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 811-21318

 

Name of Fund: BlackRock Corporate High Yield Fund VI, Inc. (HYT)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Corporate High Yield Fund VI, Inc., 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 08/31/2012

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

August 31, 2012


 

 

 

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 § No Bank Guarantee § May Lose Value

 




 

 

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

110

Statements of Operations

114

Statements of Changes in Net Assets

116

Statements of Cash Flows

118

Financial Highlights

120

Notes to Financial Statements

127

Report of Independent Registered Public Accounting Firm

143

Important Tax Information

143

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

144

Automatic Dividend Reinvestment Plans

148

Officers and Trustees

149

Additional Information

152


 

 

 

 

 

 

2

ANNUAL REPORT

AUGUST 31, 2012




 

Dear Shareholder

About this time one year ago, financial markets had been upended by sovereign debt turmoil in the United States and Europe as well as growing concerns about the future of the global economy. Since then, asset prices have waxed and waned in broad strokes as investors reacted to developments in Europe’s financial situation, mixed US economic news and global central bank policy action.

After confidence crumbled in the third quarter of 2011, October brought improving economic data and more concerted efforts among European leaders toward stemming the region’s debt crisis, gradually drawing investors back to the markets. Improving sentiment carried over into early 2012 as investors felt some relief from the world’s financial woes. Volatility abated and risk assets (including stocks, commodities and high yield bonds) moved boldly higher through the first two months of 2012 while climbing Treasury yields pressured higher-quality fixed income assets.

Markets reversed course in the spring when Europe’s debt problems boiled over once again. High levels of volatility returned as political instability in Greece threatened the country’s membership in the euro zone. Spain faced severe deficit issues while the nation’s banks clamored for liquidity. Yields on Spanish and Italian government debt rose to levels deemed unsustainable. European leaders conferred and debated vehemently over the need for fiscal integration among the 17 nations comprising the euro currency bloc as a means to resolve the crisis for the long term.

Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, became particularly worrisome. In the United States, disappointing jobs reports dealt a crushing blow to sentiment. Risk assets sold off in the second quarter as investors again retreated to safe haven assets.

Despite the continuation of heightened market volatility, most asset classes enjoyed a robust summer rally. Global economic data continued to be mixed, but the spate of downside surprises seen in the second quarter began to recede and, outside of Europe, the risk of recession largely subsided. Central bank policy action has been a major driver of market sentiment in 2012. Investors’ anticipation for economic stimulus drove asset prices higher over the summer as the European Central Bank stepped up its efforts to support the region’s troubled nations and the US Federal Reserve reiterated its readiness to take action if economic conditions warrant.

On the whole, most asset classes advanced during the reporting period. US large cap stocks delivered strong returns for the 12 months ended August 31, 2012, while small cap stocks and high yield bonds also performed well. Despite the risk-asset rally in recent months, higher-quality investments including tax-exempt municipal bonds and US Treasury bonds posted exceptional gains by historical standards and outperformed investment-grade corporate bonds. International and emerging equities, however, lagged other asset classes amid ongoing global uncertainty. Near-zero short term interest rates kept yields on money market securities near their all-time lows.

We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities. We remain committed to working with you and your financial professional to identify actionable ideas for your portfolio. We encourage you to visit www.blackrock.com/newworld for more information.

 

Sincerely,

 

-s- Rob kapito

 

Rob Kapito

President, BlackRock Advisors, LLC


 

(PHOTO)

 

“We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities.”

 

Rob Kapito

President, BlackRock Advisors, LLC

 

 

Total Returns as of August 31, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

 

4.14

%

 

18.00

%

US small cap equities
(Russell 2000® Index)

 

 

0.89

 

 

13.40

 

International equities
(MSCI Europe, Australasia,
Far East Index)

 

 

(4.00

)

 

(0.04

)

Emerging market
equities (MSCI Emerging
Markets Index)

 

 

(10.51

)

 

(5.80

)

3-month Treasury bill
(BofA Merrill Lynch
3-Month US Treasury
Bill Index)

 

 

0.06

 

 

0.06

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

 

5.25

 

 

9.14

 

US investment grade
bonds (Barclays US
Aggregate Bond Index)

 

 

2.97

 

 

5.78

 

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

 

 

3.24

 

 

9.37

 

US high yield bonds
(Barclays US Corporate
High Yield 2% Issuer
Capped Index)

 

 

4.80

 

 

13.84

 


 

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

3




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Core Bond Trust

 

 

Investment Objective

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, 2012, the Trust returned 28.78% based on market price and 17.06% 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 20.04% based on market price and 14.26% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Concerns over US economic growth potential, political uncertainty and sover-eign debt problems abroad drove investors to safe assets during the majority of the reporting period. Therefore, the Trust’s increased use of leverage to purchase a broad, diversified basket of high-quality assets and an overall long duration profile proved beneficial as interest rates touched new lows during the period.

 

 

Spread sectors outperformed government-related debt for the twelve-month period as persistently low interest rates drove strong investor demand for higher-yielding assets. Spread sectors were also buoyed by supportive US and European monetary policy action as well as continued improvement in US underlying credit fundamentals. As a result, the Trust benefited from its sector allocations to high yield and investment grade corporate credit. The Trust also benefited from exposure to securitized assets such as commercial mortgage-backed securities (“CMBS”) and non-agency residential mortgage-backed securities (“MBS”). In particular, the Trust favored higher-quality multi-family CMBS, which performed well due to strong demand for rental housing.

 

 

The Trust’s duration stance modestly detracted from performance during a brief period of rising interest rates in the first quarter of 2012. However, the Trust’s longer duration at that time did not represent a tactical stance, rather it was a result of the Trust’s leveraged exposure to credit spread sectors to generate an attractive level of income. The net result of the Trust’s duration positioning remains positive for the reporting period as a whole.

 

 

 

Describe recent portfolio activity.

 

 

Investor risk aversion began to wane as the European Central Bank’s long-term refinancing operation program alleviated liquidity risk in the euro zone toward the end of 2011. The Trust increased duration to take advantage of low borrowing costs and gain additional exposure to higher-yielding credit spread sectors. Within investment grade credit, the Trust increased exposure to utilities given their attractive valuation relative to industrial names. The Trust also increased its diversified exposure to financial names in banking and insurance both in the United States and Europe. Toward period end, the Trust added exposure to European securitized credit in the form of United Kingdom residential MBS.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.

 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

4

ANNUAL REPORT

AUGUST 31, 2012




 

 

BlackRock Core Bond Trust

 

Trust Information

 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

BHK

 

Initial Offering Date

 

November 27, 2001

 

Yield on Closing Market Price as of August 31, 2012 ($15.41)1

 

 

5.68%

 

Current Monthly Distribution per Common Share2

 

$

0.073

 

Current Annualized Distribution per Common Share2

 

$

0.876

 

Economic Leverage as of August 31, 20123

 

 

31%

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

 

 

 

The table below summarizes the changes in the Trust’s market price and NAV per share:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.41

 

$

12.69

 

 

21.43

%

$

15.46

 

$

12.59

 

Net Asset Value

 

$

15.21

 

$

13.78

 

 

10.38

%

$

15.24

 

$

13.65

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond and US Government securities:

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

 

 

52

%

 

 

 

52

%

 

US Treasury Obligations

 

 

 

14

 

 

 

 

16

 

 

US Government Sponsored Agency Securities

 

 

 

13

 

 

 

 

13

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

11

 

 

 

 

12

 

 

Asset-Backed Securities

 

 

 

5

 

 

 

 

4

 

 

Taxable Municipal Bonds

 

 

 

2

 

 

 

 

1

 

 

Preferred Securities

 

 

 

2

 

 

 

 

1

 

 

Foreign Agency Obligations

 

 

 

1

 

 

 

 

1

 

 


 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

AAA/Aaa5

 

 

 

36

%

 

 

 

40

%

 

AA/Aa

 

 

 

3

 

 

 

 

8

 

 

A

 

 

 

20

 

 

 

 

17

 

 

BBB/Baa

 

 

 

23

 

 

 

 

16

 

 

BB/Ba

 

 

 

7

 

 

 

 

6

 

 

B

 

 

 

9

 

 

 

 

11

 

 

CCC/Caa

 

 

 

2

 

 

 

 

2

 

 


 

 

4

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

 

5

Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

5




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Corporate High Yield Fund V, Inc.


 

Investment Objective

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.

                      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, 2012, the Trust returned 27.88% based on market price and 17.92% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within non-captive diversified financials, consumer services and food & beverages contributed positively. The Trust’s exposure to common stock and select equity-correlated instruments also boosted returns.

 

 

Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

 

 

 

Describe recent portfolio activity.

 

 

The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 74% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks, other interests and asset-backed securities. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 30% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

6

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

BlackRock Corporate High Yield Fund V, Inc.


 

 

 

Trust Information

 

 

Symbol on NYSE

 

HYV

Initial Offering Date

 

November 30, 2001

Yield on Closing Market Price as of August 31, 2012 ($13.51)1

 

7.99%

Current Monthly Distribution per Common Share2

 

$0.09

Current Annualized Distribution per Common Share2

 

$1.08

Economic Leverage as of August 31, 20123

 

30%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents 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.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

8/31/12

8/31/11

Change

High

Low

Market Price

$ 13.51

$ 11.55

16.97%

$ 13.58

$ 10.13

Net Asset Value

$ 12.63

$ 11.71

 7.86%

$ 12.63

$ 10.91

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

75

%

 

79

%

 

Floating Rate Loan Interests

 

17

 

 

13

 

 

Common Stocks

 

6

 

 

3

 

 

Preferred Stocks

 

2

 

 

2

 

 

Other Interests

 

 

 

3

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

A

 

1

%

 

 

 

BBB/Baa

 

6

 

 

7

%

 

BB/Ba

 

35

 

 

34

 

 

B

 

43

 

 

45

 

 

CCC/Caa

 

13

 

 

11

 

 

D

 

 

 

1

 

 

Not Rated

 

2

 

 

2

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

7




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Corporate High Yield Fund VI, Inc.


 

Investment Objective

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.

                      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, 2012, the Trust returned 26.30% based on market price and 17.14% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within non-captive diversified financials, consumer services and food & beverages contributed positively. The Trust’s exposure to common stock and select equity-correlated instruments also boosted returns.

 

 

Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

 

 

 

Describe recent portfolio activity.

 

 

The 12-month period began with severe market volatility in reaction to head- winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 75% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks and other interests. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 29% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

8

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

BlackRock Corporate High Yield Fund VI, Inc.


 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

HYT

Initial Offering Date

 

May 30, 2003

Yield on Closing Market Price as of August 31, 2012 ($12.96)1

 

8.10%

Current Monthly Distribution per Common Share2

 

$0.0875

Current Annualized Distribution per Common Share2

 

$1.0500

Economic Leverage as of August 31, 20123

 

29%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

8/31/12

8/31/11

Change

High

Low

 

 

 

 

 

 

Market Price

$ 12.96

$ 11.21

15.61%

$ 13.14

$   9.95

Net Asset Value

$ 12.32

$ 11.49

 7.22%

$ 12.32

$ 10.72

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

75

%

 

79

%

 

Floating Rate Loan Interests

 

17

 

 

13

 

 

Common Stocks

 

6

 

 

3

 

 

Preferred Stocks

 

2

 

 

2

 

 

Other Interests

 

 

 

3

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

A

 

1

%

 

 

 

BBB/Baa

 

6

 

 

7

%

 

BB/Ba

 

35

 

 

35

 

 

B

 

43

 

 

45

 

 

CCC/Caa

 

14

 

 

11

 

 

D

 

 

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

9




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock High Income Shares


 

Investment Objective

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, 2012, the Trust returned 25.58% based on market price and 13.91% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Security selection among high yield bonds in the higher credit quality tiers had a positive impact on performance. From a sector perspective, selection within the non-captive diversified financials, consumer services and wireless segments contributed positively. The Trust’s exposure to preferred securities also boosted returns.

 

 

Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

 

 

 

Describe recent portfolio activity.

 

 

The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 78% of its total portfolio in corporate bonds and 18% in floating rate loan interests (bank loans), with the remainder in preferred securities and common stocks. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, retailers and restaurants. The Trust ended the period with economic leverage at 25% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

10

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

BlackRock High Income Shares


 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

HIS

Initial Offering Date

 

August 10, 1988

Yield on Closing Market Price as of August 31, 2012 ($2.40)1

 

7.60%

Current Monthly Distribution per Common Share2

 

$0.0152

Current Annualized Distribution per Common Share2

 

$0.1824

Economic Leverage as of August 31, 20123

 

25%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

8/31/12

8/31/11

Change

High

Low

Market Price

$ 2.40

$ 2.10

14.29%

$ 2.44

$ 1.81

Net Asset Value

$ 2.26

$ 2.18

 3.67%

$ 2.26

$ 2.04

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

79

%

 

83

%

 

Floating Rate Loan Interests

 

18

 

 

14

 

 

Preferred Securities

 

2

 

 

2

 

 

Common Stocks

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

A

 

1

%

 

 

 

BBB/Baa

 

7

 

 

7

%

 

BB/Ba

 

34

 

 

34

 

 

B

 

43

 

 

45

 

 

CCC/Caa

 

14

 

 

12

 

 

D

 

 

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

11




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock High Yield Trust


 

Investment Objective

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, 2012, the Trust returned 31.27% based on market price and 15.70% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within the non-captive diversified financials, consumer services and wireless segments contributed positively. The Trust’s exposure to common stock and select preferred securities also boosted returns.

