Blackrock Income Opportunity Trust NCSR Certified annual shareholder report (management investment company)

Blackrock Income Opportunity Trust (BNA) Inactive N-CSRCertified annual shareholder report (management investment company)

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 811-06443

Name of Fund: BlackRock Income Opportunity Trust, Inc. (BNA)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Opportunity Trust, Inc., 55 East 52^nd 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

AUGUST 31, 2013

ANNUAL REPORT

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)

BlackRock High Yield Trust (BHY)

BlackRock Income Opportunity Trust, Inc. (BNA)

BlackRock Income Trust, Inc. (BKT)

BlackRock Strategic Bond Trust (BHD)

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

ANNUAL REPORT

AUGUST 31, 2013


Dear Shareholder

Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments. Financial markets rallied last fall after the European Central Bank and the US Federal Reserve announced aggressive monetary stimulus programs, substantially increasing global liquidity. But markets weakened later in the year amid slowing global trade as many European countries fell into recession and growth continued to decelerate in China. In the United States, investors became increasingly concerned about the “fiscal cliff” of tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at risk for recession.

The worst of the fiscal cliff was averted with a last-minute tax deal, allowing markets to get off to a good start in 2013. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies coupled with the absence of negative headlines from Europe created an aura of comfort for investors. Global equities surged, while rising US Treasury yields pressured high quality fixed income assets. (Bond prices move in the opposite direction of yields.)

February brought a slowdown in global economic momentum and the pace of the rally moderated. In the months that followed, US equities outperformed international markets, as the US economic recovery showed greater stability compared to most other regions. Slow, but positive, growth in the United States was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced investors’ expectations that the US Federal Reserve would keep interest rates low. International markets experienced higher levels of volatility given a resurgence of political instability in Italy and a severe banking crisis in Cyprus, while a poor outlook for European economies also dampened sentiment for overseas investment. Emerging markets significantly lagged the rest of the world as growth in these economies (particularly China and Brazil) fell short of expectations.

After peaking in late May, equity markets broadly sold off due to concerns about the US Federal Reserve reducing monetary stimulus. Volatility picked up considerably as investors abruptly retreated from risk assets and a sharp and dramatic rise in US Treasury yields resulted in tumbling prices for higher-quality fixed income investments. The downswing bottomed out in late June as a more dovish tone from the US central bank served to quell the extreme level of volatility in interest rates. Improving economic data and a positive outlook for corporate earnings helped financial markets regain strength in July, with major US equity indices hitting new record highs. However, markets slumped again in August as investors became more wary amid a number of unknowns. Mixed economic data spurred heightened uncertainty about the future of global growth and investors grew anxious about the timing and extent to which the US Federal Reserve would scale back on its asset-purchase program. Meanwhile, escalating political turmoil in Egypt and Syria renewed concerns about the impact of the broader issue of growing unrest in many countries across the Middle East-North Africa region.

On the whole, developed market equities generated strong returns for the 6- and 12-month periods ended August 31, 2013. Emerging markets, in contrast, suffered the impact of slowing growth and concerns about a shrinking global money supply. Extraordinary levels of interest rate volatility in the latter part of the period resulted in poor performance for most fixed income assets, especially US Treasury bonds and other higher quality sectors such as tax-exempt municipals and investment grade corporate bonds. Conversely, high yield bonds posted gains as the sector continued to benefit from investors’ ongoing search for income in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

Markets remain volatile, and investors continue to face a number of uncertainties in the current environment. At BlackRock, we believe investors need to think globally and extend their scope across a broader array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

Rob Kapito
President, BlackRock Advisors, LLC

“Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments.”

Rob Kapito
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

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

THIS PAGE NOT PART OF YOUR FUND REPORT


Trust Summary as of August 31, 2013	BlackRock Core Bond Trust

Trust Overview

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

Describe recent portfolio activity.

•

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.

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Core Bond Trust

Trust Information

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.

