 | |||||||||||||
Term Loan C, 2.12–2.13%, 12/28/15 | 1,506 | 1,466,593 | |||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 950 | 951,472 | |||||||||||||
5,543,538 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | 652 | 646,159 | |||||||||||||
Capital Markets — 0.8% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 2,183 | 2,189,768 | |||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 550 | 547,597 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
2nd Lien Term Loan, 6.50%, 2/28/19 | 525 | 521,939 | |||||||||||||
Term Loan, 4.18%, 5/15/17 | 205 | 204,044 | |||||||||||||
3,463,348 | |||||||||||||||
Chemicals — 0.2% | |||||||||||||||
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20 | 165 | 166,650 | |||||||||||||
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 | 455 | 453,721 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 80 | 80,319 | |||||||||||||
700,690 | |||||||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 652 | 651,826 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 400 | 401,252 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 635 | 632,790 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 400 | 400,376 | |||||||||||||
2,086,244 |
58 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Communications Equipment — 1.3% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
Term Loan C, 5.75%, 1/30/19 | USD | 2,164 | $ | 2,172,933 | |||||||||||
Term Loan D, 6.25%, 1/30/19 | EUR | 841 | 1,113,710 | ||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 194 | 183,354 | ||||||||||||
Zayo Group LLC/Zayo Capital Inc., Term Loan B, 4.50%, 7/02/19 | 2,256 | 2,262,164 | |||||||||||||
5,732,161 | |||||||||||||||
Construction Materials — 0.3% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 1,364 | 1,366,691 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19 | 410 | 407,950 | |||||||||||||
Diversified Consumer Services — 0.3% | |||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 222 | 220,774 | |||||||||||||
ServiceMaster Co.: | |||||||||||||||
Extended Term Loan, 4.44%, 1/31/17 | 255 | 247,705 | |||||||||||||
Term Loan, 4.25%, 1/31/17 | 706 | 684,903 | |||||||||||||
1,153,382 | |||||||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2016 Term Loan B, 4.00%, 1/15/20 | 610 | 609,494 | |||||||||||||
2019 Term Loan B, 4.00%, 8/01/19 | 420 | 419,214 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 740 | 739,223 | |||||||||||||
1,767,931 | |||||||||||||||
Energy Equipment & Services — 0.1% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 280 | 278,132 | |||||||||||||
Food & Staples Retailing — 0.0% | |||||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 165 | 169,074 | |||||||||||||
Food Products — 0.1% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 328 | 331,121 | |||||||||||||
Health Care Equipment & Supplies — 0.3% | |||||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 1,165 | 1,160,924 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 431 | 426,344 | |||||||||||||
1,587,268 | |||||||||||||||
Health Care Providers & Services — 0.2% | |||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17 | 366 | 376,070 | |||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 576 | 561,564 | |||||||||||||
937,634 | |||||||||||||||
Hotels, Restaurants & Leisure — 4.3% | |||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 705 | 703,682 | |||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 675 | 675,837 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 1,850 | 1,845,375 | |||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 11,050 | 10,514,075 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 833 | 829,985 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 860 | 862,141 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 1,005 | 1,007,935 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 | 1,431 | 1,440,960 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Hotels, Restaurants & Leisure (concluded) | |||||||||||||||
Travelport LLC/Travelport Holdings, Inc.: | |||||||||||||||
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e) | USD | 682 | $ | 680,908 | |||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 138 | 142,984 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 450 | 454,275 | |||||||||||||
19,158,157 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 890 | 893,346 | |||||||||||||
Insurance — 0.1% | |||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 517 | 519,019 | |||||||||||||
IT Services — 0.4% | |||||||||||||||
Ceridian Corp., Term Loan B, 4.43%, 5/09/17 | 475 | 474,506 | |||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18 | 1,220 | 1,207,117 | |||||||||||||
1,681,623 | |||||||||||||||
Life Sciences Tools & Services — 0.1% | |||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 318 | 319,982 | |||||||||||||
Machinery — 1.3% | |||||||||||||||
Gardner Denver, Inc., Term Loan: | |||||||||||||||
4.25%, 7/30/20 | 1,898 | 1,887,654 | |||||||||||||
4.75%, 7/30/20 | EUR | 2,081 | 2,742,528 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20 | USD | 1,106 | 1,093,917 | ||||||||||||
5,724,099 | |||||||||||||||
Media — 1.6% | |||||||||||||||
Cengage Learning Acquisitions, Inc.: | |||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 | 492 | 351,284 | |||||||||||||
Tranche 1 Incremental, 6.00%, 7/03/14 | 2,513 | 1,774,823 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
Term Loan B, 3.83%, 1/29/16 | 205 | 191,034 | |||||||||||||
Term Loan C, 3.83%, 1/29/16 | 156 | 143,071 | |||||||||||||
Term Loan D, 6.93%, 1/30/19 | 2,310 | 2,118,507 | |||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 670 | 672,120 | |||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 74 | 71,348 | |||||||||||||
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20 | 915 | 915,760 | |||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | 345 | 353,625 | |||||||||||||
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 385 | 383,574 | |||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20 | 185 | 184,070 | |||||||||||||
7,159,216 | |||||||||||||||
Metals & Mining — 0.8% | |||||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 1,377 | 1,407,522 | |||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 2,192 | 2,199,538 | |||||||||||||
3,607,060 | |||||||||||||||
Multiline Retail — 0.5% | |||||||||||||||
HEMA Holding BV, Mezzanine, 8.63%, 7/05/17 | EUR | 1,821 | 2,166,297 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | USD | 3,435 | 3,497,963 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,058 | 1,058,197 | |||||||||||||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 360 | 361,577 | |||||||||||||
Vantage Drilling Co.: | |||||||||||||||
Term Loan, 6.25%, 10/26/17 | 1,330 | 1,339,383 | |||||||||||||
Term Loan B, 5.75%, 3/22/19 | 564 | 567,814 | |||||||||||||
6,824,934 |
ANNUAL REPORT | AUGUST 31, 2013 | 59 |
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 | |||||||||||||
Pharmaceuticals — 0.7% | |||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | USD | 1,463 | $ | 1,465,249 | |||||||||||
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19 | 1,102 | 1,095,839 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 482 | 481,677 | |||||||||||||
3,042,765 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 1,492 | 1,491,620 | |||||||||||||
Real Estate Management & Development — 0.2% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 138 | 138,343 | |||||||||||||
Extended Term Loan, 4.50%, 3/05/20 | 718 | 722,150 | |||||||||||||
860,493 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 | 421 | 419,801 | |||||||||||||
Software — 0.4% | |||||||||||||||
BMC Software, Inc., Term Loan, 5.00%, 8/07/20 | 215 | 214,553 | |||||||||||||
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20 | 90 | 91,350 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 783 | 787,564 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 795 | 821,831 | |||||||||||||
1,915,298 | |||||||||||||||
Specialty Retail — 0.3% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 831 | 835,178 | |||||||||||||
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | 405 | 403,911 | |||||||||||||
1,239,089 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,728 | 1,654,680 | |||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 938 | 946,558 | |||||||||||||
Total Floating Rate Loan Interests — 20.3% | 90,472,080 | ||||||||||||||
Investment Companies — 0.3% | Shares | ||||||||||||||
Exchange-Traded Fund — 0.3% | |||||||||||||||
iShares MSCI EAFE Index Fund (l) | 18,790 | 1,111,804 | |||||||||||||
Other Interests (d)(m) | Beneficial Interest (000) | ||||||||||||||
Chemicals — 0.0% | |||||||||||||||
Wellman Holdings, Inc., Litigation Trust Certificate | USD | 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 | 16,304 | |||||||||||||
16,317 | |||||||||||||||
Total Other Interests — 0.0% | 16,375 |
Preferred Securities | Par (000) | Value | |||||||||||||
Capital Trusts — 0.0% | |||||||||||||||
Media — 0.0% | |||||||||||||||
NBCUniversal Enterprise, Inc., 5.25% (a)(k) | 100 | $ | 97,921 | ||||||||||||
Preferred Stocks — 1.6% | Shares | ||||||||||||||
Auto Components — 1.6% | |||||||||||||||
Dana Holding Corp., 4.00% (a)(g) | 40,610 | 7,134,669 | |||||||||||||
Trust Preferreds — 1.4% | |||||||||||||||
Diversified Financial Services — 1.4% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 235,590 | 6,221,564 | |||||||||||||
Total Preferred Securities — 3.0% | 13,454,154 | ||||||||||||||
Warrants (n) | |||||||||||||||
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 | 33,934 | |||||||||||||
(Expires 9/30/14) | 3,995 | 7,343 | |||||||||||||
41,277 | |||||||||||||||
Metals & Mining — 0.0% | |||||||||||||||
Peninsula Energy Ltd. (Expires 12/31/17) | 3,611,304 | 24,750 | |||||||||||||
Peninsula Minerals Ltd. (Expires 12/31/15) (d) | 6,113,638 | 59,856 | |||||||||||||
84,606 | |||||||||||||||
Software — 0.0% | |||||||||||||||
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% | 125,884 | ||||||||||||||
Total Long-Term Investments (Cost — $632,362,664) — 142.4% | 636,138,588 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(o) | 1,737,587 | 1,737,587 | |||||||||||||
Total Short-Term Securities (Cost — $1,737,587) — 0.4% | 1,737,587 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $1,707,056) — 0.4% | 1,975,830 | ||||||||||||||
Total Investments Before Options Written (Cost — $635,807,307) — 143.2% | 639,852,005 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $432,862) — (0.1)% | (457,150 | ) | |||||||||||||
Total Investments, Net of Options Written — 143.1% | 639,394,855 | ||||||||||||||
Liabilities in Excess of Other Assets — (43.1)% | (192,548,255 | ) | |||||||||||||
Net Assets — 100.0% | $ | 446,846,600 |
60 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
Notes to Consolidated 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) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
JPMorgan Securities LLC | $ | 2,824,497 | — |
(c) | Variable rate security. Rate shown is as of report date. | |||||
(d) | Non-income producing security. | |||||
(e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(f) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(g) | Convertible security. | |||||
(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) | Security is perpetual in nature and has no stated maturity date. | |||||
(l) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Shares Purchased | | Shares Sold | | Shares Held at August 31, 2013 | | Value at August 31, 2013 | | Income | | Realized Gain | ||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 1,737,587 | 1 | — | 1,737,587 | $ | 1,737,587 | $ | 1,305 | $ | 110 | |||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF2 | — | 41,177 | (41,177 | ) | — | — | $ | 19,727 | $ | (56,794 | ) | |||||||||||||||||||
iShares MSCI EAFE Index Fund | — | 18,790 | — | 18,790 | $ | 1,111,804 | — | — |
1 | Represents net shares purchased. |
2 | No longer held by the Trust of report date. |
(m) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||||
(n) | Warrants entitle the Trust to purchase a predetermined number of shares of comon 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) | 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 Fund 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 August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
(19) | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 4,175,250 | $ (270) | ||||||||||||||||||||
(50) | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 5,983,985 | 7,356 | ||||||||||||||||||||
(33) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 4,101,281 | (2,114) | ||||||||||||||||||||
Total | $4,972 |
ANNUAL REPORT | AUGUST 31, 2013 | 61 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD | 471,701 | EUR | 357,000 | Credit Suisse International | 9/03/13 | $ | (129 | ) | ||||||
USD | 360,796 | GBP | 233,000 | Bank of America N.A. | 9/03/13 | (284 | ) | |||||||
EUR | 357,000 | USD | 471,734 | Credit Suisse International | 9/25/13 | 127 | ||||||||
USD | 2,752,440 | EUR | 2,062,000 | Barclays Bank PLC | 9/25/13 | 27,010 | ||||||||
USD | 33,736,691 | EUR | 25,108,000 | UBS AG | 9/25/13 | 550,419 | ||||||||
GBP | 233,000 | USD | 360,661 | Bank of America N.A. | 10/22/13 | 286 | ||||||||
GBP | 78,747 | USD | 122,640 | State Street Bank and Trust Co. | 10/22/13 | (651 | ) | |||||||
USD | 711,464 | AUD | 781,000 | UBS AG | 10/22/13 | 18,546 | ||||||||
USD | 6,991,098 | CAD | 7,275,000 | JPMorgan Chase Bank N.A. | 10/22/13 | 92,454 | ||||||||
USD | 209,560 | GBP | 139,000 | Bank of America N.A. | 10/22/13 | (5,768 | ) | |||||||
USD | 237,232 | GBP | 153,000 | Bank of America N.A. | 10/22/13 | 216 | ||||||||
USD | 103,870 | GBP | 68,000 | BNP Paribas S.A. | 10/22/13 | (1,471 | ) | |||||||
USD | 166,946 | GBP | 110,000 | Credit Suisse International | 10/22/13 | (3,458 | ) | |||||||
USD | 14,847,817 | GBP | 9,846,000 | Deutsche Bank AG | 10/22/13 | (404,873 | ) | |||||||
USD | 241,788 | GBP | 159,000 | Deutsche Bank AG | 10/22/13 | (4,523 | ) | |||||||
USD | 159,723 | GBP | 102,700 | Deutsche Bank AG | 10/22/13 | 628 | ||||||||
Total | $ | 268,529 |
• | Exchange-traded options purchased as of August 31, 2013 were as follows: |
Description | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 165.00 | 9/21/13 | 460 | $ | 154,560 | ||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 164.00 | 9/21/13 | 1,540 | 436,590 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 161.00 | 10/19/13 | 1,766 | 529,800 | |||||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 164.00 | 10/19/13 | 2,055 | 854,880 | |||||||||||||||||||||
Total | $ | 1,975,830 |
• | Exchange-traded options written as of August 31, 2013 were as follows: |
Description | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 156.00 | 9/21/13 | 1,540 | $ | (107,800 | ) | |||||||||||||||||||
SPDR S&P 500 ETF Trust | Put | USD | 156.00 | 10/19/13 | 2,055 | (349,350 | ) | ||||||||||||||||||||
Total | $ | (457,150 | ) |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Depreciation | | ||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 102 | $ 25,774 | $31,912 | $ | (6,138 | ) | |||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 102 | 25,773 | 31,423 | (5,649 | ) | ||||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 102 | 25,774 | 28,472 | (2,699 | ) | ||||||||||||||||||||||||||
Total | $ 77,321 | $ 91,807 | $ | (14,486 | ) |
62 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | | Premiums Received | | Unrealized Appreciation (Depreciation) | | |||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 102 | $ | (10,937 | ) | $ | (15,948 | ) | $ | 5,011 | |||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 102 | (10,938 | ) | (15,969 | ) | 5,031 | ||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 102 | (10,938 | ) | (13,076 | ) | 2,138 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 422 | (80,416 | ) | (121,538 | ) | 41,122 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 117 | (22,296 | ) | (29,212 | ) | 6,916 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 170 | (38,185 | ) | (40,628 | ) | 2,443 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 170 | (38,185 | ) | (40,628 | ) | 2,443 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 506 | (113,770 | ) | (115,376 | ) | 1,606 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 113 | (25,514 | ) | (24,606 | ) | (908 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 558 | (125,616 | ) | (97,825 | ) | (27,791 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/16 | CCC- | USD | 66 | (14,744 | ) | (13,427 | ) | (1,317 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 345 | (89,775 | ) | (86,388 | ) | (3,387 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 660 | (171,950 | ) | (160,247 | ) | (11,703 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 1,184 | (308,561 | ) | (291,554 | ) | (17,007 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 6/20/16 | CCC- | USD | 190 | (49,579 | ) | (38,916 | ) | (10,663 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 312 | (110,535 | ) | (86,307 | ) | (24,228 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | $372 | (131,747 | ) | (115,607 | ) | (16,140 | ) | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 217 | (76,801 | ) | (63,777 | ) | (13,024 | ) | |||||||||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B | USD | 720 | 117,139 | — | 117,139 | ||||||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 2,400 | 490,360 | — | 490,360 | ||||||||||||||||
Level 3 Communications, Inc. | 5.00% | Goldman Sachs International | 6/20/19 | B | USD | 1,600 | 33,229 | (142,456 | ) | 175,685 | |||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 120 | (13,649 | ) | (11,286 | ) | (2,363 | ) | |||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 235 | (26,729 | ) | (22,247 | ) | (4,482 | ) | |||||||||||||
Total | $ | (830,137 | ) | $ | (1,547,018 | ) | $ | 716,881 |
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 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements. |
ANNUAL REPORT | AUGUST 31, 2013 | 63 |
Consolidated Schedule of Investments (continued) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | — | $ | 2,824,497 | $ | 2,824,497 | ||||||||||||
Common Stocks | $ | 34,328,959 | $ | 3,416,460 | 7,608,130 | 45,353,549 | ||||||||||||
Corporate Bonds | — | 479,106,330 | 3,673,915 | 482,780,245 | ||||||||||||||
Floating Rate Loan Interests | — | 77,399,502 | 13,072,578 | 90,472,080 | ||||||||||||||
Investment Companies | 1,111,804 | — | — | 1,111,804 | ||||||||||||||
Other Interests | 16,304 | — | 71 | 16,375 | ||||||||||||||
Preferred Securities | 6,221,564 | 7,232,590 | — | 13,454,154 | ||||||||||||||
Warrants | 59,856 | — | 66,028 | 125,884 | ||||||||||||||
Short-Term Securities | 1,737,587 | — | — | 1,737,587 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Equity Contracts | 1,975,830 | — | — | 1,975,830 | ||||||||||||||
Unfunded Loan Commitments | — | 12,443 | — | 12,443 | ||||||||||||||
Total | $ | 45,451,904 | $ | 567,167,325 | $ | 27,245,219 | $ | 639,864,448 | ||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 242,395 | $ | 607,499 | $ | 849,894 | |||||||||||
Foreign currency exchange contracts | — | 689,686 | — | 689,686 | ||||||||||||||
Interest rate contracts | $ | 7,356 | — | — | 7,356 | |||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (147,499 | ) | — | (147,499 | ) | ||||||||||||
Equity contracts | (457,150 | ) | — | — | (457,150 | ) | ||||||||||||
Foreign currency exchange contracts | (413 | ) | (420,744 | ) | — | (421,157 | ) | |||||||||||
Interest rate contracts | (2,384 | ) | — | — | (2,384 | ) | ||||||||||||
Total | $ | (452,591 | ) | $ | 363,838 | $ | 607,499 | $ | 518,746 | |||||||||
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 August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: | ||||||||||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 238 | — | — | $ | 238 | ||||||||||||
Cash pledged for financial futures contracts | 125,000 | — | — | 125,000 | ||||||||||||||
Foreign currency at value | 14,923 | — | — | 14,923 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for over-the-counter swaps | — | $ | (700,000 | ) | — | (700,000 | ) | |||||||||||
Loan payable | — | (191,000,000 | ) | — | (191,000,000 | ) | ||||||||||||
Total | $ | 140,161 | $ | (191,700,000 | ) | — | $ | (191,559,839 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| | Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | 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 3 | — | 351 | 2,269,625 | 1,729,618 | — | — | 3,999,594 | |||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (3,067,208 | ) | — | — | (3,067,208 | ) | |||||||||||||||||||||
Accrued discounts/premiums | — | — | 5,469 | 95,293 | (1 | ) | — | 100,761 | ||||||||||||||||||||||
Net realized gain (loss) | — | (9,246 | ) | 11,516 | 237,407 | — | (6 | ) | 239,671 | |||||||||||||||||||||
Net change in unrealized appreciation/ depreciation2 | — | (219,911 | ) | (1,958,951 | ) | 940,806 | 1 | 64,305 | (1,173,750 | ) | ||||||||||||||||||||
Purchases | $ | 2,824,497 | 831,800 | 2,273,154 | 9,973,485 | — | 1,728 | 15,904,664 | ||||||||||||||||||||||
Sales | — | (4 | ) | (3,851,819 | ) | (16,297,892 | ) | — | ��� | (20,149,715 | ) | |||||||||||||||||||
Closing Balance, as of August 31, 2013 | $ | 2,824,497 | $ | 7,608,130 | $ | 3,673,915 | $ | 13,072,578 | $ | 71 | $ | 66,028 | $ | 27,245,219 |
2 | 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 August 31, 2013 was $(2,118,337). |
64 | ANNUAL REPORT | AUGUST 31, 2013 |
Consolidated Schedule of Investments (concluded) | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
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 3 | — | |||||
Transfers out of Level 3 | — | |||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation1 | (261,857 | ) | ||||
Purchases | — | |||||
Issues2 | — | |||||
Sales | — | |||||
Settlements3 | — | |||||
Closing Balance, as of August 31, 2013 | $ | 607,499 |
1 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $401,720. |
2 | Issues represent upfront cash received on certain derivative financial instruments. |
3 | 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 and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values derived based upon unadjusted third party pricing information. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments and derivative financial instruments. The value of Level 3 investments and derivative financial instruments derived using third party pricing information is $17,401,330. |
| | Value | | Valuation Techniques | | Unobservable Inputs4 | | Range of Unobservable Inputs Utilized | ||||||||||
Assets: | ||||||||||||||||||
Common Stocks5 | $ | 3,862,607 | Market Comparable Companies | 2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple | CAD6 $0.35x — $0.53x | |||||||||||||
PV-10 Multiple7 | 0.13x — 0.21x | |||||||||||||||||
343,980 | Market Comparable Companies | Forecasted EBITDA Multiple | 3.50x | |||||||||||||||
2,329,542 | Market Comparable Companies | Offshore EBITDA Multiple | 8.25x | |||||||||||||||
Onshore EBITDA Multiple | 4.75x | |||||||||||||||||
Implied Last 12 Months EBITDA Multiple | 6.95x | |||||||||||||||||
Corporate Bonds8 | 1,006,734 | Discounted Cash Flow | Yield | 12.00% | ||||||||||||||
1,335,000 | Market Comparable Companies | Last 12 Months EBITDA Multiple | 10.00x | |||||||||||||||
900,000 | Cost9 | N/A | — | |||||||||||||||
Warrant10 | 41,276 | Estimated Recovery Value | Distribution Rate | $1.36 — $1.63 | ||||||||||||||
24,750 | Black-Scholes | Implied Volatility | 67.605% | |||||||||||||||
Total | $ | 9,843,889 |
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 | ||||||
2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple | Increase | Decrease | ||||||||
PV-10 Multiple | Increase | Decrease | ||||||||
Forecasted EBITDA Multiple | Increase | Decrease | ||||||||
Offshore EBITDA Multiple | Increase | Decrease | ||||||||
Onshore EBITDA Multiple | Increase | Decrease | ||||||||
Implied Last 12 Months EBITDA Multiple | Increase | Decrease | ||||||||
Yield | Decrease | Increase | ||||||||
Last 12 Months EBITDA Multiple | Increase | Decrease | ||||||||
Distribution Rate | Decrease | Increase | ||||||||
Implied Volatility | Increase | Decrease |
5 | For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
6 | Canadian Dollar. |
7 | Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual discount rate of 100%. |
8 | For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
9 | The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. 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. |
10 | For the year ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to a estimated recovery value approach. The investment was previously valued using a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for this investment. |
ANNUAL REPORT | AUGUST 31, 2013 | 65 |
Schedule of Investments August 31, 2013 | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Common Stocks (a) | Shares | Value | |||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
Kcad Holdings I Ltd. | 128,137,634 | $ | 647,095 | ||||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||||||
Broadview Networks Holdings, Inc. | 15,600 | 98,280 | |||||||||||||
Hotels, Restaurants & Leisure — 0.3% | |||||||||||||||
Travelport LLC/Travelport Holdings, Inc. | 444,679 | 393,541 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
NewPage Corp. | 3,980 | 318,400 | |||||||||||||
Software — 0.2% | |||||||||||||||
HMH Holdings/EduMedia | 9,409 | 283,440 | |||||||||||||
Total Common Stocks — 1.4% | 1,740,756 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 210 | 217,088 | ||||||||||||
Huntington Ingalls Industries, Inc.: | |||||||||||||||
6.88%, 3/15/18 | 100 | 107,750 | |||||||||||||
7.13%, 3/15/21 | 125 | 135,000 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 398 | 429,840 | |||||||||||||
889,678 | |||||||||||||||
Air Freight & Logistics — 0.3% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | 158 | 158,482 | |||||||||||||
Series 2, 12.38%, 8/16/15 | 161 | 160,622 | |||||||||||||
319,104 | |||||||||||||||
Airlines — 2.0% | |||||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 149 | 152,621 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 405 | 410,873 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 7/02/24 | 261 | 284,735 | |||||||||||||
Series 2009-1, Class B, 9.75%, 6/17/18 | 87 | 94,783 | |||||||||||||
US Airways Group, Inc., 6.13%, 6/01/18 | 140 | 127,050 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 207 | 218,684 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 186 | 193,293 | |||||||||||||
Series 2012-2, Class B, 6.75%, 7/02/17 | 150 | 154,875 | |||||||||||||
Series 2012-2, Class C, 5.45%, 6/03/18 | 445 | 414,962 | |||||||||||||
Series 2013-1, Class B, 5.38%, 12/03/22 | 405 | 384,750 | |||||||||||||
2,436,626 | |||||||||||||||
Auto Components — 2.2% | |||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (b) | 290 | 297,975 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 200 | 212,250 | |||||||||||||
Delphi Corp., 6.13%, 5/15/21 | 35 | 38,238 | |||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 1,510 | 1,589,275 | |||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (b) | 155 | 171,662 | |||||||||||||
Titan International, Inc.: | |||||||||||||||
7.88%, 10/01/17 (b) | 210 | 222,600 | |||||||||||||
7.88%, 10/01/17 | 190 | 201,400 | |||||||||||||
2,733,400 | |||||||||||||||
Automobiles — 0.3% | |||||||||||||||
Ford Motor Co., 4.25%, 11/15/16 (c) | 160 | 305,600 | |||||||||||||
Building Products — 1.3% | |||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b) | 200 | 194,000 | |||||||||||||
Building Materials Corp. of America, 7.00%, 2/15/20 (b) | 430 | 456,875 | |||||||||||||
Cemex SAB de CV, 5.88%, 3/25/19 (b) | 200 | 189,500 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 330 | 342,375 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Building Products (concluded) | |||||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | USD | 100 | $ | 109,250 | |||||||||||
USG Corp., 9.75%, 1/15/18 | 315 | 363,037 | |||||||||||||
1,655,037 | |||||||||||||||
Capital Markets — 0.5% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (c)(d) | 295 | 400,462 | |||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (b) | 97 | 95,303 | |||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (b) | 94 | 92,590 | |||||||||||||
588,355 | |||||||||||||||
Chemicals — 2.6% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 76 | 70,490 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 360 | 369,000 | |||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 80 | 89,200 | |||||||||||||
INEOS Finance PLC, 7.50%, 5/01/20 (b) | 195 | 208,650 | |||||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19 | 55 | 55,825 | |||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 (b) | 101 | 104,535 | |||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 1,210 | 1,341,924 | |||||||||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 | 40 | 39,800 | |||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 100 | 100,000 | |||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 148 | 217,753 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b) | USD | 74 | 71,595 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 100 | 110,250 | |||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 375 | 368,437 | |||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 118 | 112,690 | |||||||||||||
3,260,149 | |||||||||||||||
Commercial Banks — 2.0% | |||||||||||||||
CIT Group, Inc.: | |||||||||||||||
5.25%, 3/15/18 | 1,440 | 1,486,800 | |||||||||||||
6.63%, 4/01/18 (b) | 215 | 232,200 | |||||||||||||
5.50%, 2/15/19 (b) | 718 | 735,950 | |||||||||||||
2,454,950 | |||||||||||||||
Commercial Services & Supplies — 3.6% | |||||||||||||||
ACCO Brands Corp., 6.75%, 4/30/20 | 34 | 33,575 | |||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | 122 | 128,710 | |||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (b) | 282 | 287,640 | |||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) | 230 | 242,193 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 152 | 157,320 | |||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 9 | 9,641 | |||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 | 220 | 222,750 | |||||||||||||
Covanta Holding Corp.: | |||||||||||||||
3.25%, 6/01/14 (c) | 152 | 205,580 | |||||||||||||
6.38%, 10/01/22 | 280 | 284,115 | |||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 615 | 684,987 | |||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 165 | 179,850 | |||||||||||||
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18 | 27 | 30,038 | |||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
5.75%, 7/15/18 | 114 | 121,695 | |||||||||||||
7.38%, 5/15/20 | 150 | 161,625 | |||||||||||||
8.25%, 2/01/21 | 210 | 232,050 | |||||||||||||
7.63%, 4/15/22 | 1,177 | 1,265,275 | |||||||||||||
6.13%, 6/15/23 | 85 | 83,725 | |||||||||||||
West Corp., 8.63%, 10/01/18 | 65 | 70,362 | |||||||||||||
4,401,131 | |||||||||||||||
Communications Equipment — 1.7% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
8.88%, 1/01/20 (b) | 275 | 280,500 | |||||||||||||
6.45%, 3/15/29 | 330 | 254,100 |
66 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Communications Equipment (concluded) | |||||||||||||||
Avaya, Inc. (b): | |||||||||||||||
7.00%, 4/01/19 | USD | 115 | $ | 105,225 | |||||||||||
10.50%, 3/01/21 | 373 | 288,142 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | |||||||||||||||
8.13%, 1/01/20 | 430 | 466,550 | |||||||||||||
10.13%, 7/01/20 | 650 | 737,750 | |||||||||||||
2,132,267 | |||||||||||||||
Computers & Peripherals — 0.1% | |||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (c) | 89 | 142,901 | |||||||||||||
Construction & Engineering — 0.3% | |||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | 90 | 72,900 | |||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 | 193 | 205,063 | |||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (b) | 67 | 64,990 | |||||||||||||
342,953 | |||||||||||||||
Construction Materials — 3.9% | |||||||||||||||
HD Supply, Inc.: | |||||||||||||||
8.13%, 4/15/19 | 2,079 | 2,312,887 | |||||||||||||
11.00%, 4/15/20 | 777 | 928,515 | |||||||||||||
7.50%, 7/15/20 (b) | 1,443 | 1,507,935 | |||||||||||||
4,749,337 | |||||||||||||||
Consumer Finance — 1.0% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | 220 | 234,850 | |||||||||||||
Ford Motor Credit Co. LLC: | |||||||||||||||
12.00%, 5/15/15 | 330 | 384,910 | |||||||||||||
8.13%, 1/15/20 | 500 | 607,923 | |||||||||||||
1,227,683 | |||||||||||||||
Containers & Packaging — 1.0% | |||||||||||||||
Ardagh Packaging Finance PLC (b): | |||||||||||||||
9.13%, 10/15/20 | 200 | 213,500 | |||||||||||||
9.13%, 10/15/20 | 200 | 212,500 | |||||||||||||
Berry Plastics Corp., 9.75%, 1/15/21 | 85 | 98,388 | |||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | 7 | 7,350 | |||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 120 | 171,286 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 175 | 190,312 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 203 | 179,655 | |||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (b) | 176 | 197,120 | |||||||||||||
1,270,111 | |||||||||||||||
Distributors — 0.5% | |||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 | 605 | 629,200 | |||||||||||||
Diversified Consumer Services — 1.0% | |||||||||||||||
APX Group, Inc. (b): | |||||||||||||||
6.38%, 12/01/19 | 432 | 407,160 | |||||||||||||
8.75%, 12/01/20 | 261 | 257,085 | |||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) | 550 | 594,000 | |||||||||||||
1,258,245 | |||||||||||||||
Diversified Financial Services — 5.4% | |||||||||||||||
Aircastle Ltd.: | |||||||||||||||
6.75%, 4/15/17 | 160 | 169,600 | |||||||||||||
6.25%, 12/01/19 | 140 | 145,950 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
7.50%, 12/31/13 | 330 | 335,775 | |||||||||||||
8.00%, 3/15/20 | 130 | 149,663 | |||||||||||||
7.50%, 9/15/20 | 88 | 99,000 | |||||||||||||
8.00%, 11/01/31 | 1,502 | 1,727,300 | |||||||||||||
8.00%, 11/01/31 | 86 | 97,503 | |||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (b) | 49 | 45,938 | |||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | 146 | 154,030 | |||||||||||||
7.25%, 10/15/21 | 384 | 391,680 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Financial Services (concluded) | |||||||||||||||
General Motors Financial Co., Inc.: | |||||||||||||||
6.75%, 6/01/18 | USD | 140 | $ | 155,925 | |||||||||||
4.25%, 5/15/23 (b) | 109 | 98,100 | |||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b) | 210 | 207,900 | |||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 378 | 421,470 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.13%, 4/15/19 | 115 | 122,331 | |||||||||||||
9.00%, 4/15/19 | 315 | 325,237 | |||||||||||||
7.88%, 8/15/19 | 150 | 165,000 | |||||||||||||
9.88%, 8/15/19 | 275 | 292,187 | |||||||||||||
5.75%, 10/15/20 | 1,205 | 1,194,456 | |||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 340 | 391,850 | |||||||||||||
6,690,895 | |||||||||||||||
Diversified Telecommunication Services — 3.7% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 240 | 237,600 | |||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 589 | 577,220 | |||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (b) | 180 | 165,600 | |||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 | 150 | 172,500 | |||||||||||||
Frontier Communications Corp., 8.50%, 4/15/20 | 225 | 245,812 | |||||||||||||
Level 3 Communications, Inc.: | |||||||||||||||
6.50%, 10/01/16 (c) | 176 | 244,090 | |||||||||||||
8.88%, 6/01/19 | 145 | 154,788 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 967 | 1,022,602 | |||||||||||||
7.00%, 6/01/20 | 192 | 193,440 | |||||||||||||
8.63%, 7/15/20 | 844 | 903,080 | |||||||||||||
tw telecom holdings, Inc.: | |||||||||||||||
5.38%, 10/01/22 | 130 | 123,825 | |||||||||||||
5.38%, 10/01/22 (b) | 110 | 104,775 | |||||||||||||
Windstream Corp.: | |||||||||||||||
7.88%, 11/01/17 | 163 | 180,930 | |||||||||||||
7.75%, 10/15/20 | 69 | 70,553 | |||||||||||||
6.38%, 8/01/23 | 105 | 94,894 | |||||||||||||
4,491,709 | |||||||||||||||
Electric Utilities — 0.4% | |||||||||||||||
Homer City Generation LP (e): | |||||||||||||||
8.14%, 10/01/19 | 65 | 65,325 | |||||||||||||
8.73%, 10/01/26 | 95 | 96,425 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 104 | 108,760 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 200 | 263,864 | ||||||||||||
534,374 | |||||||||||||||
Electrical Equipment — 0.5% | |||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (b) | USD | 160 | 155,200 | ||||||||||||
General Cable Corp.: | |||||||||||||||
5.75%, 10/01/22 (b) | 270 | 259,875 | |||||||||||||
4.50%, 11/15/29 (c)(f) | 200 | 219,125 | |||||||||||||
634,200 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||||||||
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19 | 125 | 137,344 | |||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | 105 | 123,637 | |||||||||||||
260,981 | |||||||||||||||
Energy Equipment & Services — 3.0% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 65 | 69,550 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 185 | 186,387 | |||||||||||||
CGG (FKA Compagnie Generale de Geophysique Veritas): | |||||||||||||||
7.75%, 5/15/17 | 170 | 174,250 | |||||||||||||
6.50%, 6/01/21 | 595 | 602,437 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 355 | 378,962 |
ANNUAL REPORT | AUGUST 31, 2013 | 67 |
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) | |||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | USD | 22 | $ | 21,670 | |||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 70 | 70,875 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 140 | 141,750 | |||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (b) | 233 | 237,077 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 291 | 307,005 | |||||||||||||
5.13%, 1/15/23 (b) | 145 | 158,413 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 86 | 85,570 | |||||||||||||
6.25%, 11/15/21 | 509 | 491,185 | |||||||||||||
7.88%, 11/01/26 | 170 | 169,575 | |||||||||||||
4.75%, 12/15/41 (c) | 185 | 143,144 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 35 | 36,838 | |||||||||||||
6.50%, 12/15/21 | 80 | 83,600 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b) | 200 | 200,000 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 119 | 118,703 | |||||||||||||
3,676,991 | |||||||||||||||
Food & Staples Retailing — 0.3% | |||||||||||||||
Rite Aid Corp.: | |||||||||||||||
9.25%, 3/15/20 | 165 | 186,656 | |||||||||||||
6.75%, 6/15/21 (b) | 176 | 178,200 | |||||||||||||
364,856 | |||||||||||||||
Food Products — 0.6% | |||||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (b) | 168 | 156,240 | |||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 255 | 269,025 | |||||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 205 | 210,125 | |||||||||||||
Sun Merger Sub, Inc., 5.25%, 8/01/18 (b) | 90 | 90,338 | |||||||||||||
725,728 | |||||||||||||||
Health Care Equipment & Supplies — 3.6% | |||||||||||||||
Biomet, Inc.: | |||||||||||||||
6.50%, 8/01/20 | 1,962 | 2,011,050 | |||||||||||||
6.50%, 10/01/20 | 972 | 969,570 | |||||||||||||
DJO Finance LLC/DJO Finance Corp.: | |||||||||||||||
8.75%, 3/15/18 | 168 | 181,860 | |||||||||||||
7.75%, 4/15/18 | 50 | 49,125 | |||||||||||||
9.88%, 4/15/18 | 244 | 256,200 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b) | 120 | 122,400 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 505 | 562,444 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 | 102 | 106,207 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 130 | 136,500 | |||||||||||||
4,395,356 | |||||||||||||||
Health Care Providers & Services — 6.4% | |||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 255 | 272,850 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | 395 | 403,888 | |||||||||||||
8.00%, 11/15/19 | 48 | 50,400 | |||||||||||||
7.13%, 7/15/20 | 299 | 301,990 | |||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 200 | 281,511 | ||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 (b) | GBP | 200 | 316,449 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 393 | 389,070 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 360 | 360,900 | |||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | 60 | 64,800 | |||||||||||||
6.50%, 2/15/20 | 682 | 732,297 | |||||||||||||
7.88%, 2/15/20 | 40 | 43,150 | |||||||||||||
7.25%, 9/15/20 | 940 | 1,023,425 | |||||||||||||
5.88%, 3/15/22 | 180 | 185,850 | |||||||||||||
4.75%, 5/01/23 | 360 | 336,150 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
Health Management Associates, Inc., 7.38%, 1/15/20 | USD | 90 | $ | 100,575 | |||||||||||
Hologic, Inc., 6.25%, 8/01/20 | 541 | 563,992 | |||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 42 | 43,995 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (b) | 280 | 285,600 | |||||||||||||
Omnicare, Inc., 3.75%, 4/01/42 (c) | 243 | 336,707 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 155 | 162,750 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 522 | 551,363 | |||||||||||||
6.75%, 2/01/20 | 230 | 225,400 | |||||||||||||
4.38%, 10/01/21 (b) | 327 | 296,753 | |||||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19 | 467 | 499,690 | |||||||||||||
7,829,555 | |||||||||||||||
Health Care Technology — 1.1% | |||||||||||||||
IMS Health, Inc. (b): | |||||||||||||||
12.50%, 3/01/18 | 1,125 | 1,327,500 | |||||||||||||
6.00%, 11/01/20 | 63 | 64,654 | |||||||||||||
1,392,154 | |||||||||||||||
Hotels, Restaurants & Leisure — 1.9% | |||||||||||||||
Caesars Entertainment Operating Co., Inc., 10.00%, 12/15/15 | 389 | 342,320 | |||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (b) | 200 | 203,000 | |||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | 610 | 677,100 | |||||||||||||
Isle of Capri Casinos, Inc.: | |||||||||||||||
7.75%, 3/15/19 | 20 | 20,650 | |||||||||||||
5.88%, 3/15/21 | 94 | 86,950 | |||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e) | 120 | 126,943 | |||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (b) | 215 | 214,462 | |||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 38 | 34,960 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | 200 | 189,000 | |||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 | 102 | 105,060 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (b): | |||||||||||||||
6.39%, 3/01/16 (g) | 42 | 40,846 | |||||||||||||
11.88%, 9/01/16 | 15 | 14,966 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h) | 215 | — | |||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22 | 302 | 298,225 | |||||||||||||
2,354,482 | |||||||||||||||
Household Durables — 2.8% | |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b) | 98 | 97,020 | |||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 15 | 15,806 | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b) | 180 | 184,050 | |||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b) | 125 | 123,438 | |||||||||||||
Jarden Corp.: | |||||||||||||||
1.88%, 9/15/18 (b)(c) | 100 | 112,813 | |||||||||||||
7.50%, 1/15/20 | EUR | 140 | 195,219 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b) | USD | 415 | 437,825 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 127 | 135,731 | |||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 85 | 76,075 | |||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 160 | 166,000 | |||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | 890 | 1,056,875 | |||||||||||||
8.38%, 1/15/21 | 440 | 492,800 | |||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (b): | |||||||||||||||
7.75%, 4/15/20 | 125 | 136,562 | |||||||||||||
5.25%, 4/15/21 | 114 | 107,730 | |||||||||||||
William Lyon Homes, Inc., 8.50%, 11/15/20 | 130 | 137,800 | |||||||||||||
3,475,744 |
68 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Products — 0.8% | |||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (b) | EUR | 100 | $ | 138,794 | |||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 167 | 172,845 | ||||||||||||
6.63%, 11/15/22 | 110 | 112,750 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
9.50%, 6/15/18 | 430 | 473,000 | |||||||||||||
6.75%, 3/15/20 | 43 | 45,365 | |||||||||||||
942,754 | |||||||||||||||
Independent Power Producers & Energy Traders — 4.3% | |||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (b) | 20 | 21,200 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||||||||||||||
6.88%, 8/15/17 (b) | 181 | 183,036 | |||||||||||||
10.00%, 12/01/20 (b) | 980 | 1,030,225 | |||||||||||||
10.00%, 12/01/20 | 2,280 | 2,402,550 | |||||||||||||
GenOn REMA LLC: | |||||||||||||||
Series B, 9.24%, 7/02/17 | 55 | 56,836 | |||||||||||||
Series C, 9.68%, 7/02/26 | 135 | 143,100 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 340 | 378,250 | |||||||||||||
7.38%, 5/01/22 | 165 | 174,075 | |||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 | 740 | 819,550 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 148 | 141,340 | |||||||||||||
5,350,162 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (b) | 200 | 200,000 | |||||||||||||
Insurance — 0.7% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b) | 499 | 510,228 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b) | 98 | 102,410 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 292 | 300,760 | |||||||||||||
913,398 | |||||||||||||||
Internet Software & Services — 0.2% | |||||||||||||||
Bankrate, Inc., 6.13%, 8/15/18 (b) | 124 | 122,605 | |||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | 64 | 61,600 | |||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (b) | 125 | 116,875 | |||||||||||||
301,080 | |||||||||||||||
IT Services — 4.2% | |||||||||||||||
Ceridian Corp.: | |||||||||||||||
11.25%, 11/15/15 | 55 | 55,688 | |||||||||||||
8.88%, 7/15/19 (b) | 830 | 933,750 | |||||||||||||
11.00%, 3/15/21 (b) | 615 | 710,325 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 230 | 242,650 | |||||||||||||
First Data Corp. (b): | |||||||||||||||
7.38%, 6/15/19 | 1,118 | 1,159,925 | |||||||||||||
6.75%, 11/01/20 | 377 | 385,482 | |||||||||||||
10.63%, 6/15/21 | 173 | 171,919 | |||||||||||||
11.75%, 8/15/21 | 153 | 143,055 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 250 | 265,625 | |||||||||||||
6.63%, 11/01/19 | 904 | 917,560 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b) | 214 | 194,740 | |||||||||||||
5,180,719 | |||||||||||||||
Machinery — 0.4% | |||||||||||||||
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (b) | 40 | 41,300 | |||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 246 | 244,462 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 80 | 88,600 | |||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b) | 79 | 77,223 | |||||||||||||
451,585 | |||||||||||||||
Media — 9.1% | |||||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | 100 | 110,500 | |||||||||||||