 

 

Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media, automotive and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

 

 

 

Describe recent portfolio activity.

 

 

The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate. The Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 78% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks and preferred securities. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 29% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

12

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

BlackRock High Yield Trust


 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

BHY

Initial Offering Date

 

December 23, 1998

Yield on Closing Market Price as of August 31, 2012 ($8.04)1

 

6.64%

Current Monthly Distribution per Common Share2

 

$0.0445

Current Annualized Distribution per Common Share2

 

$0.5340

Economic Leverage as of August 31, 20123

 

29%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

8/31/12

8/31/11

Change

High

Low

Market Price

$ 8.04

$ 6.60

21.82%

$ 8.37

$ 5.92

Net Asset Value

$ 7.29

$ 6.79

 7.36%

$ 7.29

$ 6.36

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

78

%

 

82

%

 

Floating Rate Loan Interests

 

17

 

 

15

 

 

Common Stocks

 

3

 

 

 

 

Preferred Securities

 

2

 

 

1

 

 

Other Interests

 

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

A

 

1

%

 

 

 

BBB/Baa

 

7

 

 

8

%

 

BB/Ba

 

35

 

 

35

 

 

B

 

44

 

 

46

 

 

CCC/Caa

 

12

 

 

9

 

 

D

 

 

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

13




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Income Opportunity Trust, Inc.


 

Investment Objective

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, 2012, the Trust returned 24.92% based on market price and 16.81% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 20.04% based on market price and 14.26% based on NAV. All returns reflect reinvestment of dividends. The Trust’s slight discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

Concerns over US economic growth potential, political uncertainty and sovereign debt problems abroad drove investors to safe assets during the majority of the reporting period. Therefore, the Trust’s increased use of leverage to purchase a broad, diversified basket of high-quality assets and an overall long duration profile proved beneficial as interest rates touched new lows during the period.

 

 

Spread sectors outperformed government-related debt for the twelve-month period as persistently low interest rates drove strong investor demand for higher-yielding assets. Spread sectors were also buoyed by supportive US and European monetary policy action as well as continued improvement in US underlying credit fundamentals. As a result, the Trust benefited from its sector allocations to high yield and investment grade corporate credit. The Trust also benefited from exposure to securitized assets such as CMBS and non-agency residential MBS. In particular, the Trust favored higher-quality multi-family CMBS, which performed well due to strong demand for rental housing.

 

 

The Trust’s duration stance modestly detracted from performance during a brief period of rising interest rates in the first quarter of 2012. However, the Trust’s longer duration at that time did not represent a tactical stance, rather it was a result of the Trust’s leveraged exposure to credit spread sectors to generate an attractive level of income. The net result of the Trust’s duration positioning remains positive for the reporting period as a whole.

 

 

 

Describe recent portfolio activity.

 

 

Investor risk aversion began to wane as the European Central Bank’s long-term refinancing operation program alleviated liquidity risk in the euro zone toward the end of 2011. The Trust increased duration to take advantage of low borrowing costs and gain additional exposure to higher-yielding credit spread sectors. Within investment grade credit, the Trust increased exposure to utilities given their attractive valuation relative to industrial names. The Trust also increased its diversified exposure to financial names in banking and insurance both in the United States and Europe. Toward period end, the Trust added exposure to European securitized credit in the form of United Kingdom residential MBS.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

14

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

BlackRock Income Opportunity Trust, Inc.


 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

BNA

Initial Offering Date

 

December 20, 1991

Yield on Closing Market Price as of August 31, 2012 ($11.58)1

 

5.91%

Current Monthly Distribution per Common Share2

 

$0.057

Current Annualized Distribution per Common Share2

 

$0.684

Economic Leverage as of August 31, 20123

 

32%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

8/31/12

8/31/11

Change

High

Low

Market Price

$ 11.58

$ 9.85

17.56%

$ 11.61

$ 9.66

Net Asset Value

$ 11.84

$10.77

9.94%

$ 11.87

$ 10.68

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond and US Government securities:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

51

%

 

52

%

 

US Treasury Obligations

 

15

 

 

16

 

 

US Government Sponsored Agency Securities

 

14

 

 

13

 

 

Non-Agency Mortgage-Backed Securities

 

11

 

 

12

 

 

Asset-Backed Securities

 

4

 

 

4

 

 

Taxable Municipal Bonds

 

2

 

 

1

 

 

Preferred Securities

 

2

 

 

1

 

 

Foreign Agency Obligations

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

AAA/Aaa5

 

37

%

 

40

%

 

AA/Aa

 

3

 

 

7

 

 

A

 

19

 

 

19

 

 

BBB/Baa

 

23

 

 

16

 

 

BB/Ba

 

6

 

 

7

 

 

B

 

9

 

 

9

 

 

CCC/Caa

 

2

 

 

2

 

 

Not Rated

 

1

 

 

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

5

Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

15




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Income Trust, Inc.


 

Investment Objective

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, 2012, the Trust returned 13.19% based on market price and 6.24% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 18.47% based on market price and 13.18% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The Trust’s exposure to undervalued prepayment-sensitive interest-only agency MBS contributed positively to returns. These securities performed well as interest rates generally moved lower over the reporting period. In particular, the Trust’s holdings in this space were focused on securities that would be less impacted by potential government policy changes and were purchased at attractive levels given concerns about increasing refinance activity.

 

 

The Trust also benefited from its leveraged exposure to agency pass-through MBS, as the sector was supported by monetary policy operations and increased demand from financial institutions seeking relatively safer investments and an alternative to US Treasuries. Adding to performance was the Trust’s positioning within the agency MBS with heavier weightings in low- and high-coupon issues and limited exposure to coupons in the middle, which are most vulnerable to refinancing risk.

 

 

Detracting slightly from performance was tactical trading in anticipation of the early 2012 policy changes relating to the government’s Home Affordable Refinance Program (“HARP”). The Trust actively reduced its sensitivity to prepayment risk in advance of the policy changes; however, this defensive stance ultimately proved too early as the increase in refinancing activity resulting from the changes to HARP took longer to materialize than had been expected.

 

 

Also detracting slightly were the Trust’s interest rate hedges designed to protect the portfolio from market volatility. The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions in US Treasury futures in order to reduce the overall duration profile of the portfolio. These positions served as a drag on performance as the US Treasury market generally advanced over the period.

 

 

 

Describe recent portfolio activity.

 

 

The Trust increased its allocation to agency MBS in the fourth quarter of 2011, after spreads had widened in the space due to increased policy risk. The Trust slightly reduced these holdings after their strong performance in late 2011 and early 2012. The sales were concentrated in the lower-coupon securities, which are more likely to be extended. The Trust maintained a strong level of yield by increasing exposure to prepayment-sensitive securities. The Trust also maintained a limited exposure to CMBS and non-agency residential MBS, which have performed well primarily due to improving underlying fundamentals.

 

 

 

Describe portfolio positioning at period end.

 

 

The backdrop for agency MBS appears constructive given the impact of the Federal Reserve’s mortgage reinvestment program in curtailing net supply along with the sector’s attractive yields relative to other high-quality asset classes in a low interest rate environment. However, prepayment risk for higher-coupon agency MBS remains high and, therefore, the Trust maintains a cautious stance. As of period end, the Trust maintained exposure to high-quality agency MBS with varying maturities and coupon rates. The Trust also held small allocations to non-agency MBS and CMBS. The Trust ended the reporting period with a slightly short duration profile.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

 

 

 

 

16

ANNUAL REPORT

AUGUST 31, 2012




 

 

BlackRock Income Trust, Inc.

 

Trust Information


 

 

 

 

 

Symbol on NYSE

 

BKT

 

Initial Offering Date

 

July 22, 1988

 

Yield on Closing Market Price as of August 31, 2012 ($7.63)1

 

 

6.37%

 

Current Monthly Distribution per Common Share2

 

 

$0.0405

 

Current Annualized Distribution per Common Share2

 

 

$0.4860

 

Economic Leverage as of August 31, 20123

 

 

19%

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20.

 

 

 

The table below summarizes the changes in the Trust’s market price and NAV per share:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$ 7.63

 

$ 7.18

 

6.27% 

 

$7.73

 

$7.00

 

Net Asset Value

 

$ 7.94

 

$ 7.96

 

(0.25)%

 

$8.12

 

$7.87

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s US Government securities:

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

US Government Sponsored Agency Securities

 

 

86

%

 

 

84

%

 

US Treasury Obligations

 

 

11

 

 

 

12

 

 

Non-Agency Mortgage-Backed Securities

 

 

2

 

 

 

3

 

 

Asset-Backed Securities

 

 

1

 

 

 

1

 

 


 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

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, 2012

17




 

 

 

 

Trust Summary as of August 31, 2012

BlackRock Strategic Bond Trust


 

 

Investment Objective

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.

                      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, 2012, the Trust returned 21.58% based on market price and 15.66% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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?

 

 

Security selection among higher-quality debt instruments (including both bonds and loans) had a positive impact on the Trust’s performance. While the surge in risk assets benefited overall performance, the Trust’s tactical exposure to equity securities was particularly helpful as equities outperformed high yield bonds, bank loans and investment grade credits amid improving investor demand for riskier assets over the 12-month period. Security selection in the consumer services, non-captive diversified financials and wireless sectors boosted returns.

 

 

The Trust differs from its Lipper category competitors, which invest primarily in high yield bonds, in that the Trust also invests in floating rate loan interests (bank loans) and investment grade credits. While the Trust’s allocations to bank loans and investment grade credit did not detract from performance on an absolute basis, these asset classes underperformed high yield bonds for the period.

 

 

 

Describe recent portfolio activity.

 

 

The 12-month period began with severe market volatility in reaction to head- winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 79% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in preferred securities, common stocks and US Treasury obligations. The Trust’s largest sector exposures included non-cable media, health care and wireless. The Trust ended the period with economic leverage at 23% of its total managed assets.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

18

ANNUAL REPORT

AUGUST 31, 2012




 

 

BlackRock Strategic Bond Trust

 

Trust Information


 

 

 

 

Symbol on NYSE

 

BHD

 

Initial Offering Date

 

February 26, 2002

 

Yield on Closing Market Price as of August 31, 2012 ($14.52)1

 

6.98%

 

Current Monthly Distribution per Common Share2

 

$0.0845

 

Current Annualized Distribution per Common Share2

 

$1.0140

 

Economic Leverage as of August 31, 20123

 

23%

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

 

 

 

The table below summarizes the changes in the Trust’s market price and NAV per share:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Change

 

High

 

 

Low

 

Market Price

 

$14.52

 

$12.93

 

12.30%

 

$14.91

 

 

$11.86

 

Net Asset Value

 

$14.40

 

$13.48

 

6.82%

 

$14.40

 

 

$12.72

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond securities:

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

Corporate Bonds

 

 

 

79

%    

 

 

 

85

%   

 

Floating Rate Loan Interests

 

 

 

17

 

 

 

 

12

 

 

Preferred Securities

 

 

 

2

 

 

 

 

1

 

 

Common Stocks

 

 

 

1

 

 

 

 

 

 

US Treasury Obligations

 

 

 

1

 

 

 

 

 

 

Other Interests

 

 

 

 

 

 

 

2

 

 


 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/12

 

8/31/11

 

AA/Aa

 

 

 

1

%     

 

 

 

3

%     

 

A

 

 

 

12

 

 

 

 

13

 

 

BBB/Baa

 

 

 

21

 

 

 

 

16

 

 

BB/Ba

 

 

 

26

 

 

 

 

26

 

 

B

 

 

 

32

 

 

 

 

34

 

 

CCC/Caa

 

 

 

7

 

 

 

 

6

 

 

D

 

 

 

 

 

 

 

1

 

 

Not Rated

 

 

 

1

 

 

 

 

1

 

 

          4           Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

19




 

 

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 by borrowing through a credit facility, 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, 2012, 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

 

 

29%

 

HIS

 

 

25%

 

BHY

 

 

29%

 

BNA

 

 

32%

 

BKT

 

 

19%

 

BHD

 

 

23%

 


 

 

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 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a 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.