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

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

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


Trust Summary as of August 31, 2013	BlackRock Corporate High Yield Fund V, Inc.

Trust Overview

BlackRock Corporate High Yield Fund V, Inc.’s (HYV) (the “Trust”) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (BB or lower by S&P or Ba or lower by Moody’s) or in unrated securities considered by the Trust’s investment adviser to be of comparable quality. The Trust also seeks to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield debt instruments, including high yield bonds (commonly referred to as “junk” bonds) and high yield corporate loans which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Trust and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

Describe recent portfolio activity.

•

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.

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Corporate High Yield Fund V, Inc.

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock Corporate High Yield Fund VI, Inc.

Trust Overview

BlackRock Corporate High Yield Fund VI, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as “junk” bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with each of BlackRock High Yield Trust, BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc., BlackRock High Income Shares and BlackRock Corporate High Yield Fund V, Inc. (each a “Target Fund”), with the Trust continuing as the surviving fund after the reorganizations. On October 11, 2013, the shareholders of the Trust and each Target Fund approved their respective reorganization, which is expected to be completed in late 2013.

No assurance can be given that the Trust’s investment objectives will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Corporate High Yield Fund VI, Inc.

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock High Income Shares

Trust Overview

BlackRock High Income Shares’ (HIS) (the “Trust”) primary investment objective is to provide the highest current income attainable consistent with reasonable risk as determined by the Trust’s investment adviser, through investment in a professionally managed, diversified portfolio of high yield, high risk fixed income securities (commonly referred to as “junk bonds”). The Trust’s secondary objective is to provide capital appreciation, but only when consistent with its primary objective. The Trust seeks to achieve its objectives by investing primarily in high yield, high risk debt instruments rated in the medium to lower categories by nationally recognized rating services (BBB or lower by S&P or Baa or lower by Moody’s) or non-rated securities, which, in the investment adviser’s opinion, are of comparable quality. Under normal market conditions, the average maturity of the Trust’s portfolio is between eight and twelve years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

•

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock High Income Shares

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock High Yield Trust

Trust Overview

BlackRock High Yield Trust’s (BHY) (the “Trust”) primary investment objective is to provide high current income. The Trust’s secondary investment objective is to provide capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in high-risk, high yield bonds and other such securities, such as preferred stocks, which are rated below investment grade. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock High Yield Trust

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock Income Opportunity Trust, Inc.

Trust Overview

BlackRock Income Opportunity Trust, Inc.’s (BNA) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

•

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Income Opportunity Trust, Inc.

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock Income Trust, Inc.

Trust Overview

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moody’s. Securities issued or guaranteed by the US government or its agencies or instrumentalities are generally considered to be of the same or higher credit or quality as privately issued securities rated AAA or Aaa. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

•

Describe recent portfolio activity.

•

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.

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Income Trust, Inc.

Trust Information

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

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

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


Trust Summary as of August 31, 2013	BlackRock Strategic Bond Trust

Trust Overview

BlackRock Strategic Bond Trust’s (BHD) (the “Trust”) investment objective is to provide total return through high current income and capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in a diversified portfolio of fixed income securities including corporate bonds, US government and agency securities, mortgage-related and asset-backed securities and other types of fixed income securities. The Trust invests, under normal market conditions, a significant portion of its assets in corporate fixed income securities that are below investment grade quality, including high-risk, high yield bonds (commonly referred to as “junk” bonds) and other such securities, such as preferred stocks. The Trust may invest directly in such securities or synthetically through the use of derivatives.

On July 19, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Debt Strategies Fund, Inc., with BlackRock Debt Strategies Fund, Inc. continuing as the surviving fund after the reorganization. On October 25, 2013, the shareholders of the Trust and BlackRock Debt Strategies Fund, Inc. approved the reorganization, which is expected to be completed in late 2013.

No assurance can be given that the Trust’s investment objective will be achieved.