4.75%, 12/15/22 | 127 | 119,063 | |||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 250 | 238,750 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Media (concluded) | |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||||||||||||
5.25%, 9/30/22 | USD | 711 | $ | 648,787 | |||||||||||
5.13%, 2/15/23 | 420 | 376,950 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b)(h) | 293 | 214,622 | |||||||||||||
Checkout Holding Corp., 9.92%, 11/15/15 (b)(d) | 207 | 167,153 | |||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 110 | 102,850 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
9.00%, 12/15/19 | 359 | 345,537 | |||||||||||||
9.00%, 3/01/21 | 520 | 494,000 | |||||||||||||
Clear Channel Worldwide Holdings, Inc.: | �� | ||||||||||||||
6.50%, 11/15/22 | 271 | 268,967 | |||||||||||||
Series B, 6.50%, 11/15/22 | 902 | 902,000 | |||||||||||||
Series B, 7.63%, 3/15/20 | 425 | 426,062 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
4.25%, 4/01/18 | 524 | 516,140 | |||||||||||||
5.13%, 5/01/20 | 338 | 327,015 | |||||||||||||
5.88%, 7/15/22 | 450 | 441,000 | |||||||||||||
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (b) | 140 | 151,900 | |||||||||||||
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (b) | 350 | 324,625 | |||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (b) | 800 | 828,000 | |||||||||||||
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) | 335 | 365,991 | |||||||||||||
The McClatchy Co., 9.00%, 12/15/22 | 52 | 54,860 | |||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 232 | 251,302 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) | 155 | 156,938 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co.: | |||||||||||||||
11.63%, 2/01/14 | 72 | 74,974 | |||||||||||||
7.75%, 10/15/18 | 517 | 562,237 | |||||||||||||
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (b) | GBP | 100 | 159,619 | ||||||||||||
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b) | USD | 82 | 82,410 | ||||||||||||
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(b)(c)(h) | 1,427 | 714 | |||||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b) | 110 | 108,900 | |||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 375 | 375,000 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | |||||||||||||||
7.50%, 3/15/19 | EUR | 304 | 434,929 | ||||||||||||
9.63%, 12/01/19 | 100 | 146,373 | |||||||||||||
9.50%, 3/15/21 | 190 | 284,951 | |||||||||||||
Univision Communications, Inc. (b): | |||||||||||||||
8.50%, 5/15/21 | USD | 123 | 133,148 | ||||||||||||
6.75%, 9/15/22 | 14 | 14,525 | |||||||||||||
5.13%, 5/15/23 | 131 | 123,631 | |||||||||||||
UPC Holding BV, 9.88%, 4/15/18 (b) | 200 | 217,000 | |||||||||||||
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) | EUR | 371 | 514,285 | ||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b) | USD | 155 | 160,425 | ||||||||||||
11,226,133 | |||||||||||||||
Metals & Mining — 3.5% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | 295 | 323,762 | |||||||||||||
4.25%, 8/05/15 | 129 | 132,870 | |||||||||||||
4.25%, 3/01/16 | 50 | 51,000 | |||||||||||||
5.00%, 2/25/17 | 160 | 163,600 | |||||||||||||
6.13%, 6/01/18 | 141 | 145,230 | |||||||||||||
FMG Resources August 2006 Property Ltd. (b): | |||||||||||||||
6.38%, 2/01/16 | 435 | 445,670 | |||||||||||||
6.00%, 4/01/17 | 582 | 592,185 | |||||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (b) | 130 | 141,700 | |||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 100 | 111,500 | |||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 1,525 | 1,658,437 | |||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 | 105 | 109,463 | |||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 190 | 187,150 | |||||||||||||
Vedanta Resources PLC, 8.25%, 6/07/21 (b) | 200 | 188,000 | |||||||||||||
4,250,567 |
ANNUAL REPORT | AUGUST 31, 2013 | 69 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Multiline Retail — 0.5% | |||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | USD | 351 | $ | 368,588 | |||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 200 | 204,110 | |||||||||||||
572,698 | |||||||||||||||
Oil, Gas & Consumable Fuels — 9.2% | |||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: | |||||||||||||||
5.88%, 4/15/21 | 126 | 129,465 | |||||||||||||
6.13%, 7/15/22 | 120 | 123,300 | |||||||||||||
4.88%, 5/15/23 | 193 | 179,490 | |||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (c) | 450 | 412,594 | |||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b) | 81 | 81,810 | |||||||||||||
Aurora USA Oil & Gas, Inc. (b): | |||||||||||||||
9.88%, 2/15/17 | 100 | 105,500 | |||||||||||||
7.50%, 4/01/20 | 140 | 138,600 | |||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 37 | 37,648 | |||||||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22 | 115 | 113,850 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 107 | 112,885 | |||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 95 | 95,237 | |||||||||||||
Chesapeake Energy Corp.: | |||||||||||||||
7.25%, 12/15/18 | 50 | 56,625 | |||||||||||||
6.63%, 8/15/20 | 37 | 39,683 | |||||||||||||
6.88%, 11/15/20 | 123 | 133,147 | |||||||||||||
6.13%, 2/15/21 | 35 | 36,400 | |||||||||||||
2.50%, 5/15/37 (c) | 101 | 99,169 | |||||||||||||
Concho Resources, Inc.: | |||||||||||||||
7.00%, 1/15/21 | 40 | 43,900 | |||||||||||||
6.50%, 1/15/22 | 133 | 140,980 | |||||||||||||
5.50%, 10/01/22 | 158 | 154,445 | |||||||||||||
5.50%, 4/01/23 | 33 | 32,010 | |||||||||||||
CONSOL Energy, Inc.: | |||||||||||||||
8.00%, 4/01/17 | 178 | 187,790 | |||||||||||||
8.25%, 4/01/20 | 135 | 143,100 | |||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 170 | 186,150 | |||||||||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18 | 65 | 69,063 | |||||||||||||
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b) | 147 | 145,530 | |||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 334 | 298,095 | |||||||||||||
Energy XXI Gulf Coast, Inc.: | |||||||||||||||
9.25%, 12/15/17 | 210 | 233,625 | |||||||||||||
7.75%, 6/15/19 | 245 | 254,800 | |||||||||||||
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20 | 95 | 104,500 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 155 | 164,687 | |||||||||||||
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 | 70 | 70,000 | |||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 | 179 | 179,447 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b) | 124 | 132,060 | |||||||||||||
Kodiak Oil & Gas Corp.: | |||||||||||||||
8.13%, 12/01/19 | 155 | 169,725 | |||||||||||||
5.50%, 2/01/22 (b) | 68 | 65,620 | |||||||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (b) | 65 | 61,750 | |||||||||||||
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (b) | 124 | 117,800 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||||||||
6.50%, 5/15/19 | 20 | 18,800 | |||||||||||||
6.25%, 11/01/19 (b) | 310 | 285,200 | |||||||||||||
8.63%, 4/15/20 | 340 | 341,700 | |||||||||||||
7.75%, 2/01/21 | 30 | 29,100 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.: | |||||||||||||||
6.25%, 6/15/22 | USD | 84 | $ | 87,780 | |||||||||||
4.50%, 7/15/23 | 210 | 191,100 | |||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 85 | 82,025 | |||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 350 | 366,625 | |||||||||||||
Northern Oil & Gas, Inc., 8.00%, 6/01/20 | 140 | 142,100 | |||||||||||||
Oasis Petroleum, Inc.: | |||||||||||||||
7.25%, 2/01/19 | 90 | 95,400 | |||||||||||||
6.50%, 11/01/21 | 135 | 141,750 | |||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 180 | 173,250 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 43 | 43,968 | |||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 90 | 94,500 | |||||||||||||
Penn Virginia Corp., 8.50%, 5/01/20 | 83 | 83,000 | |||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 | 149 | 137,052 | |||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 465 | 509,175 | |||||||||||||
Range Resources Corp.: | |||||||||||||||
8.00%, 5/15/19 | 170 | 182,750 | |||||||||||||
6.75%, 8/01/20 | 53 | 57,108 | |||||||||||||
5.75%, 6/01/21 | 441 | 461,947 | |||||||||||||
5.00%, 8/15/22 | 144 | 140,760 | |||||||||||||
5.00%, 3/15/23 | 73 | 71,358 | |||||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18 | 48 | 51,480 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 114 | 110,010 | |||||||||||||
Sabine Pass Liquefaction LLC (b): | |||||||||||||||
5.63%, 2/01/21 | 455 | 434,525 | |||||||||||||
5.63%, 4/15/23 | 143 | 132,632 | |||||||||||||
Sabine Pass LNG LP: | |||||||||||||||
7.50%, 11/30/16 | 815 | 897,519 | |||||||||||||
6.50%, 11/01/20 (b) | 140 | 140,700 | |||||||||||||
SandRidge Energy, Inc.: | |||||||||||||||
8.75%, 1/15/20 | 15 | 15,675 | |||||||||||||
7.50%, 2/15/23 | 139 | 134,482 | |||||||||||||
SESI LLC, 6.38%, 5/01/19 | 92 | 96,830 | |||||||||||||
SM Energy Co.: | |||||||||||||||
6.63%, 2/15/19 | 95 | 99,275 | |||||||||||||
6.50%, 11/15/21 | 115 | 120,750 | |||||||||||||
6.50%, 1/01/23 | 135 | 139,050 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b) | 120 | 121,800 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b) | 68 | 67,830 | |||||||||||||
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20 | 120 | 121,500 | |||||||||||||
11,270,986 | |||||||||||||||
Paper & Forest Products — 0.7% | |||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b) | 210 | 221,550 | |||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 50 | 53,625 | |||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 25 | 26,313 | |||||||||||||
Clearwater Paper Corp.: | |||||||||||||||
7.13%, 11/01/18 | 270 | 290,250 | |||||||||||||
4.50%, 2/01/23 | 20 | 18,100 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(h) | 918 | — | |||||||||||||
Sappi Papier Holding GmbH (b): | |||||||||||||||
8.38%, 6/15/19 | 200 | 209,000 | |||||||||||||
6.63%, 4/15/21 | 65 | 60,450 | |||||||||||||
879,288 | |||||||||||||||
Pharmaceuticals — 1.2% | |||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) | EUR | 100 | 146,043 | ||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | USD | 174 | 196,620 |
70 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Pharmaceuticals (concluded) | |||||||||||||||
Valeant Pharmaceuticals International (b): | |||||||||||||||
6.88%, 12/01/18 | USD | 393 | $ | 416,580 | |||||||||||
6.38%, 10/15/20 | 121 | 122,966 | |||||||||||||
VPII Escrow Corp., 6.75%, 8/15/18 (b) | 548 | 580,195 | |||||||||||||
1,462,404 | |||||||||||||||
Professional Services — 0.2% | |||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 | 220 | 233,750 | |||||||||||||
Real Estate Investment Trusts (REITs) — 0.9% | |||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b) | 122 | 124,745 | |||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 463 | 484,992 | |||||||||||||
5.63%, 3/01/23 | 112 | 104,160 | |||||||||||||
Host Hotels & Resorts LP, 2.50%, 10/15/29 (b)(c) | 195 | 265,688 | |||||||||||||
iStar Financial, Inc., 4.88%, 7/01/18 | 173 | 167,810 | |||||||||||||
1,147,395 | |||||||||||||||
Real Estate Management & Development — 2.0% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 160 | 170,000 | |||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b) | 375 | 403,125 | |||||||||||||
Realogy Corp. (b): | |||||||||||||||
7.88%, 2/15/19 | 560 | 609,000 | |||||||||||||
7.63%, 1/15/20 | 220 | 246,400 | |||||||||||||
9.00%, 1/15/20 | 145 | 167,475 | |||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b) | 145 | 143,913 | |||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 | 635 | 696,912 | |||||||||||||
2,436,825 | |||||||||||||||
Road & Rail — 1.0% | |||||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 360 | 388,800 | |||||||||||||
6.75%, 4/15/19 | 130 | 138,612 | |||||||||||||
5.88%, 10/15/20 | 40 | 41,050 | |||||||||||||
7.38%, 1/15/21 | 450 | 486,000 | |||||||||||||
6.25%, 10/15/22 | 115 | 117,012 | |||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b) | 85 | 83,938 | |||||||||||||
1,255,412 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 200 | 200,000 | |||||||||||||
Software — 1.8% | |||||||||||||||
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (b)(e) | 142 | 144,130 | |||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 183 | 168,818 | |||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(e) | 130 | 132,925 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 1,030 | 1,145,875 | |||||||||||||
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (b) | 64 | 66,080 | |||||||||||||
Nuance Communications, Inc.: | |||||||||||||||
5.38%, 8/15/20 (b) | 250 | 238,125 | |||||||||||||
2.75%, 11/01/31 (c) | 145 | 149,259 | |||||||||||||
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (b) | 198 | 214,830 | |||||||||||||
2,260,042 | |||||||||||||||
Specialty Retail — 2.2% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 165 | 182,325 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 280 | 311,850 | |||||||||||||
CST Brands, Inc., 5.00%, 5/01/23 (b) | 160 | 152,000 | |||||||||||||
House of Fraser Funding PLC, 8.88%, 8/15/18 (b) | GBP | 129 | 211,596 | ||||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 70 | 82,687 | ||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 103 | 110,854 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(e) | 94 | 96,585 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail (concluded) | |||||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | USD | 620 | $ | 664,175 | |||||||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (b)(e) | 121 | 119,639 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 | 144 | 142,560 | |||||||||||||
QVC, Inc., 7.38%, 10/15/20 (b) | 130 | 141,251 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc.: | |||||||||||||||
6.88%, 11/15/19 | 245 | 267,050 | |||||||||||||
5.75%, 6/01/22 | 223 | 223,279 | |||||||||||||
2,705,851 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 195 | 207,187 | |||||||||||||
PVH Corp., 4.50%, 12/15/22 | 111 | 102,814 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b) | 216 | 213,300 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (b) | 110 | 110,550 | |||||||||||||
633,851 | |||||||||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||||||
MGIC Investment Corp., 2.00%, 4/01/20 (c) | 22 | 27,665 | |||||||||||||
Radian Group, Inc. (c): | |||||||||||||||
3.00%, 11/15/17 | 25 | 34,609 | |||||||||||||
2.25%, 3/01/19 | 171 | 244,530 | |||||||||||||
306,804 | |||||||||||||||
Trading Companies & Distributors — 0.8% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 260 | 270,400 | |||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b) | 215 | 227,363 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (b): | |||||||||||||||
Series 2012-1, Class A, 5.13%, 11/30/24 | 252 | 248,334 | |||||||||||||
Series 2012-1, Class B, 6.50%, 5/30/21 | 226 | 227,910 | |||||||||||||
974,007 | |||||||||||||||
Transportation Infrastructure — 0.4% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) | 198 | 207,405 | |||||||||||||
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (b) | 315 | 322,875 | |||||||||||||
530,280 | |||||||||||||||
Wireless Telecommunication Services — 3.4% | |||||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 469 | 443,205 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (b) | 245 | 259,700 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (b) | 780 | 752,700 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 234 | 242,775 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 152 | 116,280 | |||||||||||||
Phones4u Finance PLC, 9.50%, 4/01/18 (b) | GBP | 130 | 208,512 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | USD | 558 | 503,595 | ||||||||||||
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (b): | |||||||||||||||
9.00%, 11/15/18 | 1,251 | 1,460,543 | |||||||||||||
7.00%, 3/01/20 | 90 | 96,750 | |||||||||||||
T-Mobile USA, Inc., 5.25%, 9/01/18 (b) | 155 | 156,550 | |||||||||||||
4,240,610 | |||||||||||||||
Total Corporate Bonds — 103.6% | 127,550,353 | ||||||||||||||
Floating Rate Loan Interests (g) | |||||||||||||||
Airlines — 1.1% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 211 | 210,895 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.30%, 3/10/17 | 275 | 254,218 | |||||||||||||
2.30%, 3/10/17 | 276 | 255,040 | |||||||||||||
1.68%, 9/10/18 | 233 | 206,069 | |||||||||||||
1.68%, 9/10/18 | 231 | 204,447 | |||||||||||||
1.68%, 9/10/18 | 229 | 202,824 | |||||||||||||
1,333,493 |
ANNUAL REPORT | AUGUST 31, 2013 | 71 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (g) | Par (000) | Value | |||||||||||||
Auto Components — 1.1% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.12% – 2.13%, 12/29/14 | USD | 886 | $ | 862,327 | |||||||||||
Term Loan C, 2.12% – 2.13%, 12/28/15 | 418 | 406,563 | |||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 95 | 95,147 | |||||||||||||
1,364,037 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | 184 | 182,503 | |||||||||||||
Capital Markets — 0.8% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 618 | 620,309 | |||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 150 | 149,344 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
2nd Lien Term Loan, 6.50%, 2/28/19 | 150 | 149,125 | |||||||||||||
Term Loan, 4.18%, 5/15/17 | 54 | 53,640 | |||||||||||||
972,418 | |||||||||||||||
Chemicals — 0.0% | |||||||||||||||
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20 | 25 | 25,250 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 25 | 25,100 | |||||||||||||
50,350 | |||||||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 185 | 185,134 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 110 | 110,344 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 185 | 184,034 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 110 | 110,104 | |||||||||||||
�� | 589,616 | ||||||||||||||
Communications Equipment — 1.3% | |||||||||||||||
Alcatel-Lucent USA, Inc., Term Loan C, 5.75%, 1/30/19 | 950 | 954,093 | |||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | 57 | 53,381 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19 | 628 | 629,731 | |||||||||||||
1,637,205 | |||||||||||||||
Construction Materials — 0.3% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 400 | 401,189 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19 | 115 | 114,425 | |||||||||||||
Diversified Consumer Services — 0.3% | |||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 64 | 63,779 | |||||||||||||
ServiceMaster Co.: | |||||||||||||||
Extended Term Loan, 4.44%, 1/31/17 | 70 | 67,997 | |||||||||||||
Term Loan, 4.25%, 1/31/17 | 199 | 192,931 | |||||||||||||
324,707 | |||||||||||||||
Diversified Telecommunication Services — 0.7% | |||||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 401 | 401,602 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2016 Term Loan B, 4.00%, 1/15/20 | 160 | 159,867 | |||||||||||||
2019 Term Loan B, 4.00%, 8/01/19 | 120 | 119,776 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 220 | 219,769 | |||||||||||||
901,014 | |||||||||||||||
Energy Equipment & Services — 0.1% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 75 | 74,500 | |||||||||||||
Floating Rate Loan Interests (g) | Par (000) | Value | |||||||||||||
Food & Staples Retailing — 0.0% | |||||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | USD | 45 | $ | 46,111 | |||||||||||
Food Products — 0.1% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 95 | 95,323 | |||||||||||||
Health Care Equipment & Supplies — 0.4% | |||||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 346 | 344,342 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 124 | 122,512 | |||||||||||||
466,854 | |||||||||||||||
Health Care Providers & Services — 0.2% | |||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17 | 102 | 105,096 | |||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 166 | 161,569 | |||||||||||||
266,665 | |||||||||||||||
Hotels, Restaurants & Leisure — 4.4% | |||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 195 | 194,635 | |||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 185 | 185,229 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 510 | 508,725 | |||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 3,207 | 3,051,461 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 228 | 227,250 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 240 | 240,598 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 280 | 280,818 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 | 404 | 406,682 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc.: | |||||||||||||||
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e) | 201 | 200,839 | |||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 50 | 51,672 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 125 | 126,188 | |||||||||||||
5,474,097 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 252 | 253,115 | |||||||||||||
Insurance — 0.1% | |||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 144 | 144,727 | |||||||||||||
IT Services — 0.4% | |||||||||||||||
Ceridian Corp., Term Loan B, 4.43%, 5/09/17 | 130 | 129,865 | |||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18 | 355 | 351,251 | |||||||||||||
481,116 | |||||||||||||||
Life Sciences Tools & Services — 0.1% | |||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 89 | 89,995 | |||||||||||||
Machinery — 1.3% | |||||||||||||||
Gardner Denver, Inc.: | |||||||||||||||
EUR Term Loan, 4.75%, 7/30/20 | EUR | 575 | 757,906 | ||||||||||||
USD Term Loan, 4.25%, 7/30/20 | USD | 525 | 522,292 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20 | 314 | 310,770 | |||||||||||||
1,590,968 | |||||||||||||||
Media — 1.6% | |||||||||||||||
Cengage Learning Acquisitions, Inc.: | |||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 | 138 | 98,360 | |||||||||||||
Tranche 1 Incremental, 6.00%, 7/03/14 | 688 | 485,639 |
72 | ANNUAL REPORT | AUGUST 31, 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 | |||||||||||||
Media (concluded) | |||||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
Term Loan B, 3.83%, 1/29/16 | USD | 62 | $ | 57,445 | |||||||||||
Term Loan C, 3.83%, 1/29/16 | 45 | 41,287 | |||||||||||||
Term Loan D, 6.93%, 1/30/19 | 670 | 614,814 | |||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 194 | 194,168 | |||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 13 | 12,973 | |||||||||||||
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20 | 250 | 250,207 | |||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | 95 | 97,375 | |||||||||||||
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 110 | 109,308 | |||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20 | 50 | 49,749 | |||||||||||||
2,011,325 | |||||||||||||||
Metals & Mining — 0.8% | |||||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 379 | 387,579 | |||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 614 | 615,828 | |||||||||||||
1,003,407 | |||||||||||||||
Oil, Gas & Consumable Fuels — 1.6% | |||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 975 | 992,872 | |||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 320 | 320,307 | |||||||||||||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 100 | 100,438 | |||||||||||||
Vantage Drilling Co.: | |||||||||||||||
Term Loan, 6.25%, 10/26/17 | 379 | 382,059 | |||||||||||||
Term Loan B, 5.75%, 3/22/19 | 155 | 155,772 | |||||||||||||
1,951,448 | |||||||||||||||
Pharmaceuticals — 0.5% | |||||||||||||||
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 | 135 | 134,621 | |||||||||||||
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19 | 318 | 315,918 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 138 | 137,611 | |||||||||||||
588,150 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 306 | 306,420 | |||||||||||||
Real Estate Management & Development — 0.2% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 29 | 28,934 | |||||||||||||
Extended Term Loan, 4.50%, 3/05/20 | 185 | 185,553 | |||||||||||||
214,487 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 | 118 | 117,364 | |||||||||||||
Software — 0.4% | |||||||||||||||
BMC Software, Inc., Term Loan, 5.00%, 8/07/20 | 55 | 54,885 | |||||||||||||
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20 | 25 | 25,375 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 222 | 222,801 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 225 | 232,594 | |||||||||||||
535,655 | |||||||||||||||
Floating Rate Loan Interests (g) | Par (000) | Value | |||||||||||||
Specialty Retail — 0.3% | |||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | USD | 234 | $ | 235,050 | |||||||||||
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | 110 | 109,704 | |||||||||||||
344,754 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 504 | 482,221 | |||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 259 | 261,814 | |||||||||||||
Total Floating Rate Loan Interests — 20.0% | 24,671,473 | ||||||||||||||
Preferred Securities | |||||||||||||||
Preferred Stocks | Shares | ||||||||||||||
Auto Components — 0.9% | |||||||||||||||
Dana Holding Corp., Series B, 4.00% (b)(c) | 6,200 | 1,089,263 | |||||||||||||
Diversified Financial Services — 0.8% | |||||||||||||||
Ally Financial, Inc., Series G, 7.00% (b) | 1,100 | 1,029,256 | |||||||||||||
Media — 0.1% | |||||||||||||||
Emmis Communications Corp., Series A, 6.25% (c) | 10,300 | 139,050 | |||||||||||||
Total Preferred Stocks — 1.8% | 2,257,569 | ||||||||||||||
Trust Preferreds — 1.4% | |||||||||||||||
Diversified Financial Services — 1.4% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g) | 66,510 | 1,756,425 | |||||||||||||
Total Preferred Securities — 3.2% | 4,013,994 | ||||||||||||||
Warrants — 0.0% (i) | |||||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 513 | — | |||||||||||||
Total Long-Term Investments (Cost — $158,182,419) — 128.2% | 157,976,576 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (j)(k) | 1,687,499 | 1,687,499 | |||||||||||||
Total Short-Term Securities (Cost — $1,687,499) — 1.4% | 1,687,499 | ||||||||||||||
Total Investments (Cost — $159,869,918) — 129.6% | 159,664,075 | ||||||||||||||
Liabilities in Excess of Other Assets — (29.6)% | (36,501,128 | ) | |||||||||||||
Net Assets — 100.0% | $ | 123,162,947 |
ANNUAL REPORT | AUGUST 31, 2013 | 73 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) |
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) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(f) | Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. | |||||
(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 year ended August 31, 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 August 31, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 1,687,499 | 1,687,499 | $585 | $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 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 August 31, 2013 were as follows: |
Contracts Sold | Issue | Exchange | Expiration | Notional Value | Unrealized Appreciation (Depreciation) | |||||||
(43) | S&P 500 E-Mini Index | Chicago Mercantile | September 2013 | USD | 3,507,295 | $108,866 | ||||||
(5) | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 1,098,750 | (71) | ||||||
(14) | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 1,675,516 | 2,060 | ||||||
(9) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 1,118,531 | (577) | ||||||
Total | $110,278 |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
USD | 764,863 | EUR | 573,000 | Barclays Bank PLC | 9/25/13 | $ | 7,510 | |||||||
USD | 2,839,160 | EUR | 2,113,000 | UBS AG | 9/25/13 | 46,336 | ||||||||
USD | 806,783 | GBP | 535,000 | Deutsche Bank AG | 10/22/13 | (21,997 | ) | |||||||
Total | $ | 31,849 |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Depreciation | | ||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 28 | $7,075 | $8,626 | $ | (1,551 | ) | |||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 28 | 7,075 | 7,816 | (741 | ) | ||||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 28 | 7,075 | 8,760 | (1,685 | ) | ||||||||||||||||||||||||||
Total | $21,225 | $25,202 | $ | (3,977 | ) |
74 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Income Shares (HIS) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Received | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 28 | $ | (3,003 | ) | $ | (3,590 | ) | $ | 587 | |||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 28 | (3,003 | ) | (4,384 | ) | 1,381 | ||||||||||||||||||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 28 | (3,003 | ) | (4,378 | ) | 1,375 | ||||||||||||||||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 65 | (7,392 | ) | (6,153 | ) | (1,239 | ) | |||||||||||||||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 35 | (3,980 | ) | (3,291 | ) | (689 | ) | |||||||||||||||||||||||||||
Total | $ | (20,381 | ) | $ | (21,796 | ) | $ | 1,415 |
1 | Using S&P’s rating of the issuers 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. |
• | 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 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 August 31, 2013:
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Common Stocks | — | $ | 676,981 | $ | 1,063,775 | $ | 1,740,756 | |||||||||||
Corporate Bonds | — | 126,855,535 | 694,818 | 127,550,353 | ||||||||||||||
Floating Rate Loan Interests | — | 20,982,501 | 3,688,972 | 24,671,473 | ||||||||||||||
Preferred Securities | $ | 2,924,731 | 1,089,263 | — | 4,013,994 | |||||||||||||
Short-Term Securities | 1,687,499 | — | — | 1,687,499 | ||||||||||||||
Unfunded Loan Commitment | — | 3,437 | — | 3,437 | ||||||||||||||
Total | $ | 4,612,230 | $ | 149,607,717 | $ | 5,447,565 | $ | 159,667,512 | ||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments3 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 3,343 | — | $ | 3,343 | ||||||||||||
Equity contracts | $ | 108,866 | — | — | 108,866 | |||||||||||||
Foreign currency exchange contracts | — | 53,846 | — | 53,846 | ||||||||||||||
Interest rate contracts | 2,060 | — | — | 2,060 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (5,905 | ) | — | (5,905 | ) | ||||||||||||
Foreign currency exchange contracts | — | (21,997 | ) | — | (21,997 | ) | ||||||||||||
Interest rate contracts | (648 | ) | — | — | (648 | ) | ||||||||||||
Total | $ | 110,278 | $ | 29,287 | — | $ | 139,565 |
3 | Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts, and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
ANNUAL REPORT | AUGUST 31, 2013 | 75 |
Schedule of Investments (concluded) | BlackRock High Income Shares (HIS) |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 198,460 | $ | 198,460 | ||||||||||||||
Foreign currency at value | 21,318 | — | — | 21,318 | ||||||||||||||
Cash pledged for financial futures contracts | 195,000 | — | — | 195,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Loan payable | — | $ | (37,000,000 | ) | — | (37,000,000 | ) | |||||||||||
Total | $ | 414,778 | $ | (37,000,000 | ) | — | $ | (36,585,222 | ) |
As of August 31, 2012, the Fund used other observable inputs in determining the value of certain equity securities. As of August 31, 2013, the Fund 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 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 year 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 3 | — | 674,112 | 504,060 | 1,178,172 | ||||||||||||||
Transfers out of Level 3 | — | — | (767,398 | ) | (767,398 | ) | ||||||||||||
Net realized gain (loss) | (2,944 | ) | 3,778 | 71,037 | 71,871 | |||||||||||||
Net change in unrealized appreciation/depreciation1 | 181,598 | (611,755 | ) | 154,815 | (275,342 | ) | ||||||||||||
Purchases | 221,407 | 375,000 | 2,775,423 | 3,371,830 | ||||||||||||||
Sales | (2 | ) | (1,402,193 | ) | (3,926,916 | ) | (5,329,111 | ) | ||||||||||
Closing Balance, as of August 31, 2013 | $ | 1,063,775 | $ | 694,818 | $ | 3,688,972 | $ | 5,447,565 |
1 | 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 August 31, 2013 was $(418,773). |
The following table summarizes the valuation techniques used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $4,007,372. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments. |
| | Value | | Valuation Techniques | | Unobservable Inputs2 | | Range of Unobservable Inputs Utilized | ||||||||||
Assets: | ||||||||||||||||||
Common Stocks3 | $ | 647,095 | Market Comparable Companies | Offshore EBITDA Multiple | 8.25x | |||||||||||||
Onshore EBITDA Multiple | 4.75x | |||||||||||||||||
Implied Last 12 Months EBITDA Multiple | 6.95x | |||||||||||||||||
98,280 | Market Comparable Companies | Forecasted EBITDA Multiple | 3.50x | |||||||||||||||
Corporate Bonds4 | 375,000 | Market Comparable Companies | Last 12 Months EBITDA Multiple | 10.00x | ||||||||||||||
319,104 | Market Comparable Companies | Yield | 12.10% | |||||||||||||||
714 | Estimated Recovery Value | Recovery Rate | 0.05% | |||||||||||||||
Total | $ | 1,440,193 |
2 | 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 | ||||||
Offshore EBITDA Multiple | Increase | Decrease | ||||||||
Onshore EBITDA Multiple | Increase | Decrease | ||||||||
Implied Last 12 Months EBITDA Multiple | Increase | Decrease | ||||||||
Forecasted EBITDA Multiple | Increase | Decrease | ||||||||
Last 12 Months EBITDA Multiple | Increase | Decrease | ||||||||
Yield | Decrease | Increase | ||||||||
Recovery Rate | Increase | Decrease |
3 | For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued using the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
4 | For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
76 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments August 31, 2013 | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 0.6% | |||||||||||||||
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (a)(b)(c) | USD | 315 | $ | 297,297 | |||||||||||
Common Stocks | Shares | ||||||||||||||
Auto Components — 0.8% | |||||||||||||||
Dana Holding Corp. | 1,025 | 21,484 | |||||||||||||
Delphi Automotive PLC | 1,500 | 82,530 | |||||||||||||
The Goodyear Tire & Rubber Co. (d) | 13,974 | 281,157 | |||||||||||||
385,171 | |||||||||||||||
Automobiles — 1.5% | |||||||||||||||
General Motors Co. (d) | 20,874 | 711,386 | |||||||||||||
Biotechnology — 0.0% | |||||||||||||||
Ironwood Pharmaceuticals, Inc. (d) | 1,210 | 14,097 | |||||||||||||
Capital Markets — 1.6% | |||||||||||||||
American Capital Ltd. (d) | 58,948 | 735,671 | |||||||||||||
E*Trade Financial Corp. (d) | 3,200 | 44,928 | |||||||||||||
780,599 | |||||||||||||||
Chemicals — 0.4% | |||||||||||||||
Advanced Emissions Solutions, Inc. (d) | 1,100 | 42,955 | |||||||||||||
Huntsman Corp. | 7,500 | 131,250 | |||||||||||||
174,205 | |||||||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||||||
Broadview Networks Holdings, Inc. (d) | 6,337 | 39,923 | |||||||||||||
Level 3 Communications, Inc. (d) | 4,300 | 96,148 | |||||||||||||
136,071 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||||||||
Caesars Entertainment Corp. (d) | 7,749 | 166,371 | |||||||||||||
Pinnacle Entertainment, Inc. (d) | 1,197 | 28,345 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc. (d) | 157,936 | 139,773 | |||||||||||||
334,489 | |||||||||||||||
Insurance — 0.6% | |||||||||||||||
American International Group, Inc. (d) | 5,595 | 259,944 | |||||||||||||
Media — 0.2% | |||||||||||||||
Cablevision Systems Corp., Class A | 5,445 | 96,540 | |||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | |||||||||||||||
African Petroleum Corp. Ltd. (d) | 17,200 | 1,837 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (d) | 8,875 | 24,435 | |||||||||||||
Ainsworth Lumber Co. Ltd. (a)(d) | 2,507 | 7,270 | |||||||||||||
NewPage Holdings Corp. (d) | 1,460 | 116,800 | |||||||||||||
148,505 | |||||||||||||||
Software — 0.2% | |||||||||||||||
HMH Holdings/EduMedia (d) | 3,231 | 97,339 | |||||||||||||
Trading Companies & Distributors — 0.3% | |||||||||||||||
HD Supply Holdings, Inc. (d) | 7,140 | 162,364 | |||||||||||||
Wireless Telecommunication Services — 0.6% | |||||||||||||||
Crown Castle International Corp. (d) | 1,927 | 133,772 | |||||||||||||
SBA Communications Corp., Class A (d) | 1,927 | 144,525 | |||||||||||||
278,297 | |||||||||||||||
Total Common Stocks — 7.5% | 3,580,844 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.9% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a) | USD | 80 | 82,700 | ||||||||||||
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18 | 110 | 118,525 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 210 | 226,800 | |||||||||||||
428,025 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Air Freight & Logistics — 0.2% | |||||||||||||||
National Air Cargo Group, Inc.: | |||||||||||||||
Series 1, 12.38%, 9/02/15 | USD | 57 | $ | 56,601 | |||||||||||
Series 2, 12.38%, 8/16/15 | 57 | 57,365 | |||||||||||||
113,966 | |||||||||||||||
Airlines — 2.1% | |||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a) | 68 | 67,769 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 74 | 76,310 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 155 | 157,248 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24 | 100 | 108,470 | |||||||||||||
US Airways Group, Inc., 6.13%, 6/01/18 | 55 | 49,913 | |||||||||||||
US Airways Pass-Through Trust: | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 74 | 77,597 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 74 | 76,902 | |||||||||||||
Series 2012-2, Class B, 6.75%, 12/03/22 | 60 | 61,950 | |||||||||||||
Series 2012-2, Class C, 5.45%, 6/03/18 | 195 | 181,837 | |||||||||||||
Series 2013-1, Class B, 5.38%, 5/15/23 | 155 | 147,250 | |||||||||||||
1,005,246 | |||||||||||||||
Auto Components — 2.8% | |||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (a) | 110 | 113,025 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 180 | 191,025 | |||||||||||||
Delphi Corp., 6.13%, 5/15/21 | 15 | 16,388 | |||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 650 | 684,125 | |||||||||||||
IDQ Holdings, Inc., 11.50%, 4/01/17 (a) | 85 | 94,137 | |||||||||||||
Jaguar Land Rover Automotive PLC 8.25%, 3/15/20 | GBP | 100 | 171,707 | ||||||||||||
Titan International, Inc., 7.88%, 10/01/17 (a) | USD | 80 | 84,800 | ||||||||||||
1,355,207 | |||||||||||||||
Beverages — 0.3% | |||||||||||||||
Crown European Holdings SA, 7.13%, 8/15/18 | EUR | 92 | 130,103 | ||||||||||||
Building Products — 1.3% | |||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a) | USD | 75 | 72,750 | ||||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (a) | 68 | 68,000 | |||||||||||||
Building Materials Corp. of America (a): | |||||||||||||||
7.00%, 2/15/20 | 20 | 21,250 | |||||||||||||
6.75%, 5/01/21 | 160 | 169,600 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 129 | 133,837 | |||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 39 | 42,608 | |||||||||||||
USG Corp., 9.75%, 1/15/18 | 115 | 132,537 | |||||||||||||
640,582 | |||||||||||||||
Capital Markets — 0.3% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (e)(f) | 71 | 96,382 | |||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (a) | 37 | 36,353 | |||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (a) | 21 | 20,685 | |||||||||||||
153,420 | |||||||||||||||
Chemicals — 2.1% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 18 | 16,695 | |||||||||||||
Basell Finance Co. BV, 8.10%, 3/15/27 (a) | 60 | 75,880 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 134 | 137,350 | |||||||||||||
Huntsman International LLC, 8.63%, 3/15/21 | 25 | 27,875 | |||||||||||||
INEOS Finance PLC (a): | |||||||||||||||
8.38%, 2/15/19 | 100 | 109,500 | |||||||||||||
7.50%, 5/01/20 | 75 | 80,250 | |||||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19 | 20 | 20,300 | |||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 (a) | 39 | 40,365 | |||||||||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 | 15 | 14,925 | |||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 35 | 35,000 |
ANNUAL REPORT | AUGUST 31, 2013 | 77 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Chemicals (concluded) | ||||||||||||||
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a) | USD | 200 | $ | 221,000 | ||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a) | 28 | 27,090 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 35 | 38,588 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 156 | 153,270 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a) | 29 | 27,695 | ||||||||||||
1,025,783 | ||||||||||||||
Commercial Banks — 1.1% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.25%, 3/15/18 | 130 | 134,225 | ||||||||||||
6.63%, 4/01/18 (a) | 40 | 43,200 | ||||||||||||
5.50%, 2/15/19 (a) | 262 | 268,550 | ||||||||||||
6.00%, 4/01/36 | 90 | 86,151 | ||||||||||||
532,126 | ||||||||||||||
Commercial Services & Supplies — 4.2% | ||||||||||||||
ACCO Brands Corp., 6.75%, 4/30/20 | 14 | 13,825 | ||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 46 | 48,530 | ||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (a) | 108 | 110,160 | ||||||||||||
Aviation Capital Group Corp., 6.75%, 4/06/21 (a) | 92 | 96,877 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 152 | 157,320 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 7 | 7,499 | ||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 | 82 | 83,025 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 135 | 136,984 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 220 | 245,036 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 60 | 65,400 | ||||||||||||
Mustang Merger Corp., 8.50%, 8/15/21 (a) | 87 | 85,695 | ||||||||||||
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18 | 11 | 12,238 | ||||||||||||
UR Merger Sub Corp.: | ||||||||||||||
5.75%, 7/15/18 | 43 | 45,902 | ||||||||||||
7.38%, 5/15/20 | 60 | 64,650 | ||||||||||||
8.25%, 2/01/21 | 77 | 85,085 | ||||||||||||
7.63%, 4/15/22 | 521 | 560,075 | ||||||||||||
6.13%, 6/15/23 | 30 | 29,550 | ||||||||||||
Verisure Holding AB, 8.75%, 9/01/18 | EUR | 100 | 144,721 | |||||||||||
West Corp., 8.63%, 10/01/18 | USD | 25 | 27,062 | |||||||||||
2,019,634 | ||||||||||||||
Communications Equipment — 1.8% | ||||||||||||||
Alcatel-Lucent USA, Inc.: | ||||||||||||||
8.88%, 1/01/20 (a) | 200 | 204,000 | ||||||||||||
6.50%, 1/15/28 | 10 | 7,600 | ||||||||||||
6.45%, 3/15/29 | 32 | 24,640 | ||||||||||||
Avaya, Inc. (a): | ||||||||||||||
7.00%, 4/01/19 | 45 | 41,175 | ||||||||||||
10.50%, 3/01/21 | 79 | 61,027 | ||||||||||||
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(g) | 80 | 79,200 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 145 | 157,325 | ||||||||||||
10.13%, 7/01/20 | 255 | 289,425 | ||||||||||||
864,392 | ||||||||||||||
Computers & Peripherals — 0.1% | ||||||||||||||
EMC Corp., Series B, 1.75%, 12/01/13 (f) | 31 | 49,774 | ||||||||||||
Construction & Engineering — 0.3% | ||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a) | 35 | 28,350 | ||||||||||||
H&E Equipment Services, Inc., 7.00%, 9/01/22 | 79 | 83,938 | ||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a) | 26 | 25,220 | ||||||||||||
137,508 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Construction Materials — 3.6% | ||||||||||||||
HD Supply, Inc.: | ||||||||||||||
8.13%, 4/15/19 | USD | 608 | $ | 676,400 | ||||||||||
11.00%, 4/15/20 | 340 | 406,300 | ||||||||||||
7.50%, 7/15/20 (a) | 620 | 647,900 | ||||||||||||
1,730,600 | ||||||||||||||
Consumer Finance — 1.5% | ||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | 80 | 85,400 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
12.00%, 5/15/15 | 120 | 139,967 | ||||||||||||
6.63%, 8/15/17 | 230 | 259,719 | ||||||||||||
5.88%, 8/02/21 | 200 | 217,439 | ||||||||||||
702,525 | ||||||||||||||
Containers & Packaging — 1.0% | ||||||||||||||
Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (a) | 200 | 212,500 | ||||||||||||
Berry Plastics Corp., 9.75%, 1/15/21 | 30 | 34,725 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | 4 | 4,200 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | 60 | 65,250 | ||||||||||||
Pactiv LLC, 7.95%, 12/15/25 | 78 | 69,030 | ||||||||||||
Tekni-Plex, Inc., 9.75%, 6/01/19 (a) | 67 | 75,040 | ||||||||||||
460,745 | ||||||||||||||
Distributors — 0.5% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 | 229 | 238,160 | ||||||||||||
Diversified Consumer Services — 1.0% | ||||||||||||||
APX Group, Inc. (a): | ||||||||||||||
6.38%, 12/01/19 | 165 | 155,512 | ||||||||||||
8.75%, 12/01/20 | 98 | 96,530 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (a) | 205 | 221,400 | ||||||||||||
473,442 | ||||||||||||||
Diversified Financial Services — 5.8% | ||||||||||||||
Aircastle Ltd.: | ||||||||||||||
6.75%, 4/15/17 | 55 | 58,300 | ||||||||||||
6.25%, 12/01/19 | 53 | 55,253 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
8.00%, 3/15/20 | 63 | 72,529 | ||||||||||||
7.50%, 9/15/20 | 46 | 51,750 | ||||||||||||
8.00%, 11/01/31 | 786 | 903,900 | ||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (a) | 23 | 21,563 | ||||||||||||
DPL, Inc.: | ||||||||||||||
6.50%, 10/15/16 | 52 | 54,860 | ||||||||||||
7.25%, 10/15/21 | 143 | 145,860 | ||||||||||||
General Motors Financial Co., Inc., 4.25%, 5/15/23 (a) | 40 | 36,000 | ||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a) | 200 | 198,000 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 | 140 | 156,100 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
9.00%, 4/15/19 | 100 | 103,250 | ||||||||||||
9.88%, 8/15/19 | 175 | 185,937 | ||||||||||||
5.75%, 10/15/20 | 460 | 455,975 | ||||||||||||
6.88%, 2/15/21 | 115 | 121,325 | ||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 127 | 146,367 | ||||||||||||
2,766,969 | ||||||||||||||
Diversified Telecommunication Services — 3.4% | ||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | 98 | 96,525 | ||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 226 | 221,480 | ||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a) | 70 | 64,400 | ||||||||||||
Consolidated Communications Finance Co., 10.88%, 6/01/20 | 55 | 63,250 | ||||||||||||
Frontier Communications Corp., 8.50%, 4/15/20 | 85 | 92,862 | ||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 | 55 | 58,713 |
78 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services (concluded) | |||||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | USD | 415 | $ | 438,862 | |||||||||||
7.00%, 6/01/20 | 75 | 75,563 | |||||||||||||
8.63%, 7/15/20 | 287 | 307,090 | |||||||||||||
tw telecom holdings, Inc.: | |||||||||||||||
5.38%, 10/01/22 | 50 | 47,625 | |||||||||||||
5.38%, 10/01/22 (a) | 45 | 42,863 | |||||||||||||
Windstream Corp.: | |||||||||||||||
7.88%, 11/01/17 | 70 | 77,700 | |||||||||||||
7.75%, 10/15/20 | 28 | 28,630 | |||||||||||||
6.38%, 8/01/23 | 43 | 38,861 | |||||||||||||
1,654,424 | |||||||||||||||
Electric Utilities — 0.3% | |||||||||||||||
Homer City Generation LP (g): | |||||||||||||||
8.14%, 10/01/19 | 25 | 25,125 | |||||||||||||
8.73%, 10/01/26 | 35 | 35,525 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 67 | 70,168 | |||||||||||||
130,818 | |||||||||||||||
Electrical Equipment — 0.4% | |||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (a) | 60 | 58,200 | |||||||||||||
General Cable Corp., 5.75%, 10/01/22 (a) | 100 | 96,250 | |||||||||||||