 

 

 

 

 

 

20

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 6.6%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC, Series 2010-3A,
Class A, 3.82%, 12/15/48 (a)

 

USD

761

 

$

795,261

 

AH Mortgage Advance Co. Ltd., Series SART-3,
Class 1A1, 2.98%, 3/13/43 (a)

 

 

630

 

 

634,369

 

AmeriCredit Automobile Receivables Trust,
Series 2011-5, Class C, 3.44%, 10/08/17

 

 

400

 

 

411,338

 

CarMax Auto Owner Trust, Series 2012-1:

 

 

 

 

 

 

 

Class B, 1.76%, 8/15/17

 

 

210

 

 

212,152

 

Class C, 2.20%, 10/16/17

 

 

125

 

 

126,840

 

Class D, 3.09%, 8/15/18

 

 

155

 

 

156,507

 

CenterPoint Energy Transition Bond Co. LLC,
Series 2012-1, Class A3, 3.03%, 10/15/25

 

 

1,105

 

 

1,197,989

 

Countrywide Asset-Backed Certificates, Series
2006-13, Class 3AV2, 0.39%, 1/25/37 (b)

 

 

1,082

 

 

826,078

 

Credit Acceptance Auto Loan Trust, Series 2010-1,
Class B, 3.63%, 10/15/18 (a)

 

 

1,980

 

 

2,000,380

 

DT Auto Owner Trust (a):

 

 

 

 

 

 

 

Series 2011-2A, Class C, 3.05%, 2/16/16

 

 

1,500

 

 

1,500,462

 

Series 2011-3A, Class C, 4.03%, 2/15/17

 

 

255

 

 

258,822

 

Ford Credit Floorplan Master Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.14%, 1/15/16 (b)

 

 

180

 

 

180,001

 

Series 2012-1, Class C, 1.74%, 1/15/16 (b)

 

 

475

 

 

475,002

 

Series 2012-1, Class D, 2.34%, 1/15/16 (b)

 

 

445

 

 

445,001

 

Series 2012-2, Class B, 2.32%, 1/15/19

 

 

245

 

 

252,208

 

Series 2012-2, Class C, 2.86%, 1/15/19

 

 

105

 

 

107,018

 

Series 2012-2, Class D, 3.50%, 1/15/19

 

 

200

 

 

203,357

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.35%, 7/25/37 (b)

 

 

70

 

 

69,203

 

Nelnet Student Loan Trust (b):

 

 

 

 

 

 

 

Series 2006-1, Class A5, 0.54%, 8/23/27

 

 

525

 

 

497,842

 

Series 2008-3, Class A4, 2.08%, 11/25/24

 

 

615

 

 

644,333

 

PFS Financing Corp., Series 2012-AA, Class A,
1.44%, 2/15/16 (a)(b)

 

 

480

 

 

481,654

 

Santander Consumer Acquired Receivables Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class B, 1.66%, 8/15/16

 

 

521

 

 

522,220

 

Series 2011-S1A, Class C, 2.01%, 8/15/16

 

 

367

 

 

365,529

 

Series 2011-S1A, Class D, 3.15%, 8/15/16

 

 

382

 

 

379,916

 

Series 2011-WO, Class C, 3.19%, 10/15/15

 

 

580

 

 

584,309

 

Santander Drive Auto Receivables Trust:

 

 

 

 

 

 

 

Series 2010-2, Class B, 2.24%, 12/15/14

 

 

860

 

 

864,475

 

Series 2010-2, Class C, 3.89%, 7/17/17

 

 

1,010

 

 

1,045,327

 

Series 2010-B, Class B, 2.10%, 9/15/14 (a)

 

 

700

 

 

702,535

 

Series 2010-B, Class C, 3.02%, 10/17/16 (a)

 

 

740

 

 

754,145

 

Series 2011-1, Class D, 4.01%, 2/15/17

 

 

940

 

 

960,565

 

Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)

 

 

270

 

 

269,363

 

Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)

 

 

293

 

 

294,267

 

Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)

 

 

693

 

 

700,253

 

Series 2012-1, Class B, 2.72%, 5/16/16

 

 

240

 

 

244,548

 

Series 2012-1, Class C, 3.78%, 11/15/17

 

 

325

 

 

335,789

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities (concluded)

 

 

 

 

 

 

 

SLM Student Loan Trust:

 

 

 

 

 

 

 

Series 2004-B, Class A2, 0.67%, 6/15/21 (b)

 

USD

192

 

$

187,341

 

Series 2008-5, Class A3, 1.75%, 1/25/18 (b)

 

 

515

 

 

527,818

 

Series 2008-5, Class A4, 2.15%, 7/25/23 (b)

 

 

615

 

 

648,802

 

Series 2012-A, Class A1, 1.64%, 8/15/25 (a)(b)

 

 

330

 

 

332,543

 

Series 2012-A, Class A2, 3.83%, 1/17/45 (a)

 

 

345

 

 

368,769

 

Series 2012-D, Class A2, 2.95%, 2/15/46 (a)

 

 

2,830

 

 

2,930,025

 

Small Business Administration, Class 1:

 

 

 

 

 

 

 

Series 2003-P10B, 5.14%, 8/10/13

 

 

178

 

 

183,913

 

Series 2004-P10B, 4.75%, 8/10/14

 

 

145

 

 

152,873

 

Structured Asset Securities Corp., Series 2002-AL1,
Class A2, 3.45%, 2/25/32

 

 

1,324

 

 

1,211,492

 

World Financial Network Credit Card Master Trust,
Series 2012-C, Class C, 4.55%, 8/15/22

 

 

1,180

 

 

1,184,931

 

 

 

 

 

 

 

27,227,565

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (a)

 

 

3,873

 

 

306,221

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

5,949

 

 

453,649

 

 

 

 

 

 

 

759,870

 

Total Asset-Backed Securities — 6.8%

 

 

 

 

 

27,987,435

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Cumulus Media, Inc., Class A

 

 

30,272

 

 

83,854

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

135

 

 

1

 

Total Common Stocks — 0.0%

 

 

 

 

 

83,855

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

United Technologies Corp. (d):

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,125

 

 

1,251,596

 

6.13%, 7/15/38

 

 

700

 

 

949,832

 

 

 

 

 

 

 

2,201,428

 

Airlines — 0.6%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 1/12/19

 

 

622

 

 

626,172

 

US Airways Pass-Through Trust, Series 2012-1,
Class C, 9.13%, 10/01/15

 

 

1,673

 

 

1,706,460

 

 

 

 

 

 

 

2,332,632

 


 

 

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

CAD

Canadian Dollar

CBA

Canadian Bankers Acceptances

DIP

Debtor-In-Possession

EBITDA

Earnings Before Interest, Taxes, Depreciation and Amortization

EUR

Euro

EURIBOR

Euro Interbank Offered Rate

FKA

Formerly Known As

FHLMC

Federal Home Loan Mortgage Corp.

GBP

British Pound

GO

General Obligation Bonds

LIBOR

London Interbank Offered Rate

RB

Revenue Bonds

TBA

To Be Announced

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

21



 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Icahn Enterprises LP (b)(e):

 

 

 

 

 

 

 

4.00%, 8/15/13

 

USD

785

 

$

785,000

 

4.00%, 8/15/13 (a)

 

 

2,335

 

 

2,335,000

 

 

 

 

 

 

 

3,120,000

 

Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA, 7.13%, 8/15/18 (a)

 

EUR

355

 

 

491,171

 

Building Products — 0.1%

 

 

 

 

 

 

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

USD

400

 

 

244,000

 

Capital Markets — 4.6%

 

 

 

 

 

 

 

CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)

 

 

2,935

 

 

3,786,338

 

E*Trade Financial Corp., 12.50%, 11/30/17 (f)

 

 

1,570

 

 

1,791,762

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

1,220

 

 

1,314,755

 

5.25%, 7/27/21

 

 

3,165

 

 

3,365,367

 

5.75%, 1/24/22

 

 

1,800

 

 

1,986,232

 

Morgan Stanley:

 

 

 

 

 

 

 

2.94%, 5/14/13 (b)

 

 

1,890

 

 

1,903,011

 

4.20%, 11/20/14

 

 

490

 

 

502,672

 

4.00%, 7/24/15

 

 

410

 

 

417,899

 

6.25%, 8/28/17

 

 

1,930

 

 

2,091,246

 

Murray Street Investment Trust I, 4.65%, 3/09/17 (g)

 

 

1,650

 

 

1,722,267

 

 

 

 

 

 

 

18,881,549

 

Chemicals — 0.5%

 

 

 

 

 

 

 

The Dow Chemical Co., 4.13%, 11/15/21

 

 

350

 

 

383,209

 

INEOS Finance Plc, 8.38%, 2/15/19 (a)

 

 

265

 

 

278,912

 

Tronox Finance LLC, 6.38%, 8/15/20 (a)

 

 

1,285

 

 

1,297,850

 

 

 

 

 

 

 

1,959,971

 

Commercial Banks — 3.8%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (a)

 

 

88

 

 

88,447

 

7.00%, 5/02/17 (a)

 

 

347

 

 

347,787

 

5.38%, 5/15/20

 

 

1,650

 

 

1,718,063

 

5.00%, 8/15/22

 

 

440

 

 

443,333

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands, 3.88%, 2/08/22 (d)

 

 

1,390

 

 

1,447,629

 

Depfa ACS Bank, 5.13%, 3/16/37 (a)

 

 

3,775

 

 

2,633,063

 

Discover Bank, 8.70%, 11/18/19

 

 

250

 

 

316,369

 

Eksportfinans ASA, 5.50%, 6/26/17

 

 

950

 

 

964,483

 

HSBC Bank Brasil SA — Banco Multiplo, 4.00%,
5/11/16 (a)

 

 

1,400

 

 

1,435,000

 

HSBC Bank Plc, 3.10%, 5/24/16 (a)(d)

 

 

700

 

 

733,718

 

HSBC Holdings Plc, 6.10%, 1/14/42 (d)

 

 

305

 

 

408,114

 

Wachovia Corp., 5.25%, 8/01/14 (d)

 

 

3,425

 

 

3,684,598

 

Wells Fargo & Co., 3.50%, 3/08/22 (d)

 

 

1,390

 

 

1,481,235

 

 

 

 

 

 

 

15,701,839

 

Commercial Services & Supplies — 0.2%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

18

 

 

18,450

 

Clean Harbors, Inc., 5.25%, 8/01/20 (a)

 

 

391

 

 

401,264

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

320

 

 

343,200

 

 

 

 

 

 

 

762,914

 

Communications Equipment — 1.2%

 

 

 

 

 

 

 

ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)

 

 

4,330

 

 

4,421,623

 

Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20

 

 

640

 

 

680,000

 

 

 

 

 

 

 

5,101,623

 

Construction & Engineering — 0.3%

 

 

 

 

 

 

 

ABB Finance USA, Inc., 4.38%, 5/08/42

 

 

192

 

 

216,826

 

URS Corp., 5.00%, 4/01/22 (a)

 

 

975

 

 

988,641

 

 

 

 

 

 

 

1,205,467

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

HD Supply, Inc., 8.13%, 4/15/19 (a)

 

USD

570

 

$

618,450

 

Lafarge SA, 7.13%, 7/15/36

 

 

135

 

 

137,025

 

 

 

 

 

 

 

755,475

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC, 8.13%, 1/15/20

 

 

1,265

 

 

1,566,267

 

SLM Corp.:

 

 

 

 

 

 

 

6.25%, 1/25/16

 

 

661

 

 

707,270

 

Series A, 0.75%, 1/27/14 (b)

 

 

550

 

 

533,218

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

345

 

 

376,071

 

 

 

 

 

 

 

3,182,826

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (a):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

425

 

 

565,303

 

7.38%, 10/15/17

 

USD

200

 

 

214,250

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

725

 

 

975,738

 

7.75%, 11/15/19

 

 

410

 

 

564,689

 

 

 

 

 

 

 

2,319,980

 

Diversified Financial Services — 8.5%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

1,500

 

 

1,665,000

 

5.50%, 2/15/17

 

 

1,500

 

 

1,560,162

 

6.25%, 12/01/17

 

 

160

 

 

172,881

 

8.00%, 3/15/20

 

 

560

 

 

655,200

 

8.00%, 11/01/31

 

 

320

 

 

378,400

 

Bank of America Corp., 5.63%, 7/01/20

 

 

1,100

 

 

1,219,567

 

Capital One Financial Corp., 4.75%, 7/15/21

 

 

960

 

 

1,076,944

 

Citigroup, Inc.:

 

 

 

 

 

 

 

5.00%, 9/15/14

 

 

285

 

 

298,130

 

4.59%, 12/15/15

 

 

6,390

 

 

6,874,892

 

General Electric Capital Corp. (d):

 

 

 

 

 

 

 

6.15%, 8/07/37

 

 

2,150

 

 

2,696,212

 

6.88%, 1/10/39

 

 

135

 

 

184,515

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

7.90% (b)(h)

 

 

3,500

 

 

3,915,240

 

3.70%, 1/20/15 (d)

 

 

3,425

 

 

3,633,497

 

6.30%, 4/23/19 (d)

 

 

2,000

 

 

2,440,872

 

JPMorgan Chase Bank NA, Series BKNT, 6.00%,
10/01/17 (d)

 

 

2,050

 

 

2,413,529

 

Moody’s Corp., 4.50%, 9/01/22

 

 

900

 

 

935,853

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

550

 

 

714,273

 

7.88%, 8/15/19

 

USD

560

 

 

623,000

 

6.88%, 2/15/21

 

 

680

 

 

736,100

 

Spirit Issuer Plc, 5.86%, 12/28/21

 

GBP

1,620

 

 

2,115,732

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16 (c)

 

USD

160

 

 

174,800

 

11.50%, 10/01/18

 

 

562

 

 

616,795

 

 

 

 

 

 

 

35,101,594

 

Diversified Telecommunication Services — 2.6%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

698

 

 

731,155

 

8.63%, 7/15/20 (c)

 

 

650

 

 

695,500

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

1,091,125

 

6.00%, 9/30/34

 

 

1,550

 

 

1,271,000

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

3.50%, 11/01/21

 

 

500

 

 

550,038

 

6.40%, 2/15/38

 

 

3,483

 

 

4,675,635

 

8.95%, 3/01/39

 

 

900

 

 

1,569,185

 

Windstream Corp., 7.88%, 11/01/17

 

 

40

 

 

43,500

 

 

 

 

 

 

 

10,627,138

 


 

 

 

 

See Notes to Financial Statements.