Portfolio Management Commentary

How did the Trust perform?

•

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.

What factors influenced performance?

•

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.

Describe recent portfolio activity.

•

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.

Describe portfolio positioning at period end.

•

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.

ANNUAL REPORT

AUGUST 31, 2013


	BlackRock Strategic Bond Trust

Trust Information

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

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

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


The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage through a credit facility, by entering into reverse repurchase agreements and/or treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trust’s long-term investments, and therefore the Trust’s shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ debt securities does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities representing indebtedness up to 33¹⁄₃% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of August 31, 2013, the Trusts had aggregate economic leverage from reverse repurchase agreements, treasury roll transactions and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

	Percent of Economic Leverage
BHK		31	%
HYV		30	%
HYT		30	%
HIS		23	%
BHY		28	%
BNA		31	%
BKT		24	%
BHD		22	%

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

See Notes to Financial Statements.

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

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	)

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

Using S&P’s rating of the issuer.

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

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.

See Notes to Financial Statements.

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

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.

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.

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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		—		—

Represents net shares purchased.

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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	)

See Notes to Financial Statements.

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

Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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.

See Notes to Financial Statements.

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

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

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.

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

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

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.

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.

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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		—		—

Represents net shares purchased.

No longer held by the Trust of report date.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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	)

See Notes to Financial Statements.

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

Using S&P’s rating of the issuer or the underlying securities of the Index, as applicable.

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

•

•				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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

See Notes to Financial Statements.

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

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.

Issues represent upfront cash received on certain derivative financial instruments.

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

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

⁹

¹⁰

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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	)

See Notes to Financial Statements.

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

Using S&P’s rating of the issuers or the underlying securities of the index, as applicable.

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

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

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

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

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

See Notes to Financial Statements.

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		—		—

Represents net shares purchased.

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

—

•

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	)

See Notes to Financial Statements.

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

Using S&P’s rating of the issuer or underlying securities of the index, as applicable.

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

•

•				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

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


Schedule of Investments (concluded)	BlackRock High Yield Trust (BHY)

	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

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

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.

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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
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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA) (Percentages shown are based on Net Assets)

US Government Sponsored Agency Securities		Par (000)			Value
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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)

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

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

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

See Notes to Financial Statements.

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

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

Using S&P’s rating of the issuer.

The maximum potential amount the Trust may pay should a negative credit event take place as defined under terms of the agreements.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013


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

Trust pays the floating rate and receives the fixed rate.

Trust pays the fixed rate and receives the floating rate.

Forward interest rate swap.

•

•				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

See Notes to Financial Statements.

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	)

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.

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

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.

See Notes to Financial Statements.

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)

Trust pays the floating rate and receives the fixed rate.

Trust pays the fixed interest rate and receives the floating rate.

•

•				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.

See 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	)

Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

	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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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)

2-Year US Treasury Note

Chicago Board of Trade

December 2013

USD

10,108,500

$3,768

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

See Notes to Financial Statements.

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

—

•

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

Using S&P’s ratings of the issuer.

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

See Notes to Financial Statements.

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

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

Trust pays the fixed rate and receives the floating rate.

•

•				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

See Notes to Financial Statements.

116

ANNUAL REPORT

AUGUST 31, 2013


Schedule of Investment (concluded)	BlackRock Strategic Bond Trust (BHD)

	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

See Notes to Financial Statements.

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		—

See Notes to Financial Statements.

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 capital^5,6,7	$	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.

See Notes to Financial Statements.

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		—

See Notes to Financial Statements.

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 capital^7,8,9	$	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

See Notes to Financial Statements.

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

Consolidated Statement of Operations.

See Note 8 of the Notes to Financial Statements for details of short-term borrowings.

See Notes to Financial Statements.

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

See Note 8 of the Notes to Financial Statements for details of short-term borrowings.

See Notes to Financial Statements.