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a) | 46 | 47,840 | |||||||||||||
202,290 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | 40 | 47,100 | |||||||||||||
Energy Equipment & Services — 3.9% | |||||||||||||||
Atwood Oceanics, Inc., 6.50%, 2/01/20 | 25 | 26,750 | |||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 55 | 55,413 | |||||||||||||
CGG (FKA Compagnie Generale de Geophysique, Veritas): | |||||||||||||||
7.75%, 5/15/17 | 65 | 66,625 | |||||||||||||
6.50%, 6/01/21 | 200 | 202,500 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 123 | 131,302 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 9 | 8,865 | |||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 | 25 | 25,313 | |||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 | 50 | 50,625 | |||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (a) | 239 | 243,182 | |||||||||||||
Oil States International, Inc.: | |||||||||||||||
6.50%, 6/01/19 | 110 | 116,050 | |||||||||||||
5.13%, 1/15/23 (a) | 56 | 61,180 | |||||||||||||
Parker Drilling Co., 7.50%, 8/01/20 (a) | 65 | 63,862 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 109 | 108,455 | |||||||||||||
6.25%, 11/15/21 | 111 | 107,115 | |||||||||||||
7.88%, 11/01/26 | 65 | 64,837 | |||||||||||||
4.75%, 12/15/41 (f) | 70 | 54,163 | |||||||||||||
Precision Drilling Corp.: | |||||||||||||||
6.63%, 11/15/20 | 10 | 10,525 | |||||||||||||
6.50%, 12/15/21 | 25 | 26,125 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 410 | 413,075 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 46 | 45,885 | |||||||||||||
1,881,847 | |||||||||||||||
Food & Staples Retailing — 0.3% | |||||||||||||||
Rite Aid Corp.: | |||||||||||||||
9.25%, 3/15/20 | 60 | 67,875 | |||||||||||||
6.75%, 6/15/21 (a) | 69 | 69,863 | |||||||||||||
137,738 | |||||||||||||||
Food Products — 0.8% | |||||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | 20 | 22,000 | |||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a) | 64 | 59,520 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Food Products (concluded) | |||||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | USD | 110 | $ | 116,050 | |||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 | 82 | 84,050 | |||||||||||||
Sun Merger Sub, Inc. (a): | |||||||||||||||
5.25%, 8/01/18 | 92 | 92,345 | |||||||||||||
5.88%, 8/01/21 | 29 | 28,928 | |||||||||||||
402,893 | |||||||||||||||
Health Care Equipment & Supplies — 2.4% | |||||||||||||||
Biomet, Inc.: | |||||||||||||||
6.50%, 8/01/20 | 328 | 336,200 | |||||||||||||
6.50%, 10/01/20 | 371 | 370,072 | |||||||||||||
DJO Finance LLC/DJO Finance Corp.: | |||||||||||||||
8.75%, 3/15/18 | 63 | 68,197 | |||||||||||||
7.75%, 4/15/18 | 20 | 19,650 | |||||||||||||
9.88%, 4/15/18 | 105 | 110,250 | |||||||||||||
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a) | 50 | 51,000 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a) | 80 | 89,100 | |||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 | 38 | 39,568 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 50 | 52,500 | |||||||||||||
1,136,537 | |||||||||||||||
Health Care Providers & Services — 5.7% | |||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 95 | 101,650 | |||||||||||||
CHS/Community Health Systems, Inc.: | |||||||||||||||
5.13%, 8/15/18 | 140 | 143,150 | |||||||||||||
8.00%, 11/15/19 | 18 | 18,900 | |||||||||||||
7.13%, 7/15/20 | 112 | 113,120 | |||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 | GBP | 100 | 158,224 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 | USD | 148 | 146,520 | ||||||||||||
HCA Holdings, Inc., 6.25%, 2/15/21 | 123 | 123,307 | |||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | 25 | 27,000 | |||||||||||||
6.50%, 2/15/20 | 307 | 329,641 | |||||||||||||
7.88%, 2/15/20 | 145 | 156,419 | |||||||||||||
7.25%, 9/15/20 | 220 | 239,525 | |||||||||||||
5.88%, 3/15/22 | 95 | 98,088 | |||||||||||||
4.75%, 5/01/23 | 64 | 59,760 | |||||||||||||
Health Management Associates, Inc., 7.38%, 1/15/20 | 35 | 39,113 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 | 117 | 121,972 | |||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 17 | 17,808 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 100 | 102,000 | |||||||||||||
Omnicare, Inc., 3.75%, 4/01/42 (f) | 47 | 65,124 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 55 | 57,750 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 195 | 205,969 | |||||||||||||
6.75%, 2/01/20 | 90 | 88,200 | |||||||||||||
4.38%, 10/01/21 (a) | 123 | 111,623 | |||||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19 | 177 | 189,390 | |||||||||||||
2,714,253 | |||||||||||||||
Health Care Technology — 1.1% | |||||||||||||||
IMS Health, Inc. (a): | |||||||||||||||
12.50%, 3/01/18 | 410 | 483,800 | |||||||||||||
6.00%, 11/01/20 | 24 | 24,630 | |||||||||||||
508,430 | |||||||||||||||
Hotels, Restaurants & Leisure — 2.1% | |||||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | 224 | 248,640 | |||||||||||||
Isle of Capri Casinos, Inc.: | |||||||||||||||
7.75%, 3/15/19 | 10 | 10,325 | |||||||||||||
5.88%, 3/15/21 | 36 | 33,300 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 200 | 183,500 |
ANNUAL REPORT | AUGUST 31, 2013 | 79 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) | ||||||||||||||
MTR Gaming Group, Inc., 11.50%, 8/01/19 (g) | USD | 47 | $ | 49,717 | ||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (a) | 88 | 87,780 | ||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 13 | 11,960 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 100 | 94,500 | ||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 | 233 | 239,990 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc. (a): | ||||||||||||||
6.39%, 3/01/16 (c) | 10 | 9,512 | ||||||||||||
11.88%, 9/01/16 | 5 | 5,316 | ||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(h) | 25 | — | ||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22 | 13 | 12,837 | ||||||||||||
987,377 | ||||||||||||||
Household Durables — 2.6% | ||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a) | 38 | 37,620 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 10 | 10,538 | ||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a) | 70 | 71,575 | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a) | 47 | 46,412 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a) | 160 | 168,800 | ||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 | 47 | 50,231 | ||||||||||||
Pulte Group, Inc., 6.38%, 5/15/33 | 30 | 26,850 | ||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | 60 | 62,250 | ||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 100 | 147,364 | |||||||||||
Standard Pacific Corp.: | ||||||||||||||
10.75%, 9/15/16 | USD | 300 | 356,250 | |||||||||||
8.38%, 1/15/21 | 170 | 190,400 | ||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a): | ||||||||||||||
7.75%, 4/15/20 | 50 | 54,625 | ||||||||||||
5.25%, 4/15/21 | 45 | 42,525 | ||||||||||||
1,265,440 | ||||||||||||||
Household Products — 0.9% | ||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 100 | 138,794 | |||||||||||
Spectrum Brands Escrow Corp. (a): | ||||||||||||||
6.38%, 11/15/20 | USD | 63 | 65,205 | |||||||||||
6.63%, 11/15/22 | 40 | 41,000 | ||||||||||||
Spectrum Brands, Inc.: | ||||||||||||||
9.50%, 6/15/18 | 160 | 176,000 | ||||||||||||
6.75%, 3/15/20 | 17 | 17,935 | ||||||||||||
438,934 | ||||||||||||||
Independent Power Producers & Energy Traders — 4.0% | ||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (a) | 7 | 7,420 | ||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | ||||||||||||||
6.88%, 8/15/17 (a) | 55 | 55,619 | ||||||||||||
11.25%, 12/01/18 (a)(g) | 117 | 91,521 | ||||||||||||
10.00%, 12/01/20 (a) | 370 | 388,962 | ||||||||||||
10.00%, 12/01/20 | 618 | 651,217 | ||||||||||||
12.25%, 3/01/22 (a) | 127 | 141,288 | ||||||||||||
GenOn REMA LLC, Series B, 9.24%, 7/02/17 | 28 | 28,851 | ||||||||||||
Laredo Petroleum, Inc.: | ||||||||||||||
9.50%, 2/15/19 | 90 | 100,125 | ||||||||||||
7.38%, 5/01/22 | 60 | 63,300 | ||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 | 284 | 314,530 | ||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 56 | 53,480 | ||||||||||||
1,896,313 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (a) | 80 | 80,000 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Insurance — 0.7% | ||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a) | USD | 186 | $ | 190,185 | ||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (a) | 37 | 38,665 | ||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 106 | 109,180 | ||||||||||||
338,030 | ||||||||||||||
Internet Software & Services — 0.2% | ||||||||||||||
Bankrate, Inc., 6.13%, 8/15/18 (a) | 48 | 47,460 | ||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (a) | 45 | 42,075 | ||||||||||||
89,535 | ||||||||||||||
IT Services — 5.0% | ||||||||||||||
Ceridian Corp.: | ||||||||||||||
11.25%, 11/15/15 | 20 | 20,250 | ||||||||||||
8.88%, 7/15/19 (a) | 280 | 315,000 | ||||||||||||
11.00%, 3/15/21 (a) | 434 | 501,270 | ||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 87 | 91,785 | ||||||||||||
First Data Corp. (a): | ||||||||||||||
7.38%, 6/15/19 | 420 | 435,750 | ||||||||||||
8.88%, 8/15/20 | 90 | 97,200 | ||||||||||||
6.75%, 11/01/20 | 251 | 256,647 | ||||||||||||
10.63%, 6/15/21 | 124 | 123,225 | ||||||||||||
11.75%, 8/15/21 | 60 | 56,100 | ||||||||||||
SunGard Data Systems, Inc.: | ||||||||||||||
7.38%, 11/15/18 | 150 | 159,375 | ||||||||||||
6.63%, 11/01/19 | 244 | 247,660 | ||||||||||||
WEX, Inc., 4.75%, 2/01/23 (a) | 81 | 73,710 | ||||||||||||
2,377,972 | ||||||||||||||
Machinery — 0.4% | ||||||||||||||
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a) | 60 | 63,600 | ||||||||||||
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a) | 15 | 15,488 | ||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 58 | 57,637 | ||||||||||||
SPX Corp., 6.88%, 9/01/17 | 30 | 33,225 | ||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a) | 30 | 29,325 | ||||||||||||
199,275 | ||||||||||||||
Media — 9.7% | ||||||||||||||
AMC Networks, Inc.: | ||||||||||||||
7.75%, 7/15/21 | 40 | 44,200 | ||||||||||||
4.75%, 12/15/22 | 48 | 45,000 | ||||||||||||
Cablevision Systems Corp., 5.88%, 9/15/22 | 95 | 90,725 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||||||||
5.25%, 9/30/22 | 105 | 95,813 | ||||||||||||
5.13%, 2/15/23 | 125 | 112,188 | ||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(h) | 99 | 72,518 | ||||||||||||
Checkout Holding Corp., 9.92%, 11/15/15 (a)(e) | 80 | 64,600 | ||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 42 | 39,270 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
9.00%, 12/15/19 | 80 | 77,000 | ||||||||||||
9.00%, 3/01/21 | 278 | 264,100 | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||||
6.50%, 11/15/22 | 102 | 101,235 | ||||||||||||
Series B, 6.50%, 11/15/22 | 347 | 347,000 | ||||||||||||
Series B, 7.63%, 3/15/20 | 159 | 159,397 | ||||||||||||
DISH DBS Corp.: | ||||||||||||||
4.25%, 4/01/18 | 85 | 83,725 | ||||||||||||
5.13%, 5/01/20 | 150 | 145,125 | ||||||||||||
5.88%, 7/15/22 | 250 | 245,000 | ||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a) | 28 | 28,770 | ||||||||||||
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a) | 155 | 168,175 | ||||||||||||
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a) | 137 | 127,067 | ||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a) | 210 | 217,350 | ||||||||||||
Live Nation Entertainment, Inc. (a): | ||||||||||||||
8.13%, 5/15/18 | 125 | 136,564 | ||||||||||||
7.00%, 9/01/20 | 32 | 33,280 |
80 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
The McClatchy Co., 9.00%, 12/15/22 | USD | 90 | $ | 94,950 | ||||||||||
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a) | 153 | 153,382 | ||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 84 | 90,989 | ||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a) | 57 | 57,713 | ||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 225 | 249,187 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18 | 319 | 346,912 | ||||||||||||
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a) | 29 | 29,145 | ||||||||||||
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(d)(f)(h) | 414 | 207 | ||||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a) | 45 | 44,550 | ||||||||||||
Sirius XM Radio, Inc. (a): | ||||||||||||||
4.25%, 5/15/20 | 85 | 77,775 | ||||||||||||
5.75%, 8/01/21 | 57 | 55,860 | ||||||||||||
4.63%, 5/15/23 | 42 | 37,065 | ||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 150 | 150,000 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW Gmbh, 7.50%, 3/15/19 | EUR | 112 | 160,237 | |||||||||||
Unitymedia KabelBW GmbH, 9.50%, 3/15/21 | 100 | 149,974 | ||||||||||||
Univision Communications, Inc. (a): | ||||||||||||||
8.50%, 5/15/21 | USD | 48 | 51,960 | |||||||||||
6.75%, 9/15/22 | 23 | 23,863 | ||||||||||||
5.13%, 5/15/23 | 116 | 109,475 | ||||||||||||
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a) | 55 | 56,925 | ||||||||||||
4,638,271 | ||||||||||||||
Metals & Mining — 2.9% | ||||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | 40 | 43,900 | ||||||||||||
4.25%, 8/05/15 | 49 | 50,470 | ||||||||||||
4.25%, 3/01/16 | 25 | 25,500 | ||||||||||||
5.00%, 2/25/17 | 58 | 59,305 | ||||||||||||
6.13%, 6/01/18 | 53 | 54,590 | ||||||||||||
FMG Resources August 2006 Property Ltd. (a): | ||||||||||||||
6.38%, 2/01/16 | 122 | 124,640 | ||||||||||||
6.00%, 4/01/17 | 219 | 222,833 | ||||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a) | 50 | 54,500 | ||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 | 35 | 39,025 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 545 | 592,687 | ||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 | 40 | 41,700 | ||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 70 | 68,950 | ||||||||||||
1,378,100 | ||||||||||||||
Multiline Retail — 0.7% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 134 | 140,715 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 200 | 204,110 | ||||||||||||
344,825 | ||||||||||||||
Oil, Gas & Consumable Fuels — 9.0% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: | ||||||||||||||
5.88%, 4/15/21 | 48 | 49,320 | ||||||||||||
6.13%, 7/15/22 | 45 | 46,238 | ||||||||||||
4.88%, 5/15/23 | 72 | 66,960 | ||||||||||||
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (f) | 142 | 130,196 | ||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a) | 31 | 31,310 | ||||||||||||
Aurora USA Oil & Gas, Inc. (a): | ||||||||||||||
9.88%, 2/15/17 | 115 | 121,325 | ||||||||||||
7.50%, 4/01/20 | 55 | 54,450 | ||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 14 | 14,245 | ||||||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22 | 40 | 39,600 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | USD | 38 | $ | 40,090 | ||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 35 | 35,088 | ||||||||||||
Chesapeake Energy Corp.: | ||||||||||||||
7.25%, 12/15/18 | 20 | 22,650 | ||||||||||||
6.63%, 8/15/20 | 14 | 15,015 | ||||||||||||
6.88%, 11/15/20 | 46 | 49,795 | ||||||||||||
6.13%, 2/15/21 | 11 | 11,440 | ||||||||||||
Concho Resources, Inc.: | ||||||||||||||
7.00%, 1/15/21 | 15 | 16,463 | ||||||||||||
6.50%, 1/15/22 | 52 | 55,120 | ||||||||||||
5.50%, 10/01/22 | 63 | 61,582 | ||||||||||||
5.50%, 4/01/23 | 12 | 11,640 | ||||||||||||
CONSOL Energy, Inc.: | ||||||||||||||
8.00%, 4/01/17 | 69 | 72,795 | ||||||||||||
8.25%, 4/01/20 | 50 | 53,000 | ||||||||||||
Continental Resources, Inc., 7.13%, 4/01/21 | 60 | 65,700 | ||||||||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18 | 25 | 26,563 | ||||||||||||
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a) | 57 | 56,430 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 128 | 114,240 | ||||||||||||
Energy XXI Gulf Coast, Inc.: | ||||||||||||||
9.25%, 12/15/17 | 75 | 83,437 | ||||||||||||
7.75%, 6/15/19 | 90 | 93,600 | ||||||||||||
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20 | 35 | 38,500 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 55 | 58,437 | ||||||||||||
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 | 25 | 25,000 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 | 72 | 72,180 | ||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a) | 45 | 47,925 | ||||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20 | 25 | 25,750 | ||||||||||||
Kodiak Oil & Gas Corp.: | ||||||||||||||
8.13%, 12/01/19 | 60 | 65,700 | ||||||||||||
5.50%, 2/01/22 (a) | 27 | 26,055 | ||||||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a) | 25 | 23,750 | ||||||||||||
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a) | 47 | 44,650 | ||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | ||||||||||||||
6.50%, 5/15/19 | 7 | 6,580 | ||||||||||||
6.25%, 11/01/19 (a) | 143 | 131,560 | ||||||||||||
8.63%, 4/15/20 | 165 | 165,825 | ||||||||||||
7.75%, 2/01/21 | 25 | 24,250 | ||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.: | ||||||||||||||
6.25%, 6/15/22 | 30 | 31,350 | ||||||||||||
4.50%, 7/15/23 | 40 | 36,400 | ||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 32 | 30,880 | ||||||||||||
Newfield Exploration Co., 6.88%, 2/01/20 | 135 | 141,412 | ||||||||||||
Northern Oil & Gas, Inc., 8.00%, 6/01/20 | 55 | 55,825 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 35 | 37,100 | ||||||||||||
6.50%, 11/01/21 | 50 | 52,500 | ||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 69 | 66,412 | ||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (a) | 67 | 64,655 | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 16 | 16,360 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 35 | 36,750 | ||||||||||||
Penn Virginia Corp., 8.50%, 5/01/20 | 31 | 31,000 | ||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 | 58 | 53,349 | ||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a) | 95 | 104,025 |
ANNUAL REPORT | AUGUST 31, 2013 | 81 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Range Resources Corp.: | ||||||||||||||
8.00%, 5/15/19 | USD | 20 | $ | 21,500 | ||||||||||
6.75%, 8/01/20 | 20 | 21,550 | ||||||||||||
5.75%, 6/01/21 | 160 | 167,600 | ||||||||||||
5.00%, 8/15/22 | 54 | 52,785 | ||||||||||||
5.00%, 3/15/23 | 29 | 28,348 | ||||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18 | 20 | 21,450 | ||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a) | 22 | 22,000 | ||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 45 | 43,425 | ||||||||||||
Sabine Pass Liquefaction LLC (a): | ||||||||||||||
5.63%, 2/01/21 | 170 | 162,350 | ||||||||||||
5.63%, 4/15/23 | 100 | 92,750 | ||||||||||||
Sabine Pass LNG LP: | ||||||||||||||
7.50%, 11/30/16 | 305 | 335,881 | ||||||||||||
6.50%, 11/01/20 (a) | 55 | 55,275 | ||||||||||||
SandRidge Energy, Inc.: | ||||||||||||||
8.75%, 1/15/20 | 5 | 5,225 | ||||||||||||
7.50%, 2/15/23 | 52 | 50,310 | ||||||||||||
SESI LLC, 6.38%, 5/01/19 | 35 | 36,838 | ||||||||||||
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a) | 15 | 15,375 | ||||||||||||
SM Energy Co.: | ||||||||||||||
6.63%, 2/15/19 | 32 | 33,440 | ||||||||||||
6.50%, 11/15/21 | 45 | 47,250 | ||||||||||||
6.50%, 1/01/23 | 53 | 54,590 | ||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a) | 45 | 45,675 | ||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a) | 26 | 25,935 | ||||||||||||
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20 | 40 | 40,500 | ||||||||||||
4,332,524 | ||||||||||||||
Paper & Forest Products — 0.6% | ||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a) | 83 | 87,565 | ||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 5 | 5,363 | ||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 15 | 15,788 | ||||||||||||
Clearwater Paper Corp.: | ||||||||||||||
7.13%, 11/01/18 | 95 | 102,125 | ||||||||||||
4.50%, 2/01/23 | 5 | 4,525 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (d)(h) | 337 | — | ||||||||||||
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (a) | 25 | 23,250 | ||||||||||||
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a) | 45 | 45,112 | ||||||||||||
283,728 | ||||||||||||||
Pharmaceuticals — 1.9% | ||||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | 108 | 122,040 | ||||||||||||
Valeant Pharmaceuticals International (a): | ||||||||||||||
6.88%, 12/01/18 | 156 | 165,360 | ||||||||||||
6.38%, 10/15/20 | 47 | 47,764 | ||||||||||||
VPII Escrow Corp. (a): | ||||||||||||||
6.75%, 8/15/18 | 403 | 426,676 | ||||||||||||
7.50%, 7/15/21 | 25 | 26,750 | ||||||||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18 | 102 | 111,435 | ||||||||||||
900,025 | ||||||||||||||
Professional Services — 0.2% | ||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 | 90 | 95,625 | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.8% | ||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a) | 46 | 47,035 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Real Estate Investment Trusts (REITs) (concluded) | ||||||||||||||
Felcor Lodging LP: | ||||||||||||||
6.75%, 6/01/19 | USD | 181 | $ | 189,598 | ||||||||||
5.63%, 3/01/23 | 41 | 38,130 | ||||||||||||
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(f) | 20 | 27,250 | ||||||||||||
iStar Financial, Inc., 4.88%, 7/01/18 | 67 | 64,990 | ||||||||||||
367,003 | ||||||||||||||
Real Estate Management & Development — 2.6% | ||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 55 | 58,438 | ||||||||||||
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a) | 145 | 155,875 | ||||||||||||
Realogy Corp. (a): | ||||||||||||||
7.88%, 2/15/19 | 425 | 462,187 | ||||||||||||
7.63%, 1/15/20 | 120 | 134,400 | ||||||||||||
9.00%, 1/15/20 | 55 | 63,525 | ||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a) | 56 | 55,580 | ||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 | 230 | 252,425 | ||||||||||||
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a) | 75 | 74,625 | ||||||||||||
1,257,055 | ||||||||||||||
Road & Rail — 1.0% | ||||||||||||||
The Hertz Corp.: | ||||||||||||||
7.50%, 10/15/18 | 130 | 140,400 | ||||||||||||
6.75%, 4/15/19 | 50 | 53,312 | ||||||||||||
5.88%, 10/15/20 | 10 | 10,263 | ||||||||||||
7.38%, 1/15/21 | 170 | 183,600 | ||||||||||||
6.25%, 10/15/22 | 45 | 45,787 | ||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a) | 34 | 33,575 | ||||||||||||
466,937 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.6% | ||||||||||||||
NXP BV/NXP Funding LLC (a): | ||||||||||||||
3.75%, 6/01/18 | 115 | 111,119 | ||||||||||||
5.75%, 2/15/21 | 200 | 200,000 | ||||||||||||
311,119 | ||||||||||||||
Software — 2.1% | ||||||||||||||
BMC Software Finance, Inc., 8.13%, 7/15/21 (a) | 120 | 121,500 | ||||||||||||
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(g) | 55 | 55,825 | ||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 71 | 65,497 | ||||||||||||
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(g) | 47 | 48,058 | ||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 400 | 445,000 | ||||||||||||
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a) | 27 | 27,878 | ||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 155 | 147,637 | ||||||||||||
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a) | 78 | 84,630 | ||||||||||||
996,025 | ||||||||||||||
Specialty Retail — 3.2% | ||||||||||||||
Asbury Automotive Group, Inc.: | ||||||||||||||
7.63%, 3/15/17 | 60 | 61,651 | ||||||||||||
8.38%, 11/15/20 | 60 | 66,300 | ||||||||||||
Claire’s Stores, Inc. (a): | ||||||||||||||
9.00%, 3/15/19 | 149 | 165,949 | ||||||||||||
7.75%, 6/01/20 | 55 | 54,725 | ||||||||||||
CST Brands, Inc., 5.00%, 5/01/23 (a) | 61 | 57,950 | ||||||||||||
House of Fraser Funding PLC, 8.88%, 8/15/18 | GBP | 100 | 164,028 | |||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 140 | 165,375 | |||||||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(g) | 99 | 99,000 | ||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 39 | 41,974 | ||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(g) | 37 | 38,017 | ||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (a) | 173 | 185,326 |
82 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail (concluded) | |||||||||||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(g) | USD | 46 | $ | 45,482 | |||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 | 51 | 50,490 | |||||||||||||
QVC, Inc. (a): | |||||||||||||||
7.50%, 10/01/19 | 100 | 107,808 | |||||||||||||
7.38%, 10/15/20 | 55 | 59,760 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc.: | |||||||||||||||
6.88%, 11/15/19 | 90 | 98,100 | |||||||||||||
5.75%, 6/01/22 | 83 | 83,104 | |||||||||||||
1,545,039 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | 75 | 79,688 | |||||||||||||
PVH Corp., 4.50%, 12/15/22 | 41 | 37,976 | |||||||||||||
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a) | 20 | 20,625 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a) | 82 | 80,975 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (a) | 42 | 42,210 | |||||||||||||
261,474 | |||||||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||||||
Radian Group, Inc. (f): | |||||||||||||||
3.00%, 11/15/17 | 10 | 13,844 | |||||||||||||
2.25%, 3/01/19 | 12 | 17,160 | |||||||||||||
31,004 | |||||||||||||||
Trading Companies & Distributors — 1.2% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 100 | 104,000 | |||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (a) | 90 | 95,175 | |||||||||||||
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a): | |||||||||||||||
Series 2012-1, Class A, 5.13%, 11/30/24 | 194 | 191,026 | |||||||||||||
Series 2012-1, Class B, 6.50%, 5/30/21 | 181 | 182,328 | |||||||||||||
572,529 | |||||||||||||||
Transportation Infrastructure — 0.6% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 | 150 | 156,375 | |||||||||||||
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a) | 120 | 123,000 | |||||||||||||
279,375 | |||||||||||||||
Wireless Telecommunication Services — 5.1% | |||||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 187 | 176,715 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 200 | 212,000 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (a) | 200 | 193,000 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 75 | 77,813 | |||||||||||||
NII Capital Corp., 7.63%, 4/01/21 | 35 | 26,775 | |||||||||||||
Phones4u Finance PLC, 9.50%, 4/01/18 | GBP | 100 | 160,394 | ||||||||||||
Softbank Corp., 4.50%, 4/15/20 (a) | USD | 200 | 189,088 | ||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 | 173 | 156,132 | |||||||||||||
Sprint Communications, Inc. (a): | |||||||||||||||
9.00%, 11/15/18 | 698 | 814,915 | |||||||||||||
7.00%, 3/01/20 | 329 | 353,675 | |||||||||||||
T-Mobile USA, Inc., 5.25%, 9/01/18 (a) | 60 | 60,600 | |||||||||||||
2,421,107 | |||||||||||||||
Total Corporate Bonds — 108.2% | 51,799,178 | ||||||||||||||
Floating Rate Loan Interests (c) | |||||||||||||||
Airlines — 1.1% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 95 | 95,563 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.30%, 3/10/17 | 213 | 196,628 | |||||||||||||
1.68%, 9/10/18 | 267 | 236,087 | |||||||||||||
528,278 | |||||||||||||||
Auto Components — 0.1% | |||||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 25 | 25,039 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | USD | 70 | $ | 69,055 | |||||||||||
Capital Markets — 0.8% | |||||||||||||||
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 237 | 237,789 | |||||||||||||
Knight Capital Group, Inc., Term Loan B, 5.75%, 12/05/17 | 60 | 59,738 | |||||||||||||
Nuveen Investments, Inc.: | |||||||||||||||
2nd Lien Term Loan, 6.50%, 2/28/19 | 50 | 49,708 | |||||||||||||
Term Loan, 4.18%, 5/15/17 | 16 | 15,764 | |||||||||||||
362,999 | |||||||||||||||
Chemicals — 0.0% | |||||||||||||||
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20 | 10 | 10,100 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 10 | 10,040 | |||||||||||||
20,140 | |||||||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 93 | 92,567 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 45 | 45,141 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 70 | 69,634 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 40 | 40,038 | |||||||||||||
247,380 | |||||||||||||||
Communications Equipment — 1.3% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
Term Loan C, 5.75%, 1/30/19 | 234 | 234,777 | |||||||||||||
Term Loan D, 6.25%, 1/30/19 | EUR | 90 | 118,620 | ||||||||||||
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18 | USD | 20 | 18,567 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19 | 241 | 241,688 | |||||||||||||
613,652 | |||||||||||||||
Construction Materials — 0.3% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 163 | 163,572 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19 | 45 | 44,775 | |||||||||||||
Diversified Consumer Services — 0.3% | |||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 25 | 24,530 | |||||||||||||
ServiceMaster Co.: | |||||||||||||||
Extended Term Loan, 4.44%, 1/31/17 | 30 | 29,142 | |||||||||||||
Term Loan, 4.25%, 1/31/17 | 80 | 77,172 | |||||||||||||
130,844 | |||||||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2016 Term Loan B, 4.00%, 1/15/20 | 70 | 69,942 | |||||||||||||
2019 Term Loan B, 4.00%, 8/01/19 | 40 | 39,925 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 70 | 69,927 | |||||||||||||
179,794 | |||||||||||||||
Energy Equipment & Services — 0.1% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 30 | 29,800 | |||||||||||||
Food & Staples Retailing — 0.0% | |||||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 20 | 20,494 | |||||||||||||
Food Products — 0.1% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 35 | 35,119 |
ANNUAL REPORT | AUGUST 31, 2013 | 83 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Health Care Equipment & Supplies — 0.4% | ||||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | USD | 128 | $ | 127,898 | ||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 45 | 44,105 | ||||||||||||
172,003 | ||||||||||||||
Health Care Providers & Services — 0.2% | ||||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17 | 42 | 42,997 | ||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 79 | 76,856 | ||||||||||||
119,853 | ||||||||||||||
Hotels, Restaurants & Leisure — 4.3% | ||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 75 | 74,860 | ||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 70 | 70,087 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 200 | 199,500 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 1,196 | 1,137,994 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 84 | 83,958 | ||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 90 | 90,224 | ||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 105 | 105,307 | ||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 | 155 | 155,644 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc.: | ||||||||||||||
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (g) | 71 | 71,331 | ||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 12 | 12,033 | ||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 50 | 50,475 | ||||||||||||
2,051,413 | ||||||||||||||
Industrial Conglomerates — 0.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 94 | 94,298 | ||||||||||||
Insurance — 0.1% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 55 | 54,896 | ||||||||||||
IT Services — 0.4% | ||||||||||||||
Ceridian Corp., Term Loan B, 4.43%, 5/09/17 | 50 | 49,948 | ||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18 | 130 | 128,627 | ||||||||||||
178,575 | ||||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 35 | 34,998 | ||||||||||||
Machinery — 1.3% | ||||||||||||||
Gardner Denver, Inc., Term Loan: | ||||||||||||||
4.25%, 7/30/20 | 203 | 201,515 | ||||||||||||
4.75%, 7/30/20 | EUR | 225 | 296,911 | |||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20 | 123 | 121,376 | ||||||||||||
619,802 | ||||||||||||||
Media — 1.5% | ||||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 | 59 | 42,154 | ||||||||||||
Tranche 1 Incremental, 6.00%, 7/03/14 | 238 | 167,734 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.83%, 1/29/16 | 23 | 21,257 | ||||||||||||
Term Loan C, 3.83%, 1/29/16 | 16 | 14,273 | ||||||||||||
Term Loan D, 6.93%, 1/30/19 | 217 | 198,581 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 45 | 44,808 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 9 | 8,406 | ||||||||||||
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20 | 100 | 100,083 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | USD | 40 | $ | 41,000 | ||||||||||
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 39 | 38,754 | ||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20 | 20 | 19,899 | ||||||||||||
696,949 | ||||||||||||||
Metals & Mining — 0.8% | ||||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 150 | 152,992 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 232 | 233,225 | ||||||||||||
386,217 | ||||||||||||||
Oil, Gas & Consumable Fuels — 1.4% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 325 | 330,957 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 113 | 112,859 | ||||||||||||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 40 | 40,175 | ||||||||||||
Vantage Drilling Co.: | ||||||||||||||
Term Loan, 6.25%, 10/26/17 | 144 | 145,059 | ||||||||||||
Term Loan B, 5.75%, 3/22/19 | 60 | 60,299 | ||||||||||||
689,349 | ||||||||||||||
Pharmaceuticals — 0.4% | ||||||||||||||
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 | 30 | 29,916 | ||||||||||||
Par Pharmaceutical Co., Inc., Term Loan B, 4.25%, 9/30/19 | 119 | 118,469 | ||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 49 | 49,154 | ||||||||||||
197,539 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | ||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 114 | 114,380 | ||||||||||||
Real Estate Management & Development — 0.1% | ||||||||||||||
Realogy Corp.: | ||||||||||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 14 | 14,467 | ||||||||||||
Extended Term Loan, 4.50%, 3/05/20 | 55 | 55,164 | ||||||||||||
69,631 | ||||||||||||||
Road & Rail — 0.1% | �� | |||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 | 45 | 45,140 | ||||||||||||
Software — 0.4% | ||||||||||||||
BMC Software, Inc., Term Loan, 5.00%, 8/07/20 | 25 | 24,948 | ||||||||||||
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20 | 10 | 10,150 | ||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 80 | 80,357 | ||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 85 | 87,869 | ||||||||||||
203,324 | ||||||||||||||
Specialty Retail — 0.3% | ||||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 90 | 90,019 | ||||||||||||
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | 45 | 44,879 | ||||||||||||
134,898 | ||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 183 | 174,923 | ||||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 100 | 100,698 | ||||||||||||
Total Floating Rate Loan Interests — 18.0% | 8,609,827 |
84 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) (Percentages shown are based on Net Assets) |
Investment Companies — 0.3% | Shares | Value | |||||||||||||
Exchange-Traded Fund — 0.3% | |||||||||||||||
iShares MSCI EAFE Index Fund (i) | 2,020 | $ | 119,523 | ||||||||||||
Preferred Securities | |||||||||||||||
Preferred Stocks | |||||||||||||||
Auto Components — 1.3% | |||||||||||||||
Dana Holding Corp., 4.00% (a)(f) | 3,660 | 643,016 | |||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 1.3% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 23,640 | 624,296 | |||||||||||||
Total Preferred Securities — 2.6% | 1,267,312 | ||||||||||||||
Warrants — 0.0% (j) | Shares | Value | |||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 176 | — | |||||||||||||
Total Long-Term Investments (Cost — $64,318,903) — 137.2% | $ | 65,673,981 | |||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (i)(k) | 1,556,206 | 1,556,206 | |||||||||||||
Total Short-Term Securities (Cost — $1,556,206) — 3.2% | 1,556,206 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $2,933) — 0.0% | — | ||||||||||||||
Total Investments (Cost — $65,878,042) — 140.4% | 67,230,187 | ||||||||||||||
Liabilities in Excess of Other Assets — (40.4)% | (19,340,820 | ) | |||||||||||||
Net Assets — 100.0% | $ | 47,889,367 |
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) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
J.P. Morgan Securities LLC | $ | 297,297 | — |
(c) | Variable rate security. Rate shown is as of report date. | |||||
(d) | Non-income producing security. | |||||
(e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(f) | Convertible security. | |||||
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(h) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||||
(i) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Shares Purchased | | Shares Sold | | Shares Held at August 31, 2013 | | Value at August 31, 2013 | | Income | | Realized Gain (Loss) | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,204,968 | 351,238 | 1 | — | 1,556,206 | $ | 1,556,206 | $ | 536 | $ | 12 | |||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF2 | — | 4,699 | (4,699 | ) | — | — | $ | 2,251 | $ | (6,629 | ) | |||||||||||||||||
iShares MSCI EAFE Index Fund | — | 2,020 | — | 2,020 | $ | 119,523 | — | — |
1 | Represents net shares purchased. |
2 | No longer held by the Trust as of report date. |
(j) | 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. | |||||
(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. |
ANNUAL REPORT | AUGUST 31, 2013 | 85 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) |
• | Financial futures contracts as of August 31, 2013 were as follows: |
Contracts Sold | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | ||||
(20) | S&P 500 E-Mini Index | Chicago Mercantile | September 2013 | USD | 1,631,300 | $51,847 | ||||||||
(2) | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 439,500 | (29) | ||||||||
(6) | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 718,078 | 883 | ||||||||
(4) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 497,125 | (256) | ||||||||
Total | $52,445 |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | ||||
USD | 296,334 | EUR | 222,000 | Barclays Bank PLC | 9/25/13 | $ | 2,908 | |||||
USD | 972,812 | EUR | 724,000 | UBS AG | 9/25/13 | 15,871 | ||||||
USD | 580,582 | GBP | 385,000 | Deutsche Bank AG | 10/22/13 | (15,831 | ) | |||||
Total | $ | 2,948 |
• | Over-the-counter options purchased as of August 31, 2013 were as follows: |
Description | | Counterparty | | Put/Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||||
Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 3 | — |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Appreciation (Depreciation) | ||||
Clear Channel Communications, Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | USD | 18 | $2,565 | $2,359 | $ | 206 | |||||||||
Clear Channel Communications, Inc. | 5.00% | Deutsche Bank AG | 3/20/16 | USD | 35 | 5,130 | 4,555 | 575 | ||||||||||
The New York Times Co. | 1.00% | Barclays Bank PLC | 12/20/16 | USD | 225 | 1,423 | 10,372 | (8,949 | ) | |||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 11 | 2,695 | 3,337 | (642 | ) | |||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 11 | 2,695 | 3,286 | (591 | ) | |||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/18 | USD | 11 | 2,695 | 2,977 | (282 | ) | |||||||||
Total | $17,203 | $26,886 | $ | (9,683 | ) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Received | | Unrealized Appreciation (Depreciation) | | |||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 9/20/15 | CCC- | USD | 34 | $ | (5,387 | ) | $ | (8,121 | ) | $ | 2,734 | ||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 11 | (1,144 | ) | (1,668 | ) | 524 | |||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 11 | (1,144 | ) | (1,670 | ) | 526 | |||||||||||||
RadioShack Corp. | 5.00% | Deutsche Bank AG | 9/20/15 | CCC | USD | 11 | (1,144 | ) | (1,368 | ) | 224 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 12/20/15 | CCC- | USD | 95 | (18,006 | ) | (20,901 | ) | 2,895 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 46 | (8,722 | ) | (13,182 | ) | 4,460 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 13 | (2,418 | ) | (3,168 | ) | 750 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 12 | (2,641 | ) | (2,499 | ) | (142 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 11 | (2,564 | ) | (2,154 | ) | (410 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 17 | (3,867 | ) | (4,114 | ) | 247 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 17 | (3,867 | ) | (4,114 | ) | 247 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 53 | (11,886 | ) | (12,054 | ) | 168 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 26 | (5,847 | ) | (5,639 | ) | (208 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 74 | (16,669 | ) | (12,981 | ) | (3,688 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 3/20/16 | CCC- | USD | 13 | (2,907 | ) | (2,647 | ) | (260 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 6/20/16 | CCC- | USD | 30 | (7,816 | ) | (5,772 | ) | (2,044 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 35 | (9,161 | ) | (8,815 | ) | (346 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 70 | (18,237 | ) | (16,996 | ) | (1,241 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 74 | (19,406 | ) | (18,337 | ) | (1,069 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 21 | (5,341 | ) | (4,192 | ) | (1,149 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/17 | CCC- | USD | 11 | (4,038 | ) | (3,304 | ) | (734 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 33 | (11,779 | ) | (9,197 | ) | (2,582 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 40 | (14,174 | ) | (12,438 | ) | (1,736 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 23 | (8,222 | ) | (6,828 | ) | (1,394 | ) |
86 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock High Yield Trust (BHY) |
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows (concluded): |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Received | | Unrealized Appreciation (Depreciation) | | |||||||
Crown Castle International Corp. | 7.25% | Deutsche Bank AG | 3/20/17 | B | USD | 80 | $ | 13,015 | — | $ | 13,015 | |||||||||||||
CCO Holdings LLC | 8.00% | Deutsche Bank AG | 9/20/17 | BB- | USD | 280 | 57,209 | — | 57,209 | |||||||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 15 | (1,706 | ) | $ | (1,411 | ) | (295 | ) | |||||||||||
Markit CMBX North America AAA Index Series 3 | 0.50% | Citibank N.A. | 12/13/49 | BBB- | USD | 25 | (2,844 | ) | (2,367 | ) | (477 | ) | ||||||||||||
Total | $ | (120,713 | ) | $ | (185,937 | ) | $ | 65,224 |
1 | Using S&P’s rating of the issuer or 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. |
• | 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 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 August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | — | $ | 297,297 | $ | 297,297 | ||||||||||||
Common Stocks | $ | 3,179,739 | $ | 244,382 | 156,723 | 3,580,844 | ||||||||||||
Corporate Bonds | — | 51,535,005 | 264,173 | 51,799,178 | ||||||||||||||
Floating Rate Loan Interests | — | 7,197,445 | 1,412,382 | 8,609,827 | ||||||||||||||
Investment Companies | 119,523 | — | — | 119,523 | ||||||||||||||
Preferred Securities | 624,296 | 643,016 | — | 1,267,312 | ||||||||||||||
Short-Term Securities | 1,556,206 | — | — | 1,556,206 | ||||||||||||||
Unfunded Loan Commitments | — | 1,304 | — | 1,304 | ||||||||||||||
Total | $ | 5,479,764 | $ | 59,621,152 | $ | 2,130,575 | $ | 67,231,491 | ||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments3 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 13,556 | $ | 70,224 | $ | 83,780 | |||||||||||
Equity contracts | $ | 51,847 | — | — | 51,847 | |||||||||||||
Foreign currency exchange contracts | — | 18,779 | — | 18,779 | ||||||||||||||
Interest rate contracts | 883 | — | — | 883 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (28,239 | ) | — | (28,239 | ) | ||||||||||||
Foreign currency exchange contracts | — | (15,831 | ) | — | (15,831 | ) | ||||||||||||
Interest rate contracts | (285 | ) | — | — | (285 | ) | ||||||||||||
Total | $ | 52,445 | $ | (11,735 | ) | $ | 70,224 | $ | 110,934 |
3 | Derivative financial instruments are swaps, financial futures contracts, and foreign currency exchange contracts. Swaps, financial futures contracts, and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
ANNUAL REPORT | AUGUST 31, 2013 | 87 |
Schedule of Investments (concluded) | BlackRock High Yield Trust (BHY) |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 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 | $ | 13,531 | — | — | $ | 13,531 | ||||||||||||
Cash pledged for financial futures contracts | 85,000 | — | — | 85,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Loan payable | — | $ | (19,000,000 | ) | — | (19,000,000 | ) | |||||||||||
Total | $ | 98,531 | $ | (19,000,000 | ) | — | $ | (18,901,469 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| | Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Warrants | | Total | ||||||||||||||
Assets: | ||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | — | $ | 1 | $ | 638,018 | $ | 1,898,540 | $ | 1 | $ | 2,536,560 | |||||||||||||||
Transfers into Level 3 | — | — | 247,288 | 182,845 | — | 430,133 | ||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (136,510 | ) | — | (136,510 | ) | ||||||||||||||||||
Accrued discounts/premiums | — | — | 8,721 | — | 8,721 | |||||||||||||||||||||
Net realized gain (loss) | — | (1,069 | ) | 1,255 | 17,394 | (1 | ) | 17,579 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation1 | — | 98,752 | (224,212 | ) | 88,162 | — | (37,298 | ) | ||||||||||||||||||
Purchases | $ | 297,297 | 59,040 | 150,000 | 1,081,898 | — | 1,588,235 | |||||||||||||||||||
Sales | — | (1 | ) | (548,176 | ) | (1,728,668 | ) | — | (2,276,845 | ) | ||||||||||||||||
Closing Balance, as of August 31, 2013 | $ | 297,297 | $ | 156,723 | $ | 264,173 | $ | 1,412,382 | — | $ | 2,130,575 |
1 | 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 August 31, 2013 was $(124,223). |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. | ||
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 3 | — | |||||
Transfers out of Level 3 | — | |||||
Accrued discounts/premiums | — | |||||
Net realized gain (loss) | — | |||||
Net change in unrealized appreciation/depreciation2 | (20,415 | ) | ||||
Purchases | — | |||||
Issues3 | — | |||||
Sales | — | |||||
Settlements4 | — | |||||
Closing Balance, as of August 31, 2013 | $ | 70,224 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $46,274. |
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. |
88 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments August 31, 2013 | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 6.9% | |||||||||||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a) | USD | 670 | $ | 683,407 | |||||||||||
ACAS CLO Ltd., Series 2013-1A, Class C, 3.24%, 4/20/25 (a)(b) | 500 | 480,000 | |||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17 | 400 | 415,284 | |||||||||||||
Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b) | 600 | 596,100 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b) | 750 | 712,875 | |||||||||||||
Babson CLO Ltd., Series 2012-1X, Class B, 2.77%, 4/15/22 (b) | 500 | 492,500 | |||||||||||||
Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.92%, 4/17/25 (a)(b) | 500 | 474,400 | |||||||||||||
CarMax Auto Owner Trust, Series 2012-1: | |||||||||||||||
Class B, 1.76%, 8/15/17 | 210 | 212,091 | |||||||||||||
Class C, 2.20%, 10/16/17 | 125 | 126,935 | |||||||||||||
Class D, 3.09%, 8/15/18 | 160 | 164,060 | |||||||||||||
Cavalry CLO Ltd., Series 2A (a)(b): | |||||||||||||||
Class C, 3.12%, 1/17/24 | 1,040 | 995,800 | |||||||||||||
Class D, 4.27%, 1/17/24 | 765 | 743,962 | |||||||||||||
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25 | 1,105 | 1,061,320 | |||||||||||||
CIFC Funding Ltd. (a)(b): | |||||||||||||||
Series 2012-1A, Class B1L, 5.51%, 8/14/24 | 750 | 752,812 | |||||||||||||
Series 2013-1A, Class B, 3.09%, 4/16/25 | 500 | 495,450 | |||||||||||||
Series 2013-1A, Class C, 3.88%, 4/16/25 | 500 | 502,400 | |||||||||||||
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a) | 1,023 | 1,023,764 | |||||||||||||
DT Auto Owner Trust, Series 2011-3A, Class C, 4.03%, 2/15/17 (a) | 260 | 261,246 | |||||||||||||
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.51%, 11/14/21 (a)(b) | 500 | 479,750 | |||||||||||||
Ford Credit Floorplan Master Owner Trust: | |||||||||||||||
Series 2012-1, Class B, 1.08%, 1/15/16 (b) | 180 | 180,255 | |||||||||||||
Series 2012-1, Class C, 1.68%, 1/15/16 (b) | 480 | 481,561 | |||||||||||||
Series 2012-1, Class D, 2.28%, 1/15/16 (b) | 450 | 452,410 | |||||||||||||
Series 2012-2, Class B, 2.32%, 1/15/19 | 245 | 248,906 | |||||||||||||
Series 2012-2, Class C, 2.86%, 1/15/19 | 105 | 107,272 | |||||||||||||
Series 2012-2, Class D, 3.50%, 1/15/19 | 200 | 205,550 | |||||||||||||
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.88%, 4/15/25 (a)(b) | 500 | 476,250 | |||||||||||||
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.29%, 7/25/37 (b) | 4 | 4,303 | |||||||||||||
ING IM CLO Ltd., Series 2012-2A, Class C, 3.72%, 10/15/22 (a)(b) | 750 | 754,500 | |||||||||||||
Nelnet Student Loan Trust (b): | |||||||||||||||
Series 2006-1, Class A5, 0.37%, 8/23/27 | 525 | 510,692 | |||||||||||||
Series 2008-3, Class A4, 1.91%, 11/25/24 | 620 | 651,970 | |||||||||||||
OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b) | 500 | 488,750 | |||||||||||||
OZLM Funding Ltd., Series 2013-3A, Class B, 3.37%, 1/22/25 (a)(b) | 750 | 731,400 | |||||||||||||
PFS Financing Corp., Series 2012-AA, Class A, 1.38%, 2/15/16 (a)(b) | 480 | 480,969 | |||||||||||||
Santander Consumer Acquired Receivables Trust (a): | |||||||||||||||
Series 2011-S1A, Class B, 1.66%, 8/15/16 | 407 | 408,876 | |||||||||||||
Series 2011-S1A, Class C, 2.01%, 8/15/16 | 267 | 267,984 | |||||||||||||
Series 2011-S1A, Class D, 3.15%, 8/15/16 | 276 | 277,412 | |||||||||||||
Series 2011-WO, Class C, 3.19%, 10/15/15 | 575 | 581,963 | |||||||||||||
Santander Drive Auto Receivables Trust: | |||||||||||||||
Series 2010-2, Class B, 2.24%, 12/15/14 | 253 | 253,723 | |||||||||||||
Series 2010-2, Class C, 3.89%, 7/17/17 | 1,020 | 1,041,975 | |||||||||||||
Series 2010-B, Class C, 3.02%, 10/17/16 (a) | 604 | 610,530 | |||||||||||||
Series 2011-1, Class D, 4.01%, 2/15/17 | 940 | 965,560 | |||||||||||||
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) | 137 | 137,726 | |||||||||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) | 26 | 25,903 | |||||||||||||
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 | 362 | $ | 364,261 | |||||||||||
Series 2012-1, Class B, 2.72%, 5/16/16 | 240 | 243,836 | |||||||||||||
Series 2012-1, Class C, 3.78%, 11/15/17 | 325 | 332,170 | |||||||||||||
SLM Student Loan Trust: | |||||||||||||||
Series 2004-B, Class A2, 0.45%, 6/15/21 (b) | 152 | 149,735 | |||||||||||||
Series 2008-5, Class A3, 1.57%, 1/25/18 (b) | 525 | 530,690 | |||||||||||||
Series 2008-5, Class A4, 1.97%, 7/25/23 (b) | 630 | 662,153 | |||||||||||||
Series 2012-A, Class A1, 1.58%, 8/15/25 (a)(b) | 260 | 261,875 | |||||||||||||
Series 2012-A, Class A2, 3.83%, 1/17/45 (a) | 345 | 361,920 | |||||||||||||
Small Business Administration Participation Certificates, Class 1, Series 1996-20K, 6.95%, 11/01/16 | 115 | 121,359 | |||||||||||||
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.86%, 7/28/21 (a)(b) | 750 | 717,660 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22 | 1,180 | 1,227,888 | |||||||||||||
25,994,143 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | 3,409 | 240,749 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a) | 5,330 | 353,124 | |||||||||||||
593,873 | |||||||||||||||
Total Asset-Backed Securities — 7.1% | 26,588,016 | ||||||||||||||
Common Stocks | Shares | ||||||||||||||
Paper & Forest Products — 0.1% | |||||||||||||||
NewPage Corp. (c) | 4,960 | 396,800 | |||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | USD | 230 | 248,400 | ||||||||||||
United Technologies Corp. (d): | |||||||||||||||
4.88%, 5/01/15 | 1,250 | 1,337,602 | |||||||||||||
6.13%, 7/15/38 | 750 | 913,877 | |||||||||||||
2,499,879 | |||||||||||||||
Airlines — 1.7% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 7/15/24 (a) | 2,000 | 1,980,000 | |||||||||||||
Continental Airlines Pass-Through Trust: | |||||||||||||||
Series 2010-1, Class B, 6.00%, 7/12/20 | 521 | 534,172 | |||||||||||||
Series 2012-3, Class C, 6.13%, 4/29/18 | 500 | 507,250 | |||||||||||||
United Airlines 2013-1 Class A Pass Through Trust, 4.30%, 2/15/27 | 2,000 | 1,965,000 | |||||||||||||
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 | 1,552 | 1,613,895 | |||||||||||||
6,600,317 | |||||||||||||||
Auto Components — 0.3% | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 1,000 | 1,052,500 | |||||||||||||
Automobiles — 0.5% | |||||||||||||||
Ford Motor Co., 4.75%, 1/15/43 | 2,005 | 1,772,470 | |||||||||||||
Building Products — 0.2% | |||||||||||||||
Cemex SAB de CV, 5.88%, 3/25/19 (a) | 200 | 189,500 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 250 | 259,375 | |||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 326 | 356,155 | |||||||||||||
805,030 |
ANNUAL REPORT | AUGUST 31, 2013 | 89 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Capital Markets — 3.8% | ||||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d) | USD | 2,955 | $ | 3,375,177 | ||||||||||
The Goldman Sachs Group, Inc. (d): | ||||||||||||||
5.38%, 3/15/20 | 1,215 | 1,321,834 | ||||||||||||
5.25%, 7/27/21 | 3,175 | 3,392,688 | ||||||||||||
5.75%, 1/24/22 | 1,815 | 1,993,316 | ||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (a) | 186 | 182,745 | ||||||||||||
Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (c)(e) | 225 | — | ||||||||||||
Morgan Stanley: | ||||||||||||||
4.20%, 11/20/14 | 680 | 705,698 | ||||||||||||
4.00%, 7/24/15 | 400 | 417,811 | ||||||||||||
6.25%, 8/28/17 (d) | 1,925 | 2,174,018 | ||||||||||||
Murray Street Investment Trust I, 4.65%, 3/09/17 (d) | 820 | 870,097 | ||||||||||||
14,433,384 | ||||||||||||||
Chemicals — 1.3% | ||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a) | 152 | 140,980 | ||||||||||||
The Dow Chemical Co., 4.13%, 11/15/21 | 350 | 355,832 | ||||||||||||
Huntsman International LLC, 4.88%, 11/15/20 | 297 | 282,892 | ||||||||||||
Methanex Corp., 3.25%, 12/15/19 | 2,074 | 2,018,944 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a) | 240 | 240,000 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a) | 161 | 155,767 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 1,481 | 1,455,082 | ||||||||||||
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 7.38%, 5/01/21 (a) | 151 | 154,398 | ||||||||||||
4,803,895 | ||||||||||||||
Commercial Banks — 3.2% | ||||||||||||||
CIT Group, Inc.: | ||||||||||||||
5.50%, 2/15/19 (a) | 398 | 407,950 | ||||||||||||
5.38%, 5/15/20 | 1,650 | 1,658,250 | ||||||||||||
Depfa ACS Bank, 5.13%, 3/16/37 (a) | 4,150 | 3,449,687 | ||||||||||||
HSBC Bank Brasil SA—Banco Multiplo, 4.00%, 5/11/16 (a)(d) | 1,400 | 1,433,600 | ||||||||||||
HSBC Bank PLC, 3.10%, 5/24/16 (a)(d) | 695 | 728,220 | ||||||||||||
HSBC Holdings PLC, 6.10%, 1/14/42 (d) | 305 | 360,482 | ||||||||||||
Rabobank Nederland (d): | ||||||||||||||
3.88%, 2/08/22 | 1,390 | 1,379,692 | ||||||||||||
3.95%, 11/09/22 | 1,500 | 1,429,470 | ||||||||||||
Wells Fargo & Co., 3.50%, 3/08/22 (d) | 1,390 | 1,380,983 | ||||||||||||
12,228,334 | ||||||||||||||
Commercial Services & Supplies — 1.4% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 245 | 258,475 | ||||||||||||
The ADT Corp., 4.88%, 7/15/42 | 539 | 394,091 | ||||||||||||
Aviation Capital Group Corp. (a): | ||||||||||||||
4.63%, 1/31/18 | 650 | 648,706 | ||||||||||||
7.13%, 10/15/20 | 900 | 979,228 | ||||||||||||
The Hertz Corp., 4.25%, 4/01/18 (a) | 237 | 232,260 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 1,320 | 1,438,800 | ||||||||||||
UR Merger Sub Corp.: | ||||||||||||||
5.75%, 7/15/18 | 194 | 207,095 | ||||||||||||
7.38%, 5/15/20 | 385 | 414,837 | ||||||||||||
7.63%, 4/15/22 | 455 | 489,125 | ||||||||||||
West Corp., 8.63%, 10/01/18 | 135 | 146,138 | ||||||||||||
5,208,755 | ||||||||||||||
Communications Equipment — 1.3% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (f) | 4,340 | 4,394,250 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 530 | 575,050 | ||||||||||||
4,969,300 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
ABB Finance USA, Inc., 4.38%, 5/08/42 | 194 | 182,515 | ||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a) | 200 | 201,000 | ||||||||||||
383,515 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Construction Materials — 1.1% | ||||||||||||||
HD Supply, Inc.: | ||||||||||||||
8.13%, 4/15/19 | USD | 1,954 | $ | 2,173,825 | ||||||||||
7.50%, 7/15/20 (a) | 1,544 | 1,613,480 | ||||||||||||
11.50%, 7/15/20 | 250 | 296,250 | ||||||||||||
Lafarge SA, 7.13%, 7/15/36 | 135 | 140,400 | ||||||||||||
4,223,955 | ||||||||||||||
Consumer Finance — 0.9% | ||||||||||||||
Discover Financial Services, 3.85%, 11/21/22 | 250 | 235,873 | ||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
6.63%, 8/15/17 | 280 | 316,180 | ||||||||||||
8.13%, 1/15/20 | 1,265 | 1,538,045 | ||||||||||||
4.25%, 9/20/22 | 800 | 779,513 | ||||||||||||
SLM Corp., 6.25%, 1/25/16 | 651 | 693,315 | ||||||||||||
3,562,926 | ||||||||||||||
Containers & Packaging — 0.5% | ||||||||||||||
Ardagh Packaging Finance PLC, 7.38%, 10/15/17 (a) | EUR | 425 | 597,931 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 91 | 95,550 | |||||||||||
Sealed Air Corp. (a): | ||||||||||||||
6.50%, 12/01/20 | 550 | 583,000 | ||||||||||||
8.38%, 9/15/21 | 225 | 254,531 | ||||||||||||
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a) | 410 | 410,000 | ||||||||||||
1,941,012 | ||||||||||||||
Diversified Consumer Services — 0.6% | ||||||||||||||
APX Group, Inc., 6.38%, 12/01/19 (a) | 634 | 597,545 | ||||||||||||
Rent-A-Center, Inc., 4.75%, 5/01/21 (a) | 431 | 398,675 | ||||||||||||
Service Corp. International, 4.50%, 11/15/20 | 1,240 | 1,202,800 | ||||||||||||
2,199,020 | ||||||||||||||
Diversified Financial Services — 7.0% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 705 | 734,963 | ||||||||||||
Ally Financial, Inc.: | ||||||||||||||
8.30%, 2/12/15 | 860 | 928,800 | ||||||||||||
5.50%, 2/15/17 | 1,500 | 1,581,193 | ||||||||||||
6.25%, 12/01/17 | 160 | 171,565 | ||||||||||||
8.00%, 3/15/20 | 560 | 644,700 | ||||||||||||
8.00%, 11/01/31 | 300 | 345,000 | ||||||||||||
Bank of America Corp.: | ||||||||||||||
5.63%, 7/01/20 (d) | 1,100 | 1,210,623 | ||||||||||||
3.30%, 1/11/23 | 5,010 | 4,631,404 | ||||||||||||
Citigroup, Inc., Series D, 5.35% (b)(g) | 1,050 | 931,875 | ||||||||||||
FMR LLC, 4.95%, 2/01/33 (a)(d) | 1,150 | 1,121,248 | ||||||||||||
General Electric Capital Corp., 6.75%, 3/15/32 (d) | 2,500 | 2,995,675 | ||||||||||||
General Motors Financial Co., Inc., 4.25%, 5/15/23 (a) | 406 | 365,400 | ||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a) | 500 | 495,000 | ||||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a) | 626 | 615,045 | ||||||||||||
JPMorgan Chase & Co.: | ||||||||||||||
6.30%, 4/23/19 (d) | 1,375 | 1,597,874 | ||||||||||||
Series Q, 5.15%(b)(g) | 1,500 | 1,320,000 | ||||||||||||
JPMorgan Chase Bank NA, 6.00%, 10/01/17 | 800 | 908,500 | ||||||||||||
Macquarie Bank Ltd., 10.25%, 6/20/57 (b) | 900 | 994,500 | ||||||||||||
Moody’s Corp., 4.50%, 9/01/22 | 900 | 890,226 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 | 200 | 212,750 | ||||||||||||
7.88%, 8/15/19 | 560 | 616,000 | ||||||||||||
5.75%, 10/15/20 | 1,000 | 991,250 | �� | |||||||||||
6.88%, 2/15/21 | 1,255 | 1,324,025 | ||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 562 | 647,705 | ||||||||||||
26,275,321 |
90 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Diversified Telecommunication Services — 1.7% | ||||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | USD | 400 | $ | 392,000 | ||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
8.13%, 7/01/19 | 671 | 709,582 | ||||||||||||
8.63%, 7/15/20 | 580 | 620,600 | ||||||||||||
Verizon Communications, Inc. (d): | ||||||||||||||
3.50%, 11/01/21 | 500 | 489,578 | ||||||||||||
6.40%, 2/15/38 | 3,396 | 3,821,356 | ||||||||||||
Windstream Corp., 7.88%, 11/01/17 | 200 | 222,000 | ||||||||||||
6,255,116 | ||||||||||||||
Electric Utilities — 6.4% | ||||||||||||||
The Cleveland Electric Illuminating Co.: | ||||||||||||||
8.88%, 11/15/18 | 121 | 154,429 | ||||||||||||
5.95%, 12/15/36 | 217 | 221,806 | ||||||||||||
CMS Energy Corp., 5.05%, 3/15/22 | 917 | 986,042 | ||||||||||||
Duke Energy Carolinas LLC: | ||||||||||||||
6.10%, 6/01/37 | 325 | 379,088 | ||||||||||||
6.00%, 1/15/38 (d) | 850 | 1,008,542 | ||||||||||||
4.25%, 12/15/41 (d) | 375 | 354,048 | ||||||||||||
E.ON International Finance BV, 6.65%, 4/30/38 (a)(d) | 1,575 | 1,926,671 | ||||||||||||
Electricite de France SA, 5.60%, 1/27/40 (a)(d) | 1,400 | 1,464,350 | ||||||||||||
Florida Power Corp.: | ||||||||||||||
6.35%, 9/15/37 (d) | 1,450 | 1,779,108 | ||||||||||||
6.40%, 6/15/38 | 340 | 418,029 | ||||||||||||
Georgia Power Co., 3.00%, 4/15/16 (d) | 800 | 832,562 | ||||||||||||
Hydro-Quebec (d): | ||||||||||||||
9.40%, 2/01/21 | 390 | 534,052 | ||||||||||||
Series HY 8.40%, 1/15/22 | 730 | 973,567 | ||||||||||||
Series IO 8.05%, 7/07/24 | 1,900 | 2,561,514 | ||||||||||||
Jersey Central Power & Light Co., 7.35%, 2/01/19 | 245 | 290,713 | ||||||||||||
Nisource Finance Corp.: | ||||||||||||||
6.40%, 3/15/18 | 280 | 323,259 | ||||||||||||
5.25%, 2/15/43 | 500 | 483,036 | ||||||||||||
Ohio Power Co., Series D, 6.60%, 3/01/33 | 1,500 | 1,781,007 | ||||||||||||
PacifiCorp., 6.25%, 10/15/37 (d) | 650 | 802,505 | ||||||||||||
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d) | 1,350 | 1,697,941 | ||||||||||||
Southern California Edison Co. (d): | ||||||||||||||
5.63%, 2/01/36 | 675 | 775,730 | ||||||||||||
Series 08-A, 5.95%, 2/01/38 | 1,100 | 1,315,467 | ||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 650 | 857,557 | |||||||||||
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d) | USD | 1,920 | 2,288,150 | |||||||||||
24,209,173 | ||||||||||||||
Energy Equipment & Services — 3.2% | ||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 565 | 569,237 | ||||||||||||
Ensco PLC: | ||||||||||||||
3.25%, 3/15/16 | 160 | 166,609 | ||||||||||||
4.70%, 3/15/21 (d) | 1,745 | 1,845,896 | ||||||||||||
EOG Resources, Inc., 2.63%, 3/15/23 (d) | 1,898 | 1,735,535 | ||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 497 | 530,548 | ||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 71 | 69,935 | ||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 | 580 | 580,000 | ||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (a) | 560 | 569,800 | ||||||||||||
Noble Holding International Ltd., 5.25%, 3/15/42 | 350 | 321,252 | ||||||||||||
Peabody Energy Corp.: | ||||||||||||||
6.00%, 11/15/18 | 1,256 | 1,249,720 | ||||||||||||
6.25%, 11/15/21 | 1,244 | 1,200,460 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 1,590 | 1,601,925 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 384 | 383,040 | ||||||||||||
Transocean, Inc.: | ||||||||||||||
5.05%, 12/15/16 | 850 | 929,661 | ||||||||||||
6.50%, 11/15/20 | 350 | 386,947 | ||||||||||||
12,140,565 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||||
Barry Callebaut Services NV, 5.50%, 6/15/23 (a) | USD | 700 | $ | 704,053 | ||||||||||
Rite Aid Corp., 6.75%, 6/15/21 (a) | 279 | 282,488 | ||||||||||||
986,541 | ||||||||||||||
Food Products — 1.1% | ||||||||||||||
Kraft Foods Group, Inc.: | ||||||||||||||
5.38%, 2/10/20 | 1,570 | 1,762,248 | ||||||||||||
5.00%, 6/04/42 | 997 | 978,284 | ||||||||||||
Pinnacle Foods Finance LLC, 4.88%, 5/01/21 (a) | 224 | 208,320 | ||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | 749 | 790,195 | ||||||||||||
Sun Merger Sub, Inc. (a): | ||||||||||||||
5.25%, 8/01/18 | 328 | 329,230 | ||||||||||||
5.88%, 8/01/21 | 169 | 168,578 | ||||||||||||
4,236,855 | ||||||||||||||
Gas Utilities — 0.3% | ||||||||||||||
CenterPoint Energy Resources Corp., 5.85%, 1/15/41 | 700 | 805,970 | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18 | 380 | 407,550 | ||||||||||||
1,213,520 | ||||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||||
Boston Scientific Corp., 6.25%, 11/15/15 | 1,260 | 1,390,901 | ||||||||||||
DJO Finance LLC/DJO Finance Corp., 7.75%, 4/15/18 | 40 | 39,300 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 385 | 404,250 | ||||||||||||
1,834,451 | ||||||||||||||
Health Care Providers & Services — 3.8% | ||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 535 | 572,450 | ||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 400 | 409,000 | ||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) | EUR | 494 | 695,333 | |||||||||||
HCA, Inc.: | ||||||||||||||
8.50%, 4/15/19 | USD | 17 | 18,360 | |||||||||||
6.50%, 2/15/20 | 2,044 | 2,194,745 | ||||||||||||
7.25%, 9/15/20 | 357 | 388,684 | ||||||||||||
4.75%, 5/01/23 | 1,161 | 1,084,084 | ||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 75 | 78,563 | ||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 300 | 306,000 | ||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 455 | 477,750 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 750 | 792,187 | ||||||||||||
4.50%, 4/01/21 | 383 | 352,360 | ||||||||||||
4.38%, 10/01/21 (a) | 1,765 | 1,601,737 | ||||||||||||
UnitedHealth Group, Inc., 2.88%, 3/15/22 (d) | 2,000 | 1,884,586 | ||||||||||||
WellPoint, Inc., 4.65%, 1/15/43 (d) | 3,995 | 3,696,909 | ||||||||||||
14,552,748 | ||||||||||||||
Hotels, Restaurants & Leisure — 2.0% | ||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 | 398 | 382,080 | ||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a) | 941 | 863,367 | ||||||||||||
Playa Resorts Holding BV, 8.00%, 8/15/20 (a) | 150 | 153,000 | ||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (a) | 524 | 522,690 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a) | 859 | 811,755 | ||||||||||||
The Unique Pub Finance Co. PLC: | ||||||||||||||
Series A3, 6.54%, 3/30/21 | GBP | 900 | 1,405,191 | |||||||||||
Series A4, 5.66%, 6/30/27 | 1,322 | 1,915,538 | ||||||||||||
Series N, 6.46%, 3/30/32 | 1,195 | 1,328,733 | ||||||||||||
7,382,354 | ||||||||||||||
Household Durables — 0.1% | ||||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a) | USD | 374 | 353,430 |
ANNUAL REPORT | AUGUST 31, 2013 | 91 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Household Products — 0.2% | ||||||||||||||
Ontex IV SA, 7.50%, 4/15/18 (a) | EUR | 190 | $ | 263,709 | ||||||||||
Spectrum Brands Escrow Corp. (a): | ||||||||||||||
6.38%, 11/15/20 | USD | 200 | 207,000 | |||||||||||
6.63%, 11/15/22 | 275 | 281,875 | ||||||||||||
752,584 | ||||||||||||||
Industrial Conglomerates — 0.0% | ||||||||||||||
Smiths Group PLC, 3.63%, 10/12/22 (a) | 180 | 166,186 | ||||||||||||
Insurance — 5.5% | ||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a) | 608 | 621,680 | ||||||||||||
Allianz Finance II BV, 5.75%, 7/08/41 (b) | EUR | 500 | 724,059 | |||||||||||
The Allstate Corp., 5.75%, 8/15/53 (b) | USD | 1,000 | 985,000 | |||||||||||
American International Group, Inc.: | ||||||||||||||
3.80%, 3/22/17 (d) | 5,580 | 5,905,035 | ||||||||||||
5.45%, 5/18/17 (d) | 800 | 888,101 | ||||||||||||
8.18%, 5/15/68 (b) | 970 | 1,137,325 | ||||||||||||
AXA SA, 5.25%, 4/16/40 (b) | EUR | 250 | 343,080 | |||||||||||
Hartford Financial Services Group, Inc.: | ||||||||||||||
6.00%, 1/15/19 | USD | 345 | 392,091 | |||||||||||
5.13%, 4/15/22 | 930 | 1,012,675 | ||||||||||||
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a) | 1,000 | 1,102,383 | ||||||||||||
Lincoln National Corp., 6.25%, 2/15/20 | 630 | 729,594 | ||||||||||||
Manulife Financial Corp., 3.40%, 9/17/15 (d) | 1,625 | 1,701,507 | ||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (a)(d) | 775 | 802,599 | ||||||||||||
Montpelier Re Holdings Ltd., 4.70%, 10/15/22 | 450 | 437,017 | ||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 340 | 350,200 | ||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 200 | 297,866 | |||||||||||
Prudential Financial, Inc. (d): | ||||||||||||||
4.75%, 9/17/15 | USD | 1,220 | 1,312,536 | |||||||||||
7.38%, 6/15/19 | 300 | 367,747 | ||||||||||||
5.38%, 6/21/20 | 250 | 280,537 | ||||||||||||
4.50%, 11/15/20 | 400 | 427,351 | ||||||||||||
5.70%, 12/14/36 | 950 | 1,012,941 | ||||||||||||
20,831,324 | ||||||||||||||
Internet Software & Services — 0.2% | ||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | 87 | 83,738 | ||||||||||||
InterActiveCorp, 4.75%, 12/15/22 | 598 | 551,655 | ||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (a) | 345 | 322,575 | ||||||||||||
957,968 | ||||||||||||||
IT Services — 0.7% | ||||||||||||||
First Data Corp. (a): | ||||||||||||||
7.38%, 6/15/19 | 205 | 212,688 | ||||||||||||
8.88%, 8/15/20 | 1,000 | 1,080,000 | ||||||||||||
6.75%, 11/01/20 | 680 | 695,300 | ||||||||||||
SunGard Data Systems, Inc., 7.38%, 11/15/18 | 490 | 520,625 | ||||||||||||
2,508,613 | ||||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Agilent Technologies, Inc., 3.20%, 10/01/22 | 250 | 231,312 | ||||||||||||
Machinery — 0.1% | ||||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 381 | 378,619 | ||||||||||||
Marine — 0.3% | ||||||||||||||
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d) | 1,100 | 1,155,000 | ||||||||||||
Media — 6.6% | ||||||||||||||
AMC Networks, Inc.: | ||||||||||||||
7.75%, 7/15/21 | 320 | 353,600 | ||||||||||||
4.75%, 12/15/22 | 343 | 321,563 | ||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 175 | 163,625 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 | 306 | 294,525 | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||||
Series B 6.50%, 11/15/22 | 671 | 665,967 | ||||||||||||
Series B Series wi, 6.50%, 11/15/22 | 1,814 | 1,814,000 | ||||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d) | 2,000 | 2,802,220 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Cox Communications, Inc. (a): | ||||||||||||||
6.95%, 6/01/38 | USD | 1,000 | $ | 1,058,060 | ||||||||||
8.38%, 3/01/39 | 1,735 | 2,074,550 | ||||||||||||
DIRECTV Holdings LLC: | ||||||||||||||
6.38%, 3/01/41 | 260 | 259,998 | ||||||||||||
5.15%, 3/15/42 | 2,100 | 1,807,871 | ||||||||||||
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a) | 700 | 649,250 | ||||||||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a) | 109 | 113,360 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 395 | 385,125 | ||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a) | 345 | 349,313 | ||||||||||||
NBC Universal Media LLC (d): | ||||||||||||||
5.15%, 4/30/20 | 1,974 | 2,225,734 | ||||||||||||
4.38%, 4/01/21 | 1,015 | 1,085,515 | ||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 1,070 | 1,185,025 | ||||||||||||
Omnicom Group, Inc., 3.63%, 5/01/22 (d) | 2,355 | 2,274,235 | ||||||||||||
Sirius XM Radio, Inc., 4.25%, 5/15/20 (a) | 334 | 305,610 | ||||||||||||
Time Warner, Inc.: | ||||||||||||||
4.70%, 1/15/21 | 1,000 | 1,061,953 | ||||||||||||
6.10%, 7/15/40 | 615 | 663,244 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a) | 250 | 227,500 | ||||||||||||
Univision Communications, Inc., 5.13%, 5/15/23 (a) | 1,153 | 1,088,144 | ||||||||||||
Virgin Media Secured Finance PLC: | ||||||||||||||
6.50%, 1/15/18 | 330 | 344,025 | ||||||||||||
7.00%, 1/15/18 | GBP | 792 | 1,282,594 | |||||||||||
24,856,606 | ||||||||||||||
Metals & Mining — 4.1% | ||||||||||||||
Alcoa, Inc., 5.40%, 4/15/21 | USD | 1,450 | 1,432,211 | |||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 | 395 | 433,512 | ||||||||||||
4.25%, 2/25/15 | 174 | 178,568 | ||||||||||||
4.25%, 8/05/15 | 174 | 179,220 | ||||||||||||
4.25%, 3/01/16 | 175 | 178,500 | ||||||||||||
5.00%, 2/25/17 | 215 | 219,838 | ||||||||||||
6.13%, 6/01/18 | 314 | 323,420 | ||||||||||||
Commercial Metals Co., 4.88%, 5/15/23 | 561 | 507,705 | ||||||||||||
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(d) | 1,566 | 1,385,282 | ||||||||||||
FMG Resources August 2006 Property Ltd., 6.00%, 4/01/17 (a) | 405 | 412,087 | ||||||||||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||||||||||||
3.55%, 3/01/22 | 540 | 481,903 | ||||||||||||
5.45%, 3/15/43 (a) | 450 | 388,031 | ||||||||||||
New Gold, Inc., 6.25%, 11/15/22 (a) | 435 | 416,512 | ||||||||||||
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a) | 475 | 407,073 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 4,105 | 4,464,187 | ||||||||||||
Teck Resources Ltd., 5.38%, 10/01/15 | 2,350 | 2,531,411 | ||||||||||||
Xstrata Canada Corp., 6.20%, 6/15/35 | 1,550 | 1,397,105 | ||||||||||||
15,336,565 | ||||||||||||||
Multiline Retail — 0.8% | ||||||||||||||
Dollar General Corp., 3.25%, 4/15/23 | 2,000 | 1,821,376 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a) | 1,260 | 1,285,894 | ||||||||||||
3,107,270 | ||||||||||||||
Oil, Gas & Consumable Fuels — 11.4% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22 | �� | 400 | 411,000 | |||||||||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 | 1,916 | 2,148,882 | ||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a) | 159 | 160,590 | ||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 59 | 60,033 | ||||||||||||
BP Capital Markets PLC, 3.13%, 10/01/15 | 330 | 345,433 | ||||||||||||
Burlington Resources Finance Co., 7.40%, 12/01/31 (d) | 950 | 1,251,302 | ||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 400 | 422,000 | ||||||||||||
Cenovus Energy, Inc., 6.75%, 11/15/39 | 750 | 898,759 |
92 | ANNUAL REPORT | AUGUST 31, 2013 |
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 (continued) | ||||||||||||||
Chesapeake Energy Corp., 5.75%, 3/15/23 | USD | 615 | $ | 611,925 | ||||||||||
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 | 150 | 173,806 | ||||||||||||
CONSOL Energy, Inc.: | ||||||||||||||
8.00%, 4/01/17 | 514 | 542,270 | ||||||||||||
8.25%, 4/01/20 | 166 | 175,960 | ||||||||||||
Continental Resources, Inc., 4.50%, 4/15/23 | 114 | 112,005 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 627 | 559,597 | ||||||||||||
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32 | 275 | 360,814 | ||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20 | 240 | 275,126 | ||||||||||||
Energy Transfer Partners LP, 7.50%, 7/01/38 | 500 | 585,646 | ||||||||||||
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 | 455 | 506,187 | ||||||||||||
Enterprise Products Operating LLC: | ||||||||||||||
4.05%, 2/15/22 (d) | 1,250 | 1,279,716 | ||||||||||||
6.13%, 10/15/39 | 700 | 783,786 | ||||||||||||
Series L, 6.30%, 9/15/17 | 600 | 691,878 | ||||||||||||
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d) | 505 | 570,198 | ||||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||||
5.95%, 2/15/18 | 1,300 | 1,488,265 | ||||||||||||
6.50%, 9/01/39 | 3,000 | 3,343,026 | ||||||||||||
6.55%, 9/15/40 | 110 | 123,550 | ||||||||||||
6.38%, 3/01/41 | 160 | 176,689 | ||||||||||||
Kodiak Oil & Gas Corp.: | ||||||||||||||
8.13%, 12/01/19 | 110 | 120,450 | ||||||||||||
5.50%, 2/01/22 (a) | 106 | 102,290 | ||||||||||||
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (a) | 355 | 326,600 | ||||||||||||
Marathon Petroleum Corp., 6.50%, 3/01/41 | 1,052 | 1,158,725 | ||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22 | 43 | 44,935 | ||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 212 | 204,580 | ||||||||||||
MidAmerican Energy Co., 5.80%, 10/15/36 | 800 | 916,466 | ||||||||||||
MidAmerican Energy Holdings Co.: | ||||||||||||||
5.95%, 5/15/37 | 950 | 1,062,348 | ||||||||||||
6.50%, 9/15/37 | 2,115 | 2,510,903 | ||||||||||||
Nexen, Inc.: | ||||||||||||||
6.40%, 5/15/37 | 400 | 433,171 | ||||||||||||
7.50%, 7/30/39 | 670 | 822,187 | ||||||||||||
Offshore Group Investment Ltd., 7.13%, 4/01/23 | 232 | 223,300 | ||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (a) | 370 | 357,050 | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 47 | 48,058 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | 300 | 315,000 | ||||||||||||
Petrobras International Finance Co.: | ||||||||||||||
3.88%, 1/27/16 | 1,335 | 1,369,965 | ||||||||||||
5.75%, 1/20/20 | 1,760 | 1,781,461 | ||||||||||||
Pioneer Natural Resources Co., 3.95%, 7/15/22 | 350 | 345,629 | ||||||||||||
Premier Oil PLC, 5.00%, 6/09/18 | 1,900 | 1,900,000 | ||||||||||||
Range Resources Corp.: | ||||||||||||||
5.75%, 6/01/21 | 851 | 891,422 | ||||||||||||
5.00%, 8/15/22 | 90 | 87,975 | ||||||||||||
Regency Energy Partners LP, 4.50%, 11/01/23 (a) | 249 | 222,233 | ||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a) | 168 | 168,000 | ||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 239 | 230,635 | ||||||||||||
Sabine Pass Liquefaction LLC (a): | ||||||||||||||
5.63%, 2/01/21 | 1,791 | 1,710,405 | ||||||||||||
5.63%, 4/15/23 | 469 | 434,998 | ||||||||||||
Sabine Pass LNG LP: | ||||||||||||||
7.50%, 11/30/16 | 1,120 | 1,233,400 | ||||||||||||
6.50%, 11/01/20 (a) | 475 | 477,375 | ||||||||||||
SandRidge Energy, Inc.: | ||||||||||||||
8.75%, 1/15/20 | 23 | 24,035 | ||||||||||||
7.50%, 2/15/23 | 238 | 230,265 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a) | USD | 388 | $ | 393,820 | ||||||||||
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17 | 1,030 | 1,213,518 | ||||||||||||
Western Gas Partners LP: | ||||||||||||||
5.38%, 6/01/21 | 715 | 772,612 | ||||||||||||
4.00%, 7/01/22 | 200 | 194,995 | ||||||||||||
The Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 2,500 | 2,803,765 | ||||||||||||
43,191,014 | ||||||||||||||
Paper & Forest Products — 0.5% | ||||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 1,000 | 1,075,000 | ||||||||||||
International Paper Co.: | ||||||||||||||
7.50%, 8/15/21 | 75 | 92,315 | ||||||||||||
4.75%, 2/15/22 | 420 | 441,560 | ||||||||||||
6.00%, 11/15/41 | 435 | 471,913 | ||||||||||||
NewPage Corp., 11.38%, 12/31/14 (c)(e) | 1,144 | — | ||||||||||||
2,080,788 | ||||||||||||||
Pharmaceuticals — 0.8% | ||||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) | EUR | 200 | 292,085 | |||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) | USD | 520 | 587,600 | |||||||||||
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a) | 575 | 584,344 | ||||||||||||
VPII Escrow Corp., 6.75%, 8/15/18 (a) | 1,322 | 1,399,667 | ||||||||||||
2,863,696 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | ||||||||||||||
Felcor Lodging LP, 5.63%, 3/01/23 | 247 | 229,710 | ||||||||||||
Simon Property Group LP, 4.75%, 3/15/42 (d) | 835 | 796,736 | ||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 | 275 | 286,799 | ||||||||||||
Vornado Realty LP, 5.00%, 1/15/22 | 1,190 | 1,243,745 | ||||||||||||
2,556,990 | ||||||||||||||
Real Estate Management & Development — 0.9% | ||||||||||||||
Lennar Corp., 5.00%, 11/15/22 (a) | 440 | 403,700 | ||||||||||||
Punch Taverns Finance PLC, Series A2R, 6.82%, 7/15/20 | GBP | 669 | 1,046,804 | |||||||||||
Realogy Corp. (a)(d): | ||||||||||||||
7.88%, 2/15/19 | USD | 369 | 401,288 | |||||||||||
7.63%, 1/15/20 | 520 | 582,400 | ||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a) | 477 | 473,422 | ||||||||||||
WEA Finance LLC, 4.63%, 5/10/21 (a) | 305 | 317,501 | ||||||||||||
3,225,115 | ||||||||||||||
Road & Rail — 0.9% | ||||||||||||||
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 | 940 | 1,027,712 | ||||||||||||
The Hertz Corp.: | ||||||||||||||
5.88%, 10/15/20 | 230 | 236,038 | ||||||||||||
7.38%, 1/15/21 | 1,450 | 1,566,000 | ||||||||||||
6.25%, 10/15/22 | 385 | 391,737 | ||||||||||||
3,221,487 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) | 470 | 470,000 | ||||||||||||
Software — 0.5% | ||||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a) | 1,085 | 1,033,462 | ||||||||||||
Oracle Corp., 5.38%, 7/15/40 (d) | 800 | 877,321 | ||||||||||||
1,910,783 | ||||||||||||||
Specialty Retail — 0.6% | ||||||||||||||
The Home Depot, Inc., 5.88%, 12/16/36 (d) | 830 | 956,119 | ||||||||||||
QVC, Inc. (a): | ||||||||||||||
7.50%, 10/01/19 | 395 | 425,841 | ||||||||||||
7.38%, 10/15/20 | 975 | 1,059,384 | ||||||||||||
2,441,344 |
ANNUAL REPORT | AUGUST 31, 2013 | 93 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||||||
PVH Corp., 4.50%, 12/15/22 | USD | 487 | $ | 451,084 | |||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a) | 404 | 398,950 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (a) | 329 | 330,645 | |||||||||||||
1,180,679 | |||||||||||||||
Thrifts & Mortgage Finance — 0.4% | |||||||||||||||
Radian Group, Inc., 5.38%, 6/15/15 | 1,400 | 1,449,000 | |||||||||||||
Tobacco — 1.2% | |||||||||||||||
Altria Group, Inc.: | |||||||||||||||
9.95%, 11/10/38 | 800 | 1,183,177 | |||||||||||||
10.20%, 2/06/39 | 1,389 | 2,108,651 | |||||||||||||
Lorillard Tobacco Co., 7.00%, 8/04/41 | 500 | 515,256 | |||||||||||||
Reynolds American, Inc., 4.75%, 11/01/42 | 1,050 | 917,649 | |||||||||||||
4,724,733 | |||||||||||||||
Wireless Telecommunication Services — 2.5% | |||||||||||||||
America Movil SAB de CV, 2.38%, 9/08/16 | 800 | 810,906 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 465 | 439,425 | |||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) | 1,595 | 1,798,444 | |||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (a) | 405 | 429,300 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (a) | 800 | 772,000 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 504 | 522,900 | |||||||||||||
Rogers Communications, Inc., 7.50%, 8/15/38 | 1,175 | 1,504,207 | |||||||||||||
SBA Tower Trust, 5.10%, 4/15/42 (a) | 360 | 386,299 | |||||||||||||
Softbank Corp., 4.50%, 4/15/20 (a) | 550 | 519,992 | |||||||||||||
Sprint Capital Corp.: | |||||||||||||||
6.88%, 11/15/28 | 398 | 359,195 | |||||||||||||
8.75%, 3/15/32 | 350 | 358,750 | |||||||||||||
Sprint Communications, Inc. (a): | |||||||||||||||
9.00%, 11/15/18 | 530 | 618,775 | |||||||||||||
7.00%, 3/01/20 | 872 | 937,400 | |||||||||||||
9,457,593 | |||||||||||||||
Total Corporate Bonds — 83.4% | 315,179,635 | ||||||||||||||
Foreign Agency Obligations | |||||||||||||||
Italy Government International Bond, 5.38%, 6/15/33 | 470 | 470,987 | |||||||||||||
Slovenia Government Bond, Series RS65, 4.38%, 4/02/14 | EUR | 1,600 | 2,129,337 | ||||||||||||
Slovenia Government International Bond, 5.85%, 5/10/23 (a) | USD | 432 | 406,080 | ||||||||||||
Total Foreign Agency Obligations — 0.8% | 3,006,404 | ||||||||||||||
Municipal Bonds | |||||||||||||||
City of Detroit Michigan, GO, Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 (c)(e) | 1,525 | 610,000 | |||||||||||||
District of Columbia, Refunding RB, Howard University Issue, Series B, 7.63%, 10/01/35 | 1,000 | 1,096,800 | |||||||||||||
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40 | 950 | 1,095,749 | |||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40 | 1,260 | 1,457,114 | |||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 | 670 | 882,826 | |||||||||||||
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57 | 1,000 | 1,000,470 | |||||||||||||
New York City Municipal Water Finance Authority, Refunding RB, Second General Resolution: | |||||||||||||||
Build America Bonds, 5.72%, 6/15/42 | 690 | 779,500 | |||||||||||||
Series EE, 5.38%, 6/15/43 | 385 | 400,858 | |||||||||||||
Series EE, 5.50%, 6/15/43 | 465 | 489,464 | |||||||||||||
Municipal Bonds | Par (000) | Value | |||||||||||||
New York State Dormitory Authority, RB, Build America Bonds: | |||||||||||||||
5.63%, 3/15/39 | USD | 550 | $ | 595,188 | |||||||||||
5.60%, 3/15/40 | 950 | 1,025,905 | |||||||||||||
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29 | 395 | 456,612 | |||||||||||||
State of California, GO, Build America Bonds: | |||||||||||||||
7.63%, 3/01/40 | 860 | 1,114,835 | |||||||||||||
Various Purpose, 7.55%, 4/01/39 | 140 | 181,472 | |||||||||||||
State of Illinois, GO, Pension Funding, 5.10%, 6/01/33 | 1,000 | 876,150 | |||||||||||||
University of California, RB, Build America Bonds, 5.95%, 5/15/45 | 440 | 476,727 | |||||||||||||
Total Municipal Bonds — 3.3% | 12,539,670 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.0% | |||||||||||||||
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37 | 846 | 743,080 | |||||||||||||
Collateralized Mortgage Obligation Trust, Series 40, Class R, 0.58%, 4/01/18 | 25 | 25 | |||||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | 1,287 | 1,122,516 | |||||||||||||
Series 2006-OA21, Class A1, 0.37%, 3/20/47 (b) | 784 | 533,878 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2006-OA5, Class 2A1, 0.38%, 4/25/46 (b) | 307 | 226,235 | |||||||||||||
Series 2007-10, Class A22, 6.00%, 7/25/37 | 463 | 403,370 | |||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b) | 1,131 | 1,126,861 | |||||||||||||
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.19%, 6/19/35 (b) | 790 | 779,747 | |||||||||||||
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.36%, 12/25/36 (b) | 532 | 440,254 | |||||||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 | 670 | 574,704 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.91%, 5/25/36 (b) | 598 | 480,493 | |||||||||||||
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 | 905 | 964,460 | |||||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.93%, 5/25/47 (b) | 335 | 279,271 | |||||||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 | 40 | 37,460 | |||||||||||||
7,712,354 | |||||||||||||||
Commercial Mortgage-Backed Securities — 12.9% | |||||||||||||||
Banc of America Commercial Mortgage Trust: | |||||||||||||||
Series 2006-6, Class A2, 5.31%, 10/10/45 | 1,317 | 1,331,089 | |||||||||||||
Series 2007-1, Class A4, 5.45%, 1/15/49 | 500 | 542,151 | |||||||||||||
Series 2007-2, Class A4, 5.79%, 4/10/49 (b) | 750 | 833,602 | |||||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42 | 800 | 846,269 | |||||||||||||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.34%, 12/10/49 (b) | 1,200 | 1,344,833 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 1,100 | 1,193,334 | |||||||||||||
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.21%, 12/10/49 (b) | 1,515 | 1,702,380 | |||||||||||||
Commercial Mortgage Pass-Through Certificates: | |||||||||||||||
Series 2006-C7, Class AM, 5.97%, 6/10/46 (b) | 1,750 | 1,870,773 | |||||||||||||
Series 2013-LC6, Class B, 3.74%, 1/10/46 | 695 | 640,929 | |||||||||||||
Series 2013-LC6, Class D, 4.43%, 1/10/46 (a)(b) | 835 | 685,330 |
94 | ANNUAL REPORT | AUGUST 31, 2013 |
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 | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
Credit Suisse Mortgage Capital Certificates: | |||||||||||||||
Series 2006-C3, Class AM, 5.99%, 6/15/38 (b) | USD | 1,000 | $ | 1,082,354 | |||||||||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,750 | 1,854,505 | |||||||||||||
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b) | 1,010 | 1,107,708 | |||||||||||||
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 | 705 | 731,934 | |||||||||||||
DBRR Trust, Series 2011-C32, Class A3A, 5.92%, 6/17/49 (a)(b) | 365 | 403,267 | |||||||||||||
GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41 | 455 | 455,852 | |||||||||||||
Greenwich Capital Commercial Funding Corp., Class A4: | |||||||||||||||
Series 2006-GG7, 6.06%, 7/10/38 (b) | 1,169 | 1,283,521 | |||||||||||||
Series 2007-GG9, 5.44%, 3/10/39 | 2,165 | 2,376,503 | |||||||||||||
GS Mortgage Securities Trust: | |||||||||||||||
Series 2007-GG10, Class A4, 5.99%, 8/10/45 (b)(d) | 430 | 473,406 | |||||||||||||
Series 2013-GC10, Class B, 3.68%, 2/10/46 (a) | 1,255 | 1,147,571 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | |||||||||||||||
Series 2004-LN2, Class A2 5.12%, 7/15/41 | 820 | 839,603 | |||||||||||||
Series 2006-CB14, Class AM 5.63%, 12/12/44 (b) | 330 | 356,008 | |||||||||||||
LB-UBS Commercial Mortgage Trust (b): | |||||||||||||||
Series 2004-C4, Class A3, 5.56%, 6/15/29 | 274 | 277,991 | |||||||||||||
Series 2004-C8, Class C, 4.93%, 12/15/39 | 1,385 | 1,422,074 | |||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 5,225 | 5,720,022 | |||||||||||||
Series 2007-C7, Class A3, 5.87%, 9/15/45 | 1,400 | 1,534,739 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b) | 4,000 | 4,413,436 | |||||||||||||
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a) | 384 | 384,137 | |||||||||||||
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a) | 911 | 908,827 | |||||||||||||
Titan Europe PLC, Series 2007-1X, Class A, 0.76%, 1/20/17 (b) | GBP | 1,607 | 2,142,216 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust: | |||||||||||||||
Series 2006-C28, Class A2, 5.50%, 10/15/48 | USD | 4,049 | 4,075,696 | ||||||||||||
Series 2007-C33, Class A4, 6.12%, 2/15/51 (b) | 2,285 | 2,493,442 | |||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | 700 | 686,957 | |||||||||||||
Series 2012-C8, Class C, 5.04%, 8/15/45 (b) | 900 | 872,499 | |||||||||||||
Series 2013-C11, Class D, 4.32%, 3/15/45 (a)(b) | 800 | 643,526 | |||||||||||||
48,678,484 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.0% | |||||||||||||||
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b) | 1,774 | 34,430 | |||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.3% | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 2.05%, 8/15/45 (a)(b) | 15,784 | 1,565,945 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.86%, 3/15/45 (a)(b) | 9,480 | 1,224,904 | |||||||||||||
WF-RBS Commercial Mortgage Trust (a)(b): | |||||||||||||||
Series 2012-C8, Class XA, 2.40%, 8/15/45 | 6,041 | 736,130 | |||||||||||||
Series 2012-C9, Class XA, 2.43%, 11/15/45 | 10,716 | 1,380,646 | |||||||||||||
4,907,625 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 16.2% | 61,332,893 | ||||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | |||||||||||||||
Capital Markets — 0.4% | |||||||||||||||
The Bank of New York Mellon Corp., Series D, 4.50% (b)(g) | 1,702 | 1,523,290 | |||||||||||||
State Street Capital Trust IV, 1.25%, 6/15/37 (b) | 70 | 56,700 | |||||||||||||
1,579,990 | |||||||||||||||
Preferred Securities | Par (000) | Value | |||||||||||||
Commercial Banks — 0.9% | |||||||||||||||
BNP Paribas SA, 7.20% (a)(b)(g) | USD | 1,000 | $ | 987,500 | |||||||||||
BPCE SA, 12.50% (a)(b)(g) | 800 | 996,000 | |||||||||||||
Fifth Third Capital Trust IV, 6.50%, 4/15/37 (b) | 505 | 501,212 | |||||||||||||
Wachovia Capital Trust III, 5.57% (b)(g) | 1,025 | 968,625 | |||||||||||||
3,453,337 | |||||||||||||||
Diversified Financial Services — 1.6% | |||||||||||||||
Capital One Financial Corp., 4.75%, 7/15/21 | 975 | 1,025,939 | |||||||||||||
General Electric Capital Corp., Series B, 6.25% (b)(d)(g) | 900 | 913,500 | |||||||||||||
JPMorgan Chase & Co., Series 1, 7.90% (b)(g) | 3,500 | 3,858,750 | |||||||||||||
5,798,189 | |||||||||||||||
Electric Utilities — 0.5% | |||||||||||||||
Electricite de France SA, 5.25% (a)(b)(g) | 2,100 | 1,968,750 | |||||||||||||
Insurance — 3.2% | |||||||||||||||
The Allstate Corp., 6.50%, 5/15/57 (b)(d) | 2,150 | 2,279,000 | |||||||||||||
AXA SA, 6.46% (a)(b)(g) | 1,025 | 1,019,875 | |||||||||||||
Genworth Holdings, Inc., 6.15%, 11/15/66 (b) | 1,150 | 1,000,500 | |||||||||||||
Liberty Mutual Group, Inc., 7.00%, 3/15/37 (a)(b) | 975 | 989,625 | |||||||||||||
Lincoln National Corp., 6.05%, 4/20/67 (b) | 750 | 742,500 | |||||||||||||
MetLife Capital Trust IV, 7.88%, 12/15/37 (a) | 645 | 732,075 | |||||||||||||
MetLife, Inc., 6.40%, 12/15/66 | 3,500 | 3,517,500 | |||||||||||||
Swiss Re Capital I LP, 6.85% (a)(b)(d)(g) | 1,060 | 1,107,700 | |||||||||||||
XL Group PLC, Series E, 6.50% (b)(g) | 810 | 783,675 | |||||||||||||
12,172,450 | |||||||||||||||
Total Capital Trusts — 6.6% | 24,972,716 | ||||||||||||||
Preferred Stock | Shares | ||||||||||||||
Capital Markets — 0.3% | |||||||||||||||
The Goldman Sachs Group, Inc., 5.50% (b) | 46,000 | 1,041,900 | |||||||||||||
Commercial Banks — 1.1% | |||||||||||||||
US Bancorp, 6.00% (b) | 150,000 | 4,023,000 | |||||||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||||||||
Fannie Mae, 8.25% (b) | 10,000 | 51,800 | |||||||||||||
Total Preferred Stocks — 1.4% | 5,116,700 | ||||||||||||||
Trust Preferreds — 0.1% | |||||||||||||||
Commercial Banks — 0.1% | |||||||||||||||
Citigroup Capital XIII, 7.88%, 10/30/40 (b) | 14,810 | 404,683 | |||||||||||||
Total Preferred Securities — 8.1% | 30,494,099 | ||||||||||||||
US Government Sponsored Agency Securities | Par (000 | ) | |||||||||||||
Agency Obligations — 3.3% | |||||||||||||||
Fannie Mae (d): | |||||||||||||||
2.95%, 10/09/19 (h) | USD | 7,305 | 6,108,551 | ||||||||||||
5.63%, 7/15/37 | 825 | 1,011,202 | |||||||||||||
Federal Home Loan Bank (d): | |||||||||||||||
5.25%, 12/09/22 | 700 | 812,111 | |||||||||||||
5.37%, 9/09/24 | 1,100 | 1,272,955 | |||||||||||||
Resolution Funding Corp., 3.91%, 4/15/30 (h) | 6,055 | 3,182,914 | |||||||||||||
12,387,733 | |||||||||||||||
Collateralized Mortgage Obligations — 0.1% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 1991-46, Class S, 2,476.85%, 5/25/21 (b) | — | (i) | 1,618 | ||||||||||||
Series 1991-87, Class S, 26.19%, 8/25/21 (b) | 16 | 24,910 | |||||||||||||
Series 2005-5, Class PK, 5.00%, 12/25/34 | 414 | 441,157 | |||||||||||||
Series G-7, Class S, 1,123.81%, 3/25/21 (b) | — | (i) | 1,260 | ||||||||||||
Series G-17, Class S, 1,061.94%, 6/25/21 (b) | — | (i) | 1,367 | ||||||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 | — | (i) | 1,060 | ||||||||||||
Series G-49, Class S, 1,015.66%, 12/25/21 (b) | — | (i) | 544 |
ANNUAL REPORT | AUGUST 31, 2013 | 95 |
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 | |||||||||||||
Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 19, Class R, 16,284.32%, 3/15/20 (b) | USD | — | (i) | $ | 285 | ||||||||||
Series 75, Class R, 9.50%, 1/15/21 | — | (i) | 1 | ||||||||||||
Series 75, Class RS, 36.11%, 1/15/21 (b) | — | (i) | 1 | ||||||||||||
Series 173, Class R, 9.00%, 11/15/21 | 4 | 4 | |||||||||||||
Series 173, Class RS, 9.25%, 11/15/21 (b) | — | (i) | 4 | ||||||||||||
Series 1057, Class J, 1,008.00%, 3/15/21 | — | (i) | 420 | ||||||||||||
472,631 | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.7% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (b): | |||||||||||||||
Series 2012-K706, Class C, 4.16%, 11/25/44 (a) | 170 | 158,997 | |||||||||||||
Series 2013-K24, Class B, 3.62%, 11/25/45 (a) | 1,750 | 1,532,653 | |||||||||||||