       

 

22

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Electric Utilities — 6.2%

 

 

 

 

 

 

 

The Cleveland Electric Illuminating Co.:

 

 

 

 

 

 

 

8.88%, 11/15/18

 

USD

121

 

$

164,273

 

5.95%, 12/15/36

 

 

217

 

 

255,413

 

CMS Energy Corp., 5.05%, 3/15/22

 

 

915

 

 

991,672

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

417,845

 

6.00%, 1/15/38 (d)

 

 

825

 

 

1,107,723

 

4.25%, 12/15/41 (d)

 

 

375

 

 

410,460

 

E.ON International Finance BV, 6.65%, 4/30/38 (a)

 

 

1,525

 

 

2,082,284

 

EDF SA, 5.60%, 1/27/40 (a)(d)

 

 

1,400

 

 

1,565,707

 

Florida Power Corp. (d):

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,836,235

 

6.40%, 6/15/38

 

 

430

 

 

604,018

 

Hydro-Quebec (d):

 

 

 

 

 

 

 

8.40%, 1/15/22

 

 

730

 

 

1,059,806

 

8.05%, 7/07/24

 

 

1,900

 

 

2,832,484

 

Jersey Central Power & Light Co., 7.35%, 2/01/19

 

 

245

 

 

313,857

 

Nisource Finance Corp.:

 

 

 

 

 

 

 

6.40%, 3/15/18

 

 

280

 

 

335,129

 

5.25%, 2/15/43

 

 

500

 

 

552,707

 

Ohio Power Co., Series D, 6.60%, 3/01/33

 

 

1,500

 

 

1,974,781

 

PacifiCorp., 6.25%, 10/15/37 (d)

 

 

575

 

 

805,489

 

Public Service Co. of Colorado, 6.25%, 9/01/37 (d)

 

 

1,200

 

 

1,732,027

 

Southern California Edison Co. (d):

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

821,994

 

Series 08-A, 5.95%, 2/01/38

 

 

1,075

 

 

1,478,330

 

Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 (d)

 

EUR

1,000

 

 

1,251,888

 

Virginia Electric and Power Co., Series A, 6.00%,
5/15/37 (d)

 

USD

2,000

 

 

2,769,718

 

 

 

 

 

 

 

25,363,840

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d)

 

 

565

 

 

553,700

 

Ensco Plc:

 

 

 

 

 

 

 

3.25%, 3/15/16

 

 

160

 

 

170,795

 

4.70%, 3/15/21

 

 

1,745

 

 

1,958,024

 

FTS International Services LLC/FTS International
Bonds, Inc., 8.13%, 11/15/18 (a)

 

 

1,110

 

 

1,146,075

 

Noble Holding International Ltd., 5.25%, 3/15/42

 

 

350

 

 

375,470

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

2,600

 

 

2,645,500

 

Transocean, Inc.:

 

 

 

 

 

 

 

5.05%, 12/15/16

 

 

850

 

 

941,480

 

6.50%, 11/15/20

 

 

350

 

 

418,359

 

 

 

 

 

 

 

8,209,403

 

Food Products — 1.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

335

 

 

379,388

 

Kraft Foods Group, Inc. (a):

 

 

 

 

 

 

 

5.38%, 2/10/20

 

 

1,570

 

 

1,876,338

 

5.00%, 6/04/42

 

 

997

 

 

1,134,085

 

Kraft Foods, Inc., 5.38%, 2/10/20

 

 

1,430

 

 

1,718,691

 

 

 

 

 

 

 

5,108,502

 

Gas Utilities — 0.5%

 

 

 

 

 

 

 

CenterPoint Energy Resources Corp., 5.85%, 1/15/41

 

 

1,600

 

 

2,014,216

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

Boston Scientific Corp., 6.25%, 11/15/15

 

 

1,251

 

 

1,416,920

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

166

 

 

173,263

 

7.75%, 4/15/18

 

 

735

 

 

672,525

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (a)

 

 

152

 

 

170,430

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

385

 

 

411,950

 

 

 

 

 

 

 

2,845,088

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services — 2.5%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

USD

175

 

$

182,000

 

CHS/Community Health Systems, Inc., 5.13%,
8/15/18

 

 

400

 

 

412,500

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)

 

EUR

494

 

 

664,848

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

USD

2,115

 

 

2,323,856

 

7.88%, 2/15/20

 

 

135

 

 

150,694

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,000

 

 

953,750

 

INC Research LLC, 11.50%, 7/15/19 (a)

 

 

545

 

 

534,100

 

inVentiv Health, Inc. (a):

 

 

 

 

 

 

 

10.00%, 8/15/18

 

 

40

 

 

33,700

 

10.25%, 8/15/18

 

 

155

 

 

130,588

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

805

 

 

887,512

 

Symbion, Inc., 8.00%, 6/15/16

 

 

455

 

 

459,834

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

200

 

 

230,000

 

8.88%, 7/01/19

 

 

1,150

 

 

1,308,125

 

UnitedHealth Group, Inc., 2.88%, 3/15/22

 

 

2,000

 

 

2,049,750

 

 

 

 

 

 

 

10,321,257

 

Health Care Technology — 0.6%

 

 

 

 

 

 

 

Amgen, Inc. (d):

 

 

 

 

 

 

 

6.40%, 2/01/39

 

 

750

 

 

931,504

 

5.15%, 11/15/41

 

 

1,500

 

 

1,637,571

 

 

 

 

 

 

 

2,569,075

 

Hotels, Restaurants & Leisure — 0.1%

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (a)

 

 

180

 

 

175,500

 

MGM Resorts International, 11.13%, 11/15/17

 

 

265

 

 

294,812

 

 

 

 

 

 

 

470,312

 

Household Durables — 0.8%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)

 

 

580

 

 

593,050

 

Standard Pacific Corp., 10.75%, 9/15/16

 

 

2,100

 

 

2,535,750

 

 

 

 

 

 

 

3,128,800

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (a)

 

EUR

190

 

 

242,567

 

Independent Power Producers &
Energy Traders — 0.6%

 

 

 

 

 

 

 

Calpine Corp., 7.50%, 2/15/21 (a)

 

USD

175

 

 

194,250

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

1,100

 

 

1,212,750

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

922

 

 

1,034,945

 

 

 

 

 

 

 

2,441,945

 

Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

The ADT Corp., 4.88%, 7/15/42 (a)

 

 

539

 

 

586,299

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

724,500

 

13.50%, 12/01/15

 

 

1,940

 

 

2,056,816

 

 

 

 

 

 

 

3,367,615

 

Insurance — 4.2%

 

 

 

 

 

 

 

Allianz Finance II BV, 5.75%, 7/08/41 (b)

 

EUR

500

 

 

607,993

 

American International Group, Inc.:

 

 

 

 

 

 

 

3.80%, 3/22/17 (d)

 

USD

5,580

 

 

5,905,504

 

5.45%, 5/18/17

 

 

800

 

 

898,870

 

AXA SA, 5.25%, 4/16/40 (b)

 

EUR

250

 

 

267,714

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

USD

478

 

 

522,812

 

Hartford Financial Services Group, Inc.:

 

 

 

 

 

 

 

6.00%, 1/15/19

 

 

345

 

 

383,954

 

5.13%, 4/15/22

 

 

930

 

 

999,523

 

Hartford Life Global Funding Trusts, 0.65%,
6/16/14 (b)

 

 

425

 

 

417,983

 

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)

 

 

1,000

 

 

1,085,395

 

Lincoln National Corp., 6.25%, 2/15/20

 

 

630

 

 

730,900

 

Manulife Financial Corp., 3.40%, 9/17/15

 

 

1,630

 

 

1,698,092

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

23




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Insurance (concluded)

 

 

 

 

 

 

 

Metropolitan Life Global Funding I, 5.13%,
6/10/14 (a)(d)

 

USD

775

 

$

833,093

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

 

 

340

 

 

304,300

 

Muenchener Rueckversicherungs AG, 6.00%,
5/26/41 (b)

 

EUR

200

 

 

264,289

 

Prudential Financial, Inc. (d):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

USD

250

 

 

314,632

 

5.38%, 6/21/20

 

 

250

 

 

288,865

 

4.50%, 11/15/20

 

 

450

 

 

491,098

 

5.70%, 12/14/36

 

 

675

 

 

748,348

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

564,306

 

 

 

 

 

 

 

17,327,671

 

IT Services — 0.9%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

775

 

 

800,187

 

8.25%, 1/15/21

 

 

75

 

 

74,344

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

1,080

 

 

1,147,500

 

7.63%, 11/15/20

 

 

1,730

 

 

1,855,425

 

 

 

 

 

 

 

3,877,456

 

Machinery — 0.3%

 

 

 

 

 

 

 

UR Merger Sub Corp. (a):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

194

 

 

205,155

 

7.38%, 5/15/20

 

 

495

 

 

524,700

 

7.63%, 4/15/22

 

 

452

 

 

488,160

 

 

 

 

 

 

 

1,218,015

 

Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)

 

 

1,050

 

 

1,241,625

 

Media — 8.9%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,045

 

 

747,175

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

320

 

 

362,400

 

CCH II LLC, 13.50%, 11/30/16

 

 

2,300

 

 

2,518,912

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

548

 

 

469,910

 

Clear Channel Worldwide Holdings, Inc., Series B,
9.25%, 12/15/17

 

 

2,172

 

 

2,359,335

 

Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22

 

 

600

 

 

895,988

 

Comcast Corp., 6.45%, 3/15/37

 

 

790

 

 

1,019,199

 

Cox Communications, Inc., 8.38%, 3/01/39 (a)

 

 

1,740

 

 

2,625,669

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

983

 

 

983,563

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,124

 

 

1,124,495

 

Shares Loan, 12.00%, 8/15/18

 

 

1,159

 

 

1,159,750

 

DIRECTV Holdings LLC:

 

 

 

 

 

 

 

6.38%, 3/01/41

 

 

260

 

 

306,570

 

5.15%, 3/15/42

 

 

2,100

 

 

2,142,745

 

Intelsat Jackson Holdings SA, 11.25%, 6/15/16

 

 

261

 

 

274,702

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

750

 

 

787,500

 

11.50%, 2/04/17 (f)

 

 

415

 

 

435,750

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,330

 

 

1,499,575

 

NBC Universal Media LLC:

 

 

 

 

 

 

 

5.15%, 4/30/20

 

 

1,983

 

 

2,340,420

 

4.38%, 4/01/21

 

 

1,015

 

 

1,145,763

 

The New York Times Co., 6.63%, 12/15/16

 

 

1,800

 

 

1,953,000

 

News America, Inc., 7.63%, 11/30/28

 

 

385

 

 

490,562

 

Omnicom Group, Inc., 3.63%, 5/01/22

 

 

2,355

 

 

2,469,022

 

TCI Communications, Inc., 7.88%, 2/15/26

 

 

610

 

 

856,883

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

7.30%, 7/01/38

 

 

930

 

 

1,269,028

 

5.88%, 11/15/40

 

 

465

 

 

551,719

 

5.50%, 9/01/41

 

 

920

 

 

1,041,084

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Time Warner, Inc.:

 

 

 

 

 

 

 

4.70%, 1/15/21

 

USD

350

 

$

401,432

 

6.10%, 7/15/40

 

 

215

 

 

262,355

 

Unitymedia Hessen GmbH & Co. KG, 8.13%,
12/01/17 (a)

 

 

2,822

 

 

3,054,815

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

 

525

 

 

572,250

 

Ziggo Finance BV, 6.13%, 11/15/17 (a)

 

EUR

263

 

 

353,130

 

 

 

 

 

 

 

36,474,701

 

Metals & Mining — 3.6%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21

 

USD

1,450

 

 

1,497,052

 

Barrick Gold Corp., 2.90%, 5/30/16

 

 

1,690

 

 

1,778,590

 

Corp. Nacional del Cobre de Chile, 3.00%,
7/17/22 (a)(d)

 

 

1,565

 

 

1,572,689

 

Falconbridge Ltd., 6.20%, 6/15/35

 

 

1,250

 

 

1,342,866

 

Freeport-McMoRan Copper & Gold, Inc., 3.55%,
3/01/22

 

 

540

 

 

536,471

 

New Gold, Inc., 7.00%, 4/15/20 (a)

 

 

105

 

 

110,513

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

215

 

 

269,075

 

Newcrest Finance Property Ltd., 4.45%,
11/15/21 (a)

 