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

Dividends are determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

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

Dividends and distributions are determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

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

Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

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

See Notes to Financial Statements.

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

Based on average shares outstanding.

Dividends are determined in accordance with federal income tax regulations.

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%.

See Notes to Financial Statements.

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

Consolidated Financial Highlights.

Based on average shares outstanding.

Dividends are determined in accordance with federal income tax regulations.

⁴

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%.

See Notes to Financial Statements.

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

Consolidated Financial Highlights.

Based on average shares outstanding.

Dividends are determined in accordance with federal income tax regulations.

⁴

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%.

See Notes to Financial Statements.

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

Based on average shares outstanding.

Amount is less than $(0.005) per share.

Dividends are determined in accordance with federal income tax regulations.

⁴

⁵

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.

See Notes to Financial Statements.

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

Based on average shares outstanding.

Dividends and distributions are determined in accordance with federal income tax regulations.

⁴

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.

See Notes to Financial Statements.

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

Based on average shares outstanding.

Dividends are determined in accordance with federal income tax regulations.

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%.

See Notes to Financial Statements.

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

Based on average shares outstanding.

Dividends and distributions are determined in accordance with federal income tax regulations.

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%.

See Notes to Financial Statements.

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		$	—

Based on average shares outstanding.

Dividends are determined in accordance with federal income tax regulations.

⁴

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.

See Notes to Financial Statements.

ANNUAL REPORT

AUGUST 31, 2013

135


Notes to Financial Statements

1. Organization:

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”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD”) (collectively, the “Trusts”) are registered under the 1940 Act, as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Boards of Directors and the Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts’ determine, and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganizations: On June 5, 2013, the Board of HYT and the Boards of HYV, HIS, BHY, BlackRock Corporate High Yield Fund, Inc. and BlackRock Corporate High Yield Fund III, Inc. (each a “HYT Target Fund”) approved the reorganization of HYT with each HYT Target Fund, with HYT continuing as the surviving fund after the reorganizations. It is currently expected that the reorganizations will be completed in late 2013. Reorganization costs incurred by HYT and the HYT Target Funds in connection with the reorganizations were expensed. BlackRock Advisors, LLC (the “Manager”) reimbursed HYV $400,000, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

On July 19, 2013, the Board of BHD approved the reorganization of BHD with BlackRock Debt Strategies Fund, Inc. (“DSU”), with DSU continuing as the surviving fund after the reorganization. It is currently expected that the reorganization will be completed in late 2013. Reorganization costs incurred by BHD in connection with the reorganization were expensed.

Basis of Consolidation: The accompanying consolidated financial statements of HYV and HYT include the accounts of BLK HYV (Luxembourg) Investments, S.a.r.l. and BLK HYT (Luxembourg) Investments, S.a.r.l. (the “Subsidiaries”), which are wholly owned subsidiaries of the Trusts which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Such shares are held in the Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Subsidiaries may be taxable to such subsidiaries in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statements of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiaries are subject to the same investment policies and restrictions that apply to the Trusts.

2. Significant Accounting Policies:

The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of the significant accounting policies followed by the Trusts:

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

136

ANNUAL REPORT

AUGUST 31, 2013


Notes to Financial Statements (continued)

Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee or its delegate deem relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Trust’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.

Foreign Currency: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Trust either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements, treasury roll transactions and loan payable), each Trust will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments.

ANNUAL REPORT

AUGUST 31, 2013

137


Notes to Financial Statements (continued)

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. Capital losses carried forward from years beginning before 2011 do not reduce earnings and profits, even if such carried forward losses offset current year realized gains. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Subsidiaries.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s US federal tax returns remains open for each of the four years ended August 31, 2013. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements, which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Trusts’ financial statement disclosures.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Deferred compensation liabilities are included in Officers and Trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Trusts may have to subsequently reinvest the proceeds at lower interest rates. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

138

ANNUAL REPORT

AUGUST 31, 2013


Notes to Financial Statements (continued)

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches”, which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trust may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts and Trust Preferred Securities: Certain Trusts may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Certain Trusts may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

ANNUAL REPORT

AUGUST 31, 2013

139


Notes to Financial Statements (continued)

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of August 31, 2013, the Trusts had the following unfunded floating rate loan interests:

	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

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Trusts’ portfolio

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.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Trusts continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by the Trusts to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Funds may receive a fee for use of the security by the counterparty, which may result in interest income to the Trusts.

Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts’ net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security they do not hold in anticipation of a decline in the market price of that security. When the Trusts make a short sale, they will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which they sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty interest on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is either less or greater than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.

4. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economically hedge their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Trusts purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or

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.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies, in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk and interest rate risk) and/or in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts holds the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which the Trusts and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the

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.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Trusts face the CCP through a broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

•

Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either (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)

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:

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

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.

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

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

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		—		—

Counterparty Credit Risk: A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Trusts risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trusts. For OTC options purchased, each Trust bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Trust should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not, the counterparty, to perform.

ANNUAL REPORT

AUGUST 31, 2013

145


Notes to Financial Statements (continued)

With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. Credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the short fall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

In order to better define their contractual rights and to secure rights that will help the Trusts mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trust’s net assets decline by a stated percentage or the Trust fails to meet the terms of its ISDA Master Agreements, which would cause the Trust to accelerate payment of any net liability owed to the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

BHK				0.55%
HIS				0.75% of the first $200 million and 0.50% thereafter
BHY				0.90%
BHD				0.75%

The following Trusts’ investment advisory fee paid to the Manager is computed daily and payable monthly on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

HYV					0.60	%
HYT					0.70	%

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average net assets:

BNA					0.60	%
BKT					0.65	%

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets and 0.10% for BHY of the Trust’s average weekly total assets.

The Manager voluntarily agreed to waive a portion of investment advisory fee with respect to BHK at an annual rate of 0.03%, as a percentage of average weekly net assets. This voluntary waiver may be reduced or discontinued at any time without notice. For the year ended August 31, 2013, the Manager waived $177,925, which is included in fees waived by Manager in the Statements of Operations for BHK.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the year ended August 31, 2013, the amounts waived were as follows:

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)

The Manager provides investment management and other services to the Subsidiaries. The Manager does not receive separate compensation from the Subsidiaries for providing investment management or administrative services. However, each Trust pays the Manager based on the Trusts’ net assets, which includes the assets of the Subsidiaries.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, with respect to each Trust. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the year ended August 31, 2013, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

	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		—

6. Purchases and Sales:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the year ended August 31, 2013 were as follows:

	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

For the year ended August 31, 2013, purchases and sales of US government securities were as follows:

	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

For the year ended August 31, 2013, purchases and sales related to mortgage dollar rolls were as follows:

	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

Transactions in options written for the year ended August 31, 2013 were as follows:

	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

7. Income Tax Information:

US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2013 attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, non-deductible expenses and net paydown losses were reclassified to the following accounts:

	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

The tax character of distributions paid during the fiscal years ended August 31, 2013 and August 31, 2012 was as follows:

		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

As of August 31, 2013, the tax components of accumulated net earnings (losses) were as follows:

	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

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.

The Trust has elected to defer certain qualified late year losses and recognize such losses in the year ended August 31, 2014.

As of August 31, 2013, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

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

Must be utilized prior to losses subject to expiration.

148

ANNUAL REPORT

AUGUST 31, 2013


Notes to Financial Statements (continued)

During the year ended August 31, 2013, the Trusts listed below utilized the following amounts of their respective capital loss carryover:

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

As of August 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

	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

8. Borrowings:

HYV, HYT, HIS, BHY and BHD were party to a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Trusts have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

	Commitment Amounts
HYV	$	213,000,000
HYT	$	222,000,000
HIS	$	63,000,000
BHY	$	24,000,000
BHD	$	52,000,000

Prior to March 1, 2013, advances were made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above 7-day, 30-day, 60-day or 90-day LIBOR.