Series K013, Class A2, 3.97%, 1/25/21 | 930 | 985,961 | |||||||||||||
2,677,611 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 2.6% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 7, Class 2, 8.50%, 4/01/17 | 1 | 113 | |||||||||||||
Series 89, Class 2, 8.00%, 10/01/18 | 2 | 174 | |||||||||||||
Series 94, Class 2, 9.50%, 8/01/21 | 1 | 132 | |||||||||||||
Series 1990-123, Class M, 1,009.50%, 10/25/20 | — | (i) | 130 | ||||||||||||
Series 1990-136, Class S, 19.89%, 11/25/20 (b) | 3,896 | 5,685 | |||||||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 | — | (i) | 786 | ||||||||||||
Series 1991-99, Class L, 930.00%, 8/25/21 | — | (i) | 519 | ||||||||||||
Series 1997-50, Class SI, 1.20%, 4/25/23 (b) | 114 | 2,921 | |||||||||||||
Series 2012-47, Class NI, 4.50%, 4/25/42 | 5,333 | 1,092,336 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 7,557 | 889,514 | |||||||||||||
Series 2012-M9, Class X1, 4.25%, 12/25/17 (b) | 13,317 | 1,892,284 | |||||||||||||
Series G-10, Class S, 1,087.19%, 5/25/21 (b) | — | (i) | 4,829 | ||||||||||||
Series G-12, Class S, 1,154.11%, 5/25/21 (b) | — | (i) | 2,934 | ||||||||||||
Series G92-5, Class H, 9.00%, 1/25/22 | 17 | 1,621 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 176, Class M, 1,010.00%, 7/15/21 | 10 | 163 | |||||||||||||
Series 200, Class R, 197,388.08%, 12/15/22 (b) | — | (i) | 422 | ||||||||||||
Series 1043, Class H, 44.18%, 2/15/21 (b) | 2,957 | 6,334 | |||||||||||||
Series 1054, Class I, 865.53%, 3/15/21 (b) | — | (i) | 444 | ||||||||||||
Series 1056, Class KD, 1,084.50%, 3/15/21 | — | (i) | 315 | ||||||||||||
Series 1148, Class E, 1,175.36%, 10/15/21 (b) | — | (i) | 1,065 | ||||||||||||
Series 1254, Class Z, 8.50%, 4/15/22 | 38 | 5,862 | |||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | 1,127 | 123,609 | |||||||||||||
Series K707, Class X1, 1.69%, 12/25/18 (b) | 2,510 | 173,669 | |||||||||||||
Series K710, Class X1, 1.91%, 5/25/19 (b) | 8,635 | 725,610 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities (b): | |||||||||||||||
Series 2009-78, Class SD, 6.02%, 9/20/32 | 5,937 | 962,959 | |||||||||||||
Series 2009-116, Class KS, 6.29%, 12/16/39 | 3,786 | 511,322 | |||||||||||||
Series 2011-52, Class NS, 6.49%, 4/16/41 | 16,285 | 3,156,347 | |||||||||||||
9,562,099 | |||||||||||||||
Mortgage-Backed Securities — 8.0% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 9/15/43 (j) | 16,300 | 15,630,808 | |||||||||||||
4.00%, 12/01/41 (d) | 3,302 | 3,413,009 | |||||||||||||
4.50%, 7/01/41 (d) | 4,186 | 4,426,122 | |||||||||||||
5.00%, 8/01/34 | 2,837 | 3,052,921 | |||||||||||||
5.50%, 12/01/13–6/01/38 | 1,838 | 1,992,701 | |||||||||||||
6.00%, 3/01/16–12/01/38 (d) | 1,660 | 1,808,504 | |||||||||||||
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Mortgage-Backed Securities (concluded) | |||||||||||||||
Ginnie Mae Mortgage-Backed Securities, 8.00%, 7/15/24 | USD | — | (i) | $ | 331 | ||||||||||
30,324,396 | |||||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 203, Class 1, 2/01/23 | 6 | 5,572 | |||||||||||||
Series 228, Class 1, 6/01/23 | 4 | 4,179 | |||||||||||||
Series 1993-51, Class E, 2/25/23 | 20 | 18,410 | |||||||||||||
Series 1993-70, Class A, 5/25/23 | 3 | 2,612 | |||||||||||||
30,773 | |||||||||||||||
Total US Government Sponsored Agency Securities — 14.7% | 55,455,243 | ||||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Bonds (d): | |||||||||||||||
6.25%, 8/15/23 | 4,355 | 5,707,772 | |||||||||||||
5.38%, 2/15/31 | 375 | 475,195 | |||||||||||||
3.50%, 2/15/39 | 2,865 | 2,813,072 | |||||||||||||
4.25%, 5/15/39 | 2,770 | 3,079,462 | |||||||||||||
4.38%, 5/15/40 | 8,225 | 9,319,953 | |||||||||||||
4.75%, 2/15/41 | 1,621 | 1,946,466 | |||||||||||||
4.38%, 5/15/41 | 805 | 911,914 | |||||||||||||
3.13%, 11/15/41 | 9,925 | 8,972,815 | |||||||||||||
3.13%, 2/15/42 | 2,368 | 2,137,489 | |||||||||||||
3.00%, 5/15/42 | 2,730 | 2,398,136 | |||||||||||||
3.13%, 2/15/43 | 2,344 | 2,105,122 | |||||||||||||
US Treasury Notes, 1.75%, 5/15/22 (d) | 152 | 141,930 | |||||||||||||
Total US Treasury Obligations — 10.6% | 40,009,326 | ||||||||||||||
Total Long-Term Investments | |||||||||||||||
(Cost — $539,064,589) — 144.3% | 545,002,086 | ||||||||||||||
Short-Term Securities | Shares | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (k)(l) | 6,904,938 | 6,904,938 | |||||||||||||
Total Short-Term Securities | |||||||||||||||
(Cost — $6,904,938) — 1.8% | 6,904,938 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $1,198,938) — 0.4% | 1,600,620 | ||||||||||||||
Total Investments Before Options Written | |||||||||||||||
(Cost — $547,168,465) — 146.5% | 553,507,644 | ||||||||||||||
Options Written | |||||||||||||||
(Premiums Received — $804,034) — (0.3)% | (1,337,670 | ) | |||||||||||||
Total Investments, Net of Options Written — 146.2% | 552,169,974 | ||||||||||||||
Liabilities in Excess of Other Assets — (46.2)% | (174,364,776 | ) | |||||||||||||
Net Assets — 100.0% | $ | 377,805,198 |
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) | Non-income producing security. | |||||
(d) | All or a portion of securities with an aggregate market value of $153,978,750 have been pledged as collateral for open reverse repurchase agreements. |
96 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
(e) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||||
(f) | Convertible security. | |||||
(g) | Security is perpetual in nature and has no stated maturity date. | |||||
(h) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(i) | Amount is less than $500. | |||||
(j) | Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows: |
Counterparty | | Value | | Unrealized Depreciation | ||||||
J.P. Morgan Securities LLC | $ | 15,630,808 | $ | (12,098 | ) |
(k) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 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 August 31, 2013 | | Income | | Realized Gain |
BlackRock Liquidity Funds, TempFund | 1,343,014 | 5,561,924 | 6,904,938 | $1,827 | $26 |
(l) | 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 Fund 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 August 31, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
Deutsche Bank Securities, Inc. | (0.63)% | 10/24/12 | Open | $ | 340,864 | $ | 339,017 | |||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 1/09/13 | Open | 1,969,000 | 1,973,370 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/11/13 | Open | 4,760,000 | 4,768,114 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 1/14/13 | Open | 2,160,813 | 2,165,644 | |||||||||||||||||
UBS Securities LLC | (0.50)% | 1/15/13 | Open | 496,600 | 495,027 | |||||||||||||||||
UBS Securities LLC | 0.28% | 1/15/13 | Open | 3,553,388 | 3,559,689 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 1,421,275 | 1,424,155 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 2,622,000 | 2,627,314 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 701,950 | 703,373 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 382,775 | 383,551 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 1,571,500 | 1,574,685 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 985,500 | 987,497 | |||||||||||||||||
UBS Securities LLC | 0.32% | 1/15/13 | Open | 784,687 | 786,278 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 1,438,650 | 1,441,657 | |||||||||||||||||
UBS Securities LLC | 0.33% | 1/15/13 | Open | 1,281,500 | 1,284,178 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 934,000 | 936,011 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 796,875 | 798,591 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 4,346,880 | 4,353,571 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 933,750 | 935,761 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 561,600 | 562,809 | |||||||||||||||||
UBS Securities LLC | 0.34% | 1/15/13 | Open | 823,500 | 825,273 | |||||||||||||||||
UBS Securities LLC | 0.35% | 1/15/13 | Open | 1,021,250 | 1,023,514 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.35% | 1/22/13 | Open | 883,000 | 884,906 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/01/13 | Open | 1,793,610 | 1,797,307 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/01/13 | Open | 1,937,250 | 1,941,243 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.16% | 2/07/13 | Open | 1,406,625 | 1,407,907 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 2/08/13 | Open | 2,384,000 | 2,388,344 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 2/08/13 | Open | 505,000 | 505,920 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.15% | 2/14/13 | Open | 9,937,406 | 9,942,977 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 2/14/13 | Open | 1,020,000 | 1,021,861 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/14/13 | Open | 1,089,625 | 1,091,673 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/14/13 | Open | 814,000 | 815,530 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.20% | 2/20/13 | Open | 150,670 | 150,832 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 2/28/13 | Open | 2,258,000 | 2,261,945 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 2/28/13 | Open | 1,109,000 | 1,110,938 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 1,884,000 | 1,887,074 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 1,228,000 | 1,230,004 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/07/13 | Open | 2,313,000 | 2,316,774 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.33% | 3/11/13 | Open | 2,932,000 | 2,936,677 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 1,025,525 | 1,027,031 |
ANNUAL REPORT | AUGUST 31, 2013 | 97 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
Reverse repurchase agreements outstanding as of August 31, 2013 were as follows: (concluded) |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | $ | 1,804,525 | $ | 1,807,174 | |||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 1,249,962 | 1,251,797 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 4/02/13 | Open | 369,609 | 370,152 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.19% | 4/02/13 | Open | 2,719,763 | 2,721,944 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.20% | 4/02/13 | Open | 3,465,963 | 3,468,889 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.22% | 4/02/13 | Open | 6,446,663 | 6,452,651 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.22% | 4/02/13 | Open | 908,250 | 909,094 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.20% | 4/02/13 | Open | 6,205,875 | 6,211,116 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,460,625 | 1,462,755 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,232,000 | 1,233,797 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,751,625 | 1,754,179 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 599,687 | 600,562 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,363,837 | 1,365,826 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,505,317 | 1,507,513 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,372,250 | 1,374,251 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,600,156 | 1,602,490 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,317,750 | 1,319,672 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 262,812 | 263,196 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,359,375 | 1,361,357 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,284,050 | 1,285,923 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 361,875 | 362,403 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 411,500 | 412,100 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 5,642,775 | 5,648,335 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,967,006 | 1,969,875 | |||||||||||||||||
UBS Securities LLC | 0.32% | 4/11/13 | Open | 1,625,000 | 1,627,066 | |||||||||||||||||
UBS Securities LLC | 0.40% | 4/11/13 | Open | 4,044,938 | 4,051,364 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.14% | 4/25/13 | Open | 10,877,563 | 10,883,019 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.14% | 4/25/13 | Open | 3,560,880 | 3,562,666 | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 0.14% | 4/25/13 | Open | 3,262,519 | 3,264,155 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 4/29/13 | Open | 2,212,665 | 2,212,665 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 4/29/13 | Open | 1,045,494 | 1,045,494 | |||||||||||||||||
UBS Securities LLC | 0.34% | 4/30/13 | Open | 969,750 | 970,886 | |||||||||||||||||
UBS Securities LLC | 0.34% | 4/30/13 | Open | 858,950 | 859,956 | |||||||||||||||||
UBS Securities LLC | 0.35% | 4/30/13 | Open | 897,625 | 898,707 | |||||||||||||||||
UBS Securities LLC | 0.37% | 4/30/13 | Open | 1,102,400 | 1,103,805 | |||||||||||||||||
Citigroup Global Markets, Inc. | 0.06% | 6/06/13 | Open | 438,062 | 438,062 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 6/24/13 | Open | 3,344,933 | 3,347,177 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.00% | 7/24/13 | Open | 493,594 | 493,650 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.10% | 6/24/13 | Open | 1,077,656 | 1,077,863 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.32% | 6/24/13 | Open | 2,886,000 | 2,887,770 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.04% | 7/24/13 | Open | 1,832,500 | 1,832,577 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.16% | 8/08/13 | 9/12/13 | 14,223,000 | 14,224,264 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.34% | 8/29/13 | Open | 2,040,000 | 2,040,039 | |||||||||||||||||
Total | $ | 172,015,847 | $ | 172,206,258 | ||||||||||||||||||
• | Financial futures contracts as of August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||
270 | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 59,332,500 | $23,559 | |||||||||||||||||||||
225 | 30-Year US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 29,678,906 | 226,297 | |||||||||||||||||||||
99 | Ultra Long US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 14,045,625 | 144,728 | |||||||||||||||||||||
(549) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 68,230,406 | (198,874) | |||||||||||||||||||||
(25) | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 2,991,992 | 3,678 | |||||||||||||||||||||
150 | 90-Day Euribor Future | NYSE Liffe | December 2014 | USD | 49,262,024 | (23,168) | |||||||||||||||||||||
(197) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 48,907,713 | 42,419 | |||||||||||||||||||||
Total | $218,639 |
98 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||
USD | 6,808,340 | EUR | 5,067,000 | UBS AG | 9/25/13 | $ | 111,079 | |||||||
USD | 467,323 | GBP | 300,000 | BNP Paribas S.A. | 10/22/13 | 2,586 | ||||||||
USD | 8,638,425 | GBP | 5,728,000 | Deutsche Bank AG | 10/22/13 | (234,966 | ) | |||||||
Total | $ | (121,301 | ) |
• | Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | |||
10-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Call | 2.11% | Receive | 3-month LIBOR | 9/03/13 | USD | 5,200 | $ | 1 | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.10% | Pay | 3-month LIBOR | 2/22/16 | USD | 2,500 | 120,133 | |||||||||||
10-Year Interest Rate Swap | Goldman Sachs Bank USA | Put | 4.00% | Pay | 3-month LIBOR | 3/14/16 | USD | 15,000 | 789,419 | |||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 3/16/17 | USD | 6,300 | 322,292 | |||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-month LIBOR | 5/22/18 | USD | 6,000 | 368,775 | |||||||||||
Total | $ | 1,600,620 |
• | Over-the-counter interest rate swaptions written as of August 31, 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 | Barclays Bank PLC | Call | 1.35% | Pay | 3-month LIBOR | 4/08/14 | USD | 15,300 | $ | (20,952 | ) | |||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Call | 1.35% | Pay | 3-month LIBOR | 7/11/14 | USD | 15,600 | (24,144 | ) | ||||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Put | 2.00% | Receive | 3-month LIBOR | 4/08/14 | USD | 15,300 | (294,053 | ) | ||||||||||
5-Year Interest Rate Swap | JPMorgan Chase Bank N.A. | Put | 2.00% | Receive | 3-month LIBOR | 7/11/14 | USD | 15,600 | (419,824 | ) | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 3/16/17 | USD | 12,600 | (255,618 | ) | ||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-month LIBOR | 5/22/18 | USD | 12,000 | (323,079 | ) | ||||||||||
Total | $ | (1,337,670 | ) |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Depreciation | ||||||||||||||||||||
Radian Group, Inc. | 5.00 | % | Citibank N.A. | 6/20/15 | USD | 1,400 | $ | (81,904 | ) | $ | 29,242 | $(111,146) | ||||||||||||||||||||||
The New York Times Co. | 1.00 | % | Barclays Capital, Inc. | 12/20/16 | USD | 1,800 | 11,384 | 82,977 | (71,593) | |||||||||||||||||||||||||
Total | $ | (70,520 | ) | $ | 112,219 | $(182,739) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Received | | Unrealized Appreciation | | |||||||
MetLife, Inc. | 1.00% | Credit Suisse AG | 9/20/16 | A- | USD | 545 | $ | 5,480 | $ | (30,523 | ) | $ | 36,003 | |||||||||||
MetLife, Inc. | 1.00% | Deutsche Bank AG | 9/20/16 | A- | USD | 730 | 7,341 | (37,387 | ) | 44,728 | ||||||||||||||
MetLife, Inc. | 1.00% | Goldman Sachs Bank USA | 9/20/16 | A- | USD | 500 | 5,027 | (24,922 | ) | 29,949 | ||||||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley Capital Services LLC | 9/20/16 | A- | USD | 275 | 2,764 | (12,319 | ) | 15,083 | ||||||||||||||
MetLife, Inc. | 1.00% | Morgan Stanley Capital Services LLC | 9/20/16 | A- | USD | 910 | 9,151 | (45,704 | ) | 54,855 | ||||||||||||||
MetLife, Inc. | 1.00% | Citibank N.A. | 12/20/16 | A- | USD | 298 | 2,563 | (14,302 | ) | 16,865 | ||||||||||||||
MetLife, Inc. | 1.00% | Citibank N.A. | 12/20/16 | A- | USD | 290 | 2,493 | (15,203 | ) | 17,696 | ||||||||||||||
Total | $ | 34,819 | $ | (180,360 | ) | $ | 215,179 | |||||||||||||||||
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 terms of the agreements. |
ANNUAL REPORT | AUGUST 31, 2013 | 99 |
Schedule of Investments (continued) | BlackRock Income Opportunity Trust, Inc. (BNA) |
• | Interest rate swaps outstanding as of August 31, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty/ Clearinghouse | | Effective Date | | Expiration Date | | Notional Amount (000) | | Market Value | | Unrealized Appreciation (Depreciation) | | |||||
0.56%1 | 3-month LIBOR | Chicago Mercantile | N/A | 6/25/15 | USD | 20,900 | $ | (15,974 | ) | $ | (16,202 | ) | ||||||||
0.48%2 | 3-month LIBOR | Chicago Mercantile | N/A | 8/01/15 | USD | 50,000 | 55,825 | 55,253 | ||||||||||||
0.68%2 | 3-month LIBOR | Chicago Mercantile | 2/03/143 | 2/01/16 | USD | 20,800 | 53,235 | 52,995 | ||||||||||||
1.56%2 | 3-month LIBOR | Chicago Mercantile | N/A | 8/01/18 | USD | 2,100 | 17,267 | 17,239 | ||||||||||||
1.25%1 | 6-Month Euribor | Chicago Mercantile | N/A | 8/23/18 | EUR | 5,000 | (34,650 | ) | (7,884 | ) | ||||||||||
1.05%1 | 6-Month Euribor | Chicago Mercantile | N/A | 8/28/18 | EUR | 5,000 | (100,257 | ) | (79,185 | ) | ||||||||||
1.89%1 | 3-month LIBOR | Chicago Mercantile | 2/03/143 | 2/01/19 | USD | 8,500 | (64,497 | ) | (64,611 | ) | ||||||||||
2.42%1 | 3-month LIBOR | Chicago Mercantile | N/A | 8/22/20 | USD | 7,500 | (21,165 | ) | (21,275 | ) | ||||||||||
2.06%1 | 3-month LIBOR | Deutsche Bank AG | N/A | 2/25/23 | USD | 3,400 | (234,324 | ) | (234,324 | ) | ||||||||||
2.11%1 | 3-month LIBOR | Goldman Sachs Bank USA | N/A | 3/14/23 | USD | 300 | (19,664 | ) | (19,664 | ) | ||||||||||
2.63%2 | 3-month LIBOR | Chicago Mercantile | N/A | 6/24/23 | USD | 900 | 22,240 | 22,225 | ||||||||||||
4.27%2 | 3-month LIBOR | Chicago Mercantile | 8/23/163 | 8/23/26 | USD | 4,800 | 69,702 | 69,623 | ||||||||||||
3.05%2 | 3-month LIBOR | Deutsche Bank AG | N/A | 2/07/43 | USD | 4,800 | 567,491 | 567,491 | ||||||||||||
2.88%2 | 3-month LIBOR | JPMorgan Chase Bank N.A. | N/A | 4/16/43 | USD | 800 | 120,980 | 120,980 | ||||||||||||
Total | $ | 416,209 | $ | 462,661 |
1 | Trust pays the floating rate and receives the fixed rate. |
2 | Trust pays the fixed rate and receives the floating rate. |
3 | Forward interest rate swap. |
• | 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 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 August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 16,099,534 | $ | 10,488,482 | $ | 26,588,016 | |||||||||||
Common Stocks | — | — | 396,800 | 396,800 | ||||||||||||||
Corporate Bonds | — | 308,885,385 | 6,294,250 | 315,179,635 | ||||||||||||||
Foreign Agency Obligations | — | 3,006,404 | — | 3,006,404 | ||||||||||||||
Municipal Bonds | — | 12,539,670 | — | 12,539,670 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 61,332,868 | 25 | 61,332,893 | ||||||||||||||
Preferred Securities | $ | 5,521,383 | 24,972,716 | — | 30,494,099 | |||||||||||||
US Government Sponsored Agency Securities | — | 55,454,526 | 717 | 55,455,243 | ||||||||||||||
US Treasury Obligations | — | 40,009,326 | — | 40,009,326 | ||||||||||||||
Short-Term Securities | 6,904,938 | — | — | 6,904,938 | ||||||||||||||
Options Purchased: | ||||||||||||||||||
Interest Rate Contracts | — | 1,600,620 | — | 1,600,620 | ||||||||||||||
Total | $ | 12,426,321 | $ | 523,901,049 | $ | 17,180,274 | $ | 553,507,644 |
100 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (concluded) | BlackRock Income Opportunity Trust, Inc. (BNA) |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 215,179 | — | $ | 215,179 | ||||||||||||
Foreign currency exchange contracts | — | 113,665 | — | 113,665 | ||||||||||||||
Interest rate contracts | $ | 440,681 | 905,806 | — | 1,346,487 | |||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | �� | — | (182,739 | ) | — | (182,739 | ) | |||||||||||
Foreign currency exchange contracts | — | (234,966 | ) | — | (234,966 | ) | ||||||||||||
Interest rate contracts | (222,042 | ) | (1,780,815 | ) | — | (2,002,857 | ) | |||||||||||
Total | $ | 218,639 | $ | (963,870 | ) | — | $ | (745,231 | ) |
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 August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 19,756 | — | — | $ | 19,756 | ||||||||||||
Foreign currency at value | 52,462 | — | — | 52,462 | ||||||||||||||
Cash pledged for financial futures contracts . | 453,000 | — | — | 453,000 | ||||||||||||||
Cash pledged for centrally cleared swaps | 420,000 | — | — | 420,000 | ||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 7,923,000 | — | — | 7,923,000 | ||||||||||||||
Cash pledged as collateral for over-the-counter swaps | 570,000 | — | — | 570,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for over-the-counter swaps | — | $ | (1,500,000 | ) | — | (1,500,000 | ) | |||||||||||
Reverse repurchase agreements | — | (172,206,258 | ) | — | (172,206,258 | ) | ||||||||||||
Total | $ | 9,438,218 | $ | (173,706,258 | ) | — | $ | (164,268,040 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013. | ||
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 year 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 32 | — | — | 5,271,934 | — | 2,112 | 5,274,046 | ||||||||||||||||||||
Transfers out of Level 32 | (751,537 | ) | — | — | — | — | (751,537 | ) | ||||||||||||||||||
Accrued discounts/premiums | (423,923 | ) | — | (11,700 | ) | 2,635 | (8 | ) | (432,996 | ) | ||||||||||||||||
Net realized gain (loss) | — | (1,784 | ) | 4,260 | 35,719 | (1,379 | ) | 36,816 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 223,793 | 398,584 | (830,918 | ) | (4,965 | ) | 2,342 | (211,164 | ) | |||||||||||||||||
Purchases | 9,902,559 | — | — | — | — | 9,902,559 | ||||||||||||||||||||
Sales | — | (1 | ) | (96,326 | ) | (556,757 | ) | (38,568 | ) | (691,652 | ) | |||||||||||||||
Closing Balance, as of August 31, 2013 | $ | 10,488,482 | $ | 396,800 | $ | 6,294,250 | $ | 25 | $ | 717 | $ | 17,180,274 |
2 | As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of August 31, 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 $5,274,047 transferred from Level 2 to Level 3 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 August 31, 2013 was $(210,115). |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
ANNUAL REPORT | AUGUST 31, 2013 | 101 |
Schedule of Investments August 31, 2013 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | ||||||||||||||||||||||
Asset-Backed Securities — 1.1% | ||||||||||||||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.84%, 3/25/35 (a) | $ | 3,229 | $ | 3,211,332 | ||||||||||||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.61%, 10/25/35 (a) | 1,875 | 1,571,214 | ||||||||||||||||||||||
Small Business Administration Participation Certificates, Class 1: | ||||||||||||||||||||||||
Series 1996-20E, 7.60%, 5/01/16 | 79 | 82,900 | ||||||||||||||||||||||
Series 1996-20G, 7.70%, 7/01/16 | 75 | 78,727 | ||||||||||||||||||||||
Series 1996-20H, 7.25%, 8/01/16 | 82 | 86,289 | ||||||||||||||||||||||
Series 1996-20K, 6.95%, 11/01/16 | 218 | 229,784 | ||||||||||||||||||||||
Series 1997-20C, 7.15%, 3/01/17 | 87 | 92,671 | ||||||||||||||||||||||
5,352,917 | ||||||||||||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | ||||||||||||||||||||||||
Small Business Administration, Series 1, 1.00%, 4/01/15 | 1,063 | 9,305 | ||||||||||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b) | 3,487 | 246,303 | ||||||||||||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b) | 6,633 | 439,443 | ||||||||||||||||||||||
695,051 | ||||||||||||||||||||||||
Total Asset-Backed Securities — 1.3% | 6,047,968 | |||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||||||||||||||
Collateralized Mortgage Obligations — 1.1% | ||||||||||||||||||||||||
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18 | —(c) | 53 | ||||||||||||||||||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21 | 582 | 557,204 | ||||||||||||||||||||||
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.45%, 10/25/35 (a) | 2,631 | 2,193,625 | ||||||||||||||||||||||
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.28%, 8/25/23 (a) | 47 | 52,961 | ||||||||||||||||||||||
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 | 1,267 | 1,350,244 | ||||||||||||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.56%, 8/25/34 (a) | 1,325 | 1,289,208 | ||||||||||||||||||||||
5,443,295 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — 0.6% | ||||||||||||||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a) | 2,420 | 2,652,385 | ||||||||||||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.8% | ||||||||||||||||||||||||
Bank of America Mortgage Securities Inc., Series 2003-3, Class 1A, 0.25%, 5/25/33 (a) | 37,605 | 228,641 | ||||||||||||||||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37 | 768 | 189,715 | ||||||||||||||||||||||
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17 | 11 | 964 | ||||||||||||||||||||||
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b) | 3,526 | 68,445 | ||||||||||||||||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37 | 78,334 | 289,521 | ||||||||||||||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a) | 9,462 | 104,974 | ||||||||||||||||||||||
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19 | 312 | 35,757 | ||||||||||||||||||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19 | 286 | 23,210 | ||||||||||||||||||||||
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.05%, 3/20/35 (a) | 36,513 | 587,639 | ||||||||||||||||||||||
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, 5.02%, 8/25/36 (a) | $ | 19,288 | $ | 2,115,639 | ||||||||||||||||||||
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.03%, 5/15/29 (a) | 43,642 | 15,100 | ||||||||||||||||||||||
3,659,605 | ||||||||||||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.0% | ||||||||||||||||||||||||
CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.34%, 6/20/29 (a)(b) | 2,210 | 19,249 | ||||||||||||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.4% | ||||||||||||||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||||||||||||||||
Series 2003-26, 8/25/33 | 772 | 713,154 | ||||||||||||||||||||||
Series 2003-J4, 6/25/33 | 138 | 124,515 | ||||||||||||||||||||||
Series 2003-J5, 7/25/33 | 278 | 254,900 | ||||||||||||||||||||||
Series 2003-J8, 9/25/23 | 177 | 154,544 | ||||||||||||||||||||||
Drexel Burnham Lambert CMO Trust, Class 1: | ||||||||||||||||||||||||
Series K, 9/23/17 | 5 | 5,041 | ||||||||||||||||||||||
Series V, 9/01/18 | 6 | 5,773 | ||||||||||||||||||||||
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34 | 8 | 7,174 | ||||||||||||||||||||||
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36 | 628 | 379,124 | ||||||||||||||||||||||
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24 | 6 | 6,067 | ||||||||||||||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35 | 273 | 186,997 | ||||||||||||||||||||||
1,837,289 | ||||||||||||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 2.9% | 13,611,823 | |||||||||||||||||||||||
US Government Sponsored Agency Securities | ||||||||||||||||||||||||
Agency Obligations — 2.3% | ||||||||||||||||||||||||
Federal Housing Administration: | �� | |||||||||||||||||||||||
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22 | 139 | 136,197 | ||||||||||||||||||||||
Merrill Projects, Series 54, 7.43%, 5/15/23 | 2 | 1,685 | ||||||||||||||||||||||
Reilly Projects, Series 41, 8.28%, 3/01/20 | 162 | 161,365 | ||||||||||||||||||||||
USGI Projects, Series 87, 7.43%, 12/01/22 | 58 | 56,823 | ||||||||||||||||||||||
USGI Projects, Series 99, 7.43%, 6/01/21 | 3,755 | 3,675,465 | ||||||||||||||||||||||
USGI Projects, Series 99, 7.43%, 10/01/23 | 36 | 34,957 | ||||||||||||||||||||||
USGI Projects, Series 99, 7.43%, 10/01/23 | 106 | 103,283 | ||||||||||||||||||||||
Resolution Funding Corp., 3.91%, 4/15/30 (d) | 13,000 | 6,833,671 | ||||||||||||||||||||||
11,003,446 | ||||||||||||||||||||||||
Collateralized Mortgage Obligations — 40.7% | ||||||||||||||||||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||||||||||||||||||
Series 1991-46, Class S, 2,476.85%, 5/25/21 (a) | — | (c) | 3,474 | |||||||||||||||||||||
Series 1991-87, Class S, 26.19%, 8/25/21 (a) | 35 | 54,428 | ||||||||||||||||||||||
Series 1993-247, Class SN, 10.00%, 12/25/23 (a) | 250 | 288,282 | ||||||||||||||||||||||
Series 2003-135, Class PB, 6.00%, 1/25/34 | 12,264 | 13,993,015 | ||||||||||||||||||||||
Series 2004-31, Class ZG, 7.50%, 5/25/34 | 3,683 | 4,236,984 | ||||||||||||||||||||||
Series 2005-73, Class DS, 17.07%, 8/25/35 (a) | 1,908 | 2,548,727 | ||||||||||||||||||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 | 43,000 | 46,671,383 | ||||||||||||||||||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 | 14,350 | 14,994,030 | ||||||||||||||||||||||
Series 2011-142, Class PE, 3.50%, 1/25/42 | 15,567 | 15,390,228 | ||||||||||||||||||||||
Series G-7, Class S, 1,123.81%, 3/25/21 (a) | — | (c) | 2,705 | |||||||||||||||||||||
Series G-17, Class S, 1,061.94%, 6/25/21 (a) | — | (c) | 2,935 | |||||||||||||||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 | — | (c) | 2,276 | |||||||||||||||||||||
Series G-49, Class S, 1,015.66%, 12/25/21 (a) | — | (c) | 1,168 |
102 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 19, Class F, 8.50%, 3/15/20 | $ | 39 | $ | 41,163 | |||||||||||
Series 19, Class R, 16,284.32%, 3/15/20 (a) | — | (c) | 612 | ||||||||||||
Series 40, Class K, 6.50%, 8/17/24 | 231 | 257,356 | |||||||||||||
Series 75, Class R, 9.50%, 1/15/21 | — | (c) | 1 | ||||||||||||
Series 75, Class RS, 36.11%, 1/15/21 (a) | — | (c) | 1 | ||||||||||||
Series 173, Class R, 9.00%, 11/15/21 | 9 | 9 | |||||||||||||
Series 173, Class RS, 9.25%, 11/15/21 (a) | — | (c) | 9 | ||||||||||||
Series 192, Class U, 1,009.03%, 2/15/22 (a) | — | (c) | 31 | ||||||||||||
Series 1057, Class J, 1,008.00%, 3/15/21 | — | (c) | 902 | ||||||||||||
Series 1160, Class F, 39.38%, 10/15/21 (a) | 13 | 26,945 | |||||||||||||
Series 2218, Class Z, 8.50%, 3/15/30 | 3,825 | 4,523,607 | |||||||||||||
Series 2542, Class UC, 6.00%, 12/15/22 | 4,240 | 4,716,246 | |||||||||||||
Series 2758, Class KV, 5.50%, 5/15/23 | 8,243 | 8,948,865 | |||||||||||||
Series 2861, Class AX, 10.52%, 9/15/34 (a) | 94 | 104,389 | |||||||||||||
Series 2927, Class BZ, 5.50%, 2/15/35 | 3,308 | 3,802,866 | |||||||||||||
Series 3856, Class PB, 5.00%, 5/15/41 | 10,000 | 11,173,230 | |||||||||||||
Series 4016, Class BX, 4.00%, 9/15/41 | 15,408 | 15,620,192 | |||||||||||||
Series T-11, Class A9, 2.78%, 1/25/28 (a) | 1,678 | 1,742,516 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 1996-5, Class Z, 7.00%, 5/16/26 | 378 | 425,783 | |||||||||||||
Series 2001-33, Class PB, 6.50%, 7/20/31 | 677 | 763,124 | |||||||||||||
Series 2004-89, Class PE, 6.00%, 10/20/34 | 1,522 | 1,583,547 | |||||||||||||
Series 2011-80, Class PB, 4.00%, 10/20/39 | 11,489 | 11,955,603 | |||||||||||||
Series 2011-88, Class PY, 4.00%, 6/20/41 | 15,402 | 15,934,509 | |||||||||||||
Series 2012-16, Class HJ, 4.00%, 9/20/40 | 10,000 | 10,438,440 | |||||||||||||
190,249,581 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 5.5% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 7, Class 2, 8.50%, 4/01/17 | 3 | 243 | |||||||||||||
Series 89, Class 2, 8.00%, 10/01/18 | 4 | 373 | |||||||||||||
Series 94, Class 2, 9.50%, 8/01/21 | 2 | 284 | |||||||||||||
Series 1990-123, Class M, 1,009.50%, 10/25/20 | — | (c) | 280 | ||||||||||||
Series 1990-136, Class S, 19.89%, 11/25/20 (a) | 8 | 12,206 | |||||||||||||
Series 1991-99, Class L, 930.00%, 8/25/21 | — | (c) | 1,114 | ||||||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 | — | (c) | 1,687 | ||||||||||||
Series 1993-199, Class SB, 7.32%, 10/25/23 (a) | 330 | 34,816 | |||||||||||||
Series 1997-50, Class SI, 1.20%, 4/25/23 (a) | 227 | 5,842 | |||||||||||||
Series 1997-90, Class M, 6.00%, 1/25/28 | 3,344 | 561,898 | |||||||||||||
Series 1999-W4, 6.50%, 12/25/28 | 219 | 40,855 | |||||||||||||
Series 2010-74, Class DI, 5.00%, 12/25/39 | 18,627 | 864,593 | |||||||||||||
Series 2011-124, Class GS, 6.52%, 3/25/37 (a) | 20,451 | 3,319,407 | |||||||||||||
Series 2012-96, Class DI, 4.00%, 2/25/27 | 9,594 | 1,129,204 | |||||||||||||
Series 2013-45, Class EI, 4.00%, 4/25/43 | 19,216 | 3,143,245 | |||||||||||||
Series G-10, Class S, 1,087.19%, 5/25/21 (a) | — | (c) | 10,368 | ||||||||||||
Series G-12, Class S, 1,154.11%, 5/25/21 (a) | — | (c) | 6,300 | ||||||||||||
Series G92-5, Class H, 9.00%, 1/25/22 | 44 | 4,168 | |||||||||||||
Series G92-12, Class C, 1,016.90%, 2/25/22 | — | (c) | 2,028 | ||||||||||||
Series G92-60, Class SB, 1.60%, 10/25/22 (a) | 156 | 6,205 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 176, Class M, 1,010.00%, 7/15/21 | — | (c) | 350 | ||||||||||||
Series 200, Class R, 197,388.08%, 12/15/22 (a) | — | (c) | 906 | ||||||||||||
Series 1043, Class H, 44.18%, 2/15/21 (a) | 6,349 | 13,599 | |||||||||||||
Series 1054, Class I, 865.53%, 3/15/21 (a) | — | (c) | 954 | ||||||||||||
Series 1056, Class KD, 1,084.50%, 3/15/21 | — | (c) | 677 | ||||||||||||
Series 1148, Class E, 1,175.36%, 10/15/21 (a) | — | (c) | 2,287 | ||||||||||||
Series 2559, 0.50%, 8/15/30 (a) | 106 | 1,427 | |||||||||||||
US Government Sponsored Agency Securities | Par (000) | Value | |||||||||||||
Interest Only Collateralized Mortgage Obligations (concluded) | |||||||||||||||
Freddie Mac Mortgage-Backed Securities (concluded): | |||||||||||||||
Series 2611, Class QI, 5.50%, 9/15/32 | $ | 2,056 | $ | 225,603 | |||||||||||
Series 3744, Class PI, 4.00%, 6/15/39 | 16,814 | 2,807,924 | |||||||||||||
Series 3745, Class IN, 4.00%, 1/15/35 | 35,095 | 3,749,519 | |||||||||||||
Series 4026, 4.50%, 4/15/32 | 5,778 | 971,860 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities (a): | |||||||||||||||
Series 2009-116, Class KS, 6.29%, 12/16/39 | 4,372 | 590,541 | |||||||||||||
Series 2011-52, Class MJ, 6.47%, 4/20/41 | 19,622 | 4,003,207 | |||||||||||||
Series 2011-52, Class NS, 6.49%, 4/16/41 | 21,478 | 4,162,883 | |||||||||||||
25,676,853 | |||||||||||||||
Mortgage-Backed Securities — 123.8% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 8/15/43–9/15/43 (f) | 87,658 | 83,808,196 | |||||||||||||
3.50%, 10/15/41–9/15/42 (e)(f) | 59,804 | 59,782,898 | |||||||||||||
4.00%, 1/15/41–9/15/42 (f) | 37,144 | 38,391,385 | |||||||||||||
4.50%, 8/15/25–9/15/43 (e)(f)(g) | 126,133 | 133,980,348 | |||||||||||||
5.00%, 1/15/23–9/15/43 (e)(f) | 107,553 | 116,466,137 | |||||||||||||
5.50%, 2/15/33–9/15/43 (f)(g) | 47,105 | 51,157,873 | |||||||||||||
5.97%, 8/01/16 | 2,975 | 3,319,158 | |||||||||||||
6.00%, 9/15/43–10/15/43 (f) | 65,400 | 71,548,281 | |||||||||||||
6.50%, 12/15/37–10/15/39 (f) | 17,614 | 19,443,596 | |||||||||||||
7.50%, 2/01/22 | — | (c) | 91 | ||||||||||||
9.50%, 9/15/24 (f) | 2 | 2,214 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
2.55%, 10/01/34 (a) | 287 | 292,740 | |||||||||||||
2.61%, 1/01/35 (a) | 191 | 192,166 | |||||||||||||
2.73%, 11/01/17 (a) | 11 | 11,059 | |||||||||||||
5.00%, 2/01/22–4/01/22 | 454 | 490,846 | |||||||||||||
9.00%, 9/01/20 | 28 | 31,006 | |||||||||||||
Ginnie Mae Mortgage-Backed Securities: | |||||||||||||||
7.50%, 8/15/21–12/15/23 | 134 | 142,485 | |||||||||||||
8.00%, 10/15/22–8/15/27 | 60 | 66,561 | |||||||||||||
9.00%, 4/15/20–9/15/21 | 7 | 6,381 | |||||||||||||
579,133,421 | |||||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.3% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 203, Class 1, 2/01/23 | 13 | 11,963 | |||||||||||||
Series 228, Class 1, 6/01/23 | 10 | 8,972 | |||||||||||||
Series 1991-7, Class J, 2/25/21 | 8 | 7,891 | |||||||||||||
Series 1993-51, Class E, 2/25/23 | 42 | 39,525 | |||||||||||||
Series 1993-70, Class A, 5/25/23 | 6 | 5,609 | |||||||||||||
Series 1999-W4, Class PO, 2/25/29 | 115 | 105,361 | |||||||||||||
Series 2002-13, Class PR, 3/25/32 | 242 | 221,282 | |||||||||||||
Series G93-2, Class KB, 1/25/23 | 116 | 107,920 | |||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 1418, Class M, 11/15/22 | 45 | 42,107 | |||||||||||||
Series 1571, Class G, 8/15/23 | 300 | 272,800 | |||||||||||||
Series 1691, Class B, 3/15/24 | 578 | 534,663 | |||||||||||||
Series T-8, Class A10, 11/15/28 | 90 | 84,067 | |||||||||||||
1,442,160 | |||||||||||||||
Total US Government Sponsored Agency Securities — 172.6% | 807,505,461 | ||||||||||||||
US Treasury Obligations | |||||||||||||||
US Treasury Notes: | |||||||||||||||
0.63%, 9/30/17 (e) | 7,945 | 7,736,444 | |||||||||||||
1.00%, 11/30/19 (e) | 2,965 | 2,788,259 | |||||||||||||
1.63%, 11/15/22 | 780 | 712,177 | |||||||||||||
2.50%, 8/15/23 | 1,530 | 1,497,010 | |||||||||||||
Total US Treasury Obligations — 2.7% | 12,733,890 | ||||||||||||||
Total Long-Term Investments (Cost — $847,502,231) — 179.5% | 839,899,142 |
ANNUAL REPORT | AUGUST 31, 2013 | 103 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Short-Term Securities | Shares | Value | |||||||||||||
Money Market Funds — 3.2% | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (h)(i) | 14,996,794 | $ | 14,996,794 | ||||||||||||
Par (000) | |||||||||||||||
Borrowed Bond Agreement — 0.2% | |||||||||||||||
Credit Suisse Securities (USA) LLC, 0.05%, 9/02/13 (Purchased on 2/04/13 to be repurchased at $847,324, collateralized by US Treasury Bonds, 2.75%, 11/15/42, par and fair value of USD 917,000 and $760,824, respectively) | $ | 847 | 847,079 | ||||||||||||
Total Short-Term Securities (Cost — $15,843,873) — 3.4% | 15,843,873 | ||||||||||||||
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $863,346,104) — 182.9% | 855,743,015 | ||||||||||||||
Borrowed Bonds | Par (000) | Value | |||||||||||||
US Treasury Bonds, 2.75%, 11/15/42 | $ | 917 | $ | (760,824 | ) | ||||||||||
Total Borrowed Bonds (Proceeds — $842,347) — (0.2)% | (760,824 | ) | |||||||||||||
TBA Sale Commitments (f) | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
3.00%, 8/15/43 — 9/15/43 | 56,800 | (54,468,093 | ) | ||||||||||||
3.50%, 10/15/41 — 9/15/42 | 22,200 | (22,193,062 | ) | ||||||||||||
4.50%, 8/15/25 — 9/15/43 | 17,600 | (18,632,433 | ) | ||||||||||||
5.00%, 1/15/23 — 9/15/43 | 39,200 | (42,114,828 | ) | ||||||||||||
6.00%, 9/15/43–10/15/43 | 43,600 | (47,700,563 | ) | ||||||||||||
Total TBA Sale Commitments (Proceeds — $184,946,964) — (39.5)% | (185,108,979 | ) | |||||||||||||
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 143.2% | 669,873,212 | ||||||||||||||
Liabilities in Excess of Other Assets — (43.2)% | (201,925,173 | ) | |||||||||||||
Net Assets — 100.0% | $ | 467,948,039 |
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) | All or a portion of securities with an aggregate market value of $320,754,086 have been pledged as collateral for open reverse repurchase agreements. | |||||
(f) | Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows: |
Counterparty | | Value | | Unrealized Appreciation (Depreciation) | ||||||
Credit Suisse Securities (USA) LLC | $ | 6,563 | $ | (820 | ) | |||||
Deutsche Bank Securities, Inc | $ | 14,384,700 | $ | (104,282 | ) | |||||
Goldman Sachs & Co | $ | (1,389,407 | ) | $ | 20,402 | |||||
J.P. Morgan Securities LLC | $ | 19,319,832 | $ | 17,274 | ||||||
Morgan Stanley & Co. LLC | — | $ | (33,906 | ) | ||||||
Wells Fargo Securities, LLC | $ | (3,835,781 | ) | $ | 1,719 |
(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 year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Art, as amended, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at August 31, 2013 | | Income | | Realized Gain | | ||||||||||||
BlackRock Liquidity Funds, TempFund | 2,187,808 | 12,808,986 | 14,996,794 | $7,875 | $94 |
(i) | 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 Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
104 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Income Trust, Inc. (BKT) |
• | Reverse repurchase agreements outstanding as of August 31, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||
Credit Suisse Securities (USA) LLC | 0.15% | 1/28/13 | Open | $ | 22,922,685 | $ | 22,939,424 | |||||||
BNP Paribas Securities Corp. | 0.00% | 2/08/13 | Open | 2,916,819 | 2,916,819 | |||||||||
Deutsche Bank Securities, Inc. | 0.10% | 5/31/13 | Open | 7,885,413 | 7,887,450 | |||||||||
BNP Paribas Securities Corp. | 0.16% | 8/08/13 | 9/12/13 | 84,864,000 | 84,871,543 | |||||||||
Morgan Stanley & Co. LLC | 0.16% | 8/12/13 | 9/12/13 | 29,726,000 | 29,728,642 | |||||||||
Total | $ | 148,314,917 | $ | 148,343,878 | ||||||||||
• | Financial futures contracts as of August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | |||
37 | 90-Day Euro-Dollar | Chicago Mercantile | September 2013 | USD | 9,225,488 | $26,863 | |||||||
(2) | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | USD | 498,500 | (79) | |||||||
(74) | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 16,261,500 | (7,347) | |||||||
(517) | 30-Year US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 68,195,531 | (747,071) | |||||||
(152) | Ultra Long US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 21,565,000 | (356,487) | |||||||
(27) | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | USD | 6,725,700 | (2,131) | |||||||
(41) | 90-Day Euro-Dollar | Chicago Mercantile | June 2014 | USD | 10,204,388 | (13,859) | |||||||
(41) | 90-Day Euro-Dollar | Chicago Mercantile | September 2014 | USD | 10,192,600 | (9,003) | |||||||
(41) | 90-Day Euro-Dollar | Chicago Mercantile | December 2014 | USD | 10,178,763 | (3,096) | |||||||
(41) | 90-Day Euro-Dollar | Chicago Mercantile | March 2015 | USD | 10,161,337 | 8,516 | |||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | June 2015 | USD | 2,967,600 | 14,077 | |||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | September 2015 | USD | 2,959,800 | 18,927 | |||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | December 2015 | USD | 2,951,250 | 23,827 | |||||||
(12) | 90-Day Euro-Dollar | Chicago Mercantile | March 2016 | USD | 2,942,400 | 28,702 | |||||||
Total | $(1,018,161) |
• | Interest rate swaps outstanding as of August 31, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty/ Clearinghouse | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Received | | Unrealized Appreciation (Depreciation) | ||||||
4.88%1 | 3-month LIBOR | UBS AG | 3/21/15 | USD | 25,000 | $1,700,023 | — | $1,700,023 | ||||||||||||
0.46%1 | 3-month LIBOR | Chicago Mercantile | 6/11/15 | USD | 100 | (79) | — | (79) | ||||||||||||
4.87%1 | 3-month LIBOR | Goldman Sachs Bank USA | 1/25/16 | USD | 5,500 | 543,884 | — | 543,884 | ||||||||||||
2.81%1 | 3-month LIBOR | Citibank N.A. | 2/06/16 | USD | 20,000 | 1,009,020 | — | 1,009,020 | ||||||||||||
5.72%1 | 3-month LIBOR | JPMorgan Chase Bank N.A. | 7/14/16 | USD | 5,400 | 738,310 | — | 738,310 | ||||||||||||
4.31%2 | 3-month LIBOR | Deutsche Bank AG | 10/01/18 | USD | 60,000 | (7,386,262) | — | (7,386,262) | ||||||||||||
3.43%1 | 3-month LIBOR | JPMorgan Chase Bank N.A. | 3/28/21 | USD | 6,000 | 384,889 | $ | (211,777 | ) | 596,666 | ||||||||||
5.41%1 | 3-month LIBOR | JPMorgan Chase Bank N.A. | 8/15/22 | USD | 9,565 | 2,047,854 | — | 2,047,854 | ||||||||||||
Total | $(962,361) | $ | (211,777 | ) | $(750,584) |
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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements. |
ANNUAL REPORT | AUGUST 31, 2013 | 105 |
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 August 31, 2013:
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 5,352,917 | $ | 695,051 | $ | 6,047,968 | |||||||||||
Non-Agency Mortgage-Backed Securities | — | 10,803,518 | 2,808,305 | 13,611,823 | ||||||||||||||
US Government Sponsored Agency Securities | — | 800,190,903 | 7,314,558 | 807,505,461 | ||||||||||||||
US Treasury Obligations | — | 12,733,890 | — | 12,733,890 | ||||||||||||||
Short-Term Securities: | ||||||||||||||||||
Borrowed Bond Agreements | — | 847,079 | — | 847,079 | ||||||||||||||
Money Market Funds | $ | 14,996,794 | — | — | 14,996,794 | |||||||||||||
Liabilities: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Borrowed Bonds | — | (760,824 | ) | — | (760,824 | ) | ||||||||||||
TBA Sale Commitments | — | (185,108,979 | ) | — | (185,108,979 | ) | ||||||||||||
Total | $ | 14,996,794 | $ | 644,058,504 | $ | 10,817,914 | $ | 669,873,212 | ||||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | $ | 120,912 | $ | 6,635,757 | — | $ | 6,756,669 | |||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (1,139,073 | ) | (7,386,341 | ) | — | (8,525,414 | ) | |||||||||||
Total | $ | (1,018,161 | ) | $ | (750,584 | ) | — | $ | (1,768,745 | ) |
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 August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||||
Assets: | ||||||||||||||||||
Cash pledged for financial futures contracts | $ | 2,397,000 | — | — | $ | 2,397,000 | ||||||||||||
Cash pledged for centrally cleared swaps | 10,000 | — | — | 10,000 | ||||||||||||||
Cash pledged as collateral for over-the-counter swaps | 2,900,000 | — | — | 2,900,000 | ||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 2,060,000 | — | — | 2,060,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Cash received as collateral for over-the-counter swaps | — | $ | (4,520,000 | ) | — | (4,520,000 | ) | |||||||||||
Reverse repurchase agreements | — | (148,343,878 | ) | — | (148,343,878 | ) | ||||||||||||
Total | $ | 7,367,000 | $ | (152,863,878 | ) | — | $ | (145,496,878 | ) |
There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.