USD

475

 

 

492,688

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,120

 

 

4,604,100

 

Teck Resources Ltd., 5.38%, 10/01/15

 

 

2,359

 

 

2,593,145

 

 

 

 

 

 

 

14,797,189

 

Oil, Gas & Consumable Fuels — 10.1%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

400

 

 

415,000

 

Anadarko Petroleum Corp., 5.95%, 9/15/16

 

 

1,916

 

 

2,215,632

 

BP Capital Markets Plc, 3.13%, 10/01/15 (d)

 

 

330

 

 

352,977

 

Burlington Resources Finance Co., 7.40%,
12/01/31 (d)

 

 

875

 

 

1,268,935

 

Cenovus Energy, Inc., 6.75%, 11/15/39

 

 

750

 

 

1,006,300

 

ConocoPhillips Canada Funding Co., 5.95%,

 

 

 

 

 

 

 

10/15/36 (d)

 

 

535

 

 

705,668

 

Continental Resources, Inc., 5.00%, 9/15/22

 

 

580

 

 

606,100

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

130

 

 

138,775

 

Devon Energy Corp., 7.95%, 4/15/32

 

 

625

 

 

930,858

 

El Paso Natural Gas Co., LLC, 8.38%, 6/15/32

 

 

275

 

 

385,590

 

El Paso Pipeline Partners Operating Co. LLC,
6.50%, 4/01/20

 

 

240

 

 

282,929

 

Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17

 

 

540

 

 

602,100

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

4.05%, 2/15/22

 

 

1,250

 

 

1,364,512

 

6.13%, 10/15/39

 

 

700

 

 

831,755

 

5.95%, 2/01/41

 

 

500

 

 

592,378

 

Series L, 6.30%, 9/15/17

 

 

575

 

 

695,825

 

KeySpan Gas East Corp., 5.82%, 4/01/41 (a)

 

 

505

 

 

674,554

 

Kinder Morgan Energy Partners LP:

 

 

 

 

 

 

 

5.95%, 2/15/18

 

 

1,300

 

 

1,546,067

 

6.50%, 9/01/39

 

 

3,000

 

 

3,598,422

 

6.55%, 9/15/40

 

 

110

 

 

133,704

 

6.38%, 3/01/41

 

 

150

 

 

180,703

 

5.00%, 8/15/42

 

 

500

 

 

514,300

 

Linn Energy LLC, 6.25%, 11/01/19 (a)

 

 

590

 

 

582,625

 

Marathon Petroleum Corp., 6.50%, 3/01/41

 

 

997

 

 

1,216,325

 

MarkWest Energy Partners LP, 5.50%, 2/15/23

 

 

160

 

 

163,600

 

MidAmerican Energy Co., 5.80%, 10/15/36

 

 

700

 

 

924,140

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

1,034,760

 

6.50%, 9/15/37

 

 

1,900

 

 

2,592,064

 

Newfield Exploration Co., 5.63%, 7/01/24

 

 

850

 

 

922,250

 

Nexen, Inc., 7.50%, 7/30/39

 

 

1,000

 

 

1,400,190

 

Offshore Group Investment Ltd., 11.50%,
8/01/15 (a)

 

 

360

 

 

397,800

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,340

 

 

1,406,846

 

5.75%, 1/20/20

 

 

1,725

 

 

1,943,916

 


 

 

 

 

See Notes to Financial Statements.

       

 

24

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Pioneer Natural Resources Co., 3.95%, 7/15/22

 

USD

350

 

$

364,140

 

Premier Oil Plc, 5.00%, 6/09/18

 

 

1,900

 

 

1,957,000

 

Range Resources Corp., 5.75%, 6/01/21

 

 

935

 

 

994,606

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

890

 

 

952,300

 

SandRidge Energy, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/15/21

 

 

275

 

 

278,438

 

7.50%, 2/15/23

 

 

230

 

 

231,150

 

Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17

 

 

1,040

 

 

1,276,522

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

710

 

 

788,547

 

The Williams Cos., Inc., Series A, 7.50%, 1/15/31

 

 

2,500

 

 

3,134,485

 

 

 

 

 

 

 

41,604,788

 

Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

180

 

 

199,350

 

8.00%, 4/01/20

 

 

155

 

 

171,275

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

620

 

 

692,850

 

Domtar Corp., 6.25%, 9/01/42

 

 

2,000

 

 

2,067,086

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

75

 

 

97,579

 

4.75%, 2/15/22

 

 

420

 

 

472,491

 

6.00%, 11/15/41

 

 

435

 

 

518,358

 

NewPage Corp., 11.38%, 12/31/14 (c)(i)

 

 

430

 

 

291,325

 

 

 

 

 

 

 

4,510,314

 

Pharmaceuticals — 0.2%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

 

EUR

200

 

 

281,118

 

Pharmaceutical Product Development, Inc.,
9.50%, 12/01/19 (a)

 

USD

520

 

 

579,800

 

 

 

 

 

 

 

860,918

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

Simon Property Group LP, 4.75%, 3/15/42

 

 

835

 

 

919,518

 

Ventas Realty LP/Ventas Capital Corp., 4.75%,

 

 

 

 

 

 

 

6/01/21

 

 

275

 

 

301,910

 

Vornado Realty LP, 5.00%, 1/15/22

 

 

1,185

 

 

1,294,881

 

 

 

 

 

 

 

2,516,309

 

Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Punch Taverns Finance Plc, Series A2R, 6.82%,
7/15/20

 

GBP

739

 

 

1,091,578

 

Realogy Corp. (a)(d):

 

 

 

 

 

 

 

7.88%, 2/15/19

 

USD

374

 

 

385,220

 

7.63%, 1/15/20

 

 

520

 

 

566,800

 

WEA Finance LLC, 4.63%, 5/10/21 (a)

 

 

305

 

 

331,379

 

 

 

 

 

 

 

2,374,977

 

Road & Rail — 0.5%

 

 

 

 

 

 

 

Burlington Northern Santa Fe LLC, 5.75%, 5/01/40

 

 

950

 

 

1,177,384

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

490

 

 

514,500

 

The Hertz Corp., 7.38%, 1/15/21

 

 

545

 

 

592,688

 

 

 

 

 

 

 

2,284,572

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

390

 

 

380,250

 

Software — 0.5%

 

 

 

 

 

 

 

Nuance Communications, Inc., 5.38%, 8/15/20 (a)

 

 

885

 

 

904,912

 

Oracle Corp., 5.38%, 7/15/40 (d)

 

 

775

 

 

993,561

 

 

 

 

 

 

 

1,898,473

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail — 0.5%

 

 

 

 

 

 

 

The Home Depot, Inc., 5.88%, 12/16/36

 

USD

830

 

$

1,105,109

 

QVC, Inc. (a):

 

 

 

 

 

 

 

7.50%, 10/01/19

 

 

85

 

 

94,181

 

7.38%, 10/15/20

 

 

35

 

 

39,000

 

5.13%, 7/02/22

 

 

965

 

 

1,011,458

 

 

 

 

 

 

 

2,249,748

 

Thrifts & Mortgage Finance — 0.2%

 

 

 

 

 

 

 

Radian Group, Inc., 5.38%, 6/15/15

 

 

1,400

 

 

1,053,500

 

Tobacco — 0.9%

 

 

 

 

 

 

 

Altria Group, Inc.:

 

 

 

 

 

 

 

9.95%, 11/10/38

 

 

800

 

 

1,366,269

 

10.20%, 2/06/39

 

 

1,388

 

 

2,419,040

 

 

 

 

 

 

 

3,785,309

 

Wireless Telecommunication Services — 2.0%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%, 9/08/16

 

 

795

 

 

825,533

 

Crown Castle Towers LLC, 6.11%, 1/15/20 (a)

 

 

1,560

 

 

1,844,996

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

560

 

 

565,600

 

8.25%, 9/01/17

 

 

150

 

 

159,000

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

750

 

 

776,250

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

 

1,150

 

 

1,668,734

 

SBA Tower Trust, 5.10%, 4/17/17 (a)

 

 

360

 

 

401,457

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

595

 

 

538,475

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

530

 

 

625,400

 

7.00%, 3/01/20

 

 

770

 

 

843,150

 

 

 

 

 

 

 

8,248,595

 

Total Corporate Bonds — 77.0%

 

 

 

 

 

316,776,637

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Deutsche Bundesrepublik Inflation Linked Bond,
1.75%, 4/15/20

 

EUR

3,290

 

 

4,910,866

 

Hydro-Quebec, 9.40%, 2/01/21 (d)

 

USD

390

 

 

587,925

 

Italy Government International Bond, 5.38%,
6/15/33

 

 

455

 

 

410,637

 

Kreditanstalt fuer Wiederaufbau, 1.38%,
7/15/13 (d)

 

 

660

 

 

665,874

 

Total Foreign Agency Obligations — 1.6%

 

 

 

 

 

6,575,302

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 2.7%

 

 

 

 

 

 

 

Banc of America Funding Corp., Series 2007-2,
Class 1A2, 6.00%, 3/25/37

 

 

1,048

 

 

870,264

 

Bear Stearns Adjustable Rate Mortgage Trust,
Series 2004-8, Class 14A1, 5.35%, 11/25/34 (b)

 

 

358

 

 

323,844

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class 1A15, 5.50%,
12/25/35

 

 

1,444

 

 

1,234,452

 

Series 2006-OA21, Class A1, 0.43%,
3/20/47 (b)

 

 

788

 

 

432,579

 

Series 2007-HY4, Class 4A1, 5.18%, 6/25/47

 

 

771

 

 

569,288

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-OA5, Class 2A1, 0.44%, 4/25/46 (b)

 

 

321

 

 

192,889

 

Series 2007-10, Class A22, 6.00%, 7/25/37

 

 

612

 

 

507,650

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-12, Class 6A1, 6.00%, 1/25/36

 

 

799

 

 

629,417

 

Credit Suisse Mortgage Capital Certificates,
Series 2011-2R, Class 2A1, 2.62%, 7/27/36 (a)(b)

 

 

1,254

 

 

1,217,173

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

25




 

 

 

 

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)

 

 

 

 

 

 

 

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3,
Class 5A1, 5.08%, 6/19/35 (b)

 

USD

1,038

 

$

1,026,395

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2006-4F, Class 1A1, 5.00%, 5/25/36

 

 

576

 

 

535,706

 

Series 2007-4F, Class 3A1, 6.00%, 7/25/37

 

 

721

 

 

657,467

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.42%, 12/25/36 (b)

 

 

599

 

 

414,442

 

IndyMac IMJA Mortgage Loan Trust, Series 2007-A1,
Class A4, 6.00%, 8/25/37

 

 

874

 

 

729,924

 

JPMorgan Mortgage Trust, Series 2006-S3,
Class 1A12, 6.50%, 8/25/36

 

 

290

 

 

269,881

 

Merrill Lynch Mortgage Investors, Inc.,
Series 2006-A3, Class 3A1, 2.94%, 5/25/36 (b)

 

 

672

 

 

465,401

 

Monastery BV, Series 2004-I, Class A2, 1.00%,
3/17/37 (b)

 

EUR

1,020

 

 

986,507

 

Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-10, Class 1A21, 6.00%, 7/25/37

 

USD

48

 

 

45,962

 

 

 

 

 

 

 

11,109,241

 

Commercial Mortgage-Backed Securities — 12.1%

 

 

 

 

 

 

 

Banc of America Merrill Lynch Commercial
Mortgage, Inc., Class A4:

 

 

 

 

 

 

 

Series 2007-1, 5.45%, 1/15/49

 

 

500

 

 

572,826

 

Series 2007-2, 5.80%, 4/10/49 (b)

 

 

750

 

 

869,145

 

Bear Stearns Commercial Mortgage Securities,
Series 2005-PWR9, Class A4A, 4.87%, 9/11/42

 

 

800

 

 

885,825

 

Citigroup Commercial Mortgage Trust,
Series 2008-C7, Class A4, 6.26%, 12/10/49 (b)

 

 

1,370

 

 

1,622,732

 

Citigroup/Deutsche Bank Commercial Mortgage Trust,
Series 2006-CD3, Class AM, 5.65%, 10/15/48

 

 

1,093

 

 

1,147,290

 

Commercial Mortgage Pass-Through Certificates,
Series 2006-C7, Class AM, 5.96%, 6/10/46 (b)

 

 

1,750

 

 

1,851,882

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-C3, Class AJ, 4.77%, 7/15/37

 

 

705

 

 

698,888

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C3, Class AM, 6.01%, 6/15/38 (b)

 

 

1,000

 

 

1,080,596

 

Series 2006-C5, Class AM, 5.34%, 12/15/39

 

 

1,750

 

 

1,780,426

 

Series 2010-RR2, Class 2A, 5.96%,
9/15/39 (a)(b)

 

 

1,010

 

 

1,144,527

 

DBRR Trust, Series 2011-C32, Class A3A, 5.93%,
6/17/49 (a)(b)

 

 

365

 

 

419,450

 

Extended Stay America Trust, Series 2010-ESHA (a):

 

 

 

 

 

 

 

Class A, 2.95%, 11/05/27

 

 

484

 

 