On March 1, 2013, the SSB Agreement was renewed and amended from a 364-day revolving line of credit to a 360-day rolling facility whereby SSB may elect to terminate its commitment upon 360-days written notice to the Trusts anytime after February 24, 2014. Advances will be made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Trusts meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of August 31, 2013 are shown in the Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amounts of the borrowings approximates fair value.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2013, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

	Daily Weighted Average Interest Rate
HYV	0.95	%
HYT	0.95	%
HIS	0.95	%
BHY	0.95	%
BHD¹	0.95	%

For the year ended August 31, 2013, the daily weighted average interest rates for Trusts with borrowings, which include reverse repurchase agreements, were as follows:

	Daily Weighted Average Interest Rate
BHK	0.26	%
BNA	0.27	%
BKT¹	0.23	%

Includes treasury roll transactions.

9. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into

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.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

10. Capital Share Transactions:

BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

	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

Shares issued and outstanding remained constant during the year ended August 31, 2013 and the year ended August 31, 2012 for BNA and BKT.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend on September 30, 2013 to shareholders of record on September 16, 2013 as follows:

	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

Additionally, the Trusts declared a net investment income dividend on October 1, 2013 payable to shareholders of record on October 16, 2013 for the same amounts noted above.

On October 11, 2013, the shareholders of HYT and each HYT Target Fund approved their respective reorganization. On October 18, 2013, the Manager announced special distributions in connection with the reorganizations. HYV, HYT, HIS and BHY will pay an income distribution on November 1, 2013 to shareholders of record as of October 29, 2013 as follows:

	Distribution Per Share
HYV	$	0.185
HYT	$	0.160
HIS	$	0.040
BHY	$	0.080

On October 25, 2013, the shareholders of BHD and DSU approved its reorganization.

150

ANNUAL REPORT

AUGUST 31, 2013


Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees/Directors of
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:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust (collectively the “Funds”) as of August 31, 2013, and the related statements of operations and cash flows for the year then ended, and the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years in the five-year period then ended. We have also audited the consolidated statements of assets and liabilities, including the consolidated schedules of investments of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., (collectively with the Funds mentioned above, the “Trusts”) as of August 31, 2013, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2013, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each the years in the five-year period then ended, and the consolidated financial positions of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., as of August 31, 2013, the consolidated results of their operations and their consolidated cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and their consolidated financial highlights for each of the years in the five-year period then ended, conformity with accounting principles generally accepted in the United States of America.

As discussed in Note 1 to the financial statements, on June 5, 2013, the Board of BlackRock Corporate High Yield Fund VI, Inc. and the Board of BlackRock Corporate High Yield Fund V, Inc., BlackRock High Income Shares, and BlackRock High Yield Trust (each individually, a “Target Fund”) approved the reorganizations of each Target Fund into BlackRock Corporate High Yield Fund VI, Inc. Additionally, on July 19, 2013, the Board of BlackRock Strategic Bond Trust approved the reorganization of BlackRock Strategic Bond Trust with BlackRock Debt Strategies Fund, Inc., with BlackRock Debt Strategies Fund, Inc. continuing as the surviving fund after the reorganization. As discussed in Note 11, on October 11, 2013, the shareholders of BlackRock Corporate High Yield Fund VI, Inc. and each Target Fund approved their respective reorganization, and on October 25, 2013, the shareholders of BlackRock Strategic Bond Trust and Debt Strategies Fund, Inc. approved their respective reorganization.

Deloitte & Touche LLP
Boston, Massachusetts
October 29, 2013

ANNUAL REPORT

AUGUST 31, 2013

151


Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid by the Trusts during the fiscal year ended August 31, 2013.

	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%	—

Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.