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 3 | — | — | — | — | ||||||||||||||
Transfers out of Level 3 | — | (452,945 | ) | — | (452,945 | ) | ||||||||||||
Accrued discounts/premiums | (508,200 | ) | — | (167,938 | ) | (676,138 | ) | |||||||||||
Net realized gain (loss) | — | — | (15,437 | ) | (15,437 | ) | ||||||||||||
Net change in unrealized appreciation/depreciation2 | 286,055 | (806,648 | ) | 1,140,632 | 620,039 | |||||||||||||
Purchases | — | — | 2,189,702 | 2,189,702 | ||||||||||||||
Sales | — | — | (455,365 | ) | (455,365 | ) | ||||||||||||
Closing Balance, as of August 31, 2013 | $ | 695,051 | $ | 2,808,305 | $ | 7,314,558 | $ | 10,817,914 |
2 | 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 August 31, 2013 was $620,041. |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
106 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments August 31, 2013 | 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 | $ | 31,733 | ||||||||||||
Media — 0.0% | |||||||||||||||
Adelphia Recovery Trust | 396,568 | 1,111 | |||||||||||||
Paper & Forest Products — 0.3% | |||||||||||||||
NewPage Corp. | 3,380 | 270,400 | |||||||||||||
Total Common Stocks — 0.3% | 303,244 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.5% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (b) | USD | 85 | 87,869 | ||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 60 | 64,800 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 | 185 | 199,800 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) | 100 | 101,865 | |||||||||||||
454,334 | |||||||||||||||
Airlines — 0.5% | |||||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 | 125 | 126,813 | |||||||||||||
Delta Air Lines Pass-Through Trust: | |||||||||||||||
Series 2002-1, Class G-1, 6.72%, 1/02/23 | 137 | 149,147 | |||||||||||||
Series 2009-1, Class B, 9.75%, 12/17/16 | 35 | 37,913 | |||||||||||||
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14 | 167 | 176,358 | |||||||||||||
490,231 | |||||||||||||||
Auto Components — 1.8% | |||||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (b) | 150 | 151,575 | |||||||||||||
Dana Holding Corp., 6.75%, 2/15/21 | 180 | 191,025 | |||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 670 | 705,175 | |||||||||||||
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 | GBP | 177 | 303,921 | ||||||||||||
Schaeffler Holding Finance BV, 6.88%, 8/15/18 (c) | EUR | 115 | 156,169 | ||||||||||||
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18 | 100 | 134,174 | |||||||||||||
Titan International, Inc., 7.88%, 10/01/17 (b) | USD | 146 | 154,760 | ||||||||||||
1,796,799 | |||||||||||||||
Building Products — 0.6% | |||||||||||||||
Building Materials Corp. of America (b): | |||||||||||||||
7.00%, 2/15/20 | 210 | 223,125 | |||||||||||||
6.75%, 5/01/21 | 230 | 243,800 | |||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 65 | 67,438 | |||||||||||||
Texas Industries, Inc., 9.25%, 8/15/20 | 82 | 89,585 | |||||||||||||
623,948 | |||||||||||||||
Capital Markets — 2.0% | |||||||||||||||
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (d)(e) | 100 | 135,750 | |||||||||||||
The Goldman Sachs Group, Inc.: | |||||||||||||||
5.38%, 3/15/20 | 225 | 244,784 | |||||||||||||
6.00%, 6/15/20 | 250 | 280,527 | |||||||||||||
5.75%, 1/24/22 | 525 | 576,579 | |||||||||||||
KCG Holdings, Inc., 8.25%, 6/15/18 (b) | 48 | 47,160 | |||||||||||||
Merrill Lynch & Co., Inc., 6.05%, 5/16/16 | 325 | 355,464 | |||||||||||||
Morgan Stanley, 5.63%, 9/23/19 | 320 | 352,246 | |||||||||||||
1,992,510 | |||||||||||||||
Chemicals — 2.2% | |||||||||||||||
Axiall Corp., 4.88%, 5/15/23 (b) | 39 | 36,173 | |||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 | 324 | 332,100 | |||||||||||||
Huntsman International LLC: | |||||||||||||||
4.88%, 11/15/20 | 75 | 71,437 | |||||||||||||
8.63%, 3/15/21 | 65 | 72,475 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Chemicals (concluded) | |||||||||||||||
INEOS Finance PLC, 7.50%, 5/01/20 (b) | USD | 85 | $ | 90,950 | |||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19 | 45 | 45,675 | |||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 | 664 | 736,395 | |||||||||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 | 30 | 29,850 | |||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b) | 60 | 60,000 | |||||||||||||
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18 | EUR | 98 | 144,726 | ||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b) | USD | 41 | 39,667 | ||||||||||||
PolyOne Corp., 7.38%, 9/15/20 | 80 | 88,200 | |||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 | 374 | 367,455 | |||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (b) | 46 | 43,930 | |||||||||||||
2,159,033 | |||||||||||||||
Commercial Banks — 2.6% | |||||||||||||||
Barclays Bank Plc, 5.14%, 10/14/20 | 100 | 103,796 | |||||||||||||
CIT Group, Inc.: | |||||||||||||||
5.25%, 3/15/18 | 1,434 | 1,480,605 | |||||||||||||
6.63%, 4/01/18 (b) | 110 | 118,800 | |||||||||||||
5.50%, 2/15/19 (b) | 219 | 224,475 | |||||||||||||
HSBC Bank PLC, 7.65%, 5/01/25 | 350 | 424,932 | |||||||||||||
Itau Unibanco Holding SA, 5.75%, 1/22/21 (b) | 225 | 214,875 | |||||||||||||
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (f) | EUR | 12 | 19,508 | ||||||||||||
2,586,991 | |||||||||||||||
Commercial Services & Supplies — 2.8% | |||||||||||||||
AA Bond Co. Ltd., 9.50%, 7/31/43 | GBP | 100 | 165,431 | ||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b) | USD | 61 | 64,355 | ||||||||||||
The ADT Corp., 3.50%, 7/15/22 | 75 | 62,716 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 172 | 177,772 | |||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 11 | 11,784 | |||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 85 | 86,249 | |||||||||||||
EC Finance PLC, 9.75%, 8/01/17 | EUR | 50 | 72,023 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 | 340 | 378,692 | |||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | USD | 135 | 147,150 | ||||||||||||
UR Merger Sub Corp.: | |||||||||||||||
5.75%, 7/15/18 | 50 | 53,375 | |||||||||||||
7.38%, 5/15/20 | 95 | 102,362 | |||||||||||||
8.25%, 2/01/21 | 165 | 182,325 | |||||||||||||
7.63%, 4/15/22 | 919 | 987,925 | |||||||||||||
Verisure Holding AB: | |||||||||||||||
8.75%, 9/01/18 | EUR | 100 | 144,721 | ||||||||||||
8.75%, 12/01/18 | 100 | 139,764 | |||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 50 | 54,125 | ||||||||||||
2,830,769 | |||||||||||||||
Communications Equipment — 1.2% | |||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (b) | 215 | 196,725 | |||||||||||||
Brocade Communications Systems, Inc., 6.88%, 1/15/20 | 175 | 188,562 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | |||||||||||||||
8.13%, 1/01/20 | 578 | 627,130 | |||||||||||||
10.13%, 7/01/20 | 186 | 211,110 | |||||||||||||
1,223,527 | |||||||||||||||
Construction & Engineering — 0.3% | |||||||||||||||
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b) | 75 | 60,750 | |||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) | 200 | 201,000 | |||||||||||||
261,750 |
ANNUAL REPORT | AUGUST 31, 2013 | 107 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Construction Materials — 3.1% | |||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 100 | $ | 140,753 | |||||||||||
HD Supply, Inc.: | |||||||||||||||
8.13%, 4/15/19 | USD | 1,487 | 1,654,288 | ||||||||||||
11.00%, 4/15/20 | 230 | 274,850 | |||||||||||||
7.50%, 7/15/20 (b) | 977 | 1,020,965 | |||||||||||||
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20 | EUR | 21 | 32,750 | ||||||||||||
3,123,606 | |||||||||||||||
Consumer Finance — 0.7% | |||||||||||||||
Credit Acceptance Corp., 9.13%, 2/01/17 | USD | 185 | 197,488 | ||||||||||||
Ford Motor Credit Co. LLC, 2.75%, 5/15/15 | 500 | 508,360 | |||||||||||||
705,848 | |||||||||||||||
Containers & Packaging — 0.8% | |||||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 54 | 71,372 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 23 | 24,150 | ||||||||||||
GCL Holdings SCA, 9.38%, 4/15/18 (b) | EUR | 100 | 142,738 | ||||||||||||
Graphic Packaging International, Inc., 7.88%, 10/01/18 | USD | 135 | 146,813 | ||||||||||||
Sealed Air Corp. (b): | |||||||||||||||
6.50%, 12/01/20 | 120 | 127,200 | |||||||||||||
8.38%, 9/15/21 | 60 | 67,875 | |||||||||||||
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b) | 200 | 200,000 | |||||||||||||
780,148 | |||||||||||||||
Diversified Consumer Services — 0.5% | |||||||||||||||
APX Group, Inc., 6.38%, 12/01/19 (b) | 157 | 147,973 | |||||||||||||
Rent-A-Center, Inc., 4.75%, 5/01/21 (b) | 108 | 99,900 | |||||||||||||
Service Corp. International, 4.50%, 11/15/20 | 307 | 297,790 | |||||||||||||
545,663 | |||||||||||||||
Diversified Financial Services — 7.1% | |||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 | 174 | 181,395 | |||||||||||||
Ally Financial, Inc.: | |||||||||||||||
8.30%, 2/12/15 | 400 | 432,000 | |||||||||||||
6.25%, 12/01/17 | 30 | 32,169 | |||||||||||||
8.00%, 3/15/20 | 60 | 69,075 | |||||||||||||
7.50%, 9/15/20 | 550 | 618,750 | |||||||||||||
8.00%, 11/01/31 | 1,106 | 1,271,900 | |||||||||||||
Bank of America Corp.: | |||||||||||||||
4.50%, 4/01/15 | 375 | 393,291 | |||||||||||||
6.50%, 8/01/16 | 410 | 462,357 | |||||||||||||
5.63%, 10/14/16 | 100 | 110,721 | |||||||||||||
5.75%, 12/01/17 | 240 | 268,535 | |||||||||||||
Citigroup, Inc., 8.13%, 7/15/39 | 55 | 75,704 | |||||||||||||
Co-Operative Group Ltd., 5.63%, 7/08/20 (g) | GBP | 100 | 146,834 | ||||||||||||
DPL, Inc.: | |||||||||||||||
6.50%, 10/15/16 | USD | 115 | 121,325 | ||||||||||||
7.25%, 10/15/21 | 310 | 316,200 | |||||||||||||
Gala Group Finance PLC, 8.88%, 9/01/18 | GBP | 100 | 165,043 | ||||||||||||
General Motors Financial Co., Inc., 4.25%, 5/15/23 (b) | USD | 101 | 90,900 | ||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b) | 200 | 198,000 | |||||||||||||
JPMorgan Chase & Co.: | |||||||||||||||
5.50%, 10/15/40 | 175 | 188,311 | |||||||||||||
5.60%, 7/15/41 | 175 | 189,989 | |||||||||||||
Macquarie Bank Ltd., 5.00%, 2/22/17 (b) | 200 | 215,840 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
7.88%, 8/15/19 | 180 | 198,000 | |||||||||||||
9.88%, 8/15/19 | 274 | 291,125 | |||||||||||||
5.75%, 10/15/20 | 748 | 741,455 | |||||||||||||
6.88%, 2/15/21 | 125 | 131,875 | |||||||||||||
WMG Acquisition Corp., 11.50%, 10/01/18 | 151 | 174,028 | |||||||||||||
7,084,822 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services — 3.2% | |||||||||||||||
Broadview Networks Holdings, Inc., 10.50%, 11/15/17 | USD | 78 | $ | 76,725 | |||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 | 398 | 390,040 | |||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 | 150 | 160,125 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
8.13%, 7/01/19 | 1,310 | 1,385,325 | |||||||||||||
8.63%, 7/15/20 | 188 | 201,160 | |||||||||||||
Qwest Corp., 7.25%, 10/15/35 | 200 | 190,386 | |||||||||||||
Telefonica Emisiones SAU, 5.46%, 2/16/21 | 250 | 255,555 | |||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | EUR | 200 | 265,123 | ||||||||||||
6.75%, 8/15/24 | 100 | 133,817 | |||||||||||||
Windstream Corp., 7.88%, 11/01/17 | USD | 142 | 157,620 | ||||||||||||
3,215,876 | |||||||||||||||
Electric Utilities — 2.3% | |||||||||||||||
Nisource Finance Corp., 3.85%, 2/15/23 | 400 | 387,678 | |||||||||||||
Oncor Electric Delivery Co. LLC, 4.10%, 6/01/22 | 325 | 334,638 | |||||||||||||
Progress Energy, Inc., 7.75%, 3/01/31 | 1,000 | 1,291,241 | |||||||||||||
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 | EUR | 250 | 329,830 | ||||||||||||
2,343,387 | |||||||||||||||
Electrical Equipment — 0.1% | |||||||||||||||
General Cable Corp., 5.75%, 10/01/22 (b) | USD | 102 | 98,175 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
Jabil Circuit, Inc., 8.25%, 3/15/18 | 45 | 52,988 | |||||||||||||
Energy Equipment & Services — 4.5% | |||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b) | 145 | 146,088 | |||||||||||||
CGG (FKA Compagnie Generale de Geophysique, Veritas): | |||||||||||||||
7.75%, 5/15/17 | 55 | 56,375 | |||||||||||||
6.50%, 6/01/21 | 200 | 202,500 | |||||||||||||
Energy Transfer Partners LP, 5.20%, 2/01/22 | 600 | 632,216 | |||||||||||||
Ensco PLC, 4.70%, 3/15/21 | 425 | 449,573 | |||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b) | 285 | 304,237 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 | 18 | 17,730 | |||||||||||||
GrafTech International Ltd., 6.38%, 11/15/20 | 150 | 150,000 | |||||||||||||
MEG Energy Corp., 6.50%, 3/15/21 (b) | 366 | 372,405 | |||||||||||||
Oil States International, Inc., 6.50%, 6/01/19 | 115 | 121,325 | |||||||||||||
Peabody Energy Corp.: | |||||||||||||||
6.00%, 11/15/18 | 313 | 311,435 | |||||||||||||
6.25%, 11/15/21 | 312 | 301,080 | |||||||||||||
Precision Drilling Corp., 6.50%, 12/15/21 | 65 | 67,925 | |||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) | 535 | 539,012 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (b) | 97 | 96,758 | |||||||||||||
Transocean, Inc., 6.50%, 11/15/20 | 550 | 608,060 | |||||||||||||
Trionista Holdco GmbH, 5.00%, 4/30/20 | EUR | 100 | 133,487 | ||||||||||||
4,510,206 | |||||||||||||||
Food & Staples Retailing — 0.4% | |||||||||||||||
Bakkavor Finance 2 PLC: | |||||||||||||||
8.25%, 2/15/18 | GBP | 104 | 168,018 | ||||||||||||
8.75%, 6/15/20 | 100 | 161,944 | |||||||||||||
Rite Aid Corp., 6.75%, 6/15/21 (b) | USD | 72 | 72,900 | ||||||||||||
402,862 | |||||||||||||||
Food Products — 2.0% | |||||||||||||||
Barry Callebaut Services NV, 5.50%, 6/15/23 (b) | 200 | 201,158 | |||||||||||||
Darling International, Inc., 8.50%, 12/15/18 | 90 | 99,000 | |||||||||||||
Findus Bondco SA: | |||||||||||||||
9.13%, 7/01/18 | EUR | 100 | 139,117 | ||||||||||||
9.50%, 7/01/18 | GBP | 100 | 162,579 | ||||||||||||
Mondelez International, Inc.: | |||||||||||||||
6.50%, 8/11/17 | USD | 600 | 695,035 | ||||||||||||
6.13%, 8/23/18 | 250 | 289,326 | |||||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (b) | 56 | 52,080 |
108 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Food Products (concluded) | |||||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 | USD | 185 | $ | 195,175 | |||||||||||
Sun Merger Sub, Inc. (b): | |||||||||||||||
5.25%, 8/01/18 | 86 | 86,323 | |||||||||||||
5.88%, 8/01/21 | 44 | 43,890 | |||||||||||||
1,963,683 | |||||||||||||||
Gas Utilities — 0.3% | |||||||||||||||
El Paso Natural Gas Co. LLC, 8.63%, 1/15/22 | 145 | 186,880 | |||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18 | 95 | 101,887 | |||||||||||||
288,767 | |||||||||||||||
Health Care Equipment & Supplies — 2.7% | |||||||||||||||
Biomet, Inc.: | |||||||||||||||
6.50%, 8/01/20 | 1,371 | 1,405,275 | |||||||||||||
6.50%, 10/01/20 | 741 | 739,147 | |||||||||||||
DJO Finance LLC, 7.75%, 4/15/18 | 40 | 39,300 | |||||||||||||
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) | 410 | 456,638 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 | 105 | 110,250 | |||||||||||||
2,750,610 | |||||||||||||||
Health Care Providers & Services — 6.4% | |||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 | 150 | 160,500 | |||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 246 | 251,535 | |||||||||||||
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) | EUR | 200 | 281,511 | ||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 (b) | GBP | 200 | 316,449 | ||||||||||||
HCA, Inc.: | |||||||||||||||
8.50%, 4/15/19 | USD | 40 | 43,200 | ||||||||||||
6.50%, 2/15/20 | 1,149 | 1,233,739 | |||||||||||||
7.88%, 2/15/20 | 115 | 124,056 | |||||||||||||
7.25%, 9/15/20 | 805 | 876,444 | |||||||||||||
5.88%, 3/15/22 | 148 | 152,810 | |||||||||||||
4.75%, 5/01/23 | 317 | 295,999 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 | 240 | 250,200 | |||||||||||||
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 | 20 | 20,950 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (b) | 80 | 81,600 | |||||||||||||
Symbion, Inc., 8.00%, 6/15/16 | 125 | 131,250 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 | 1,363 | 1,439,668 | |||||||||||||
4.50%, 4/01/21 | 100 | 92,000 | |||||||||||||
4.38%, 10/01/21 (b) | 446 | 404,745 | |||||||||||||
WellPoint, Inc., 5.95%, 12/15/34 | 194 | 214,572 | |||||||||||||
6,371,228 | |||||||||||||||
Health Care Technology — 0.8% | |||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (b) | 660 | 778,800 | |||||||||||||
Hotels, Restaurants & Leisure — 2.1% | |||||||||||||||
Caesars Entertainment Operating Co., Inc.: | |||||||||||||||
8.50%, 2/15/20 | 7 | 6,685 | |||||||||||||
9.00%, 2/15/20 | 177 | 169,920 | |||||||||||||
9.00%, 2/15/20 | 445 | 427,200 | |||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 51 | 68,415 | ||||||||||||
Diamond Resorts Corp., 12.00%, 8/15/18 | USD | 310 | 344,100 | ||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 200 | 270,938 | ||||||||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | 150 | 205,186 | |||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (b) | USD | 136 | 135,660 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b) | 212 | 200,340 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h) | 50 | — | |||||||||||||
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21 | GBP | 200 | 312,265 | ||||||||||||
2,140,709 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Durables — 1.6% | |||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | USD | 145 | $ | 152,794 | |||||||||||
RPG Byty Sro, 6.75%, 5/01/20 | EUR | 100 | 127,539 | ||||||||||||
The Ryland Group, Inc., 6.63%, 5/01/20 | USD | 130 | 134,875 | ||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 109 | 160,627 | ||||||||||||
Standard Pacific Corp.: | |||||||||||||||
10.75%, 9/15/16 | USD | 565 | 670,937 | ||||||||||||
8.38%, 1/15/21 | 200 | 224,000 | |||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b) | 95 | 89,775 | |||||||||||||
1,560,547 | |||||||||||||||
Household Products — 0.4% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 (b) | EUR | 100 | 138,795 | ||||||||||||
9.00%, 4/15/19 | 100 | 137,121 | |||||||||||||
Spectrum Brands Escrow Corp. (b): | |||||||||||||||
6.38%, 11/15/20 | USD | 50 | 51,750 | ||||||||||||
6.63%, 11/15/22 | 70 | 71,750 | |||||||||||||
399,416 | |||||||||||||||
Independent Power Producers & Energy Traders — 3.2% | |||||||||||||||
Calpine Corp., 7.50%, 2/15/21 (b) | 36 | 38,160 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||||||||||||||
10.00%, 12/01/20 | 1,562 | 1,645,957 | |||||||||||||
10.00%, 12/01/20 (b) | 765 | 804,206 | |||||||||||||
GenOn REMA LLC, Series C,, 9.68%, 7/02/26 | 105 | 111,300 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 115 | 127,938 | |||||||||||||
7.38%, 5/01/22 | 50 | 52,750 | |||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 | 330 | 365,475 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 | 75 | 71,625 | |||||||||||||
3,217,411 | |||||||||||||||
Insurance — 3.1% | |||||||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b) | 147 | 150,308 | |||||||||||||
American International Group, Inc., 6.40%, 12/15/20 | 1,130 | 1,319,173 | |||||||||||||
Lincoln National Corp., 8.75%, 7/01/19 | 575 | 739,104 | |||||||||||||
MetLife Global Funding I, 5.13%, 6/10/14 (b) | 250 | 258,903 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) | 90 | 92,700 | |||||||||||||
Prudential Financial, Inc., 5.38%, 6/21/20 | 400 | 448,859 | |||||||||||||
TMF Group Holding BV, 9.88%, 12/01/19 | EUR | 100 | 138,120 | ||||||||||||
3,147,167 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 22 | 21,175 | ||||||||||||
VeriSign, Inc., 4.63%, 5/01/23 (b) | 85 | 79,475 | |||||||||||||
100,650 | |||||||||||||||
IT Services — 2.7% | |||||||||||||||
Ceridian Corp. (b): | |||||||||||||||
8.88%, 7/15/19 | 370 | 416,250 | |||||||||||||
11.00%, 3/15/21 | 112 | 129,360 | |||||||||||||
First Data Corp. (b): | |||||||||||||||
7.38%, 6/15/19 | 943 | 978,362 | |||||||||||||
8.88%, 8/15/20 | 195 | 210,600 | |||||||||||||
6.75%, 11/01/20 | 486 | 496,935 | |||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
7.38%, 11/15/18 | 280 | 297,500 | |||||||||||||
6.63%, 11/01/19 | 205 | 208,075 | |||||||||||||
2,737,082 | |||||||||||||||
Machinery — 0.2% | |||||||||||||||
Navistar International Corp., 8.25%, 11/01/21 | 97 | 96,394 | |||||||||||||
SPX Corp., 6.88%, 9/01/17 | 65 | 71,987 | |||||||||||||
168,381 |
ANNUAL REPORT | AUGUST 31, 2013 | 109 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Media — 10.5% | |||||||||||||||
AMC Networks, Inc.: | |||||||||||||||
7.75%, 7/15/21 | USD | 80 | $ | 88,400 | |||||||||||
4.75%, 12/15/22 | 86 | 80,625 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||||||||||||
6.50%, 4/30/21 | 320 | 324,000 | |||||||||||||
5.25%, 9/30/22 | 218 | 198,925 | |||||||||||||
5.13%, 2/15/23 | 50 | 44,875 | |||||||||||||
Checkout Holding Corp., 9.92%, 11/15/15 (b)(e) | 166 | 134,045 | |||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 | 44 | 41,140 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
9.00%, 12/15/19 | 130 | 125,125 | |||||||||||||
9.00%, 3/01/21 | 276 | 262,200 | |||||||||||||
Clear Channel Worldwide Holdings, Inc.: | |||||||||||||||
6.50%, 11/15/22 | 167 | 165,747 | |||||||||||||
Series B, 7.63%, 3/15/20 | 240 | 240,600 | |||||||||||||
Series B, 6.50%, 11/15/22 | 678 | 678,000 | |||||||||||||
DIRECTV Holdings LLC: | |||||||||||||||
3.80%, 3/15/22 | 250 | 233,183 | |||||||||||||
6.00%, 8/15/40 | 175 | 167,028 | |||||||||||||
DISH DBS Corp.: | |||||||||||||||
7.00%, 10/01/13 | 201 | 201,804 | |||||||||||||
5.88%, 7/15/22 | 340 | 333,200 | |||||||||||||
Intelsat Jackson Holdings SA: | |||||||||||||||
7.25%, 10/15/20 | 154 | 164,395 | |||||||||||||
5.50%, 8/01/23 (b) | 161 | 149,328 | |||||||||||||
Live Nation Entertainment, Inc. (b): | |||||||||||||||
8.13%, 5/15/18 | 150 | 163,877 | |||||||||||||
7.00%, 9/01/20 | 29 | 30,160 | |||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) | 216 | 233,971 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) | 75 | 75,938 | |||||||||||||
Nara Cable Funding Ltd., 8.88%, 12/01/18 | EUR | 100 | 139,203 | ||||||||||||
NBC Universal Media LLC, 6.40%, 4/30/40 | USD | 530 | 633,700 | ||||||||||||
The New York Times Co., 6.63%, 12/15/16 | 500 | 553,750 | |||||||||||||
News America, Inc., 6.20%, 12/15/34 | 825 | 885,480 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18 | 408 | 443,700 | |||||||||||||
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (b) | GBP | 100 | 159,619 | ||||||||||||
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b) | USD | 47 | 47,235 | ||||||||||||
Sirius XM Radio, Inc. (b): | |||||||||||||||
4.25%, 5/15/20 | 141 | 129,015 | |||||||||||||
4.63%, 5/15/23 | 68 | 60,010 | |||||||||||||
TCI Communications, Inc., 7.88%, 2/15/26 | 1,000 | 1,297,749 | |||||||||||||
Time Warner Cable, Inc., 4.50%, 9/15/42 | 445 | 345,930 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW Gmbh, 7.50%, 3/15/19 | EUR | 337 | 482,141 | ||||||||||||
Unitymedia KabelBW GmbH, 9.50%, 3/15/21 | 150 | 224,961 | |||||||||||||
Univision Communications, Inc., 5.13%, 5/15/23 (b) | USD | 292 | 275,575 | ||||||||||||
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) | EUR | 292 | 404,774 | ||||||||||||
Virgin Media Secured Finance PLC, 6.50%, 1/15/18 | USD | 200 | 208,500 | ||||||||||||
Ziggo Finance BV, 6.13%, 11/15/17 (b) | EUR | 88 | 120,388 | ||||||||||||
10,548,296 | |||||||||||||||
Metals & Mining — 3.1% | |||||||||||||||
ArcelorMittal: | |||||||||||||||
9.50%, 2/15/15 | USD | 100 | 109,750 | ||||||||||||
4.25%, 2/25/15 | 43 | 44,129 | |||||||||||||
4.25%, 8/05/15 | 29 | 29,870 | |||||||||||||
4.25%, 3/01/16 | 50 | 51,000 | |||||||||||||
6.13%, 6/01/18 | 190 | 195,700 | |||||||||||||
Barrick Gold Corp., 2.90%, 5/30/16 | 225 | 226,253 | |||||||||||||
Barrick North America Finance LLC, 5.70%, 5/30/41 | 250 | 212,710 | |||||||||||||
Commercial Metals Co., 4.88%, 5/15/23 | 138 | 124,890 | |||||||||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 | EUR | 100 | 134,808 | ||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Metals & Mining (concluded) | |||||||||||||||
New Gold, Inc., 6.25%, 11/15/22 (b) | USD | 105 | $ | 100,538 | |||||||||||
Newmont Mining Corp., 5.13%, 10/01/19 | 225 | 235,708 | |||||||||||||
Novelis, Inc., 8.75%, 12/15/20 | 1,195 | 1,299,562 | |||||||||||||
Taseko Mines Ltd., 7.75%, 4/15/19 | 150 | 147,750 | |||||||||||||
Vedanta Resources PLC, 8.25%, 6/07/21 (b) | 200 | 188,000 | |||||||||||||
3,100,668 | |||||||||||||||
Multiline Retail — 0.7% | |||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 | 244 | 256,227 | |||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b) | 400 | 408,220 | |||||||||||||
664,447 | |||||||||||||||
Oil, Gas & Consumable Fuels — 10.2% | |||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22 | 100 | 102,750 | |||||||||||||
Anadarko Petroleum Corp.: | |||||||||||||||
5.95%, 9/15/16 | 365 | 409,364 | |||||||||||||
6.38%, 9/15/17 | 75 | 86,794 | |||||||||||||
6.95%, 6/15/19 | 150 | 179,908 | |||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b) | 40 | 40,400 | |||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 15 | 15,263 | |||||||||||||
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20 | 100 | 105,500 | |||||||||||||
Chesapeake Energy Corp.: | |||||||||||||||
7.25%, 12/15/18 | 10 | 11,325 | |||||||||||||
6.63%, 8/15/20 | 90 | 96,525 | |||||||||||||
6.13%, 2/15/21 | 95 | 98,800 | |||||||||||||
5.75%, 3/15/23 | 160 | 159,200 | |||||||||||||
Concho Resources, Inc.: | |||||||||||||||
7.00%, 1/15/21 | 40 | 43,900 | |||||||||||||
6.50%, 1/15/22 | 50 | 53,000 | |||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 | 625 | 662,500 | |||||||||||||
Continental Resources, Inc.: | |||||||||||||||
7.13%, 4/01/21 | 135 | 147,825 | |||||||||||||
5.00%, 9/15/22 | 121 | 122,210 | |||||||||||||
4.50%, 4/15/23 | 29 | 28,493 | |||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 | 157 | 140,122 | |||||||||||||
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/01/21 | 500 | 528,179 | |||||||||||||
Energy XXI Gulf Coast, Inc.: | |||||||||||||||
9.25%, 12/15/17 | 120 | 133,500 | |||||||||||||
7.75%, 6/15/19 | 320 | 332,800 | |||||||||||||
Enterprise Products Operating LLC, 3.70%, 6/01/15 | 500 | 523,533 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 60 | 63,750 | |||||||||||||
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19 | 55 | 55,000 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b) | 70 | 74,550 | |||||||||||||
Kinder Morgan Energy Partners LP, 3.95%, 9/01/22 | 475 | 464,127 | |||||||||||||
Kodiak Oil & Gas Corp.: | |||||||||||||||
8.13%, 12/01/19 | 128 | 140,160 | |||||||||||||
5.50%, 2/01/22 (b) | 27 | 26,055 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||||||||
6.50%, 5/15/19 | 16 | 15,040 | |||||||||||||
6.25%, 11/01/19 (b) | 316 | 290,720 | |||||||||||||
8.63%, 4/15/20 | 55 | 55,275 | |||||||||||||
7.75%, 2/01/21 | 50 | 48,500 | |||||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22 | 44 | 45,980 | |||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 52 | 50,180 | |||||||||||||
Nexen, Inc., 6.40%, 5/15/37 | 150 | 162,439 | |||||||||||||
Oasis Petroleum, Inc.: | |||||||||||||||
7.25%, 2/01/19 | 90 | 95,400 | |||||||||||||
6.50%, 11/01/21 | 110 | 115,500 | |||||||||||||
Pacific Drilling SA, 5.38%, 6/01/20 (b) | 94 | 90,710 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 | 11 | 11,248 |
110 | ANNUAL REPORT | AUGUST 31, 2013 |
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) | |||||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 | USD | 75 | $ | 78,750 | |||||||||||
Petrobras International Finance Co.: | |||||||||||||||
3.88%, 1/27/16 | 1,100 | 1,128,810 | |||||||||||||
5.88%, 3/01/18 | 200 | 211,501 | |||||||||||||
7.88%, 3/15/19 | 100 | 112,566 | |||||||||||||
6.88%, 1/20/40 | 25 | 23,608 | |||||||||||||
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b) | 210 | 229,950 | |||||||||||||
Pioneer Natural Resources Co., 6.88%, 5/01/18 | 35 | 41,054 | |||||||||||||
Range Resources Corp.: | |||||||||||||||
8.00%, 5/15/19 | 45 | 48,375 | |||||||||||||
5.75%, 6/01/21 | 317 | 332,057 | |||||||||||||
5.00%, 8/15/22 | 33 | 32,258 | |||||||||||||
Regency Energy Partners LP, 4.50%, 11/01/23 (b) | 63 | 56,228 | |||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b) | 43 | 43,000 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 61 | 58,865 | |||||||||||||
Sabine Pass Liquefaction LLC (b): | |||||||||||||||
5.63%, 2/01/21 | 458 | 437,390 | |||||||||||||
5.63%, 4/15/23 | 117 | 108,517 | |||||||||||||
Sabine Pass LNG LP: | |||||||||||||||
7.50%, 11/30/16 | 545 | 600,181 | |||||||||||||
6.50%, 11/01/20 (b) | 120 | 120,600 | |||||||||||||
SandRidge Energy, Inc.: | �� | ||||||||||||||
8.75%, 1/15/20 | 8 | 8,360 | |||||||||||||
7.50%, 2/15/23 | 98 | 94,815 | |||||||||||||
SM Energy Co., 6.63%, 2/15/19 | 45 | 47,025 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b) | 100 | 101,500 | |||||||||||||
Western Gas Partners LP, 5.38%, 6/01/21 | 325 | 351,187 | |||||||||||||
The Williams Cos., Inc., 8.75%, 3/15/32 | 124 | 154,030 | |||||||||||||
10,247,152 | |||||||||||||||
Paper & Forest Products — 0.7% | |||||||||||||||
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20 | 50 | 53,625 | |||||||||||||
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17 | 45 | 47,363 | |||||||||||||
Clearwater Paper Corp., 7.13%, 11/01/18 | 215 | 231,125 | |||||||||||||
International Paper Co.: | |||||||||||||||
7.95%, 6/15/18 | 220 | 271,683 | |||||||||||||
7.30%, 11/15/39 | 5 | 6,156 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(h) | 779 | — | |||||||||||||
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) | 50 | 46,500 | |||||||||||||
656,452 | |||||||||||||||
Pharmaceuticals — 2.1% | |||||||||||||||
Actavis, Inc. (FKA Watson Pharmaceuticals, Inc.), 3.25%, 10/01/22 | 550 | 510,942 | |||||||||||||
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) | EUR | 100 | 146,042 | ||||||||||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b) | USD | 125 | 141,250 | ||||||||||||
Valeant Pharmaceuticals International (b): | |||||||||||||||
6.50%, 7/15/16 | 285 | 294,975 | |||||||||||||
6.38%, 10/15/20 | 97 | 98,576 | |||||||||||||
VPII Escrow Corp., 6.75%, 8/15/18 (b) | 244 | 258,335 | |||||||||||||
Wyeth LLC, 6.50%, 2/01/34 | 500 | 618,386 | |||||||||||||
2,068,506 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 290 | 303,775 | |||||||||||||
5.63%, 3/01/23 | 62 | 57,660 | |||||||||||||
HCP, Inc., 5.38%, 2/01/21 | 225 | 243,665 | |||||||||||||
605,100 | |||||||||||||||
Real Estate Management & Development — 2.0% | |||||||||||||||
CBRE Services, Inc., 6.63%, 10/15/20 | 90 | 95,625 | |||||||||||||
Lennar Corp., 4.75%, 11/15/22 (b) | 110 | 100,925 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Real Estate Management & Development (concluded) | |||||||||||||||
Realogy Corp. (b): | |||||||||||||||
7.88%, 2/15/19 | USD | 951 | $ | 1,034,212 | |||||||||||
7.63%, 1/15/20 | 130 | 145,600 | |||||||||||||
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b) | 119 | 118,108 | |||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 | 445 | 488,387 | |||||||||||||
1,982,857 | |||||||||||||||
Road & Rail — 1.5% | |||||||||||||||
Canadian National Railway Co., 6.90%, 7/15/28 | 500 | 629,527 | |||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 285 | 307,800 | |||||||||||||
5.88%, 10/15/20 | 55 | 56,444 | |||||||||||||
7.38%, 1/15/21 | 380 | 410,400 | |||||||||||||
6.25%, 10/15/22 | 95 | 96,663 | |||||||||||||
1,500,834 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b) | 200 | 200,000 | |||||||||||||
Software — 1.3% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 | 151 | 139,298 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 630 | 700,875 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b) | 265 | 252,412 | |||||||||||||
Oracle Corp., 5.38%, 7/15/40 | 210 | 230,297 | |||||||||||||
1,322,882 | |||||||||||||||
Specialty Retail — 1.8% | |||||||||||||||
Asbury Automotive Group, Inc., 8.38%, 11/15/20 | 130 | 143,650 | |||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (b) | 85 | 94,669 | |||||||||||||
House of Fraser Funding PLC: | |||||||||||||||
8.88%, 8/15/18 (b) | GBP | 100 | 164,028 | ||||||||||||
8.88%, 8/15/18 | 125 | 205,035 | |||||||||||||
Limited Brands, Inc., 8.50%, 6/15/19 | USD | 320 | 378,000 | ||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 | EUR | 100 | 133,830 | ||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(c) | USD | 59 | 60,623 | ||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (b) | 233 | 249,601 | |||||||||||||
QVC, Inc. (b): | |||||||||||||||
7.50%, 10/01/19 | 135 | 145,541 | |||||||||||||
7.38%, 10/15/20 | 95 | 103,222 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22 | 146 | 146,182 | |||||||||||||
1,824,381 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||||||
PVH Corp., 4.50%, 12/15/22 | 122 | 113,003 | |||||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b) | 106 | 104,675 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (b) | 88 | 88,440 | |||||||||||||
306,118 | |||||||||||||||
Tobacco — 0.1% | |||||||||||||||
Altria Group, Inc., 9.95%, 11/10/38 | 50 | 73,949 | |||||||||||||
Trading Companies & Distributors — 0.3% | |||||||||||||||
Air Lease Corp., 4.50%, 1/15/16 | 257 | 267,280 | |||||||||||||
Transportation Infrastructure — 0.2% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) | 150 | 157,125 | |||||||||||||
Wireless Telecommunication Services — 5.6% | |||||||||||||||
America Movil SAB de CV: | |||||||||||||||
2.38%, 9/08/16 | 200 | 202,727 | |||||||||||||
5.00%, 3/30/20 | 400 | 424,341 | |||||||||||||
American Tower Corp.: | |||||||||||||||
4.50%, 1/15/18 | 375 | 396,602 | |||||||||||||
4.70%, 3/15/22 | 380 | 376,075 | |||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 | 115 | 108,675 | |||||||||||||
Crown Castle Towers LLC, 6.11%, 1/15/20 (b) | 375 | 422,832 |
ANNUAL REPORT | AUGUST 31, 2013 | 111 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services (concluded) | |||||||||||||||
Digicel Group Ltd. (b): | |||||||||||||||
10.50%, 4/15/18 | USD | 90 | $ | 96,975 | |||||||||||
8.25%, 9/30/20 | 220 | 233,200 | |||||||||||||
MetroPCS Wireless, Inc., 6.63%, 11/15/20 | 93 | 96,488 | |||||||||||||
Phones4u Finance PLC: | |||||||||||||||
9.50%, 4/01/18 (b) | GBP | 100 | 160,394 | ||||||||||||
9.50%, 4/01/18 | 100 | 160,394 | |||||||||||||
SBA Tower Trust, 4.25%, 4/15/40 (b) | USD | 325 | 331,018 | ||||||||||||
Sprint Capital Corp., 6.8%, 11/15/28 | 431 | 388,977 | |||||||||||||
Sprint Communications, Inc. (b): | |||||||||||||||
9.00%, 11/15/18 | 1,216 | 1,419,680 | |||||||||||||
7.00%, 3/01/20 | 669 | 719,175 | |||||||||||||
T-Mobile USA, Inc., 5.25%, 9/01/18 (b) | 75 | 75,750 | |||||||||||||
5,613,303 | |||||||||||||||
Total Corporate Bonds — 104.1% | 104,047,274 | ||||||||||||||
Floating Rate Loan Interests (f) | |||||||||||||||
Airlines — 0.2% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18 | 161 | 161,434 | |||||||||||||
Auto Components — 1.2% | |||||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.12% — 2.13%, 12/29/14 | 653 | 636,208 | |||||||||||||
Term Loan C, 2.12% — 2.13%, 12/28/15 | 325 | 316,568 | |||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 210 | 210,325 | |||||||||||||
1,163,101 | |||||||||||||||
Building Products — 0.1% | |||||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | 149 | 147,976 | |||||||||||||
Capital Markets — 0.1% | |||||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 125 | 124,454 | |||||||||||||
Chemicals — 0.3% | |||||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 4.00%, 5/04/18 | 141 | 139,518 | |||||||||||||
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20 | 20 | 20,200 | |||||||||||||
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 | 90 | 89,747 | |||||||||||||
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 25 | 25,100 | |||||||||||||
274,565 | |||||||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 127 | 127,279 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 90 | 90,282 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 150 | 149,217 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 90 | 90,085 | |||||||||||||
456,863 | |||||||||||||||
Communications Equipment — 1.5% | |||||||||||||||
Alcatel-Lucent USA, Inc.: | |||||||||||||||
Term Loan C, 5.75%, 1/30/19 | 498 | 499,525 | |||||||||||||
Term Loan D, 6.25%, 1/30/19 | EUR | 194 | 257,010 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19 | USD | 747 | 749,438 | ||||||||||||
1,505,973 | |||||||||||||||
Construction Materials — 0.3% | |||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 321 | 321,846 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Tekni-Plex, Inc., Term Loan B, 6.50%, 8/25/19 | 95 | 94,525 | |||||||||||||
Floating Rate Loan Interests (f) | Par (000) | Value | |||||||||||||
Diversified Consumer Services — 0.6% | |||||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | USD | 483 | $ | 480,827 | |||||||||||
ServiceMaster Co., Term Loan, 4.25%, 1/31/17 | 164 | 159,168 | |||||||||||||
639,995 | |||||||||||||||
Diversified Telecommunication Services — 0.2% | |||||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2019 Term Loan B, 4.00%, 8/01/19 | 110 | 109,794 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 70 | 69,927 | |||||||||||||
179,721 | |||||||||||||||
Food & Staples Retailing — 0.0% | |||||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 40 | 40,988 | |||||||||||||
Food Products — 0.4% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 80 | 80,272 | |||||||||||||
Dole Food Co., Inc., Term Loan, 3.75% — 5.00%, 4/01/20 | 155 | 154,336 | |||||||||||||
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20 | 160 | 157,871 | |||||||||||||
392,479 | |||||||||||||||
Health Care Equipment & Supplies — 0.4% | |||||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 277 | 275,474 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 104 | 102,910 | |||||||||||||
378,384 | |||||||||||||||
Health Care Providers & Services — 0.1% | |||||||||||||||
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16 | 107 | 104,807 | |||||||||||||
Hotels, Restaurants & Leisure — 3.0% | |||||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 2,305 | 2,193,207 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 208 | 207,593 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20 | 579 | 582,409 | |||||||||||||
2,983,209 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 208 | 208,447 | |||||||||||||
Insurance — 0.1% | |||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 119 | 119,774 | |||||||||||||
IT Services — 0.3% | |||||||||||||||
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18 | 285 | 281,990 | |||||||||||||
Life Sciences Tools & Services — 0.1% | |||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 74 | 74,996 | |||||||||||||
Machinery — 0.1% | |||||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20 | 118 | 116,601 | |||||||||||||
Media — 3.4% | |||||||||||||||
Cengage Learning Acquisitions, Inc.: | |||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 | 39 | 28,103 | |||||||||||||
Tranche 1 Incremental, 6.00%, 7/03/14 | 475 | 335,469 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
Term Loan B, 3.83%, 1/29/16 | 35 | 32,943 | |||||||||||||
Term Loan C, 3.83%, 1/29/16 | 20 | 18,240 | |||||||||||||
Term Loan D, 6.93%, 1/30/19 | 380 | 348,782 | |||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 104 | 104,552 | |||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18 | 2,361 | 2,376,482 |
112 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (f) | Par (000) | Value | |||||||||||||||
Media (concluded) | |||||||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | USD | 80 | $ | 82,000 | |||||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20 | 40 | 39,799 | |||||||||||||||
3,366,370 | |||||||||||||||||
Metals & Mining — 0.9% | |||||||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 309 | 316,182 | |||||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 559 | 561,207 | |||||||||||||||
877,389 | |||||||||||||||||
Multiline Retail — 0.1% | |||||||||||||||||
JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18 | 80 | 77,966 | |||||||||||||||
Oil, Gas & Consumable Fuels — 1.8% | |||||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 765 | 779,023 | |||||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 253 | 253,426 | |||||||||||||||
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 85 | 85,372 | |||||||||||||||
Vantage Drilling Co.: | |||||||||||||||||
Term Loan, 6.25%, 10/26/17 | 312 | 314,345 | |||||||||||||||
Term Loan B, 5.75%, 3/22/19 | 379 | 381,893 | |||||||||||||||
1,814,059 | |||||||||||||||||
Pharmaceuticals — 0.1% | |||||||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 108 | 108,134 | |||||||||||||||
Professional Services — 0.1% | |||||||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19 | 134 | 134,043 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 185 | 184,504 | |||||||||||||||
Real Estate Management & Development — 0.2% | |||||||||||||||||
Realogy Corp.: | |||||||||||||||||
Extended Letter of Credit, 4.45%, 10/10/16 | 50 | 50,215 | |||||||||||||||
Extended Term Loan, 4.50%, 3/05/20 | 185 | 185,553 | |||||||||||||||
235,768 | |||||||||||||||||
Road & Rail — 0.1% | |||||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17 | 100 | 99,308 | |||||||||||||||
Software — 0.6% | |||||||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 401 | 402,915 | |||||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 185 | 191,244 | |||||||||||||||
594,159 | |||||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 400 | 382,940 | |||||||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 214 | 216,500 | |||||||||||||||
Total Floating Rate Loan Interests — 17.9% | 17,863,268 | ||||||||||||||||
Foreign Agency Obligations | |||||||||||||||||
Qatar Government International Bond, 4.00%, 1/20/15 (b) | 200 | 207,000 | |||||||||||||||
Total Foreign Agency Obligations — 0.2% | 207,000 | ||||||||||||||||
Municipal Bonds | Par (000) | Value | |||||||||||||||
Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40 | USD | 300 | $ | 355,110 | |||||||||||||
Total Municipal Bonds — 0.4% | 355,110 | ||||||||||||||||
Other Interests (i) | Beneficial Interest (000) | ||||||||||||||||
Media — 0.0% | |||||||||||||||||
Adelphia Communications Corp., Class A | 400 | 3,000 | |||||||||||||||
Preferred Securities | |||||||||||||||||
Capital Trusts | Par (000 | ) | |||||||||||||||
Capital Markets — 0.1% | |||||||||||||||||
State Street Capital Trust IV, 1.27%, 6/01/77 (f) | 200 | 162,000 | |||||||||||||||
Insurance — 0.2% | |||||||||||||||||
MetLife Capital Trust X, 9.25%, 4/08/68 (b) | 150 | 194,250 | |||||||||||||||
Total Capital Trusts — 0.3% | 356,250 | ||||||||||||||||
Preferred Stocks | Shares | ||||||||||||||||
Capital Markets — 0.3% | |||||||||||||||||
The Goldman Sachs Group, Inc., Series J, 5.50%, 12/31/49 (f) | 13,550 | 306,907 | |||||||||||||||
Trust Preferreds — 0.7% | |||||||||||||||||
Diversified Financial Services — 0.7% | |||||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f) | 25,680 | 678,169 | |||||||||||||||
Total Preferred Securities — 1.3% | 1,341,326 | ||||||||||||||||
US Government Sponsored Agency Securities | Par (000 | ) | |||||||||||||||
Collateralized Mortgage Obligations — 0.1% | |||||||||||||||||
Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 5.16%, 6/16/31 (f) | USD | 99 | $ | 100,015 | |||||||||||||
US Treasury Obligations | |||||||||||||||||
US Treasury Bonds: | |||||||||||||||||
3.00%, 5/15/42 | 700 | 614,907 | |||||||||||||||
3.13%, 2/15/43 | 140 | 125,759 | |||||||||||||||
US Treasury Notes: | |||||||||||||||||
2.00%, 2/15/22 | 70 | 67,101 | |||||||||||||||
1.63%, 8/15/22 | 200 | 183,672 | |||||||||||||||
2.00%, 2/15/23 | 85 | 79,926 | |||||||||||||||
2.50%, 8/15/23 | 1,200 | 1,174,126 | |||||||||||||||
Total US Treasury Obligations — 2.2% | 2,245,491 | ||||||||||||||||
Total Long-Term Investments (Cost — $124,117,142) — 126.5% | 126,465,728 |
ANNUAL REPORT | AUGUST 31, 2013 | 113 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) (Percentages shown are based on Net Assets) |
Short-Term Securities | Shares | Value | |||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (j)(k) | 907,585 | $ | 907,585 | ||||||||||||
Total Short-Term Securities (Cost — $907,585) — 0.9% | 907,585 | ||||||||||||||
Options Purchased Value | |||||||||||||||
(Cost — $85,254) — 0.1% | 70,737 | ||||||||||||||
Total Investments Before Options Written (Cost — $125,109,981) — 127.5% | 127,444,050 |
Options Written | | Value | ||||||||||||
(Premiums Received — $39,000) — (0.1)% | $ | (38,932 | ) | |||||||||||
Total Investments, Net of Options Written — 127.4% | 127,405,118 | |||||||||||||
Liabilities in Excess of Other Assets — (27.4)% | �� | (27,437,627 | ) | |||||||||||
Net Assets — 100.0% | $ | 99,967,491 |
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 payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(d) | Convertible security. | |||||
(e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(f) | Variable rate security. Rate shown is as of report date. | |||||
(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) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||||
(j) | Represents the current yield as of report date. | |||||
(k) | Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 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 August 31, 2013 | | Income | | Realized Gain |
BlackRock Liquidity Funds, TempFund, Institutional Class | — | 907,585 | 907,585 | $587 | $22 |
• | 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 August 31, 2013 were as follows: |
Contracts Purchased (Sold) | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation (Depreciation) | |||||
46 | 2-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 10,108,500 | $3,768 | |||||||||
22 | 5-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 2,632,953 | 7,928 | |||||||||
(3) | 10-Year US Treasury Note | Chicago Board of Trade | December 2013 | USD | 372,844 | (192) | |||||||||
(30) | 30-Year US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 3,957,188 | (37,365) | |||||||||
(1) | Ultra Long US Treasury Bond | Chicago Board of Trade | December 2013 | USD | 141,875 | (1,572) | |||||||||
Total | $(27,433) |
• | Foreign currency exchange contracts as of August 31, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | ||||||
USD | 5,979,300 | EUR | 4,450,000 | UBS AG | 9/25/13 | $ | 97,553 | |||||||
GBP | 21,635 | USD | 33,694 | State Street Bank and Trust Co. | 10/22/13 | (179 | ) | |||||||
USD | 150,763 | GBP | 100,000 | Bank of America N.A. | 10/22/13 | (4,150 | ) | |||||||
USD | 147,301 | GBP | 95,000 | Bank of America N.A. | 10/22/13 | 134 | ||||||||
USD | 2,430,904 | GBP | 1,612,000 | Deutsche Bank AG | 10/22/13 | (66,286 | ) | |||||||
Total | $ | 27,072 |
114 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
• | Over-the-counter options purchased as of August 31, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | ||||
Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 6 | — |
• | Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | ||||
30-Year Interest Rate Swap | Royal Bank of Scotland PLC | Call | 3.25% | Receive | 3-Month LIBOR | 7/11/14 | USD | 500 | $ | 10,244 | ||||||||||
30-Year Interest Rate Swap | Barclays Bank PLC | Call | 3.25% | Receive | 3-Month LIBOR | 8/01/14 | USD | 500 | 10,709 | |||||||||||
30-Year Interest Rate Swap | Credit Suisse International | Put | 4.50% | Pay | 6-Month EURIBOR | 9/16/13 | EUR | 600 | — | |||||||||||
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 4.50% | Pay | 3-Month LIBOR | 2/02/17 | USD | 1,000 | 49,784 | |||||||||||
Total | $ | 70,737 |
• | Over-the-counter interest rate swaptions written as of August 31, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Exercise Rate | | Pay/Receive Exercise Rate | | Floating Rate Index | | Expiration Date | | Notional Amount (000) | | Market Value | | |
10-Year Interest Rate Swap | Deutsche Bank AG | Put | 6.00% | Receive | 3-Month LIBOR | 2/02/17 | USD | 2,000 | $ | (38,932 | ) |
• | Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows: |
Issuer | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Market Value | | Premiums Paid | | Unrealized Depreciation | |||||
The New York Times Co. | 1.00 | % | Barclays Bank PLC | 12/20/16 | USD | 500 | $ | 3,162 | $ | 23,049 | $(19,887) |
• | Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows: |
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Market Value | | Premiums Paid (Received) | | Unrealized Appreciation (Depreciation) | ||||||||
MetLife, Inc. | 5.00% | Deutsche Bank AG | 6/20/15 | A- | USD | 150 | $ | 12,409 | $ | 3,861 | $ | 8,548 | ||||||||||||
MetLife, Inc. | 1.00% | UBS AG | 9/20/15 | A- | USD | 175 | 1,985 | (5,205 | ) | 7,190 | ||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 12/20/15 | CCC- | USD | 56 | (10,692 | ) | (14,420 | ) | 3,728 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 12/20/15 | CCC- | USD | 27 | (5,141 | ) | (6,214 | ) | 1,073 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 98 | (18,722 | ) | (28,295 | ) | 9,573 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 23 | (4,338 | ) | (5,683 | ) | 1,345 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | UBS AG | 12/20/15 | CCC- | USD | 130 | (24,756 | ) | (28,120 | ) | 3,364 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 13 | (3,000 | ) | (2,839 | ) | (161 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 13 | (2,992 | ) | (2,513 | ) | (479 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citibank N.A. | 3/20/16 | CCC- | USD | 14 | (3,255 | ) | (2,794 | ) | (461 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 39 | (8,700 | ) | (9,257 | ) | 557 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 39 | (8,700 | ) | (9,257 | ) | 557 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 121 | (27,169 | ) | (27,552 | ) | 383 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 30 | (6,644 | ) | (6,408 | ) | (236 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/16 | CCC- | USD | 36 | (8,159 | ) | (6,354 | ) | (1,805 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase Bank N.A. | 3/20/16 | CCC- | USD | 15 | (3,303 | ) | (3,008 | ) | (295 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 6/20/16 | CCC- | USD | 70 | (18,237 | ) | (13,468 | ) | (4,769 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 77 | (20,153 | ) | (19,393 | ) | (760 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 6/20/16 | CCC- | USD | 150 | (39,080 | ) | (36,420 | ) | (2,660 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/17 | CCC- | USD | 13 | (4,712 | ) | (3,855 | ) | (857 | ) | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Bank USA | 3/20/17 | CCC- | USD | 27 | (9,593 | ) | (7,966 | ) | (1,627 | ) | ||||||||||||
Total | $ | (212,952 | ) | $ | (235,160 | ) | $ | 22,208 | ||||||||||||||||
1 | Using S&P’s ratings 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. |
ANNUAL REPORT | AUGUST 31, 2013 | 115 |
Schedule of Investments (continued) | BlackRock Strategic Bond Trust (BHD) |
• | Interest rate swaps outstanding as of August 31, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty/ Clearinghouse | | Expiration Date | | Notional Amount (000) | | Market Value | | Unrealized Appreciation (Depreciation) | ||||
0.44%1 | 3-Month LIBOR | Chicago Mercantile | 8/29/14 | USD | 2,000 | $(2,076) | $ | (2,076 | ) | |||||||
0.41%1 | 3-month LIBOR | Goldman Sachs Bank USA | 2/08/15 | USD | 1,800 | 380 | 380 | |||||||||
2.39%1 | 3-Month LIBOR | Chicago Mercantile | 6/20/23 | USD | 2,675 | 124,900 | 124,849 | |||||||||
2.78%1 | 3-Month LIBOR | Chicago Mercantile | 8/13/23 | USD | 600 | 8,728 | 8,717 | |||||||||
Total | $131,932 | $ | 131,870 |
1 | Trust pays the fixed 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 or liabilities that the Trust has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | 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 fair value hierarchy classification 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 instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 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 August 31, 2013: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks | $ | 1,111 | — | $ | 302,133 | $ | 303,244 | |||||||||
Corporate Bonds | — | 104,047,274 | — | 104,047,274 | ||||||||||||
Floating Rate Loan Interests | — | 16,415,375 | 1,447,893 | 17,863,268 | ||||||||||||
Foreign Agency Obligations | — | 207,000 | — | 207,000 | ||||||||||||
Municipal Bonds | — | 355,110 | — | 355,110 | ||||||||||||
Other Interests | — | 3,000 | — | 3,000 | ||||||||||||
Preferred Securities | 985,076 | 356,250 | — | 1,341,326 | ||||||||||||
US Government Sponsored Agency Securities | — | 100,015 | — | 100,015 | ||||||||||||
US Treasury Obligations | — | 2,245,491 | — | 2,245,491 | ||||||||||||
Short-Term Securities | 907,585 | — | — | 907,585 | ||||||||||||
Options Purchased: | ||||||||||||||||
Interest Rate Contracts | — | 70,737 | — | 70,737 | ||||||||||||
Total | $ | 1,893,772 | $ | 123,800,252 | $ | 1,750,026 | $ | 127,444,050 | ||||||||
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | — | $ | 36,318 | — | $ | 36,318 | ||||||||||
Foreign currency exchange contracts | — | 97,687 | — | 97,687 | ||||||||||||
Interest rate contracts | $ | 11,696 | 133,946 | — | 145,642 | |||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (33,997 | ) | — | (33,997 | ) | ||||||||||
Foreign currency exchange contracts | — | (70,615 | ) | — | (70,615 | ) | ||||||||||
Interest rate contracts | (39,129 | ) | (41,008 | ) | — | (80,137 | ) | |||||||||
Total | $ | (27,433 | ) | $ | 122,331 | — | $ | 94,898 |
2 | 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. |
116 | ANNUAL REPORT | AUGUST 31, 2013 |
Schedule of Investment (concluded) | BlackRock Strategic Bond Trust (BHD) |
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 August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| | Level 1 | | Level 2 | | Level 3 | | Total | ||||||||
Assets: | ||||||||||||||||
Cash | $ | 3,006 | — | — | $ | 3,006 | ||||||||||
Foreign currency at value | 5,823 | — | — | 5,823 | ||||||||||||
Cash pledged for financial futures contracts | 53,660 | — | — | 53,660 | ||||||||||||
Cash pledged for centrally cleared swaps | 150,000 | — | — | 150,000 | ||||||||||||
Liabilities: | ||||||||||||||||
Loan Payable | — | (29,000,000 | ) | — | (29,000,000 | ) | ||||||||||
Total | $ | 212,489 | $ | (29,000,000 | ) | — | $ | (28,787,511 | ) |
There were no transfers between level 1 and level 2 during the year ended August 31, 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 year 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 | | Warrants | | Total | ||||||||||
Assets: | ||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 1 | — | $ | 4,212,613 | — | $ | 4,212,614 | ||||||||||||
Transfers into Level 3 | — | $ | 572,488 | 400,283 | — | 972,771 | ||||||||||||||
Transfers out of Level 3 | — | — | — | — | — | |||||||||||||||
Accrued discounts/premiums | — | — | 10,157 | — | 10,157 | |||||||||||||||
Net realized gain/loss | (1,322 | ) | 2,905 | 115,614 | $ | (1 | ) | 117,196 | ||||||||||||
Net change in unrealized appreciation/depreciation1 | 256,530 | (509,751 | ) | (76,010 | ) | 1 | (329,230 | ) | ||||||||||||
Purchases | 46,924 | — | 754,675 | — | 801,599 | |||||||||||||||
Sales | — | (65,642 | ) | (3,969,439 | ) | — | (4,035,081 | ) | ||||||||||||
Closing Balance, as of August 31, 2013 | $ | 302,133 | — | $ | 1,447,893 | — | $ | 1,750,026 |
1 | 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 August 31, 2013 was $(257,719). |
Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
ANNUAL REPORT | AUGUST 31, 2013 | 117 |
Statements of Assets and Liabilities |