487,693

 

Class B, 4.22%, 11/05/27

 

 

2,000

 

 

2,027,044

 

Class D, 5.50%, 11/05/27

 

 

210

 

 

213,237

 

GMAC Commercial Mortgage Securities, Inc.,
Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

662

 

 

663,476

 

Greenwich Capital Commercial Funding Corp.,
Class A4:

 

 

 

 

 

 

 

Series 2006-GG7, 6.07%, 7/10/38 (b)

 

 

1,165

 

 

1,344,863

 

Series 2007-GG9, 5.44%, 3/10/39

 

 

2,190

 

 

2,478,890

 

GS Mortgage Securities Corp. II, Series 2007-GG10,
Class A4, 5.98%, 8/10/45 (b)

 

 

435

 

 

492,110

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2004-CB8, Class A1A, 4.16%,
1/12/39 (a)

 

 

2,276

 

 

2,348,267

 

Series 2004-LN2, Class A2, 5.12%, 7/15/41

 

 

820

 

 

870,986

 

Series 2006-CB14, Class AM, 5.64%,
12/12/44 (b)

 

 

330

 

 

340,388

 

Series 2006-CB16, Class AJ, 5.62%, 5/12/45

 

 

730

 

 

622,873

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Commercial Mortgage-Backed Securities
(concluded)

 

 

 

 

 

 

 

LB-UBS Commercial Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-C8, Class C, 4.93%, 12/15/39

 

USD

1,385

 

$

1,461,171

 

Series 2007-C6, Class A4, 5.86%, 7/15/40

 

 

5,201

 

 

6,077,072

 

Series 2007-C7, Class A3, 5.87%, 9/15/45

 

 

1,460

 

 

1,722,822

 

Merrill Lynch Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-BPC1, Class A3, 4.47%, 10/12/41

 

 

15

 

 

15,280

 

Series 2004-KEY2, Class A4, 4.86%, 8/12/39

 

 

1,000

 

 

1,079,590

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 2004-HQ4, Class A7, 4.97%, 4/14/40

 

 

1,000

 

 

1,059,938

 

Series 2007-HQ11, Class A4, 5.45%,
2/12/44 (b)

 

 

4,000

 

 

4,593,504

 

Series 2007-XLC1, Class A2, 0.56%, 7/17/17

 

 

544

 

 

511,457

 

Morgan Stanley Re-Remic Trust, Series 2011-IO,
Class A, 2.50%, 3/23/51 (a)

 

 

831

 

 

837,156

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-C28, Class A2, 5.50%, 10/15/48

 

 

4,391

 

 

4,402,438

 

Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)

 

 

2,185

 

 

2,542,977

 

WF-RBS Commercial Mortgage Trust, Class 2012-C8,
Class B:

 

 

 

 

 

 

 

4.31%, 8/15/45

 

 

695

 

 

701,935

 

5.04%, 8/15/45 (b)

 

 

895

 

 

872,924

 

 

 

 

 

 

 

49,841,678

 

Interest Only Commercial Mortgage-Backed
Securities — 1.0%

 

 

 

 

 

 

 

Morgan Stanley Bank of America Merrill Lynch Trust,
2.10%, 8/15/45 (a)(b)

 

 

15,945

 

 

1,808,282

 

Morgan Stanley Capital I, Series 2012-C4, Class XA,
2.89%, 3/15/45 (a)(b)

 

 

9,617

 

 

1,418,400

 

WF-RBS Commercial Mortgage Trust, Series 2012-C8,
Class XA, 2.42%, 8/15/45 (a)(b)

 

 

6,100

 

 

833,138

 

 

 

 

 

 

 

4,059,820

 

Total Non-Agency Mortgage-Backed Securities — 15.8%

 

 

 

 

 

65,010,739

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 0.0%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.47%, 6/01/77 (b)

 

 

70

 

 

50,003

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)

 

 

505

 

 

505,000

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

200

 

 

206,000

 

Capital One Capital VI, 8.88%, 5/15/40

 

 

690

 

 

706,047

 

 

 

 

 

 

 

912,047

 

Insurance — 1.6%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/67 (b)

 

 

1,950

 

 

2,045,063

 

American International Group, Inc., 8.18%,
5/15/68 (b)

 

 

195

 

 

232,781

 

Lincoln National Corp., 6.05%, 4/20/67 (b)

 

 

675

 

 

651,375

 

MetLife Capital Trust IV, 7.88%, 12/15/67 (a)

 

 

640

 

 

748,800

 

MetLife, Inc., 6.40%, 12/15/66

 

 

1,000

 

 

1,063,398

 

Swiss Re Capital I LP, 6.85% (a)(b)(h)

 

 

1,060

 

 

1,049,400

 

XL Group Plc, Series E, 6.50% (b)(h)

 

 

815

 

 

742,669

 

 

 

 

 

 

 

6,533,486

 

Total Capital Trusts — 2.0%

 

 

 

 

 

8,000,536

 


 

 

 

See Notes to Financial Statements.

 

     

 

 

 

26

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks — 1.0%

 

Shares

 

Value

 

Commercial Banks — 1.0%

 

 

 

 

 

 

 

US Bancorp, 6.00% (b)

 

 

150,000

 

$

4,156,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds — 0.1%

 

 

 

 

 

 

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Citigroup Capital XIII, 7.88%, 10/30/40 (b)

 

 

14,773

 

 

404,773

 

Total Preferred Securities — 3.1%

 

 

 

 

 

12,561,809

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 

 

City of Detroit Michigan Capital Improvement, GO,
Taxable Capital Improvement, Limited Tax,
Series A-2, 8.00%, 4/01/14

 

USD

1,525

 

 

1,454,957

 

District of Columbia, Refunding RB, Howard University,
Series B, 7.63%, 10/01/35

 

 

1,000

 

 

1,246,860

 

East Bay Municipal Utility District, RB, Build America
Bonds, 5.87%, 6/01/40

 

 

950

 

 

1,304,264

 

Indianapolis Local Public Improvement Bond Bank,
RB, Build America Bonds, 6.12%, 1/15/40

 

 

1,275

 

 

1,714,888

 

Metropolitan Transportation Authority, RB, Build
America Bonds, 7.34%, 11/15/39

 

 

625

 

 

942,344

 

Municipal Electric Authority of Georgia Plant Vogtle
Units 3 & 4, Refunding RB, Build America Bonds,
7.06%, 4/01/57

 

 

1,000

 

 

1,085,470

 

New York City Municipal Water Finance Authority,
RB, 5.72%, 6/15/42

 

 

700

 

 

949,711

 

New York City Municipal Water Finance Authority,
Refunding RB:

 

 

 

 

 

 

 

5.38%, 6/15/43

 

 

385

 

 

451,028

 

5.50%, 6/15/43

 

 

465

 

 

551,983

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

696,789

 

5.60%, 3/15/40

 

 

950

 

 

1,224,958

 

Port Authority of New York & New Jersey, RB,
Consolidated, 159th Series, 6.04%, 12/01/29

 

 

385

 

 

497,940

 

State of California, GO, Build America Bonds:

 

 

 

 

 

 

 

7.63%, 3/01/40

 

 

860

 

 

1,168,043

 

Various Purpose, 7.55%, 4/01/39

 

 

140

 

 

188,601

 

State of Illinois, GO, Taxable-Pension, 5.10%, 6/01/33

 

 

1,000

 

 

968,960

 

University of California, RB, Build America Bonds,
5.95%, 5/15/45

 

 

445

 

 

560,696

 

Total Taxable Municipal Bonds — 3.7%

 

 

 

 

 

15,007,492

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 3.3%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

1.94%, 10/09/19 (d)(j)

 

 

7,055

 

 

6,149,336

 

5.63%, 7/15/37 (k)

 

 

775

 

 

1,129,897

 

Federal Home Loan Bank (d):

 

 

 

 

 

 

 

5.25%, 12/09/22

 

 

675

 

 

877,298

 

5.37%, 9/09/24

 

 

1,075

 

 

1,414,746

 

Resolution Funding Corp. (j):

 

 

 

 

 

 

 

1.18%, 7/15/18

 

 

525

 

 

489,816

 

1.23%, 10/15/18

 

 

525

 

 

486,906

 

Tennessee Valley Authority, 5.25%, 9/15/39 (d)

 

 

2,355

 

 

3,127,704

 

 

 

 

 

 

 

13,675,703

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities,
Series 2005-5, Class PK, 5.00%, 12/25/34

 

USD

582

 

$

627,109

 

FHLMC Multifamily Structured Pass-Through
Certificates, Series K013, Class A2, 3.97%,
1/25/21 (l)

 

 

940

 

 

1,080,113

 

Freddie Mac Mortgage-Backed Securities,
Series 2825, Class VP, 5.50%, 6/15/15

 

 

546

 

 

571,944

 

 

 

 

 

 

 

2,279,166

 

Commercial Mortgage-Backed Securities — 0.0%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities,
Series K706, Class C, 4.16%, 11/25/44 (a)(b)

 

 

165

 

 

152,848

 

Federal Deposit Insurance Corporation
Guaranteed — 0.1%

 

 

 

 

 

 

 

General Electric Capital Corp., 2.13%, 12/21/12 (d)

 

 

515

 

 

517,962

 

Interest Only Collateralized Mortgage
Obligations — 3.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2003-80, Class DI, 5.50%, 10/25/31

 

 

4,942

 

 

297,781

 

Series 2010-126, Class UI, 5.50%, 10/25/40

 

 

5,923

 

 

945,726

 

Series 2012-47, Class NI, 4.50%, 4/25/42

 

 

6,127

 

 

1,238,668

 

Series 2012-96, Class DI, 4.00%, 2/25/27

 

 

10,000

 

 

1,005,358

 

Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)

 

 

13,340

 

 

2,359,326

 

Series K707, Class X1, 1.70%, 12/25/18 (b)

 

 

2,508

 

 

205,043

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2579, Class HI, 5.00%, 8/15/17

 

 

102

 

 

1,024

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

1,546

 

 

176,697

 

Series K710, Class X1, 1.92%, 5/25/19 (b)

 

 

8,653

 

 

840,188

 

Ginnie Mae Mortgage-Backed Securities (b):

 

 

 

 

 

 

 

Series 2009-78, Class SD, 5.96%, 9/20/32

 

 

7,783

 

 

1,515,737

 

Series 2011-52, Class NS, 6.43%, 4/16/41

 

 

21,186

 

 

3,759,998

 

 

 

 

 

 

 

12,345,546

 

Mortgage-Backed Securities — 12.9%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.00%, 9/15/42 (m)

 

 

16,300

 

 

16,908,704

 

3.50%, 3/01/42 (d)

 

 

1,443

 

 

1,530,581

 

4.00%, 12/01/41 (d)

 

 

5,094

 

 

5,468,815

 

4.50%, 7/01/41 (d)

 

 

6,883

 

 

7,483,245

 

5.00%, 8/01/34 (d)

 

 

5,001

 

 

5,501,982

 

5.50%, 6/01/38 (d)

 

 

3,453

 

 

3,806,851

 

6.00%, 12/01/38 – 9/15/42 (d)(m)

 

 

10,404

 

 

11,470,775

 

Freddie Mac Mortgage-Backed Securities, 6.00%,
2/01/13 – 12/01/18 (d)

 

 

540

 

 

580,677

 

Ginnie Mae Mortgage-Backed Securities,
5.50%, 8/15/33

 

 

85

 

 

95,652

 

 

 

 

 

 

 

52,847,282

 

Total US Government Sponsored Agency
Securities — 19.9%

 

 

 

 

 

81,818,507

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds (d):

 

 

 

 

 

 

 

8.13%, 8/15/21

 

 

1,550

 

 

2,442,825

 

6.25%, 8/15/23

 

 

5,085

 

 

7,439,197

 

3.50%, 2/15/39

 

 

330

 

 

388,988

 

4.25%, 5/15/39

 

 

6,045

 

 

8,035,129

 

4.38%, 5/15/40

 

 

6,375

 

 

8,655,057

 

4.75%, 2/15/41

 

 

1,630

 

 

2,344,144

 

4.38%, 5/15/41

 

 

800

 

 

1,088,125

 

3.13%, 11/15/41

 

 

20,915

 

 

22,921,543

 

3.13%, 2/15/42

 

 

6,268

 

 

6,862,482

 

3.00%, 5/15/42

 

 

2,730

 

 

2,915,555

 

2.75%, 8/15/42

 

 

10,900

 

 

11,046,474

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

27




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Treasury Obligations

 

Par
(000)

 

Value

 

US Treasury Inflation Indexed Bonds, 0.75%,
2/15/42 (d)

 

USD

4,270

 

$

4,658,648

 

US Treasury Notes:

 

 

 

 

 

 

 

0.63%, 1/31/13 (k)

 

 

200

 

 

200,398

 

2.25%, 7/31/18 (d)

 

 

2,495

 

 

2,705,516

 

2.63%, 8/15/20 (d)

 

 

1,105

 

 

1,225,427

 

2.00%, 2/15/22 (d)

 

 

3,831

 

 

4,006,989

 

1.75%, 5/15/22

 

 

156

 

 

159,169

 

Total US Treasury Obligations — 21.2%

 

 

 

 

 

87,095,666

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (n)

 

Shares

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

90

 

 

 

Total Long-Term Investments
(Cost — $572,224,278) — 149.1%

 

 

 

 

 

612,917,442

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (o)(p)

 

 

534,025

 

 

534,025

 

Total Short-Term Securities
(Cost — $534,025) — 0.1%

 

 

 

 

 

534,025

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 1.10% and pay a floating rate
based on 3-month LIBOR, Expires 7/31/13,
Broker JPMorgan Chase & Co.