The Trust hereby designates the percentage indicated above or the maximum amount allowable by law.

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

The Board of Directors or Trustees and as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of 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”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD” and together with BHK, HYV, HYT, HIS, BHY, BNA and BKT, each a “Fund,” and, collectively, the “Funds”) met in person on April 18, 2013 (the “April Meeting”) and June 4-5, 2013 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) among the Manager, BlackRock Financial Management, Inc. (the “Sub-Advisor”), and its Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth
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.

The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objectives, policies and restrictions; (e) the Funds’ compliance with their Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Boards requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Boards further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Funds by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper¹, as well as the investment performance of each of BHK, BNA, BKT and BHD as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees;

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)

(e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to their Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable) and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger or consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Funds. In preparation for the April Meeting, the Boards worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in its applicable Lipper category, and with respect to BHK, BNA, BKT and BHD, the investment performance of the Fund as compared with its respective custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review their methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of each of BHK, BHD and BNA noted that its respective Fund’s performance exceeded its customized benchmark during the one- and three-year periods reported, but underperformed the customized

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.

The Board of BKT noted that BKT’s performance exceeded its customized benchmark during the three- and five-year periods reported, but underperformed the customized benchmark for the one-year period. BlackRock believes that the performance relative to the customized benchmark is an appropriate performance metric for BKT. The Board of BKT and BlackRock reviewed and discussed the reasons for BKT’s underperformance during the one-year period and will monitor BKT’s performance in the coming year.

The Board of HYV noted that HYV ranked in the first, first and second quartiles against its Lipper Performance Universe for the one-, three- and five-year periods reported, respectively.

The Board of HYT noted that HYT ranked in the second quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported.

The Board of HIS noted that HIS ranked in the fourth, fourth and third quartiles against its Lipper Performance Universe for the one-, three- and five-year periods reported, respectively. The Board of HIS and BlackRock reviewed and discussed the reasons for HIS’s underperformance during these periods compared to its Lipper Performance Universe. The Board of HIS was informed that, among other things, underperformance for the one-, three and five-year periods is a result of performance in 2011 and 2012, where HIS lagged its peers. The underperformance in 2011 resulted mostly from the fourth quarter, where high yield sharply rallied following positive European news. This was a larger benefit to peers which utilized higher leverage and lower quality issues. In 2012, security selection in the metals and wireless sectors, as well as an overweight and selection in the media non-cable sector impaired performance. Also, an allocation to senior secured bank loans, which underperformed high yield, also detracted from performance.

The Board of BHY noted that BHY ranked in the third quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported. The Board of BHY and BlackRock reviewed and discussed the reasons for BHY’s underperformance during these periods compared to its Lipper Performance Universe. The Board of BHY was informed that, among other things, over these periods underperformance can mostly be attributed to 2012. BHY generally maintained a favorable view of risk throughout the year and performed well. BHY moved to a more moderate risk level heading into the second half of 2012 given the healthy run-up through the first six-months. This transition negatively impacted results in the third quarter, and ultimately the back half of the year, as risk prices remained resilient.

The Boards of HIS and BHY and BlackRock also discussed BlackRock’s strategy for improving the Funds’ performance and BlackRock’s commitment to providing the resources necessary to assist the Funds’ portfolio managers and to improve the Funds’ performance.

The Boards noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total net operating expense ratio, as well as actual management fee rate, to those of other funds in its Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2012 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Board of BHK noted that BHK’s contractual management fee rate ranked in the first quartile relative to BHK’s Expense Peers. After discussions between the Board, including the Independent Board Members, and BlackRock, the Board of BHK and BlackRock agreed to a continuation of the voluntary advisory fee reduction, which results in savings to shareholders, implemented on June 1, 2012.

ANNUAL REPORT

AUGUST 31, 2013

155


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

The Board of each of HYV and BKT noted that its respective Fund’s contractual management fee rate ranked in the first quartile relative to the Fund’s Expense Peers.