August 31, 2013 | 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 | $ | 552,629,457 | $ | 612,408,079 | $ | 637,002,614 | $ | 157,976,576 | |||||||||||
Investments at value — affiliated2 | 5,335,491 | 2,748,445 | 2,849,391 | 1,687,499 | |||||||||||||||
Foreign currency at value3 | 52,785 | 14,803 | 14,923 | 21,318 | |||||||||||||||
Cash | — | 178 | 238 | 198,460 | |||||||||||||||
Cash pledged for financial futures contracts | 287,000 | 120,000 | 125,000 | 195,000 | |||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 5,147,000 | — | — | — | |||||||||||||||
Cash pledged for centrally cleared swaps | 420,000 | — | — | — | |||||||||||||||
Cash pledged as collateral for over-the-counter swaps | 690,000 | — | — | — | |||||||||||||||
Interest receivable | 6,421,275 | 9,357,212 | 9,800,879 | 2,565,245 | |||||||||||||||
Investments sold receivable | 275,326 | 3,101,187 | 3,760,355 | 331,954 | |||||||||||||||
Unrealized appreciation on over-the-counter swaps | 853,941 | 831,058 | 849,894 | 3,343 | |||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 129,008 | 663,707 | 689,686 | 53,846 | |||||||||||||||
Unrealized appreciation on unfunded loan commitments | — | 11,909 | 12,443 | 3,437 | |||||||||||||||
Swaps receivable | 13,201 | 123,359 | 127,043 | 890 | |||||||||||||||
Variation margin receivable on financial futures contracts | 187,771 | 1,968 | 2,015 | 12,172 | |||||||||||||||
Variation margin receivable on centrally cleared swaps | 12,768 | — | — | — | |||||||||||||||
Swap premiums paid | 112,245 | 87,606 | 91,807 | 25,202 | |||||||||||||||
Principal paydown receivable | 183 | — | — | — | |||||||||||||||
Dividends receivable | — | 24,958 | 19,461 | — | |||||||||||||||
Prepaid expenses | 12,629 | 8,052 | 8,645 | 9,237 | |||||||||||||||
Other assets | 29,378 | — | — | — | |||||||||||||||
Total assets | 572,609,458 | 629,502,521 | 655,354,394 | 163,084,179 | |||||||||||||||
Liabilities | |||||||||||||||||||
Bank overdraft | 157,427 | — | — | — | |||||||||||||||
Reverse repurchase agreements | 172,537,361 | — | — | — | |||||||||||||||
Loan payable | — | 186,000,000 | 191,000,000 | 37,000,000 | |||||||||||||||
Cash received as collateral for over-the-counter swaps | 1,400,000 | 700,000 | 700,000 | — | |||||||||||||||
Investments purchased payable | 15,657,848 | 11,402,823 | 13,170,569 | 2,432,701 | |||||||||||||||
Unrealized depreciation on over-the-counter swaps | 436,756 | 142,458 | 147,499 | 5,905 | |||||||||||||||
Options written at value4 | 1,332,765 | 445,000 | 457,150 | — | |||||||||||||||
Swap premiums received | 178,950 | 1,484,335 | 1,547,018 | 21,796 | |||||||||||||||
Swaps payable | 37,742 | 3,055 | 3,202 | 879 | |||||||||||||||
Investment advisory fees payable | 244,965 | 309,049 | 373,294 | 101,134 | |||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 202,326 | 373,492 | 421,157 | 21,997 | |||||||||||||||
Officer’s and Trustees’ fees payable | 55,185 | 122,037 | 127,719 | 15,180 | |||||||||||||||
Interest expense payable | — | 139,748 | 141,812 | 27,532 | |||||||||||||||
Income dividends payable | 58,281 | 65,858 | 78,768 | 26,665 | |||||||||||||||
Reorganization costs payable | — | — | 172,314 | 162,712 | |||||||||||||||
Other liabilities | 240,760 | — | — | — | |||||||||||||||
Other accrued expenses payable | 156,489 | 186,335 | 167,292 | 104,731 | |||||||||||||||
Total liabilities | 192,696,855 | 201,374,190 | 208,507,794 | 39,921,232 | |||||||||||||||
Net Assets | $ | 379,912,603 | $ | 428,128,331 | $ | 446,846,600 | $ | 123,162,947 | |||||||||||
1Investments at cost — unaffiliated | $ | 545,690,628 | $ | 607,208,326 | $ | 632,923,015 | $ | 158,182,419 | |||||||||||
2Investments at cost — affiliated | $ | 5,335,491 | $ | 2,781,860 | $ | 2,884,292 | $ | 1,687,499 | |||||||||||
3Foreign currency at cost | $ | 51,756 | $ | 14,706 | $ | 14,820 | $ | 21,419 | |||||||||||
4Premiums received | $ | 802,073 | $ | 421,361 | $ | 432,862 | — |
118 | ANNUAL REPORT | AUGUST 31, 2013 |
Statements of Assets and Liabilities (concluded) |
August 31, 2013 | 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 capital5,6,7 | $ | 378,960,758 | $ | 470,688,615 | $ | 506,446,583 | $ | 158,527,973 | |||||||||||
Undistributed net investment income | 5,180,547 | 3,091,497 | 3,902,307 | 1,365,529 | |||||||||||||||
Accumulated net realized loss | (11,267,206 | ) | (51,791,934 | ) | (68,513,471 | ) | (36,667,344 | ) | |||||||||||
Net unrealized appreciation (depreciation) | 7,038,504 | 6,140,153 | 5,011,181 | (63,211 | ) | ||||||||||||||
Net Assets | $ | 379,912,603 | $ | 428,128,331 | $ | 446,846,600 | $ | 123,162,947 | |||||||||||
Net asset value per share | $ | 14.05 | $ | 12.97 | $ | 12.62 | $ | 2.25 | |||||||||||
5Par value | $ | 0.001 | $ | 0.100 | $ | 0.100 | — | ||||||||||||
6Shares outstanding | 27,041,847 | 33,015,111 | 35,418,240 | 54,848,390 | |||||||||||||||
7Shares authorized | Unlimited | 200 million | 200 million | Unlimited |
* | Consolidated Statements of Assets and Liabilities. |
ANNUAL REPORT | AUGUST 31, 2013 | 119 |
Statements of Assets and Liabilities |
August 31, 2013 | 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 | $ | 65,554,458 | $ | 546,602,706 | $ | 840,746,221 | $ | 126,536,465 | |||||||||||
Investments at value — affiliated2 | 1,675,729 | 6,904,938 | 14,996,794 | 907,585 | |||||||||||||||
Foreign currency at value3 | 13,531 | 52,462 | — | 5,823 | |||||||||||||||
Cash | — | 19,756 | — | 3,006 | |||||||||||||||
Cash pledged for financial futures contracts | 85,000 | 453,000 | 2,397,000 | 53,660 | |||||||||||||||
Cash pledged as collateral for reverse repurchase agreements | — | 7,923,000 | 2,060,000 | — | |||||||||||||||
Cash pledged for centrally cleared swaps | — | 420,000 | 10,000 | 150,000 | |||||||||||||||
Cash pledged as collateral for over-the-counter swaps | — | 570,000 | 2,900,000 | — | |||||||||||||||
TBA sale commitments receivable | — | — | 184,946,964 | — | |||||||||||||||
Interest receivable | 1,044,060 | 6,271,534 | 2,703,835 | 1,887,429 | |||||||||||||||
Investments sold receivable | 70,407 | 1,718,100 | 243,833 | 281,276 | |||||||||||||||
Unrealized appreciation on over-the-counter swaps | 83,780 | 903,650 | 6,635,757 | 36,698 | |||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 18,779 | 113,665 | — | 97,687 | |||||||||||||||
Unrealized appreciation on unfunded loan commitments | 1,304 | — | — | — | |||||||||||||||
Swaps receivable | 14,014 | 13,236 | 826,647 | 11,170 | |||||||||||||||
Variation margin receivable on financial futures contracts | 5,666 | 199,246 | — | — | |||||||||||||||
Variation margin receivable on centrally cleared swaps | — | 12,678 | — | 6,192 | |||||||||||||||
Swap premiums paid | 26,886 | 112,219 | — | 26,910 | |||||||||||||||
Principal paydown receivable | — | — | 347,063 | — | |||||||||||||||
Dividends receivable | 1,637 | — | — | — | |||||||||||||||
Prepaid expenses | 3,921 | 12,703 | 15,640 | 4,824 | |||||||||||||||
Other assets | — | 96,026 | 16,208 | — | |||||||||||||||
Total assets | 68,599,172 | 572,398,919 | 1,058,845,962 | 130,008,725 | |||||||||||||||
Liabilities | |||||||||||||||||||
Bank overdraft | — | — | 15,569 | — | |||||||||||||||
Reverse repurchase agreements | — | 172,206,258 | 148,343,878 | — | |||||||||||||||
Loan payable | 19,000,000 | — | — | 29,000,000 | |||||||||||||||
Cash received as collateral for over-the-counter swaps | — | 1,500,000 | 4,520,000 | — | |||||||||||||||
Investments purchased payable | 1,181,515 | 17,240,919 | 242,482,723 | 334,200 | |||||||||||||||
TBA sale commitments at value4 | — | — | 185,108,979 | — | |||||||||||||||
Unrealized depreciation on over-the-counter swaps | 28,239 | 436,727 | 7,386,262 | 33,997 | |||||||||||||||
Options written at value5 | — | 1,337,670 | — | 38,932 | |||||||||||||||
Swap premiums received | 185,937 | 180,360 | 211,777 | 239,021 | |||||||||||||||
Swaps payable | 1,353 | 38,642 | 1,139,576 | 6,021 | |||||||||||||||
Investment advisory fees payable | 49,848 | 192,120 | 257,951 | 82,236 | |||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 15,831 | 234,966 | — | 70,615 | |||||||||||||||
Borrowed bonds at value6 | — | — | 760,824 | — | |||||||||||||||
Officer’s and Directors’ fees payable | 13,288 | 104,006 | 112,951 | 12,839 | |||||||||||||||
Interest expense payable | 13,536 | — | 7,470 | 22,663 | |||||||||||||||
Income dividends payable | 1,695 | 57,369 | 90,500 | 8,416 | |||||||||||||||
Variation margin payable on financial futures contracts | — | — | 240,206 | 3,626 | |||||||||||||||
Variation margin payable on centrally cleared swaps | — | — | 12 | — | |||||||||||||||
Administration fees payable | 5,542 | 32,089 | 59,797 | — | |||||||||||||||
Reorganization costs payable | 126,174 | — | — | 101,036 | |||||||||||||||
Other liabilities | — | 879,346 | — | — | |||||||||||||||
Other accrued expenses payable | 86,847 | 153,249 | 159,448 | 87,632 | |||||||||||||||
Total liabilities | 20,709,805 | 194,593,721 | 590,897,923 | 30,041,234 | |||||||||||||||
Net Assets | $ | 47,889,367 | $ | 377,805,198 | $ | 467,948,039 | $ | 99,967,491 | |||||||||||
1Investments at cost — unaffiliated | $ | 64,198,561 | $ | 540,263,527 | $ | 848,349,310 | $ | 124,202,396 | |||||||||||
2Investments at cost — affiliated | $ | 1,679,481 | $ | 6,904,938 | $ | 14,996,794 | $ | 907,585 | |||||||||||
3Foreign currency at cost | $ | 13,591 | $ | 51,454 | — | $ | 5,884 | ||||||||||||
4Proceeds from TBA sale commitments | — | — | $ | 184,946,964 | — | ||||||||||||||
5Premiums received | — | $ | 804,034 | — | $ | 39,000 | |||||||||||||
6Proceeds received from borrowed bonds | — | — | $ | 842,347 | — |
120 | ANNUAL REPORT | AUGUST 31, 2013 |
Statements of Assets and Liabilities (concluded) |
August 31, 2013 | 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 | $ | 58,058,527 | $ | 385,546,646 | $ | 478,542,248 | $ | 98,454,037 | |||||||||||
Undistributed net investment income | 123,319 | 5,082,132 | 10,875,865 | 203,336 | |||||||||||||||
Accumulated net realized loss | (11,757,076 | ) | (19,318,654 | ) | (12,033,956 | ) | (1,157,852 | ) | |||||||||||
Net unrealized appreciation (depreciation) | 1,464,597 | 6,495,074 | (9,436,118 | ) | 2,467,970 | ||||||||||||||
Net Assets | $ | 47,889,367 | $ | 377,805,198 | $ | 467,948,039 | $ | 99,967,491 | |||||||||||
Net asset value per share | $ | 7.45 | $ | 10.96 | $ | 7.32 | $ | 14.15 | |||||||||||
7Par value | $ | 0.001 | $ | 0.01 | $ | 0.01 | $ | 0.001 | |||||||||||
8Shares outstanding | 6,431,296 | 34,456,370 | 63,942,535 | 7,065,615 | |||||||||||||||
9Shares authorized | Unlimited | 200 million | 200 million | Unlimited |
ANNUAL REPORT | AUGUST 31, 2013 | 121 |
Statements of Operations |
Year Ended August 31, 2013 | 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 | $ | 27,840,497 | $ | 39,770,117 | $ | 41,294,418 | $ | 11,789,071 | |||||||||||
Dividends — unaffiliated | 243,534 | 943,045 | 993,791 | 113,882 | |||||||||||||||
Dividends — affiliated | 2,396 | 20,230 | 21,032 | 585 | |||||||||||||||
Total income | 28,086,427 | 40,733,392 | 42,309,241 | 11,903,538 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment advisory | 3,261,955 | 3,650,948 | 4,422,408 | 1,248,272 | |||||||||||||||
Reorganization | — | 400,000 | 172,314 | 162,712 | |||||||||||||||
Professional | 107,327 | 125,713 | 129,617 | 74,281 | |||||||||||||||
Custodian | 55,403 | 88,623 | 102,382 | 40,760 | |||||||||||||||
Transfer agent | 49,612 | 51,192 | 55,275 | 57,021 | |||||||||||||||
Accounting services | 27,171 | 79,571 | 84,419 | 26,130 | |||||||||||||||
Officer and Trustees | 44,567 | 53,163 | 57,727 | 15,970 | |||||||||||||||
Printing | 24,927 | 26,753 | 27,121 | 14,605 | |||||||||||||||
Borrowing costs2 | — | 58,256 | 67,264 | 28,374 | |||||||||||||||
Registration | 6,499 | 7,825 | 8,662 | 13,504 | |||||||||||||||
Miscellaneous | 114,140 | 134,550 | 122,417 | 60,903 | |||||||||||||||
Total expenses excluding interest expense and income tax | 3,691,601 | 4,676,594 | 5,249,606 | 1,742,532 | |||||||||||||||
Interest expense | 497,286 | 1,677,757 | 1,709,758 | 383,281 | |||||||||||||||
Income tax | — | 4,230 | 4,230 | — | |||||||||||||||
Total expenses | 4,188,887 | 6,358,581 | 6,963,594 | 2,125,813 | |||||||||||||||
Less fees waived by Manager | (179,822 | ) | (979 | ) | (980 | ) | (433 | ) | |||||||||||
Less reorganization costs reimbursed by Manager | — | (400,000 | ) | — | — | ||||||||||||||
Total expenses after fees waived and/or reimbursed | 4,009,065 | 5,957,602 | 6,962,614 | 2,125,380 | |||||||||||||||
Net investment income | 24,077,362 | 34,775,790 | 35,346,627 | 9,778,158 | |||||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||
Investments — unaffiliated | 2,094,521 | 25,623,204 | 25,588,336 | 3,379,475 | |||||||||||||||
Investments — affiliated | — | (54,141 | ) | (56,794 | ) | — | |||||||||||||
Capital gain distributions received from affiliated investment companies | 72 | 114 | 110 | 33 | |||||||||||||||
Financial futures contracts | (3,044,660 | ) | (2,172,749 | ) | (2,280,817 | ) | (650,640 | ) | |||||||||||
Foreign currency transactions | (533,898 | ) | (1,978,121 | ) | (2,064,417 | ) | (363,231 | ) | |||||||||||
Borrowed bonds | 155,006 | — | — | — | |||||||||||||||
Options written | 666,712 | 113,750 | 119,000 | — | |||||||||||||||
Swaps | 2,360,552 | 1,730,238 | 1,774,972 | 43,963 | |||||||||||||||
1,698,305 | 23,262,295 | 23,080,390 | 2,409,600 | ||||||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||||||
Investments | (32,801,391 | ) | (9,894,983 | ) | (10,562,248 | ) | (2,950,878 | ) | |||||||||||
Financial futures contracts | 454,664 | 845,562 | 884,496 | 370,695 | |||||||||||||||
Foreign currency translations | 239,009 | 1,337,433 | 1,360,309 | 169,658 | |||||||||||||||
Options written | (580,570 | ) | (23,639 | ) | (24,288 | ) | — | ||||||||||||
Swaps | 884,452 | (489,261 | ) | (510,820 | ) | (2,562 | ) | ||||||||||||
Unfunded loan commitments | — | 11,909 | 12,443 | 3,437 | |||||||||||||||
(31,803,836 | ) | (8,212,979 | ) | (8,840,108 | ) | (2,409,650 | ) | ||||||||||||
Total realized and unrealized gain (loss) | (30,105,531 | ) | 15,049,316 | 14,240,282 | (50 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (6,028,169 | ) | $ | 49,825,106 | $ | 49,586,909 | $ | 9,778,108 | ||||||||||
1 | Consolidated Statement of Operations. |
2 | See Note 8 of the Notes to Financial Statements for details of short-term borrowings. |
122 | ANNUAL REPORT | AUGUST 31, 2013 |
Statements of Operations |
Year Ended August 31, 2013 | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust, Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Investment Income | |||||||||||||||||||
Interest | $ | 4,399,536 | $ | 27,075,174 | $ | 25,240,056 | $ | 8,273,169 | |||||||||||
Dividends — unaffiliated | 34,015 | 243,541 | — | 39,312 | |||||||||||||||
Dividends — affiliated | 2,787 | 1,827 | 7,875 | 587 | |||||||||||||||
Total income | 4,436,338 | 27,320,542 | 25,247,931 | 8,313,068 | |||||||||||||||
Expenses | |||||||||||||||||||
Investment advisory | 593,384 | 2,427,384 | 3,167,479 | 991,730 | |||||||||||||||
Administration | 65,931 | 404,564 | 730,957 | — | |||||||||||||||
Reorganization | 126,174 | — | — | 101,036 | |||||||||||||||
Professional | 56,023 | 86,201 | 92,741 | 63,667 | |||||||||||||||
Custodian | 30,487 | 56,206 | 60,732 | 33,808 | |||||||||||||||
Transfer agent | 34,030 | 64,542 | 124,855 | 30,455 | |||||||||||||||
Accounting services | 8,916 | 27,035 | 51,612 | 20,990 | |||||||||||||||
Officer and Trustees | 6,049 | 46,814 | 58,939 | 12,251 | |||||||||||||||
Printing | 11,556 | 24,945 | 22,617 | 14,430 | |||||||||||||||
Borrowing costs1 | 4,151 | — | — | 8,372 | |||||||||||||||
Registration | 6,441 | 8,223 | 15,282 | 6,440 | |||||||||||||||
Miscellaneous | 56,235 | 114,462 | 60,244 | 62,909 | |||||||||||||||
Total expenses excluding interest expense and income tax | 999,377 | 3,260,376 | 4,385,458 | 1,346,088 | |||||||||||||||
Interest expense | 166,115 | 502,745 | 502,575 | 276,443 | |||||||||||||||
Total expenses | 1,165,492 | 3,763,121 | 4,888,033 | 1,622,531 | |||||||||||||||
Less fees waived by Manager | (384 | ) | (1,942 | ) | (8,296 | ) | (406 | ) | |||||||||||
Total expenses after fees waived | 1,165,108 | 3,761,179 | 4,879,737 | 1,622,125 | |||||||||||||||
Net investment income | 3,271,230 | 23,559,363 | 20,368,194 | 6,690,943 | |||||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||
Investments — unaffiliated | 2,358,216 | 4,301,606 | (10,374,386 | ) | 3,340,267 | ||||||||||||||
Investments — affiliated | (6,629 | ) | — | — | — | ||||||||||||||
Capital gain distributions received from affiliated investment companies | 12 | 26 | 94 | 22 | |||||||||||||||
Financial futures contracts | (248,903 | ) | (3,441,689 | ) | 10,629,460 | 275,485 | |||||||||||||
Foreign currency transactions | (100,940 | ) | (328,070 | ) | — | (373,714 | ) | ||||||||||||
Borrowed bonds | — | 342,608 | (218,955 | ) | — | ||||||||||||||
Options written | 13,125 | 663,556 | — | 23,004 | |||||||||||||||
Swaps | 136,783 | 2,380,571 | 480,588 | 356,511 | |||||||||||||||
2,151,664 | 3,918,608 | 516,801 | 3,621,575 | ||||||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||||||
Investments | (1,162,736 | ) | (35,071,230 | ) | (31,951,081 | ) | (5,257,378 | ) | |||||||||||
Financial futures contracts | 139,446 | 595,341 | 822,164 | 5,330 | |||||||||||||||
Foreign currency translations | 53,585 | 152,551 | — | 190,651 | |||||||||||||||
Options written | — | (582,881 | ) | — | (16,372 | ) | |||||||||||||
Swaps | (43,003 | ) | 905,511 | 214,561 | 74,982 | ||||||||||||||
Borrowed bonds | — | — | 754,056 | — | |||||||||||||||
Unfunded loan commitments | 1,304 | — | — | — | |||||||||||||||
(1,011,404 | ) | (34,000,708 | ) | (30,160,300 | ) | (5,002,787 | ) | ||||||||||||
Total realized and unrealized gain (loss) | 1,140,260 | (30,082,100 | ) | (29,643,499 | ) | (1,381,212 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 4,411,490 | $ | (6,522,737 | ) | $ | (9,275,305 | ) | $ | 5,309,731 | |||||||||
1 | See Note 8 of the Notes to Financial Statements for details of short-term borrowings. |
ANNUAL REPORT | AUGUST 31, 2013 | 123 |
Statements of Changes in Net Assets |
BlackRock Core Bond Trust (BHK) | | BlackRock High Income Shares (HIS) | |||||||||||||||||||||
Year Ended August 31, | | Year Ended August 31, | |||||||||||||||||||||
Increase (Decrease) in Net Assets: | 2013 | 2012 | 2013 | 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 24,077,362 | $ | 23,862,728 | $ | 9,778,158 | $ | 10,999,966 | |||||||||||||||
Net realized gain (loss) | 1,698,305 | 12,725,546 | 2,409,600 | (1,548,634 | ) | ||||||||||||||||||
Net change in unrealized appreciation/depreciation | (31,803,836 | ) | 24,398,010 | (2,409,650 | ) | 6,381,729 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (6,028,169 | ) | 60,986,284 | 9,778,108 | 15,833,061 | ||||||||||||||||||
Dividends to Shareholders From1 | |||||||||||||||||||||||
Net investment income | �� | (25,416,860 | ) | (22,212,928 | ) | (10,599,743 | ) | (11,172,280 | ) | ||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Refund of offering costs previously charged to paid-in capital | — | — | — | 2,126 | |||||||||||||||||||
Reinvestment of dividends | 221,789 | 67,030 | 239,225 | 273,904 | |||||||||||||||||||
Net increase in net assets derived from capital share transactions | 221,789 | 67,030 | 239,225 | 276,030 | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase (decrease) in net assets | (31,223,240 | ) | 38,840,386 | (582,410 | ) | 4,936,811 | |||||||||||||||||
Beginning of year | 411,135,843 | 372,295,457 | 123,745,357 | 118,808,546 | |||||||||||||||||||
End of year | $ | 379,912,603 | $ | 411,135,843 | $ | 123,162,947 | $ | 123,745,357 | |||||||||||||||
Undistributed net investment income, end of year | $ | 5,180,547 | $ | 7,384,327 | $ | 1,365,529 | $ | 2,289,115 |
Consolidated Statements of Changes in Net Assets |
BlackRock Corporate High Yield Fund V, Inc. (HYV) | | BlackRock Corporate High Yield Fund VI, Inc. (HYT) | |||||||||||||||||||||
Year Ended August 31, | | Year Ended August 31, | |||||||||||||||||||||
Increase (Decrease) in Net Assets: | 2013 | 2012 | 2013 | 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 34,775,790 | $ | 35,444,739 | $ | 35,346,627 | $ | 36,665,376 | |||||||||||||||
Net realized gain (loss) | 23,262,295 | (2,168,911 | ) | 23,080,390 | (3,682,719 | ) | |||||||||||||||||
Net change in unrealized appreciation/depreciation | (8,212,979 | ) | 32,228,184 | (8,840,108 | ) | 32,859,977 | |||||||||||||||||
Net increase in net assets resulting from operations | 49,825,106 | 65,504,012 | 49,586,909 | 65,842,634 | |||||||||||||||||||
Dividends to Shareholders From1 | |||||||||||||||||||||||
Net investment income | (38,560,059 | ) | (35,208,709 | ) | (39,195,248 | ) | (36,599,844 | ) | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Refund of offering costs previously charged to paid-in capital | — | — | — | 8,495 | |||||||||||||||||||
Reinvestment of dividends | 162,267 | 718,285 | 499,916 | 1,006,632 | |||||||||||||||||||
Net increase in net assets derived from capital share transactions | 162,267 | 718,285 | 499,916 | 1,015,127 | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase in net assets | 11,427,314 | 31,013,588 | 10,891,577 | 30,257,917 | |||||||||||||||||||
Beginning of year | 416,701,017 | 385,687,429 | 435,955,023 | 405,697,106 | |||||||||||||||||||
End of year | $ | 428,128,331 | $ | 416,701,017 | $ | 446,846,600 | $ | 435,955,023 | |||||||||||||||
Undistributed net investment income, end of year | $ | 3,091,497 | $ | 7,780,357 | $ | 3,902,307 | $ | 8,725,988 |
1 | Dividends are determined in accordance with federal income tax regulations. |
124 | ANNUAL REPORT | AUGUST 31, 2013 |
Statements of Changes in Net Assets |
BlackRock High Yield Trust (BHY) | | BlackRock Income Opportunity Trust, Inc. (BNA) | |||||||||||||||||||||
Year Ended August 31, | | Year Ended August 31, | |||||||||||||||||||||
Increase (Decrease) in Net Assets: | 2013 | 2012 | 2013 | 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 3,271,230 | $ | 3,397,215 | $ | 23,559,363 | $ | 23,112,371 | |||||||||||||||
Net realized gain | 2,151,664 | 793,181 | 3,918,608 | 10,895,929 | |||||||||||||||||||
Net change in unrealized appreciation/depreciation | (1,011,404 | ) | 2,402,266 | (34,000,708 | ) | 25,143,570 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,411,490 | 6,592,662 | (6,522,737 | ) | 59,151,870 | ||||||||||||||||||
Dividends to Shareholders From1 | |||||||||||||||||||||||
Net investment income | (3,412,042 | ) | (3,374,830 | ) | (23,740,439 | ) | (22,258,816 | ) | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Reinvestment of dividends | 13,526 | 14,323 | — | — | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase (decrease) in net assets | 1,012,974 | 3,232,155 | (30,263,176 | ) | 36,893,054 | ||||||||||||||||||
Beginning of year | 46,876,393 | 43,644,238 | 408,068,374 | 371,175,320 | |||||||||||||||||||
End of year | $ | 47,889,367 | $ | 46,876,393 | $ | 377,805,198 | $ | 408,068,374 | |||||||||||||||
Undistributed net investment income, end of year | $ | 123,319 | $ | 177,267 | $ | 5,082,132 | $ | 5,436,734 |
BlackRock Income Trust, Inc. (BKT) | | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||||||||
Year Ended August 31, | | Year Ended August 31, | |||||||||||||||||||||
Increase (Decrease) in Net Assets: | 2013 | 2012 | 2013 | 2012 | |||||||||||||||||||
Operations | |||||||||||||||||||||||
Net investment income | $ | 20,368,194 | $ | 24,774,308 | $ | 6,690,943 | $ | 6,983,209 | |||||||||||||||
Net realized gain | 516,801 | 13,620,770 | 3,621,575 | 1,329,497 | |||||||||||||||||||
Net change in unrealized appreciation/depreciation | (30,160,300 | ) | (8,999,000 | ) | (5,002,787 | ) | 5,886,978 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (9,275,305 | ) | 29,396,078 | 5,309,731 | 14,199,684 | ||||||||||||||||||
Dividends and Distributions to Shareholders From1 | |||||||||||||||||||||||
Net investment income | (30,628,476 | ) | (17,586,939 | ) | (7,120,905 | ) | (7,652,086 | ) | |||||||||||||||
Net realized gain | — | (12,721,826 | ) | — | — | ||||||||||||||||||
Decrease in net assets resulting from dividends and distributions to shareholders | (30,628,476 | ) | (30,308,765 | ) | (7,120,905 | ) | (7,652,086 | ) | |||||||||||||||
Capital Share Transactions | |||||||||||||||||||||||
Reinvestment of dividends | — | — | 54,178 | 50,250 | |||||||||||||||||||
Net Assets | |||||||||||||||||||||||
Total increase (decrease) in net assets | (39,903,781 | ) | (912,687 | ) | (1,756,996 | ) | 6,597,848 | ||||||||||||||||
Beginning of year | 507,851,820 | 508,764,507 | 101,724,487 | 95,126,639 | |||||||||||||||||||
End of year | $ | 467,948,039 | $ | 507,851,820 | $ | 99,967,491 | $ | 101,724,487 | |||||||||||||||
Undistributed net investment income, end of year | $ | 10,875,865 | $ | 8,050,320 | $ | 203,336 | $ | 810,526 |
1 | Dividends and distributions are determined in accordance with federal income tax regulations. |
ANNUAL REPORT | AUGUST 31, 2013 | 125 |
Statements of Cash Flows |
Year Ended August 31, 2013 | 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 (decrease) in net assets resulting from operations | $ | (6,028,169 | ) | $ | 49,825,106 | $ | 49,586,909 | $ | 9,778,108 | ||||||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | |||||||||||||||||||
Increase in interest receivable | (392,705 | ) | (524,424 | ) | (517,055 | ) | (11,605 | ) | |||||||||||
(Increase) decrease in swaps receivable | 168,071 | 65,538 | 66,324 | (890 | ) | ||||||||||||||
Increase in other assets | (29,378 | ) | — | — | — | ||||||||||||||
Increase in prepaid expenses | (10,426 | ) | (1,361 | ) | (1,269 | ) | (5,923 | ) | |||||||||||
Increase in dividends receivable | — | (16,924 | ) | (16,554 | ) | — | |||||||||||||
Increase in variation margin receivable on financial futures contracts | (176,941 | ) | (1,968 | ) | (2,015 | ) | (12,172 | ) | |||||||||||
Increase in variation margin receivable on centrally cleared swaps | (12,768 | ) | — | — | — | ||||||||||||||
Decrease in cash pledged for financial futures contracts | 172,000 | 611,000 | 640,000 | 13,000 | |||||||||||||||
Increase in cash pledged for centrally cleared swaps | (420,000 | ) | — | — | — | ||||||||||||||
Decrease in cash pledged as collateral for over-the-counter swaps | 6,700,000 | 400,000 | 400,000 | — | |||||||||||||||
Increase in cash pledged as collateral for reverse repurchase agreements | (3,504,000 | ) | — | — | — | ||||||||||||||
Increase (decrease) in investment advisory fees payable | (15,298 | ) | 13,755 | 14,409 | (2,165 | ) | |||||||||||||
Increase in interest expense payable | 155,581 | 83,887 | 82,072 | 19,445 | |||||||||||||||
Decrease in other accrued expenses payable | (28,431 | ) | (118,790 | ) | (93,200 | ) | (5,327 | ) | |||||||||||
Decrease in variation margin payable on financial futures contracts | — | (69,600 | ) | (72,800 | ) | (21,600 | ) | ||||||||||||
Increase (decrease) in swaps payable | (219,556 | ) | (78,779 | ) | (84,062 | ) | 879 | ||||||||||||
Increase in Officer’s and Trustees’ fees payable | 9,881 | 31,115 | 34,677 | 4,224 | |||||||||||||||
Increase in reorganization costs payable | — | — | 172,314 | 162,712 | |||||||||||||||
Increase in cash received as collateral for over-the-counter swaps | 200,000 | 100,000 | 100,000 | — | |||||||||||||||
Decrease in cash received as collateral for reverse repurchase agreements | (590,475 | ) | — | — | — | ||||||||||||||
Net periodic and termination payments of swaps | 2,439,962 | 2,975,992 | 3,058,619 | 40,557 | |||||||||||||||
Net realized and unrealized (gain) loss on investments and swaps | 27,161,798 | (17,025,174 | ) | (16,832,280 | ) | (383,853 | ) | ||||||||||||
Amortization of premium and accretion of discount on investments | 4,262,644 | (526,918 | ) | (397,638 | ) | (395,443 | ) | ||||||||||||
Premiums received from options written | 6,969,214 | 579,311 | 598,102 | — | |||||||||||||||
Proceeds from sales of long-term investments | 637,037,078 | 467,717,761 | 489,540,461 | 127,138,965 | |||||||||||||||
Purchases of long-term investments | (621,368,604 | ) | (476,789,378 | ) | (498,278,819 | ) | (120,290,249 | ) | |||||||||||
Proceeds from borrowed bond transactions | 12,005,486 | — | — | — | |||||||||||||||
Payments for borrowed bond transactions | (11,850,480 | ) | — | — | — | ||||||||||||||
Net proceeds from sales of short-term securities | (4,801,466 | ) | (1,683,977 | ) | (1,737,587 | ) | (1,687,499 | ) | |||||||||||
Premiums paid on closing options written | (14,205,266 | ) | (44,200 | ) | (46,240 | ) | — | ||||||||||||
Cash provided by operating activities | 33,627,752 | 25,521,972 | 26,214,368 | 14,341,164 | |||||||||||||||
Cash Used for Financing Activities | |||||||||||||||||||
Net borrowing of reverse repurchase agreements | (10,352,670 | ) | — | — | — | ||||||||||||||
Cash receipts from borrowings | — | 207,000,000 | 214,000,000 | 51,000,000 | |||||||||||||||
Cash payments on borrowings | — | (196,000,000 | ) | (204,000,000 | ) | (56,000,000 | ) | ||||||||||||
Cash dividends paid to shareholders | (25,136,790 | ) | (38,331,934 | ) | (38,616,564 | ) | (10,333,853 | ) | |||||||||||
Increase in bank overdraft | 157,427 | — | — | — | |||||||||||||||
Cash used for financing activities | (35,332,033 | ) | (27,331,934 | ) | (28,616,564 | ) | (15,333,853 | ) | |||||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||||||
Cash impact from foreign exchange fluctuations | (22,180 | ) | (342 | ) | (753 | ) | (700 | ) | |||||||||||
Cash and Foreign Currency | |||||||||||||||||||
Net decrease in cash and foreign currency | (1,726,461 | ) | (1,810,304 | ) | (2,402,949 | ) | (993,389 | ) | |||||||||||
Cash and foreign currency at beginning of year | 1,779,246 | 1,825,285 | 2,418,110 | 1,213,167 | |||||||||||||||
Cash and foreign currency at end of year | $ | 52,785 | $ | 14,981 | $ | 15,161 | $ | 219,778 | |||||||||||
Cash Flow Information | |||||||||||||||||||
Cash paid during the period for interest | $ | 341,705 | $ | 1,593,870 | $ | 1,627,686 | $ | 363,836 | |||||||||||
Non-cash Financing Activities | |||||||||||||||||||
Capital shares issued in reinvestment of dividends | $ | 221,789 | $ | 162,267 | $ | 499,916 | $ | 239,225 |
1 | Consolidated Statement of Cash Flows. |
126 | ANNUAL REPORT | AUGUST 31, 2013 |
Statements of Cash Flows |
Year Ended August 31, 2013 | BlackRock High Yield Trust (BHY) | BlackRock Income Opportunity Trust Inc. (BNA) | BlackRock Income Trust, Inc. (BKT) | BlackRock Strategic Bond Trust (BHD) | |||||||||||||||
Cash Provided by Operating Activities | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,411,490 | $ | (6,522,737 | ) | $ | (9,275,305 | ) | $ | 5,309,731 | |||||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | |||||||||||||||||||
(Increase) decrease in interest receivable | (39,580 | ) | (52,990 | ) | 227,662 | (28,015 | ) | ||||||||||||
(Increase) decrease in swaps receivable | 753 | 178,299 | 27,609 | (1,724 | ) | ||||||||||||||
Increase in other assets | — | (96,026 | ) | (16,208 | ) | — | |||||||||||||
(Increase) decrease in prepaid expenses | (2,938 | ) | 4,344 | 3,006 | (3,941 | ) | |||||||||||||
Increase in dividends receivable | (1,637 | ) | — | — | — | ||||||||||||||
Increase (decrease) in variation margin receivable on financial futures contracts | (5,666 | ) | (199,246 | ) | — | 1,092 | |||||||||||||
Increase in variation margin receivable on centrally cleared swaps | — | (12,678 | ) | — | (6,192 | ) | |||||||||||||
(Increase) decrease in cash pledged for financial futures contracts | (14,000 | ) | 891,000 | 67,000 | 45,000 | ||||||||||||||
Increase in cash pledged for centrally cleared swaps | — | (420,000 | ) | (10,000 | ) | (150,000 | ) | ||||||||||||
Increase in cash pledged as collateral for reverse repurchase agreements | — | (7,171,000 | ) | (2,010,000 | ) | — | |||||||||||||
Decrease in cash pledged as collateral for over-the-counter swaps | — | 6,750,000 | 400,000 | 30,000 | |||||||||||||||
Increase (decrease) in investment advisory fees payable | 1,316 | (12,918 | ) | (21,761 | ) | 1,970 | |||||||||||||
Increase in interest expense payable | 8,552 | 135,215 | 3,703 | 21,573 | |||||||||||||||
Decrease in other accrued expenses payable | (3,420 | ) | (25,692 | ) | (20,248 | ) | (8,625 | ) | |||||||||||
Decrease in variation margin payable on financial futures contracts | (7,200 | ) | (36,766 | ) | (847,073 | ) | (10,772 | ) | |||||||||||
Increase in variation margin payable on centrally cleared swaps | — | — | 12 | �� | — | ||||||||||||||
Increase (decrease) in swaps payable | (19,563 | ) | (221,529 | ) | (19,094 | ) | 60 | ||||||||||||
Increase in Officer’s and Trustees’ fees payable | 1,535 | 14,380 | 12,906 | 2,612 | |||||||||||||||
Increase (decrease) in Administration fees payable | 148 | (2,096 | ) | (4,792 | ) | — | |||||||||||||
Increase in reorganization costs payable | 126,174 | — | — | 101,036 | |||||||||||||||
Increase in cash received as collateral for over-the-counter swaps | — | 300,000 | 420,000 | — | |||||||||||||||
Decrease in cash received as collateral for reverse repurchase agreements | — | (127,000 | ) | — | — | ||||||||||||||
Net periodic and termination payments of swaps | 292,636 | 2,458,259 | 452,846 | 623,124 | |||||||||||||||
Net realized and unrealized (gain) loss on investments and swaps | (1,254,202 | ) | 27,155,691 | 42,942,664 | 1,545,328 | ||||||||||||||
Amortization of premium and accretion of discount on investments | (2,551 | ) | 4,665,510 | 11,273,437 | 35,220 | ||||||||||||||
Premiums received from options written | 18,225 | 6,981,228 | — | 143,425 | |||||||||||||||
Proceeds from sales of long-term investments | 49,656,903 | 642,086,641 | 2,524,670,329 | 62,380,402 | |||||||||||||||
Purchases of long-term investments | (49,423,877 | ) | (618,309,991 | ) | (2,553,840,696 | ) | (62,794,204 | ) | |||||||||||
Proceeds from borrowed bond transactions | — | 13,456,176 | 41,962,394 | — | |||||||||||||||
Payments for borrowed bond transactions | — | (13,113,568 | ) | (59,828,221 | ) | — | |||||||||||||
Net proceeds from sales (purchases) of short-term securities | (351,238 | ) | (5,561,924 | ) | 5,452,716 | (907,585 | ) | ||||||||||||
Premiums paid on closing options written | (5,100 | ) | (14,209,091 | ) | — | (158,423 | ) | ||||||||||||
Cash provided by operating activities | 3,386,760 | 38,981,491 | 2,022,886 | 6,171,092 | |||||||||||||||
Cash Used for Financing Activities | |||||||||||||||||||
Net borrowing of reverse repurchase agreements | — | (16,039,498 | ) | 28,608,838 | — | ||||||||||||||
Cash receipts from borrowings | 27,000,000 | — | — | 44,000,000 | |||||||||||||||
Cash payments on borrowings | (27,000,000 | ) | — | — | (45,000,000 | ) | |||||||||||||
Net borrowing of treasury rolls | — | — | 13,928 | 2,444 | |||||||||||||||
Cash dividends paid to shareholders | (3,396,821 | ) | (23,737,292 | ) | (30,661,221 | ) | (7,058,311 | ) | |||||||||||
Increase in bank overdraft | — | — | 15,569 | — | |||||||||||||||
Cash used for financing activities | (3,396,821 | ) | (39,776,790 | ) | (2,022,886 | ) | (8,055,867 | ) | |||||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||||||
Cash impact from foreign exchange fluctuations | (473 | ) | (5,619 | ) | — | (337 | ) | ||||||||||||
Cash and Foreign Currency | |||||||||||||||||||
Net increase (decrease) in cash and foreign currency | (10,534 | ) | (800,918 | ) | — | (1,885,112 | ) | ||||||||||||
Cash and foreign currency at beginning of year | 24,065 | 873,136 | — | 1,893,941 | |||||||||||||||
Cash and foreign currency at end of year | $ | 13,531 | $ | 72,218 | — | $ | 8,829 | ||||||||||||
Cash Flow Information | |||||||||||||||||||
Cash paid during the period for interest | $ | 157,563 | $ | 367,530 | $ | 498,872 | $ | 254,870 | |||||||||||
Non-cash Financing Activities | |||||||||||||||||||
Capital shares issued in reinvestment of dividends | $ | 13,526 | — | — | $ | 54,178 |
ANNUAL REPORT | AUGUST 31, 2013 | 127 |
Financial Highlights | BlackRock Core Bond Trust (BHK) |
Year Ended August 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.21 | $ | 13.78 | $ | 14.19 | $ | 12.56 | $ | 12.81 | |||||||||||||
Net investment income1 | 0.89 | 0.88 | 0.83 | 0.87 | 0.80 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.11 | ) | 1.37 | (0.36 | ) | 1.76 | (0.28 | ) | |||||||||||||||
Net increase (decrease) from investment operations | (0.22 | ) | 2.25 | 0.47 | 2.63 | 0.52 | |||||||||||||||||
Dividends from net investment income2 | (0.94 | ) | (0.82 | ) | (0.88 | ) | (1.00 | ) | (0.77 | ) | |||||||||||||
Net asset value, end of year | $ | 14.05 | $ | 15.21 | $ | 13.78 | $ | 14.19 | $ | 12.56 | |||||||||||||
Market price, end of year | $ | 12.50 | $ | 15.41 | $ | 12.69 | $ | 13.92 | $ | 11.98 | |||||||||||||
Total Investment Return3 | |||||||||||||||||||||||
Based on net asset value | (1.42)% | 17.06% | 4.02% | 22.44% | 5.28% | ||||||||||||||||||
Based on market price | (13.43)% | 28.78% | (2.35)% | 25.93% | 11.76% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.03% | 0.95% | 1.02% | 1.18% | 1.06% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly | 0.98% | 0.94% | 1.02% | 1.18% | 1.06% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.86% | 0.86% | 0.93% | 0.95% | 0.83% | ||||||||||||||||||
Net investment income | 5.92% | 6.13% | 6.05% | 6.62% | 7.09% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 379,913 | $ | 411,136 | $ | 372,295 | $ | 383,540 | $ | 339,524 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 172,537 | $ | 182,679 | $ | 152,301 | $ | 168,938 | $ | 74,572 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 187,038 | $ | 143,234 | $ | 151,080 | $ | 162,760 | $ | 73,467 | |||||||||||||
Portfolio turnover | 100% | 4 | 290% | 5 | 824% | 6 | 641% | 7 | 315% | 8 | |||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,202 | $ | 3,251 | $ | 3,444 | $ | 3,270 | $ | 5,553 |
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 assume the reinvestment of dividends and distributions. |
4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 63%. |
5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 237% |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%. |
128 | ANNUAL REPORT | AUGUST 31, 2013 |
Financial Highlights | BlackRock Corporate High Yield Fund V, Inc. (HYV) |
Year Ended August 31, | |||||||||||||||||||||||
20131 | 20121 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.63 | $ | 11.71 | $ | 11.61 | $ | 9.71 | $ | 11.94 | |||||||||||||
Net investment income2 | 1.05 | 1.08 | 1.09 | 1.06 | 1.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.46 | 0.91 | 0.07 | 1.86 | (2.10 | ) | |||||||||||||||||
Net increase (decrease) from investment operations | 1.51 | 1.99 | 1.16 | 2.92 | (1.03 | ) | |||||||||||||||||
Dividends from net investment income3 | (1.17 | ) | (1.07 | ) | (1.06 | ) | (1.02 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of year | $ | 12.97 | $ | 12.63 | $ | 11.71 | $ | 11.61 | $ | 9.71 | |||||||||||||
Market price, end of year | $ | 11.72 | $ | 13.51 | $ | 11.55 | $ | 11.40 | $ | 9.32 | |||||||||||||
Total Investment Return4 | |||||||||||||||||||||||
Based on net asset value | 12.51% | 17.92% | 10.29% | 31.40% | (3.83)% | ||||||||||||||||||
Based on market price | (4.96)% | 27.88% | 10.79% | 34.42% | 8.59% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.47% | 5 | 1.42% | 1.34% | 1.26% | 1.84% | |||||||||||||||||
Total expenses after fees waived and/or reimbursed and paid indirectly | 1.38% | 5 | 1.42% | 1.34% | 1.26% | 1.84% | |||||||||||||||||
Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax | 0.99% | 5,6 | 1.08% | 7 | 1.02% | 0.99% | 1.16% | ||||||||||||||||
Net investment income | 8.05% | 8.96% | 8.82% | 9.52% | 13.00% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 428,128 | $ | 416,701 | $ | 385,687 | $ | 382,603 | $ | 320,045 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 186,000 | $ | 175,000 | $ | 129,000 | $ | 92,000 | $ | 54,000 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 176,660 | $ | 140,036 | $ | 119,652 | $ | 79,427 | $ | 65,403 | |||||||||||||
Portfolio turnover | 77% | 61% | 87% | 90% | 65% | ||||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,303 | $ | 3,381 | $ | 3,990 | $ | 5,159 | $ | 6,927 |
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 assume the reinvestment of dividends and distributions. |
5 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.38%, 1.38% and 0.99%, respectively. |
6 | For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 0.98%. |
7 | 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%. |
ANNUAL REPORT | AUGUST 31, 2013 | 129 |
Financial Highlights | BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
Year Ended August 31, | |||||||||||||||||||||||
20131 | 20121 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.32 | $ | 11.49 | $ | 11.38 | $ | 9.68 | $ | 11.89 | |||||||||||||
Net investment income2 | 1.00 | 1.04 | 1.06 | 1.05 | 1.05 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.41 | 0.83 | 0.05 | 1.67 | (2.07 | ) | |||||||||||||||||
Net increase (decrease) from investment operations | 1.41 | 1.87 | 1.11 | 2.72 | (1.02 | ) | |||||||||||||||||
Dividends from net investment income3 | (1.11 | ) | (1.04 | ) | (1.00 | ) | (1.02 | ) | (1.19 | ) | |||||||||||||
Net asset value, end of year | $ | 12.62 | $ | 12.32 | $ | 11.49 | $ | 11.38 | $ | 9.68 | |||||||||||||
Market price, end of year | $ | 11.37 | $ | 12.96 | $ | 11.21 | $ | 11.19 | $ | 9.47 | |||||||||||||
Total Investment Return4 | |||||||||||||||||||||||
Based on net asset value | 11.90% | 17.14% | 9.95% | 29.26% | (4.03)% | ||||||||||||||||||
Based on market price | (4.16)% | 26.30% | 9.09% | 29.92% | 10.09% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.54% | 5 | 1.51% | 1.41% | 1.34% | 2.01% | |||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.54% | 5 | 1.51% | 1.41% | 1.34% | 2.01% | |||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax | 1.16% | 5,6 | 1.19% | 7 | 1.12% | 1.09% | 1.28% | ||||||||||||||||
Net investment income | 7.83% | 8.84% | 8.80% | 9.52% | 12.82% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 446,847 | $ | 435,955 | $ | 405,697 | $ | 401,760 | $ | 341,415 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 191,000 | $ | 181,000 | $ | 130,000 | $ | 89,000 | $ | 58,000 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 180,436 | $ | 142,342 | $ | 115,512 | $ | 76,356 | $ | 73,784 | |||||||||||||
Portfolio turnover | 77% | 61% | 87% | 85% | 60% | ||||||||||||||||||
Asset coverage, end of year per $1000 | $ | 3,340 | $ | 3,409 | $ | 4,121 | $ | 5,514 | $ | 6,886 |
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 assume the reinvestment of dividends and distributions. |
5 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.50%, 1.50% and 1.12%, respectively. |
6 | For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%. |
7 | 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 | ANNUAL REPORT | AUGUST 31, 2013 |
Financial Highlights | BlackRock High Income Shares (HIS) |
Year Ended August 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 2.26 | $ | 2.18 | $ | 2.19 | $ | 1.85 | $ | 2.23 | |||||||||||||
Net investment income1 | 0.18 | 0.20 | 0.20 | 0.20 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.00 | )2 | 0.08 | — | 0.31 | (0.36 | ) | ||||||||||||||||
Net increase (decrease) from investment operations | 0.18 | 0.28 | 0.20 | 0.51 | (0.17 | ) | |||||||||||||||||
Dividends from net investment income3 | (0.19 | ) | (0.20 | ) | (0.21 | ) | (0.17 | ) | (0.21 | ) | |||||||||||||
Net asset value, end of year | $ | 2.25 | $ | 2.26 | $ | 2.18 | $ | 2.19 | $ | 1.85 | |||||||||||||
Market price, end of year | $ | 2.00 | $ | 2.40 | $ | 2.10 | $ | 2.09 | $ | 1.68 | |||||||||||||
Total Investment Return4 | |||||||||||||||||||||||
Based on net asset value | 8.45% | 13.91% | 9.56% | 28.95% | (3.01)% | ||||||||||||||||||
Based on market price | (9.23)% | 25.58% | 10.59% | 35.52% | 4.47% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.69% | 5 | 1.54% | 1.49% | 1.49% | 2.01% | |||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.69% | 5 | 1.54% | 1.49% | 1.49% | 2.01% | |||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.38% | 5,6 | 1.29% | 6 | 1.25% | 1.27% | 1.41% | ||||||||||||||||
Net investment income | 7.76% | 9.19% | 8.66% | 9.34% | 12.06% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 123,163 | $ | 123,745 | $ | 118,809 | $ | 119,642 | $ | 100,921 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 37,000 | $ | 42,000 | $ | 29,000 | $ | 25,000 | $ | 18,000 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 40,403 | $ | 30,746 | $ | 26,729 | $ | 21,027 | $ | 21,220 | |||||||||||||
Portfolio turnover | 73% | 63% | 90% | 85% | 55% | ||||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 4,329 | $ | 3,946 | $ | 5,097 | $ | 5,786 | $ | 6,607 |
1 | Based on average shares outstanding. |
2 | Amount is less than $(0.005) per share. |
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 assume the reinvestment of dividends and distributions. |
5 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.56%, 1.56% and 1.25%, respectively. |
6 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.36% and 1.19%, respectively. |
ANNUAL REPORT | AUGUST 31, 2013 | 131 |
Financial Highlights | BlackRock High Yield Trust (BHY) |
Year Ended August 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 7.29 | $ | 6.79 | $ | 6.69 | $ | 5.78 | $ | 6.84 | |||||||||||||
Net investment income1 | 0.51 | 0.53 | 0.51 | 0.51 | 0.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.18 | 0.50 | 0.11 | 0.92 | (1.00 | ) | |||||||||||||||||
Net increase (decrease) from investment operations | 0.69 | 1.03 | 0.62 | 1.43 | (0.49 | ) | |||||||||||||||||
Dividends and distributions from:2 | |||||||||||||||||||||||
Net investment income | (0.53 | ) | (0.53 | ) | (0.51 | ) | (0.50 | ) | (0.55 | ) | |||||||||||||
Tax return of capital | — | — | (0.01 | ) | (0.02 | ) | (0.02 | ) | |||||||||||||||
Total dividends and distributions | (0.53 | ) | (0.53 | ) | (0.52 | ) | (0.52 | ) | (0.57 | ) | |||||||||||||
Net asset value, end of year | $ | 7.45 | $ | 7.29 | $ | 6.79 | $ | 6.69 | $ | 5.78 | |||||||||||||
Market price, end of year | $ | 6.77 | $ | 8.04 | $ | 6.60 | $ | 6.44 | $ | 5.84 | |||||||||||||
Total Investment Return3 | |||||||||||||||||||||||
Based on net asset value | 9.72% | 15.70% | 9.66% | 25.70% | (5.30)% | ||||||||||||||||||
Based on market price | (9.60)% | 31.27% | 10.73% | 19.76% | 9.81% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 2.40% | 4 | 2.01% | 2.04% | 2.10% | 2.61% | |||||||||||||||||
Total expenses after fees waived and paid indirectly | 2.40% | 4 | 2.01% | 2.04% | 2.10% | 2.61% | |||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 2.06% | 4,5 | 1.79% | 5 | 1.85% | 1.91% | 2.16% | ||||||||||||||||
Net investment income | 6.75% | 7.59% | 7.18% | 7.89% | 10.22% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 47,889 | $ | 46,876 | $ | 43,644 | $ | 42,980 | $ | 37,137 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 19,000 | $ | 19,000 | $ | 6,000 | $ | 8,000 | $ | 4,000 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 17,512 | $ | 10,615 | $ | 7,427 | $ | 6,427 | $ | 5,223 | |||||||||||||
Portfolio turnover | 75% | 59% | 81% | 80% | 54% | ||||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,520 | $ | 3,467 | $ | 8,274 | $ | 6,373 | $ | 10,284 |
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 assume the reinvestment of dividends and distributions. |
4 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 2.14%, 2.14% and 1.80%, respectively. |
5 | For the years ended August 31, 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 2.05% and 1.69%, respectively. |
132 | ANNUAL REPORT | AUGUST 31, 2013 |
Financial Highlights | BlackRock Income Opportunity Trust, Inc. (BNA) |
Year Ended August 31, | | ||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.84 | $ | 10.77 | $ | 11.07 | $ | 10.02 | $ | 10.35 | |||||||||||||
Net investment income1 | 0.68 | 0.67 | 0.63 | 0.59 | 0.59 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 1.05 | (0.28 | ) | 1.25 | (0.31 | ) | |||||||||||||||
Net increase (decrease) from investment operations | (0.19 | ) | 1.72 | 0.35 | 1.84 | 0.28 | |||||||||||||||||
Dividends from net investment income2 | (0.69 | ) | (0.65 | ) | (0.65 | ) | (0.79 | ) | (0.61 | ) | |||||||||||||
Net asset value, end of year | $ | 10.96 | $ | 11.84 | $ | 10.77 | $ | 11.07 | $ | 10.02 | |||||||||||||
Market price, end of year | $ | 9.64 | $ | 11.58 | $ | 9.85 | $ | 10.56 | $ | 9.65 | |||||||||||||
Total Investment Return3 | |||||||||||||||||||||||
Based on net asset value | (1.47)% | 16.81% | 3.91% | 19.83% | 3.90% | ||||||||||||||||||
Based on market price | (11.39)% | 24.92% | (0.37)% | 18.69% | 5.46% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 0.93% | 0.90% | 0.95% | 1.09% | 0.95% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly | 0.93% | 0.90% | 0.95% | 1.09% | 0.95% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.81% | 0.82% | 0.85% | 0.86% | 0.85% | ||||||||||||||||||
Net investment income | 5.82% | 5.97% | 5.94% | 5.81% | 6.45% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 377,805 | $ | 408,068 | $ | 371,175 | $ | 381,379 | $ | 345,101 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 172,206 | $ | 188,055 | $ | 154,883 | $ | 157,776 | $ | 77,474 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 185,003 | $ | 151,411 | $ | 148,617 | $ | 151,700 | $ | 49,573 | |||||||||||||
Portfolio turnover | 101% | 4 | 285% | 5 | 774% | 6 | 720% | 7 | 270% | 8 | |||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,194 | $ | 3,170 | $ | 3,396 | $ | 3,417 | $ | 5,454 |
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 assume the reinvestment of dividends and distributions. |
4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 63%. |
5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 231%. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 492%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 608%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 165%. |
ANNUAL REPORT | AUGUST 31, 2013 | 133 |
Financial Highlights | BlackRock Income Trust, Inc. (BKT) |
Year Ended August 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 7.94 | $ | 7.96 | $ | 7.76 | $ | 7.12 | $ | 6.94 | |||||||||||||
Net investment income1 | 0.32 | 0.39 | 0.35 | 0.20 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.46 | ) | 0.06 | 0.19 | 0.73 | 0.19 | |||||||||||||||||
Net increase (decrease) from investment operations | (0.14 | ) | 0.45 | 0.54 | 0.93 | 0.47 | |||||||||||||||||
Dividends and distributions from:2 | |||||||||||||||||||||||
Net investment income | (0.48 | ) | (0.27 | ) | (0.34 | ) | (0.26 | ) | (0.29 | ) | |||||||||||||
Net realized gain | — | (0.20 | ) | — | (0.03 | ) | — | ||||||||||||||||
Total dividends and distributions | (0.48 | ) | (0.47 | ) | (0.34 | ) | (0.29 | ) | (0.29 | ) | |||||||||||||
Net asset value, end of year | $ | 7.32 | $ | 7.94 | $ | 7.96 | $ | 7.76 | $ | 7.12 | |||||||||||||
Market price, end of year | $ | 6.40 | $ | 7.63 | $ | 7.18 | $ | 6.95 | $ | 6.53 | |||||||||||||
Total Investment Return3 | |||||||||||||||||||||||
Based on net asset value | (1.45)% | 6.24% | 7.70% | 13.86% | 7.64% | ||||||||||||||||||
Based on market price | (10.34)% | 13.19% | 8.47% | 11.19% | 12.87% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.00% | 0.97% | 1.06% | 1.05% | 1.09% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.00% | 0.97% | 1.05% | 1.02% | 1.08% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.90% | 0.90% | 0.94% | 0.92% | 0.93% | ||||||||||||||||||
Net investment income | 4.18% | 4.86% | 4.43% | 2.72% | 4.09% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 467,948 | $ | 507,852 | $ | 508,765 | $ | 496,260 | $ | 455,529 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 148,344 | $ | 119,706 | $ | 233,676 | $ | 106,985 | $ | 11,815 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 188,924 | $ | 183,890 | $ | 116,771 | $ | 23,316 | $ | 537 | |||||||||||||
Portfolio turnover | 358% | 4 | 487% | 5 | 899% | 6 | 883% | 7 | 700% | 8 | |||||||||||||
Asset coverage, end of year per $1,000 | $ | 4,154 | $ | 5,242 | $ | 3,177 | $ | 5,639 | $ | 39,555 |
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 assume the reinvestment of dividends and distributions. |
4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 196%. |
5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 230%. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 387%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 207%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 184%. |
134 | ANNUAL REPORT | AUGUST 31, 2013 |
Financial Highlights | BlackRock Strategic Bond Trust (BHD) |
Year Ended August 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.40 | $ | 13.48 | $ | 13.57 | $ | 12.12 | $ | 12.76 | |||||||||||||
Net investment income1 | 0.95 | 0.99 | 1.06 | 1.01 | 0.93 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | 1.01 | (0.04 | ) | 1.35 | (0.69 | ) | |||||||||||||||
Net increase (decrease) from investment operations | 0.76 | 2.00 | 1.02 | 2.36 | 0.24 | ||||||||||||||||||
Dividends from net investment income2 | (1.01 | ) | (1.08 | ) | (1.11 | ) | (0.91 | ) | (0.88 | ) | |||||||||||||
Net asset value, end of year | $ | 14.15 | $ | 14.40 | $ | 13.48 | $ | 13.57 | $ | 12.12 | |||||||||||||
Market price, end of year | $ | 12.68 | $ | 14.52 | $ | 12.93 | $ | 13.17 | $ | 11.43 | |||||||||||||
Total Investment Return3 | |||||||||||||||||||||||
Based on net asset value | 5.45% | 15.66% | 8.09% | 20.38% | 3.99% | ||||||||||||||||||
Based on market price | (6.29)% | 21.58% | 6.83% | 23.88% | 15.34% | ||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.57% | 4 | 1.45% | 1.52% | 1.13% | 1.00% | |||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.57% | 4 | 1.45% | 1.51% | 1.11% | 0.92% | |||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.30% | 4,5 | 1.24% | 5 | 1.26% | 1.04% | 0.92% | ||||||||||||||||
Net investment income | 6.48% | 7.15% | 7.59% | 7.77% | 8.67% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 99,967 | $ | 101,724 | $ | 95,127 | $ | 95,794 | $ | 85,581 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 29,000 | $ | 30,000 | $ | 24,000 | $ | 12,000 | $ | — | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 29,179 | $ | 22,089 | $ | 22,696 | $ | 5,701 | $ | 303 | |||||||||||||
Portfolio turnover | 47% | 47% | 72% | 83% | 61% | ||||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 4,447 | $ | 4,391 | $ | 4,964 | $ | 8,983 | $ | — |
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 assume the reinvestment of dividends and distributions. |
4 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.47%, 1.47% and 1.21%, respectively. |
5 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.30% and 1.14%, respectively. |
ANNUAL REPORT | AUGUST 31, 2013 | 135 |
Notes to Financial Statements |
136 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
ANNUAL REPORT | AUGUST 31, 2013 | 137 |
Notes to Financial Statements (continued) |
138 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
ANNUAL REPORT | AUGUST 31, 2013 | 139 |
Notes to Financial Statements (continued) |
| Borrower | | Unfunded Floating Rate Loan Interest | Value of Underlying Floating Rate Loan Interest | Unrealized Appreciation | ||||||
HYV | Media General, Inc. | $ | 1,005,000 | $ | 1,006,859 | $ | 11,909 | ||||
HYT | Media General, Inc. | $ | 1,050,000 | $ | 1,051,943 | $ | 12,443 | ||||
HIS | Media General, Inc. | $ | 290,000 | $ | 290,537 | $ | 3,437 | ||||
BHY | Media General, Inc. | $ | 110,000 | $ | 110,204 | $ | 1,304 |
140 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.