 

USD

13,500

 

 

160,273

 

Over-the-Counter Interest Rate Put
Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 3.50% and receive a floating rate
based on a 6-month EURIBOR, Expires 11/08/12,
Broker Citigroup, Inc.

 

EUR

4,000

 

 

296

 

Pay a fixed rate of 2.08% and receive a floating rate
based on a 3-month LIBOR, Expires 3/26/13,
Broker JPMorgan Chase & Co.

 

USD

45,300

 

 

31,932

 

Pay a fixed rate of 3.25% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

1,200

 

 

24,257

 

Pay a fixed rate of 3.75% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

2,400

 

 

18,246

 

Pay a fixed rate of 4.25% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

4,800

 

 

13,214

 

Pay a fixed rate of 1.50% and receive a floating rate
based on a 3-month LIBOR, Expires 7/11/13,
Broker JPMorgan Chase & Co.

 

 

15,500

 

 

78,385

 

Pay a fixed rate of 1.50% and receive a floating rate
based on a 3-month LIBOR, Expires 7/19/13,
Broker Deutsche Bank AG

 

 

9,700

 

 

51,259

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Put
Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 1.10% and receive a floating rate
based on a 3-month LIBOR, Expires 7/31/13,
Broker JPMorgan Chase & Co.

 

USD

13,500

 

$

144,667

 

Pay a fixed rate of 4.50% and receive a floating rate
based on a 3-month LIBOR, Expires 3/16/17,
Broker Deutsche Bank AG

 

 

6,300

 

 

164,038

 

 

 

 

 

 

 

526,294

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

 

Over-the-Counter Put Options — 0.1%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD 1,375.00,
Expires 10/19/12, Broker Deutsche Bank AG

 

 

12,000

 

 

271,612

 

Total Options Purchased
(Cost — $1,881,745) — 0.2%

 

 

 

 

 

958,179

 

Total Investments Before Options Written
(Cost — $574,640,048) — 149.4%

 

 

 

 

 

614,409,646

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — (1.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 2.00% and receive a floating rate
based on 3-month LIBOR, Expires 8/28/13,
Broker Royal Bank of Scotland Plc

 

USD

14,000

 

 

(484,456)

 

Pay a fixed rate of 2.09% and receive a floating rate
based on 3-month LIBOR, Expires 1/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(194,058)

 

Pay a fixed rate of 2.06% and receive a floating rate
based on 3-month LIBOR, Expires 4/09/14,
Broker JPMorgan Chase & Co.

 

 

16,100

 

 

(679,236)

 

Pay a fixed rate of 1.40% and receive a floating rate
based on 3-month LIBOR, Expires 5/08/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(172,502)

 

Pay a fixed rate of 1.15% and receive a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker Deutsche Bank AG

 

 

9,300

 

 

(101,092)

 

Pay a fixed rate of 1.15% and receive a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker BNP Paribas SA

 

 

30,300

 

 

(329,364)

 

Pay a fixed rate of 1.20% and receive a floating rate
based on 3-month LIBOR, Expires 6/18/14,
Broker Deutsche Bank AG

 

 

12,500

 

 

(150,301)

 

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker Bank of America Corp.

 

 

9,000

 

 

(68,623)

 

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker JPMorgan Chase & Co.

 

 

15,500

 

 

(118,184)

 

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/21/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(73,920)

 

Pay a fixed rate of 1.48% and receive a floating rate
based on 3-month LIBOR, Expires 7/31/14,
Broker JPMorgan Chase & Co.

 

 

10,000

 

 

(191,236)

 

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(73,630)

 


 

 

 

See Notes to Financial Statements.

 

     

 

 

 

28

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Call
Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 3.65% and receive a floating rate
based on 3-month LIBOR, Expires 3/27/17,
Broker JPMorgan Chase & Co.

 

USD

1,100

 

$

(119,428

)

Pay a fixed rate of 3.53% and receive a floating rate
based on 3-month LIBOR, Expires 3/30/17,
Broker Deutsche Bank AG

 

 

15,000

 

 

(1,522,874

)

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 4/03/17,
Broker Goldman Sachs & Co.

 

 

8,200

 

 

(866,884

)

 

 

 

 

 

 

(5,145,788

)

Over-the-Counter Interest Rate Put
Swaptions — (0.8)%

 

 

 

 

 

 

 

Receive a fixed rate of 1.59% and pay a floating rate
based on 3-month LIBOR, Expires 11/30/12,
Broker JPMorgan Chase & Co.

 

 

11,200

 

 

(4,472

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/28/13,
Broker Royal Bank of Scotland Plc

 

 

14,000

 

 

(407,736

)

Receive a fixed rate of 2.09% and pay a floating rate
based on 3-month LIBOR, Expires 1/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(21,801

)

Receive a fixed rate of 2.06% and pay a floating rate
based on 3-month LIBOR, Expires 4/09/14,
Broker JPMorgan Chase & Co.

 

 

16,100

 

 

(125,195

)

Receive a fixed rate of 2.40% and pay a floating rate
based on 3-month LIBOR, Expires 5/08/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(59,650

)

Receive a fixed rate of 2.15% and pay a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker BNP Paribas SA

 

 

30,300

 

 

(263,713

)

Receive a fixed rate of 2.15% and pay a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker Deutsche Bank AG

 

 

9,300

 

 

(80,942

)

Receive a fixed rate of 2.20% and pay a floating rate
based on 3-month LIBOR, Expires 6/18/14,
Broker Deutsche Bank AG

 

 

12,500

 

 

(107,030

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker Bank of America Corp.

 

 

9,000

 

 

(100,247

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker JPMorgan Chase & Co.

 

 

15,500

 

 

(172,648

)

Receive a fixed rate of 1.95% and pay a floating rate
based on 3-month LIBOR, Expires 7/16/14,
Broker Deutsche Bank AG

 

 

24,800

 

 

(292,925

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/21/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(110,702

)

Receive a fixed rate of 1.48% and pay a floating rate
based on 3-month LIBOR, Expires 7/31/14,
Broker JPMorgan Chase & Co.

 

 

10,000

 

 

(193,489

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker JPMorgan Chase & Co.

 

 

11,200

 

 

(132,625

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(114,863

)

Receive a fixed rate of 6.00% and pay a floating rate
based on 3-month LIBOR, Expires 3/16/17,
Broker Deutsche Bank AG

 

 

12,600

 

 

(159,697

)

Receive a fixed rate of 3.65% and pay a floating rate
based on 3-month LIBOR, Expires 3/27/17,
Broker JPMorgan Chase & Co.

 

 

1,100

 

 

(46,198

)

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Put
Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 3.53% and pay a floating rate
based on 3-month LIBOR, Expires 3/30/17,
Broker Deutsche Bank AG

 

USD

15,000

 

$

(673,874

)

Receive a fixed rate of 3.60% and pay a floating rate
based on 3-month LIBOR, Expires 4/03/17,
Broker Goldman Sachs Group, Inc.

 

 

8,200

 

 

(354,828

)

 

 

 

 

 

 

(3,422,635

)

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

 

Over-the-Counter Put Options — (0.0)%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD 1,325.00,
Expires 10/19/12, Broker Deutsche Bank AG

 

 

9,500

 

 

(114,598)

 

Total Options Written
(Premiums Received — $8,732,899) — (2.1)%

 

 

 

 

 

(8,683,021

)

Total Investments, Net of Options Written — 147.3%

 

 

 

 

 

605,726,625

 

Liabilities in Excess of Other Assets — (47.3)%

 

 

 

 

 

(194,590,782

)

Net Assets — 100.0%

 

 

 

 

$

411,135,843

 

 

 

 

 

 

 

 

 


 

 

(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 security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(e)

Convertible security.

 

 

(f)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(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)

Security is perpetual in nature and has no stated maturity date.

 

 

(i)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(j)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(k)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(l)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(m)

Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 

Credit Suisse Group AG

 

$

4,186,680

 

$

(1,930

)

 

Deutsche Bank AG

 

$

3,966,328

 

$

(422

)

 

Goldman Sachs Group, Inc.

 

$

16,908,704

 

$

2,548

 


 

 

(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, if any.


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

29




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

(o)

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

4,711,687

 

 

(4,177,662

)

 

534,025

 

$

3,361

 


 

 

(p)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Face Value

 

Face Value
Including
Accrued
Interest

 

UBS Securities LLC

 

(1.25

)%

 

2/02/12

 

Open

 

$

440,700

 

$

437,471

 

BNP Paribas

 

0.18

%

 

4/18/12

 

Open

 

 

1,192,019

 

 

1,192,823

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

0.11

%

 

4/24/12

 

Open

 

 

2,186,238

 

 

2,187,099

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

0.12

%

 

4/24/12

 

Open

 

 

2,672,769

 

 

2,673,918

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

(0.25

)%

 

4/26/12

 

Open

 

 

488,725

 

 

488,294

 

Bank of America

 

0.22

%

 

5/07/12

 

Open

 

 

863,156

 

 

863,768

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

0.21

%

 

5/07/12

 

Open

 

 

5,688,094

 

 

5,691,943

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.19

%

 

5/09/12

 

Open

 

 

367,950

 

 

368,171

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.18

%

 

5/09/12

 

Open

 

 

1,039,000

 

 

1,039,592

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.28

%

 

5/10/12

 

Open

 

 

3,492,650

 

 

3,495,720

 

Bank of America

 

0.25

%

 

6/05/12

 

Open

 

 

1,431,094

 

 

1,431,958

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.23

%

 

6/05/12

 

Open

 

 

23,163,363

 

 

23,176,237

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.32

%

 

6/06/12

 

Open

 

 

13,803,750

 

 

13,814,302

 

Credit Suisse

 

0.30

%

 

6/20/12

 

Open

 

 

793,406

 

 

793,882

 

Securities (USA) LLC

 

0.23

%

 

6/20/12

 

Open

 

 

549,050

 

 

549,303

 

Credit Suisse

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.32

%

 

6/29/12

 

Open

 

 

2,488,625

 

 

2,490,019

 

Deutsche Bank

 

(2.00

)%

 

7/02/12

 

Open

 

 

320,705

 

 

319,636

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.17

%

 

7/18/12

 

Open

 

 

7,051,500

 

 

7,052,965

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.23

%

 

7/25/12

 

Open

 

 

3,161,588

 

 

3,162,335

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.21

%

 

7/25/12

 

Open

 

 

2,528,438

 

 

2,528,983

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements outstanding as of August 31, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Face Value

 

Face Value
Including
Accrued
Interest

 

Bank of America

 

0.18%

 

7/26/12

 

Open

 

$

22,098,513

 

$

22,102,490

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

0.17%

 

7/26/12

 

Open

 

 

7,671,994

 

 

7,673,298

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.33%

 

7/30/12

 

Open

 

 

2,888,174

 

 

2,889,023

 

UBS Securities LLC

 

0.34%

 

7/31/12

 

Open

 

 

1,496,275

 

 

1,496,713

 

UBS Securities LLC

 

0.35%

 

7/31/12

 

Open

 

 

883,125

 

 

883,391

 

Credit Suisse

 

0.35%

 

8/02/12

 

Open

 

 

5,138,813

 

 

5,140,261

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Morgan Stanley &

 

0.10%

 

8/02/12

 

Open

 

 

1,165,443

 

 

1,165,537

 

Co. International

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.14%

 

8/07/12

 

Open

 

 

4,032,128

 

 

4,032,504

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.34%

 

8/07/12

 

Open

 

 

3,425,000

 

 

3,425,776

 

Credit Suisse

 

0.35%

 

8/08/12

 

Open

 

 

1,504,356

 

 

1,504,693

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital, Inc.

 

0.35%

 

8/09/12

 

Open

 

 

4,342,543

 

 

4,343,474

 

Credit Suisse

 

0.35%

 

8/09/12

 

Open

 

 

1,718,681

 

 

1,719,049

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.31%

 

8/10/12

 

9/13/12

 

 

26,404,388

 

 

26,409,162

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

UBS Securities LLC

 

0.34%

 

8/13/12

 

Open

 

 

2,869,999

 

 

2,870,489

 

Credit Suisse

 

0.35%

 

8/15/12

 

Open

 

 

1,648,500

 

 

1,648,756

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.35%

 

8/16/12

 

Open

 

 

818,125

 

 

818,244

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

0.35%

 

8/17/12

 

Open

 

 

1,509,093

 

 

1,509,299

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital, Inc.