The Board of each of HYT and BHD noted that its respective Fund’s contractual management fee rate ranked in the second quartile relative to the Fund’s Expense Peers.

The Board of HIS noted that HIS’s contractual management fee rate ranked in the second quartile relative to HIS’s Expense Peers. The Board of HIS also noted that HIS has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of HIS increases above certain contractually specified levels.

The Board of BHY noted that BHY’s contractual management fee rate ranked in the third quartile relative to BHY’s Expense Peers.

The Board of BNA noted that BNA’s contractual management fee rate ranked in the third quartile relative to BNA’s Expense Peers. The Board of BNA also noted that BNA’s actual management fee rate ranked in the first quartile relative to BNA’s Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints, and in the case of HIS, revised breakpoints, in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Boards noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its advisory fee structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds
to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction rate preferred securities; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2014, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

156

ANNUAL REPORT

AUGUST 31, 2013


Automatic Dividend Reinvestment Plans

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.

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

The Annual Meeting of Shareholders was held on July 30, 2013 for shareholders of record on June 3, 2013 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class III Trustees as follows:

	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

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Paul L. Audet, Michael J. Castellano, Frank J. Fabozzi, James T. Flynn, R. Glenn Hubbard, W. Carl Kester and Karen P. Robards.

Approved the Trustees as follows:

	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

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

ANNUAL REPORT

AUGUST 31, 2013

161


Additional Information (continued)

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of dividend distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return on capital. Dividend distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

Regulation Regarding Derivatives

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if a fund markets itself as providing investment exposure to such instruments. Due to BHK, BNA and BKT’s potential use of CFTC-regulated futures, options and swaps above the prescribed levels, it will be considered a “commodity pool” under the CEA. Accordingly, BlackRock Advisors, LLC will be required to register as a “commodity pool operator” and will be subject CFTC regulation.

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s web-site is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

162

ANNUAL REPORT

AUGUST 31, 2013


Additional Information (concluded)

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

These amounts and sources of distributions reported are only estimates provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

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%

The Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Trust’s net asset value per share.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

ANNUAL REPORT

AUGUST 31, 2013

163

This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

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.

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 Income Opportunity Trust, Inc.

$61,763

$61,500

$6,600

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 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 Income Opportunity Trust, Inc.	$6,600	$6,600

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.

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 registrant is managed by a team of investment professionals comprised of Tom Musmanno, Managing Director at BlackRock, and James E. Keenan, Managing Director at BlackRock. Messrs. Musmanno and Keenan 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. Musmanno has been a member of the Fund’s portfolio management team since 2012. Mr. Keenan has been a member of the Fund’s portfolio management team since 2007.

	Portfolio Manager	Biography
	Tom Musmanno	Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.
	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.

(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
	$17.19 Billion	$10.85 Billion	$6.84 Billion	$0	$1.21 Billion	$578.7 Million
Tom Musmanno	10	10	184	0	0 $	1
	$6.1 Billion	$1.65 Billion	$46.85 Billion	$0	$0	$5.83 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. Keenan and Musmanno 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. Keenan and Musmanno 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 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

James Keenan

A combination of market-based indices (e.g., The Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

Thomas Musmanno

A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.

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. Keenan and Musmanno 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.

(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	None
Tom Musmanno	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

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 Income Opportunity Trust, Inc.

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Income Opportunity Trust, Inc.

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 Income Opportunity Trust, Inc.

Date: November 4, 2013

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Income Opportunity Trust, Inc.

Date: November 4, 2013

Symbol on New York Stock Exchange (“NYSE”)

Initial Offering Date

November 27, 2001

Current Distribution Rate on Closing Market Price as of August 31, 2013 ($12.50)¹

Current Monthly Distribution per Common Share²

Current Annualized Distribution per Common Share²

Economic Leverage as of August 31, 2013³