ANNUAL REPORT | AUGUST 31, 2013 | 141 |
Notes to Financial Statements (continued) |
foreign currencies (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. Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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. Variation margin is recorded by the Trusts as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities. 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 rates and the underlying assets.
142 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
OTC swap. Payments received or made by the Trusts for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid.
• | 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 (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
• | Total return swaps — 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 or commodity prices) (equity risk, commodity price 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, at a fixed or variable rate and commencing on a specified future effective date, unless terminated earlier. |
ANNUAL REPORT | AUGUST 31, 2013 | 143 |
Notes to Financial Statements (continued) |
Fair Values of Derivative Financial Instruments as of August 31, 2013 | ||||||||||||||||||||||||||
Derivative Assets | ||||||||||||||||||||||||||
| 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 | $ | 2,906,677 | $ | 7,062 | $ | 7,356 | $ | 2,060 | $ | 883 | $ | 2,947,107 | $ | 6,756,669 | $ | 216,379 | |||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 129,008 | 663,707 | 689,686 | 53,846 | 18,779 | 113,665 | — | 97,687 | |||||||||||||||||
Credit contracts | Unrealized appreciation on swaps; swap premiums paid | 325,775 | 918,664 | 941,701 | 28,545 | 110,666 | 327,398 | — | 63,228 | |||||||||||||||||
Equity contracts | Investments at value — unaffiliated2 | — | 1,928,050 | 1,975,830 | 108,866 | 51,847 | — | — | — | |||||||||||||||||
Total | $ | 3,361,460 | $ | 3,517,483 | $ | 3,614,573 | $ | 193,317 | $ | 182,175 | $ | 3,388,170 | $ | 6,756,669 | $ | 377,294 |
Derivative Liabilities | |||||||||||||||||||||||||||
| 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 | $ | 1,996,278 | $ | 2,306 | $ | 2,384 | $ | 648 | $ | 285 | $ | 2,002,857 | $ | 8,525,414 | $ | 80,137 | ||||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 202,326 | 373,492 | 421,157 | 21,997 | 15,831 | 234,966 | — | 70,615 | ||||||||||||||||||
Credit contracts | Unrealized appreciation on swaps; Swap premiums received | 361,719 | 1,626,793 | 1,694,517 | 27,701 | 214,176 | 363,099 | 211,777 | 273,018 | ||||||||||||||||||
Equity contracts | Investments at value — unaffiliated2 | — | 445,000 | 457,150 | — | — | — | — | — | ||||||||||||||||||
Total | $ | 2,560,323 | $ | 2,447,591 | $ | 2,575,208 | $ | 50,346 | $ | 230,292 | $ | 2,600,922 | $ | 8,737,191 | $ | 423,770 |
1 | Includes cumulative appreciation/depreciation on 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 Year Ended August 31, 2013 | ||||||||||||||||||||||||||||||||||
Net Realized Gain (Loss) From | ||||||||||||||||||||||||||||||||||
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||||||||||||
Financial futures contracts | $ | (3,044,660 | ) | $ | (12,496 | ) | $ | (12,129 | ) | $ | (3,508 | ) | $ | (1,538 | ) | $ | (3,441,689 | ) | $ | 10,629,460 | $ | 275,485 | ||||||||||||
Swaps | 2,712,270 | — | — | — | — | 2,731,055 | 480,588 | 187,365 | ||||||||||||||||||||||||||
Options3 | (199,312 | ) | 113,750 | 119,000 | — | 13,125 | (201,406 | ) | — | 18,964 | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||||||
Foreign currency transactions | (566,260 | ) | (2,034,629 | ) | (2,142,154 | ) | (353,893 | ) | (105,176 | ) | (265,351 | ) | — | (374,425 | ) | |||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||||||
Swaps | (266,831 | ) | 1,730,238 | 1,774,972 | 43,963 | 136,783 | (265,371 | ) | — | 169,146 | ||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||||||
Financial futures contracts | — | (2,160,253 | ) | (2,268,688 | ) | (647,132 | ) | (247,365 | ) | — | — | — | ||||||||||||||||||||||
Options3 | (155,050 | ) | (64,249 | ) | (68,944 | ) | — | — | (155,050 | ) | — | — | ||||||||||||||||||||||
Other contracts: | ||||||||||||||||||||||||||||||||||
Swaps | (84,887 | ) | — | — | — | — | (85,113 | ) | — | — | ||||||||||||||||||||||||
Total | $ | (1,604,730 | ) | $ | (2,427,639 | ) | $ | (2,597,943 | ) | $ | (960,570 | ) | $ | (204,171 | ) | $ | (1,682,925 | ) | $ | 11,110,048 | $ | 276,535 |
3 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
144 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
Net Change in Unrealized Appreciation/Depreciation on | ||||||||||||||||||||||||||||||||
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||||||||||
Financial futures contracts | $ | 454,664 | $ | 4,756 | $ | 4,972 | $ | 1,412 | $ | 598 | $ | 595,341 | $ | 822,164 | $ | 5,330 | ||||||||||||||||
Swaps | 1,138,826 | — | — | — | — | 1,159,526 | 214,561 | 136,900 | ||||||||||||||||||||||||
Options1 | 746,643 | — | — | — | — | 744,516 | — | (9,385 | ) | |||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||||
Foreign currency translations | 264,216 | 1,337,179 | 1,360,658 | 171,140 | 53,873 | 159,936 | — | 189,814 | ||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||||
Swaps | (297,646 | ) | (489,261 | ) | (510,820 | ) | (2,562 | ) | (43,003 | ) | (297,403 | ) | — | (61,918 | ) | |||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||||
Financial futures contracts | — | 840,806 | 879,524 | 369,283 | 138,848 | — | — | — | ||||||||||||||||||||||||
Options3 | (1,964 | ) | 239,552 | 244,485 | — | — | (1,964 | ) | — | — | ||||||||||||||||||||||
Other contracts: | ||||||||||||||||||||||||||||||||
Swaps | 43,272 | — | — | — | — | 43,388 | — | — | ||||||||||||||||||||||||
Total | $ | 2,348,011 | $ | 1,933,032 | $ | 1,978,819 | $ | 539,273 | $ | 150,316 | $ | 2,403,340 | $ | 1,036,725 | $ | 260,741 |
1 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
For the year ended August 31, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:
BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||
Financial futures contracts: | |||||||||||||||||||||||||
Average number of contracts purchased | 777 | — | — | — | — | 740 | 134 | 84 | |||||||||||||||||
Average number of contracts sold | 1,000 | 65 | 68 | 26 | 12 | 1,013 | 1,732 | 51 | |||||||||||||||||
Average notional value of contracts purchased | $ | 143,898,271 | — | — | — | — | $ | 139,454,455 | $ | 32,498,150 | $ | 15,806,453 | |||||||||||||
Average notional value of contracts sold | $ | 180,073,981 | $ | 6,356,008 | $ | 6,630,560 | $ | 2,482,049 | $ | 1,131,951 | $ | 182,779,122 | $ | 260,095,563 | $ | 7,003,605 | |||||||||
Foreign currency exchange contracts: | |||||||||||||||||||||||||
Average number of contracts — US dollars purchased | 5 | 13 | 14 | 3 | 3 | 5 | — | 5 | |||||||||||||||||
Average number of contracts — US dollars sold | 2 | 3 | 3 | 2 | 1 | 2 | — | 2 | |||||||||||||||||
Average US dollar amounts purchased | $ | 18,734,714 | $ | 53,022,351 | $ | 56,250,073 | $ | 5,236,906 | $ | 1,952,649 | $ | 17,937,620 | — | $ | 8,755,934 | ||||||||||
Average US dollar amounts sold | $ | 2,280,393 | $ | 1,096,726 | $ | 1,460,102 | $ | 237,099 | $ | 36,099 | $ | 2,094,356 | — | $ | 253,039 | ||||||||||
Options: | — | ||||||||||||||||||||||||
Average number of option contracts purchased | — | 1,460 | 1,497 | — | 3 | — | — | 12 | |||||||||||||||||
Average number of option contracts written | — | 875 | 899 | — | — | — | — | — | |||||||||||||||||
Average notional value of option contracts purchased | — | $ | 23,452,300 | $ | 24,035,650 | — | $ | 282,858 | — | — | $ | 571,966 | |||||||||||||
Average notional value of option contracts written | — | $ | 13,650,000 | $ | 14,020,500 | — | — | — | — | — | |||||||||||||||
Average number of swaption contracts purchased | 8 | — | — | — | — | 8 | — | 4 | |||||||||||||||||
Average number of swaption contracts written | 20 | 1 | 1 | — | 1 | 20 | — | 2 | |||||||||||||||||
Average notional value of swaption contracts purchased | $ | 72,557,128 | — | — | — | — | $ | 60,987,500 | — | $ | 6,084,074 | ||||||||||||||
Average notional value of swaption contracts written | $ | 381,580,607 | $ | 6,500,000 | $ | 6,800,000 | — | $ | 750,000 | $ | 276,864,061 | — | $ | 5,942,000 | |||||||||||
Credit default swaps: | — | ||||||||||||||||||||||||
Average number of contracts — buy protection | 5 | 3 | 3 | 1 | 5 | 3 | — | 1 | |||||||||||||||||
Average number of contracts — sell protection | 8 | 21 | 21 | 1 | 21 | 8 | — | 20 | |||||||||||||||||
Average notional value — buy protection | $ | 4,762,470 | $ | 953,573 | $ | 996,838 | $ | 36,093 | $ | 340,645 | $ | 4,761,912 | — | $ | 527,500 | ||||||||||
Average notional value — sell protection | $ | 4,047,500 | $ | 12,473,501 | $ | 12,812,751 | $ | 46,093 | $ | 1,153,468 | $ | 4,157,146 | — | $ | 1,436,011 | ||||||||||
Interest rate swaps: | |||||||||||||||||||||||||
Average number of contracts — pays fixed rate | 14 | — | — | — | — | 14 | 1 | 5 | |||||||||||||||||
Average number of contracts — receives fixed rate | 9 | — | — | — | — | 9 | 6 | — | |||||||||||||||||
Average notional value — pays fixed rate | $ | 146,969,263 | — | — | — | — | $ | 147,098,036 | $ | 60,000,000 | $ | 5,043,750 | |||||||||||||
Average notional value — receives fixed rate | $ | 69,092,876 | — | — | — | — | $ | 68,717,207 | $ | 71,490,000 | — | ||||||||||||||
Total return swaps: | |||||||||||||||||||||||||
Average number of contracts | 1 | — | — | — | — | 1 | — | — | |||||||||||||||||
Average notional value | $ | 470,000 | — | — | — | — | $ | 471,250 | — | — |
ANNUAL REPORT | AUGUST 31, 2013 | 145 |
Notes to Financial Statements (continued) |
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 | % |
BHK | $ | 1,897 | ||||
HYV | $ | 979 | ||||
HYT | $ | 980 | ||||
HIS | $ | 433 | ||||
BHY | $ | 384 | ||||
BNA | $ | 1,942 | ||||
BKT | $ | 8,296 | ||||
BHD | $ | 406 |
146 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
| Purchases | | Sales | |||||||
BHK | — | $ | 963,180 | |||||||
HYV | $ | 2,240,663 | $ | 630,830 | ||||||
HYT | $ | 3,296,344 | $ | 660,467 | ||||||
HIS | $ | 219,093 | $ | 189,897 | ||||||
BHY | $ | 116,815 | $ | 71,478 | ||||||
BNA | — | $ | 970,824 | |||||||
BHD | $ | 219,923 | — |
| Purchases | | Sales | |||||||
BHK | $ | 565,925,347 | $ | 561,776,202 | ||||||
HYV | $ | 480,733,384 | $ | 468,095,077 | ||||||
HYT | $ | 503,718,002 | $ | 490,628,106 | ||||||
HIS | $ | 121,492,630 | $ | 127,298,626 | ||||||
BHY | $ | 50,137,547 | $ | 49,598,425 | ||||||
BNA | $ | 564,254,135 | $ | 554,531,132 | ||||||
BKT. | $ | 2,286,512,570 | $ | 2,233,214,887 | ||||||
BHD | $ | 60,724,131 | $ | 61,742,397 |
| Purchases | | Sales | |||||||
BHK. | $ | 38,749,883 | $ | 69,375,749 | ||||||
BNA | $ | 38,943,101 | $ | 83,417,112 | ||||||
BKT | $ | 230,937,400 | $ | 311,094,576 | ||||||
BHD | $ | 1,601,162 | $ | 199,969 |
| Purchases | | Sales | |||||||
BHK | $ | 224,900,231 | $ | 225,396,680 | ||||||
BNA | $ | 224,904,856 | $ | 225,401,594 | ||||||
BKT | $ | 1,137,374,940 | $ | 1,137,977,508 |
Calls | Puts | |||||||||||||||||||||
Contracts | Notional (000) | Premiums Received | Contracts | Notional (000) | Premiums Received | |||||||||||||||||
BHK | ||||||||||||||||||||||
Outstanding options, beginning of year | — | $ | 174,300 | $ | 3,758,484 | 9,500 | $ | 234,100 | $ | 4,974,415 | ||||||||||||
Options written | — | 128,600 | 2,503,729 | — | 274,300 | 4,420,685 | ||||||||||||||||
Options exercised | — | — | — | — | (10,000 | ) | (47,528 | ) | ||||||||||||||
Options expired | — | — | — | (9,500 | ) | — | (119,700 | ) | ||||||||||||||
Options closed | — | (272,200 | ) | (6,195,612 | ) | — | (443,100 | ) | (8,492,400 | ) | ||||||||||||
Outstanding options, end of year | — | $ | 30,700 | $ | 66,601 | — | $ | 55,300 | $ | 735,472 | ||||||||||||
HYV | ||||||||||||||||||||||
Outstanding options, beginning of year | — | — | — | — | — | — | ||||||||||||||||
Options written | — | $ | 6,500 | $ | 44,200 | 3,500 | $ | 6,500 | $ | 535,111 | ||||||||||||
Options exercised | — | (6,500 | ) | (44,200 | ) | — | — | — | ||||||||||||||
Options expired | — | — | — | — | (6,500 | ) | (113,750 | ) | ||||||||||||||
Outstanding options, end of year | — | — | — | 3,500 | — | $ | 421,361 | |||||||||||||||
HYT | ||||||||||||||||||||||
Outstanding options, beginning of year | — | — | — | — | — | — | ||||||||||||||||
Options written | — | $ | 6,800 | $ | 46,240 | 3,595 | $ | 6,800 | $ | 551,862 | ||||||||||||
Options exercised | — | (6,800 | ) | (46,240 | ) | — | — | — | ||||||||||||||
Options expired | — | — | — | — | (6,800 | ) | (119,000 | ) | ||||||||||||||
Outstanding options, end of year | — | — | — | 3,595 | — | $ | 432,862 | |||||||||||||||
BHY | ||||||||||||||||||||||
Outstanding options, beginning of year | — | — | — | — | — | — | ||||||||||||||||
Options written | — | $ | 750 | $ | 5,100 | — | $ | 750 | $ | 13,125 | ||||||||||||
Options exercised | — | (750 | ) | (5,100 | ) | — | — | — | ||||||||||||||
Options expired | — | — | — | — | (750 | ) | (13,125 | ) | ||||||||||||||
Outstanding options, end of year | — | — | — | — | — | — |
ANNUAL REPORT | AUGUST 31, 2013 | 147 |
Notes to Financial Statements (continued) |
Calls | Puts | ||||||||||||||||||||||||||||||
| Contracts | | Notional (000) | | Premiums Received | Contracts | | Notional (000) | | Premiums Received | |||||||||||||||||||||
BNA | |||||||||||||||||||||||||||||||
Outstanding options, beginning of year | — | $ | 173,900 | $ | 3,754,227 | 9,500 | $ | 233,700 | $ | 4,969,287 | |||||||||||||||||||||
Options written | — | 129,000 | 2,508,777 | — | 274,600 | 4,427,651 | |||||||||||||||||||||||||
Options exercised | — | — | — | — | (10,000 | ) | (47,528 | ) | |||||||||||||||||||||||
Options expired | — | — | — | (9,500 | ) | — | (119,700 | ) | |||||||||||||||||||||||
Options closed | — | (272,000 | ) | (6,195,970 | ) | — | (442,800 | ) | (8,492,710 | ) | |||||||||||||||||||||
Outstanding options, end of year | — | $ | 30,900 | $ | 67,034 | — | $ | 55,500 | $ | 737,000 | |||||||||||||||||||||
BHD | |||||||||||||||||||||||||||||||
Outstanding options, beginning of year | — | $ | 2,300 | $ | 17,900 | — | $ | 4,300 | $ | 69,170 | |||||||||||||||||||||
Options written | — | 4,500 | 62,250 | — | 4,500 | 81,175 | |||||||||||||||||||||||||
Options closed | — | (6,800 | ) | (80,150 | ) | — | (6,800 | ) | (111,345 | ) | |||||||||||||||||||||
Outstanding options, end of year | — | — | — | — | $ | 2,000 | $ | 39,000 |
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||||
Paid-in capital | — | $ | (11,986 | ) | $ | (177,663 | ) | $ | (162,712 | ) | $ | (126,174 | ) | — | — | $ | (101,036 | ) | ||||||||||||||||
Undistributed net investment income | $ | (864,282 | ) | $ | (904,591 | ) | $ | (975,060 | ) | $ | (102,001 | ) | $ | 86,864 | $ | (173,526 | ) | $ | 13,085,827 | $ | (177,228 | ) | ||||||||||||
Accumulated net realized loss | $ | 864,282 | $ | 916,577 | $ | 1,152,723 | $ | 264,713 | $ | 39,310 | $ | 173,526 | $ | (13,085,827 | ) | $ | 278,264 |
| BHK | HYV | HYT | HIS | BHY | BNA | BKT | BHD | ||||||||||||||||||
Ordinary income | 8/31/13 | $ | 25,416,860 | $ | 38,560,059 | $ | 39,195,248 | $ | 10,599,743 | $ | 3,412,042 | $ | 23,740,439 | $ | 30,628,476 | $ | 7,120,905 | |||||||||
8/31/12 | $ | 22,212,928 | $ | 35,208,709 | $ | 36,599,844 | $ | 11,172,280 | $ | 3,374,830 | $ | 22,258,816 | $ | 30,308,765 | $ | 7,652,086 | ||||||||||
Total | 8/31/13 | $ | 25,416,860 | $ | 38,560,059 | $ | 39,195,248 | $ | 10,599,743 | $ | 3,412,042 | $ | 23,740,439 | $ | 30,628,476 | $ | 7,120,905 | |||||||||
8/31/12 | $ | 22,212,928 | $ | 35,208,709 | $ | 36,599,844 | $ | 11,172,280 | $ | 3,374,830 | $ | 22,258,816 | $ | 30,308,765 | $ | 7,652,086 |
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||
Undistributed ordinary income | $ | 5,172,935 | $ | 4,808,087 | $ | 5,632,022 | $ | 1,381,349 | $ | 279,996 | $ | 5,088,413 | $ | 10,985,157 | $ | 534,353 | ||||||||||||||||
Capital loss carryforwards | (10,357,545 | ) | (52,520,992 | ) | (68,888,889 | ) | (36,475,853 | ) | (11,795,329 | ) | (18,525,614 | ) | (6,511,246 | ) | (1,167,345 | ) | ||||||||||||||||
Net unrealized gains (losses)1 | 6,136,455 | 5,152,621 | 3,656,884 | (270,522 | ) | 1,346,173 | 5,695,753 | (8,658,685 | ) | 2,146,446 | ||||||||||||||||||||||
Qualified late-year losses2 | — | — | — | — | — | — | (6,409,435 | ) | — | |||||||||||||||||||||||
Total | $ | 951,845 | $ | (42,560,284 | ) | $ | (59,599,983 | ) | $ | (35,365,026 | ) | $ | (10,169,160 | ) | $ | (7,741,448 | ) | $ | (10,594,209 | ) | $ | 1,513,454 |
1 | The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, investments in passive foreign investment companies and the deferral of compensation to trustees. |
2 | The Trust has elected to defer certain qualified late year losses and recognize such losses in the year ended August 31, 2014. |
Expires August 31, | | BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |||||||||||||||||||
2014 | — | — | — | $ | 7,043,976 | $ | 442,153 | — | — | — | |||||||||||||||||||||||||
2015 | — | — | — | — | 2,467,772 | — | — | — | |||||||||||||||||||||||||||
2016 | $ | 2,941,545 | — | — | 10,829,322 | 2,039,760 | $ | 191,888 | — | — | |||||||||||||||||||||||||
2017 | 7,416,000 | $ | 6,734,339 | $ | 13,961,125 | 3,140,056 | 916,541 | 7,369,088 | — | — | |||||||||||||||||||||||||
2018 | — | 45,786,653 | 54,927,764 | 15,169,557 | 5,191,260 | 10,964,638 | — | $ | 1,167,345 | ||||||||||||||||||||||||||
2019 | — | — | — | — | 737,843 | — | — | — | |||||||||||||||||||||||||||
No expiration date3 | — | — | — | 292,942 | — | — | $ | 6,511,246 | — | ||||||||||||||||||||||||||
Total | $ | 10,357,545 | $ | 52,520,992 | $ | 68,888,889 | $ | 36,475,853 | $ | 11,795,329 | $ | 18,525,614 | $ | 6,511,246 | $ | 1,167,345 |
3 | Must be utilized prior to losses subject to expiration. |
148 | ANNUAL REPORT | AUGUST 31, 2013 |
Notes to Financial Statements (continued) |
BHK | $ | 2,785,178 |
HYV | $ | 24,658,421 |
HYT | $ | 23,395,382 |
HIS | $ | 2,265,017 |
BHY | $ | 2,276,200 |
BNA | $ | 4,283,177 |
BHD | $ | 3,647,837 |
| BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | ||||||||||||||||||||
Tax cost | $ | 551,524,149 | $ | 611,577,536 | $ | 637,769,231 | $ | 159,922,686 | $ | 66,016,698 | $ | 547,548,818 | $ | 863,477,541 | $ | 125,412,022 | |||||||||||||||||||
Gross unrealized appreciation | $ | 21,684,444 | $ | 25,470,332 | $ | 25,205,718 | $ | 5,336,661 | $ | 2,581,185 | $ | 22,098,732 | $ | 25,450,117 | $ | 5,142,559 | |||||||||||||||||||
Gross unrealized depreciation | (15,243,645 | ) | (21,891,344 | ) | (23,122,944 | ) | (5,595,272 | ) | (1,367,696 | ) | (16,139,906 | ) | (33,184,643 | ) | (3,110,531 | ) | |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 6,440,799 | $ | 3,578,988 | $ | 2,082,774 | $ | (258,611 | ) | $ | 1,213,489 | $ | 5,958,826 | $ | (7,734,526 | ) | $ | 2,032,028 |
Commitment Amounts | ||
HYV | $ | 213,000,000 |
HYT | $ | 222,000,000 |
HIS | $ | 63,000,000 |
BHY | $ | 24,000,000 |
BHD | $ | 52,000,000 |
Daily Weighted Average Interest Rate | ||
HYV | 0.95 | % |
HYT | 0.95 | % |
HIS | 0.95 | % |
BHY | 0.95 | % |
BHD1 | 0.95 | % |
Daily Weighted Average Interest Rate | ||
BHK | 0.26 | % |
BNA | 0.27 | % |
BKT1 | 0.23 | % |
1 | Includes treasury roll transactions. |
ANNUAL REPORT | AUGUST 31, 2013 | 149 |
Notes to Financial Statements (concluded) |
transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.
Year Ended August 31, 2013 | | Year Ended August 31, 2012 | |||
BHK | 14,416 | 4,404 | |||
HYV | 11,735 | 59,289 | |||
HYT | 39,051 | 85,180 | |||
HIS | 103,313 | 124,205 | |||
BHY | 1,771 | 2,000 | |||
BHD | 3,668 | 3,546 |
Common Dividend Per Share | |||
BHK | $ | 0.0755 | |
HYV | $ | 0.0855 | |
HYT | $ | 0.0805 | |
HIS | $ | 0.0142 | |
BHY | $ | 0.0428 | |
BNA | $ | 0.0595 | |
BKT | $ | 0.0370 | |
BHD | $ | 0.0780 |
Distribution Per Share | |||
HYV | $ | 0.185 | |
HYT | $ | 0.160 | |
HIS | $ | 0.040 | |
BHY | $ | 0.080 |
150 | ANNUAL REPORT | AUGUST 31, 2013 |
Report of Independent Registered Public Accounting Firm |
BlackRock Core Bond Trust,
BlackRock Corporate High Yield Fund V, Inc.,
BlackRock Corporate High Yield Fund VI, Inc.,
BlackRock High Income Shares,
BlackRock High Yield Trust,
BlackRock Income Opportunity Trust, Inc.,
BlackRock Income Trust, Inc., and
BlackRock Strategic Bond Trust:
Boston, Massachusetts
October 29, 2013
ANNUAL REPORT | AUGUST 31, 2013 | 151 |
Important Tax Information (Unaudited) |
| Payable Dates | | BHK | | HYV | | HYT | | HIS | | BHY | | BNA | | BKT | | BHD | |
Interest-Related Dividends for Non-US Residents1 | September 2012 – January 2013 | 66.03% | 61.01% | 66.09% | 70.48% | 73.65% | 73.86% | 91.88% | 77.85% | |||||||||
February 2013 – August 2013 | 85.83% | 84.35% | 75.19% | 96.52% | 83.56% | 84.00% | 91.80% | 79.31% | ||||||||||
Qualified Dividend Income for Individuals2 | September 2012 – January 2013 | — | 5.37% | 5.41% | — | — | — | — | — | |||||||||
February 2013 – August 2013 | — | 1.62% | 1.82% | — | — | — | — | — | ||||||||||
Dividends Qualifying for the Dividend Received Deduction for Corporations2 | September 2012 – January 2013 | — | 5.37% | 5.41% | — | — | — | — | — | |||||||||
February 2013 – August 2013 | — | 1.59% | 1.80% | — | — | — | — | — | ||||||||||
Federal Obligation Interest3 | September 2012 – August 2013 | 7.02% | — | — | — | — | 6.53% | 2.40% | — |
1 | Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations. |
2 | The Trust hereby designates the percentage indicated above or the maximum amount allowable by law. |
3 | The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes. |
152 | ANNUAL REPORT | AUGUST 31, 2013 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.
1 | Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. |
ANNUAL REPORT | AUGUST 31, 2013 | 153 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) |
154 | ANNUAL REPORT | AUGUST 31, 2013 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) |
benchmark for the five-year period. BlackRock believes that the performance relative to the customized benchmark is an appropriate performance metric for BHK, BHD and BNA.
ANNUAL REPORT | AUGUST 31, 2013 | 155 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded) |
to BlackRock.
156 | ANNUAL REPORT | AUGUST 31, 2013 |
Automatic Dividend Reinvestment Plans |
ANNUAL REPORT | AUGUST 31, 2013 | 157 |
Officers and Trustees |
Name, Address and Year of Birth | Position(s) Held with Trusts | Length of Time Served as a Trustee2 | Principal Occupation(s) During Past Five Years | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Directorships | ||||||||||||||||||
Independent Trustees1 | |||||||||||||||||||||||
Richard E. Cavanagh 55 East 52nd Street New York, NY 10055 1946 | Chairman of the Board and Trustee | Since 1994 | Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | 94 RICs consisting of 90 Portfolios | None | ||||||||||||||||||
Karen P. Robards 55 East 52nd Street New York, NY 10055 1950 | Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee | Since 2007 | Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987. | 94 RICs consisting of 90 Portfolios | AtriCure, Inc. (medical devices); Greenhill & Co., Inc. | ||||||||||||||||||
Michael J. Castellano 55 East 52nd Street New York, NY 10055 1946 | Trustee and Member of the Audit Committee | Since 2011 | Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012. | 94 RICs consisting of 90 Portfolios | None | ||||||||||||||||||
Frank J. Fabozzi 55 East 52nd Street New York, NY 10055 1948 | Trustee and Member of the Audit Committee | Since 1988 | Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006. | 94 RICs consisting of 90 Portfolios | None | ||||||||||||||||||
Kathleen F. Feldstein 55 East 52nd Street New York, NY 10055 1941 | Trustee | Since 2005 | President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009. | 94 RICs consisting of 90 Portfolios | The McClatchy Company (publishing) | ||||||||||||||||||
James T. Flynn 55 East 52nd Street New York, NY 10055 1939 | Trustee and Member of the Audit Committee | Since 2007 | Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995. | 94 RICs consisting of 90 Portfolios | None | ||||||||||||||||||
Jerrold B. Harris 55 East 52nd Street New York, NY 10055 1942 | Trustee | Since 2007 | Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999. | 94 RICs consisting of 90 Portfolios | BlackRock Kelso Capital Corp. (business develop- ment company) | ||||||||||||||||||
R. Glenn Hubbard 55 East 52nd Street New York, NY 10055 1958 | Trustee | Since 2004 | Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988. | 94 RICs consisting of 90 Portfolios | ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance) |
158 | ANNUAL REPORT | AUGUST 31, 2013 |
Officers and Trustees (continued) |
Name, Address and Year of Birth | Position(s) Held with Trusts | Length of Time Served as a Trustee2 | Principal Occupation(s) During Past Five Years | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Directorships | ||||||||||||||||||
Independent Trustees1 (concluded) | |||||||||||||||||||||||
W. Carl Kester 55 East 52nd Street New York, NY 10055 1951 | Trustee and Member of the Audit Committee | Since 2007 | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 94 RICs consisting of 90 Portfolios | None | ||||||||||||||||||
1 Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. In 2013, the Board of Trustees unanimously approved further extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31, 2014, when he turns 75. | |||||||||||||||||||||||
2 Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining the Trusts’ board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. | |||||||||||||||||||||||
Interested Trustees3 | |||||||||||||||||||||||
Paul L. Audet 55 East 52nd Street New York, NY 10055 1953 | Trustee | Since 2011 | Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005. | 155 RICs consisting of 282 Portfolios | None | ||||||||||||||||||
Henry Gabbay 55 East 52nd Street New York, NY 10055 1947 | Trustee | Since 2007 | Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 155 RICs consisting of 282 Portfolios | None | ||||||||||||||||||
3 Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. Trustees of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding a good cause thereof. |
ANNUAL REPORT | AUGUST 31, 2013 | 159 |
Officers and Trustees (concluded) |
Name, Address and Year of Birth | Position(s) Held with Trusts | Length of Time Served | Principal Occupation(s) During Past Five Years | ||||||||||||
Officers1 | |||||||||||||||
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964 | President and Chief Executive Officer | Since 2011 | Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. | ||||||||||||
Anne Ackerley 55 East 52nd Street New York, NY 10055 1962 | Vice President | Since 20072 | Managing Director of BlackRock since 2000; Chief Marketing Officer of BlackRock since 2012; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group from 2009 to 2012; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006. | ||||||||||||
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977 | Vice President | Since 2009 | Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008. | ||||||||||||
Robert W. Crothers 55 East 52nd Street New York, NY 10055 1981 | Vice President | Since 2012 | Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010; Associate of BlackRock from 2006 to 2007. | ||||||||||||
Neal Andrews 55 East 52nd Street New York, NY 10055 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | ||||||||||||
Jay Fife 55 East 52nd Street New York, NY 10055 1970 | Treasurer | Since 2007 | Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | ||||||||||||
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959 | Chief Compliance Officer and Anti-Money Laundering Officer | Since 2007 | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005. | ||||||||||||
Janey Ahn 55 East 52nd Street New York, NY 10055 1975 | Secretary | Since 2012 | Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Funds from 2008 to 2012; Associate at Willkie Farr & Gallagher LLP from 2006 to 2008. | ||||||||||||
1 Officers of the Trusts serve at the pleasure of the Boards. | |||||||||||||||
2 Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011. Effective September 13, 2013, Ms. Ackerley resigned as Vice President of the Trusts. |
Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 Sub-Advisor BlackRock Financial Management, Inc. New York, NY 10055 | Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110 Transfer Agent Computershare Trust Company, N.A. Canton, MA 02021 | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP New York, NY 10036 | Address of the Trusts 100 Bellevue Parkway Wilmington, DE 19809 |
160 | ANNUAL REPORT | AUGUST 31, 2013 |
Additional Information |
Proxy Results
Richard E. Cavanagh | Kathleen F. Feldstein | Henry Gabbay | ||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | |||||||||||||||||||
BHK | 17,964,762 | 413,764 | 0 | 17,897,472 | 481,054 | 0 | 17,963,646 | 414,880 | 0 | |||||||||||||||||||||||||||
HIS | 35,096,386 | 1,787,875 | 0 | 34,873,496 | 2,010,765 | 0 | 35,077,228 | 1,807,033 | 0 | |||||||||||||||||||||||||||
BHY | 5,246,762 | 172,454 | 0 | 5,211,806 | 207,410 | 0 | 5,248,330 | 170,886 | 0 | |||||||||||||||||||||||||||
BNA | 23,626,712 | 485,727 | 0 | 23,603,031 | 509,407 | 0 | 23,592,889 | 519,550 | 0 | |||||||||||||||||||||||||||
BKT | 46,740,082 | 664,444 | 0 | 46,648,735 | 755,791 | 0 | 46,691,729 | 712,796 | 0 | |||||||||||||||||||||||||||
BHD | 5,191,228 | 109,901 | 0 | 5,155,121 | 146,008 | 0 | 5,182,639 | 118,490 | 0 |
Jerrold B. Harris | ||||||||||||||||
Votes For | | Votes Withheld | | Abstain | ||||||||||||
BHK | 17,916,521 | 462,005 | 0 | |||||||||||||
HIS | 34,884,046 | 2,000,215 | 0 | |||||||||||||
BHY | 5,235,421 | 183,795 | 0 | |||||||||||||
BNA | 23,627,758 | 484,680 | 0 | |||||||||||||
BKT | 46,677,031 | 727,495 | 0 | |||||||||||||
BHD | 5,167,658 | 133,471 | 0 |
Paul L. Audet | Michael J. Castellano | Richard E. Cavanagh | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | |||||||||||||||||||||
HYV | 23,174,718 | 270,043 | 0 | 23,177,430 | 267,331 | 0 | 23,174,655 | 270,106 | 0 | |||||||||||||||||||||||||||||
HYT | 24,320,024 | 402,306 | 0 | 24,287,125 | 435,205 | 0 | 24,303,405 | 418,925 | 0 |
Frank J. Fabozzi | Kathleen F. Feldstein | James T. Flynn | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | |||||||||||||||||||||
HYV | 23,172,820 | 271,941 | 0 | 23,105,437 | 339,324 | 0 | 23,131,217 | 313,544 | 0 | |||||||||||||||||||||||||||||
HYT | 24,276,968 | 445,362 | 0 | 24,305,648 | 416,682 | 0 | 24,305,523 | 416,807 | 0 |
Henry Gabbay | Jerrold B. Harris | R. Glenn Hubbard | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | |||||||||||||||||||||
HYV | 23,171,394 | 273,367 | 0 | 23,147,139 | 297,622 | 0 | 23,117,077 | 327,684 | 0 | |||||||||||||||||||||||||||||
HYT | 24,315,641 | 406,689 | 0 | 24,224,584 | 497,746 | 0 | 24,212,651 | 509,679 | 0 |
W. Carl Kester | Karen P. Robards | |||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | |||||||||||||||||
HYV | 23,169,106 | 275,655 | 0 | 23,128,305 | 316,456 | 0 | ||||||||||||||||||||||
HYT | 24,254,317 | 468,013 | 0 | 24,332,785 | 399,545 | 0 |
Trust Certification
ANNUAL REPORT | AUGUST 31, 2013 | 161 |
Additional Information (continued) |
Dividend Policy
Regulation Regarding Derivatives
General Information
162 | ANNUAL REPORT | AUGUST 31, 2013 |
Additional Information (concluded) |
General Information (concluded)
Section 19(a) Notices
August 31, 2013 | |||||||||||||||||||
Total Cumulative Distributions for the Fiscal Year-to-Date | % Breakdown of the Total Cumulative Distributions for the Fiscal Year-to-Date | ||||||||||||||||||
| Net Investment Income | | Net Realized Capital Gains | | Return of Capital | | Total Per Common Share | | Net Investment Income | | Net Realized Capital Gains | | Return of Capital | | Total Per Common Share | ||||
BKT | $0.450769 | — | $0.028231 | $0.479000 | 94% | 0% | 6% | 100% |
BlackRock Privacy Principles
ANNUAL REPORT | AUGUST 31, 2013 | 163 |
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CEF-1-8-8/13-AR | ![]() |
Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.
Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:
Michael Castellano
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.
Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
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Item 4 – Principal Accountant Fees and Services
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:
(a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees3 | |||||
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock Strategic Bond Trust | $39,238 | $38,100 | $0 | $0 | $8,200 | $8,200 | $0 | $0 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):
Current Fiscal Year End | Previous Fiscal Year End | |
(b) Audit-Related Fees1 | $0 | $0 |
(c) Tax Fees2 | $0 | $0 |
(d) All Other Fees3 | $2,865,000 | $2,970,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services includes tax compliance, tax advice and tax planning.
3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved
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subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:
Entity Name | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock Strategic Bond Trust | $8,200 | $8,200 |
Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,865,000 and $2,970,000, respectively, were billed by D&T to the Investment Adviser.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 – Audit Committee of Listed Registrants
(a) The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):
Michael Castellano
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
(b) Not Applicable
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.
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Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2013.
(a)(1) The Fund is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Jeffrey Cucunato, Managing Director at BlackRock and Derek Schoenhofen, Director at BlackRock. Messrs. Keenan, Cucunato and Schoenhofen are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s portfolio management team since 2007. Messrs. Cucunato and Schoenhofen have been members of the Fund’s portfolio management team since 2009.
Portfolio Manager | Biography | |
James E. Keenan | Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005. | |
Jeffrey Cucunato | Managing Director of BlackRock since 2005. | |
Derek Schoenhofen | Director of BlackRock since 2006; Vice President of BlackRock from 2000 to 2005. |
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(a)(2) As of August 31, 2013:
(ii) Number of Other Accounts Managed and Assets by Account Type | (iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based | |||||
(i) Name of Portfolio Manager | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts |
James E. Keenan | 20 | 22 | 24 | 0 | 7 | 4 |
$17.47 Billion | $10.85 Billion | $6.84 Billion | $0 | $1.21 Billion | $578.7 Million | |
Jeffrey Cucunato | 3 | 12 | 70 | 0 | 1 | 2 |
$2.06 Billion | $9.54 Billion | $30.49 Billion | $0 | $14.54 Million | $780.5 Million | |
Derek Schoenhofen | 11 | 8 | 28 | 0 | 1 | 4 |
$14.01 | $8.65 Billion | $7.07 Billion | $0 | $423.9 Million | $578.7 Million |
(iv) Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Cucunato, Keenan and Schoenhofen may be managing certain hedge fund and/or long only accounts, or may be part of a team managing certain hedge fund and/or long only accounts, subject to incentive fees. Messrs. Cucunato, Keenan and Schoenhofen may therefore be entitled to receive a portion of any incentive fees earned on such accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are
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intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.
(a)(3) As of August 31, 2013:
Portfolio Manager Compensation Overview
BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base Compensation.
Generally, portfolio managers receive base compensation based on their position with BlackRock, Inc.
Discretionary Incentive Compensation.
Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:
Portfolio Manager | Benchmark |
Jeffrey Cucunato | A combination of market-based indices (e.g., Barclays Capital Long Government/Credit Index), certain customized indices and certain fund industry peer groups. |
James E. Keenan Derek Schoenhofen | A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups. |
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Distribution of Discretionary Incentive Compensation
Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.
Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Cucunato and Keenan have unvested long-term incentive awards.
Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock is eligible to participate in the deferred compensation program.
Other Compensation Benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:
Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($255,000 for 2013). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.
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(a)(4) Beneficial Ownership of Securities – As of August 31, 2013.
Portfolio Manager | Dollar Range of Equity Securities of the Fund Beneficially Owned |
James E. Keenan | $1-$10,000 |
Jeffrey Cucunato | None |
Derek Schoenhofen | None |
(b) Not Applicable
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 – See Item 2
(a)(2) – Certifications – Attached hereto
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto
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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: November 4, 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: November 4, 2013
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Strategic Bond Trust
Date: November 4, 2013
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