 

0.35%

 

8/21/12

 

Open

 

 

5,635,800

 

 

5,636,348

 

BNP Paribas

 

0.11%

 

8/21/12

 

Open

 

 

2,791,425

 

 

2,791,510

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.17%

 

8/30/12

 

9/04/12

 

 

10,913,625

 

 

10,913,677

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

$

182,678,820

 

$

182,732,113

 


 

 

Financial futures contracts purchased as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Appreciation

 

272

 

 

30-Year US
Treasury Bond

 

Chicago Board
of Trade

 

December
2012

 

USD

41,182,500

 

$

459,745

 

79

 

 

5-Year US
Treasury Note

 

Chicago Board
of Trade

 

December
2012

 

USD

9,848,461

 

 

46,786

 

22

 

 

Ultra Long US
Treasury Bond

 

Chicago Board
of Trade

 

December
2012

 

USD

3,718,000

 

 

41,724

 

Total

 

 

 

 

 

 

 

 

 

 

$

548,255

 


 

 

 

See Notes to Financial Statements.

 

 

 

30

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Financial futures contracts sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

15

 

90-Day

 

Chicago

 

September

 

USD

3,735,375

 

$

(1,126

)

 

 

Euro-Dollar

 

Mercantile

 

2012

 

 

 

 

 

 

 

15

 

90-Day

 

Chicago

 

December

 

USD

3,736,688

 

 

(2,926

)

 

 

Euro-Dollar

 

Mercantile

 

2012

 

 

 

 

 

 

 

348

 

10-Year US

 

Chicago Board

 

December

 

USD

46,534,125

 

 

(390,884

)

 

 

Treasury Note

 

of Trade

 

2012

 

 

 

 

 

 

 

438

 

2-Year US

 

Chicago Board

 

December

 

USD

96,613,219

 

 

(88,427

)

 

 

Treasury Note

 

of Trade

 

2012

 

 

 

 

 

 

 

15

 

90-Day

 

Chicago

 

March 2013

 

USD

3,736,688

 

 

(3,788

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

12

 

90-Day

 

Chicago

 

June 2013

 

USD

2,989,050

 

 

(2,130

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

12

 

90-Day

 

Chicago

 

September

 

USD

2,988,600

 

 

(5,559

)

 

 

Euro-Dollar

 

Mercantile

 

2013

 

 

 

 

 

 

 

16

 

90-Day

 

Chicago

 

December

 

USD

3,983,800

 

 

(11,342

)

 

 

Euro-Dollar

 

Mercantile

 

2013

 

 

 

 

 

 

 

12

 

90-Day

 

Chicago

 

March 2014

 

USD

2,987,100

 

 

(7,854

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

9

 

90-Day

 

Chicago

 

June 2014

 

USD

2,239,537

 

 

(4,335

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

9

 

90-Day

 

Chicago

 

September

 

USD

2,238,637

 

 

(8,112

)

 

 

Euro-Dollar

 

Mercantile

 

2014

 

 

 

 

 

 

 

9

 

90-Day

 

Chicago

 

December

 

USD

2,237,287

 

 

(9,286

)

 

 

Euro-Dollar

 

Mercantile

 

2014

 

 

 

 

 

 

 

49

 

90-Day

 

Chicago

 

March 2015

 

USD

12,174,663

 

 

(61,708

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

40

 

90-Day

 

Chicago

 

June 2015

 

USD

9,931,000

 

 

(52,784

)

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

40

 

90-Day

 

Chicago

 

September

 

USD

9,920,500

 

 

(61,610

)

 

 

Euro-Dollar

 

Mercantile

 

2015

 

 

 

 

 

 

 

40

 

90-Day

 

Chicago

 

December

 

USD

9,907,000

 

 

(63,110

)

 

 

Euro-Dollar

 

Mercantile

 

2015

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

(774,981

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

270,581

 

USD

425,000

 

Deutsche Bank AG

 

10/17/12

 

$

4,578

 

USD

918,184

 

GBP

588,000

 

Credit Suisse
Group AG

 

10/17/12

 

 

(15,332

)

USD

2,726,780

 

GBP

1,756,500

 

UBS AG

 

10/17/12

 

 

(61,862

)

EUR

428,025

 

USD

526,000

 

UBS AG

 

10/22/12

 

 

12,643

 

USD

10,490,269

 

EUR

8,556,500

 

Citigroup, Inc.

 

10/22/12

 

 

(277,561

)

Total

 

 

 

 

 

 

 

 

 

$

(337,534

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Radian

 

5.00%

 

Citigroup, Inc.

 

6/20/15

 

USD

1,400

 

$

232,792

 

Group, Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

The New York

 

1.00%

 

Barclays Plc

 

12/20/16

 

USD

1,800

 

 

(5,281

)

Times Co.

 

 

 

 

 

 

 

 

 

 

 

 

 

DE Master

 

1.00%

 

JPMorgan

 

3/20/17

 

USD

202

 

 

(3,942

)

Blenders, Inc.

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

Hillshire

 

1.00%

 

JPMorgan

 

3/20/17

 

USD

202

 

 

7,330

 

Brands Co.

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

XL Group Plc

 

1.00%

 

JPMorgan

 

6/20/17

 

USD

1,600

 

 

(26,877

)

 

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

Australia &

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

1,023

 

 

(4,797

)

New Zealand

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking Group Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

 

Commonwealth

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

2,000

 

 

(9,400

)

Bank of Australia

 

 

 

 

 

 

 

 

 

 

 

 

 

National Australia

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

2,000

 

 

(6,587

)

Bank Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

 

Westpac

 

1.00

%

Deutsche Bank AG

 

9/20/17

 

USD

1,023

 

 

(6,203

)

Banking Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

177,035

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 



Counterparty

 



Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

MetLife, Inc.

 

1.00%

 

Credit Suisse

 

9/20/16

 

A–

 

USD

535

 

$

19,275

 

 

 

 

 

Group AG

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Deutsche

 

9/20/16

 

A–

 

USD

730

 

 

21,665

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Goldman Sachs

 

9/20/16

 

A–

 

USD

500

 

 

13,927

 

 

 

 

 

Group, Inc.

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

Morgan Stanley

 

9/20/16

 

A–

 

USD

275

 

 

5,819

 

MetLife, Inc.

 

1.00%

 

Morgan Stanley

 

9/20/16

 

A–

 

USD

900

 

 

25,526

 

MetLife, Inc.

 

1.00%

 

Citigroup, Inc.

 

12/20/16

 

A–

 

USD

298

 

 

5,859

 

MetLife, Inc.

 

1.00%

 

Citigroup, Inc.

 

12/20/16

 

A–

 

USD

285

 

 

7,115

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

99,186

 


 

 

 

 

1

Using S&P’s rating.

 

 

2

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, 2012

31




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

Markit CMBX

 

 

0.08

%

Morgan
Stanley

 

 

12/13/49

 

 

A+

 

 

USD 525

 

$

27,769

 

North America

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AAA Index Series 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit CMBX

 

 

0.35

%

Morgan
Stanley

 

 

2/17/51

 

 

A–

 

 

USD 525

 

 

24,418

 

North America

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AAA Index Series 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

52,187

 


 

 

 

 

1

Using S&P’s rating of the underlying securities.

 

 

2

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

 

 

 

Interest rate swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

1.26%3

 

 

3-month CBA

 

 

JPMorgan
Chase & Co.

 

 

6/25/14

 

CAD

29,600

 

$

(54,648

)

1.27%3

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/03/14

 

CAD

13,600

 

 

(24,083

)

1.33%3

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/05/14

 

CAD

13,600

 

 

(15,890

)

1.22%3

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/09/14

 

CAD

13,600

 

 

(30,755

)

1.24%3

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/11/14

 

CAD

13,600

 

 

(28,174

)

1.66%4

 

 

3-month CBA

 

 

JPMorgan
Chase & Co.

 

 

6/25/16

 

CAD

15,000

 

 

15,752

 

1.64%4

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/03/16

 

CAD

13,600

 

 

19,878

 

1.70%4

 

 

3-month CBA

 

 

Deutsche Bank AG

 

 

7/05/16

 

CAD

13,600

 

 

4,354

 

0.87%4

 

 

3-month LIBOR

 

 

Royal Bank of
Scotland Group Plc

 

 

7/31/17

 

USD

4,000

 

 

(22,137

)

1.74%3

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

3/30/18

 

USD

1,000

 

 

38,661

 

1.20%3

 

 

3-month LIBOR

 

 

JPMorgan
Chase & Co.

 

 

8/30/18

 

USD

7,900

 

 

35,996

 

1.51%3

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

7/13/19

 

USD

5,900

 

 

14,969

 

3.27%4

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

5/16/21

 

USD

910

 

 

(134,713

)

2.08%3

 

 

3-month LIBOR

 

 

Morgan Stanley

 

 

4/26/22

 

USD

6,400

 

 

268,975

 

2.04%3

 

 

3-month LIBOR

 

 

Morgan Stanley

 

 

5/04/22

 

USD

11,500

 

 

434,771

 

1.94%3

 

 

3-month LIBOR

 

 

Citigroup, Inc.

 

 

5/16/22

 

USD

500

 

 

13,952

 

1.89%3

 

 

6-month
EURIBOR

 

 

Citigroup, Inc.

 

 

6/27/22

 

EUR

1,800

 

 

38,016

 

1.60%3

 

 

3-month LIBOR

 

 

Credit Suisse
Group AG

 

 

8/02/22

 

USD

2,500

 

 

(14,472

)

1.61%3

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

8/06/22

 

USD

1,700

 

 

(8,139

)

1.74%4

 

 

3-month LIBOR

 

 

Credit Suisse
Group AG

 

 

8/07/22

 

USD

6,000

 

 

(42,635

)

1.79%4

 

 

3-month LIBOR

 

 

Credit Suisse
Group AG

 

 

8/10/22

 

USD

1,000

 

 

(11,721

)

1.91%3

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

8/21/22

 

USD

3,900

 

 

90,759

 

1.93%4

 

 

3-month LIBOR

 

 

JPMorgan
Chase & Co.

 

 

8/21/22

 

USD

2,000

 

 

(48,609

)

2.58%4

 

 

6-month
EURIBOR

 

 

Deutsche Bank AG

 

 

11/11/41

 

EUR

350

 

 

(37,911

)

2.68%4

 

 

6-month
EURIBOR

 

 

Deutsche Bank AG

 

 

11/18/41

 

EUR

745

 

 

(101,624

)

3.07%4

 

 

3-month LIBOR

 

 

Barclays Plc

 

 

3/21/42

 

USD

8,200

 

 

(1,060,280

)

Interest rate swaps outstanding as of August 31, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 

2.15%4

 

 

6-month
EURIBOR

 

 

Citigroup, Inc.

 

 

6/27/42

 

EUR

770

 

$

8,297

 

2.41%4

 

 

3-month LIBOR

 

 

JPMorgan
Chase & Co.

 

 

7/02/42

 

USD

3,400

 

 

51,292

 

2.48%4

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

7/05/42

 

USD

4,500

 

 

(7,362

)

2.52%4

 

 

3-month LIBOR

 

 

Citigroup, Inc.

 

 

9/04/42

 

USD

5,100

 

 

(59,408

)

2.52%4

 

 

3-month LIBOR

 

 

Goldman Sachs
Group, Inc.

 

 

9/04/42

 

USD

5,100

 

 

(57,332

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(724,221

)


 

 

 

 

3

Trust pays the floating rate and receives the fixed rate.

 

 

 

 

4

Trust pays the fixed rate and receives the floating rate.

 

 

 

Total return swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reference Entity

 

Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Change in Return

 

 

2.18%5

 

 

Bank of
America Corp.

 

 

10/06/21

 

 

USD 1,880

 

$

(43,272

)

of the Consumer

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Price Index for All

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Urban Consumers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

5

Trust pays the total return of the reference entity and receives the fixed rate. Net payment made at termination.


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.

 

     

 

32

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

 

 

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, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

 

$

26,482,120

 

$

1,505,315

 

$

27,987,435

 

Common Stocks

 

$

83,854

 

 

 

 

1

 

 

83,855

 

Corporate Bonds

 

 

 

 

311,551,829

 

 

5,224,808

 

 

316,776,637

 

Foreign Agency
Obligations

 

 

 

 

6,575,302

 

 

 

 

6,575,302

 

Non-Agency

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-Backed

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities

 

 

 

 

64,499,282

 

 

511,457

 

 

65,010,739

 

Preferred
Securities

 

 

4,561,273

 

 

8,000,536

 

 

 

 

12,561,809

 

Taxable Municipal
Bonds

 

 

 

 

15,007,492

 

 

 

 

15,007,492

 

US Government
Sponsored Agency
Securities

 

 

 

 

81,818,507

 

 

 

 

81,818,507

 

US Treasury
Obligations

 

 

 

 

87,095,666

 

 

 

 

87,095,666

 

Short-Term
Securities

 

 

534,025

 

 

 

 

 

 

534,025

 

Total

 

$

5,179,152

 

$

601,030,734

 

$

7,241,581

 

$

613,451,467

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

391,495

 

 

 

$

391,495

 

Equity contracts

 

 

 

 

271,612

 

 

 

 

271,612

 

Foreign currency
contracts

 

 

 

 

17,221

 

 

 

 

17,221

 

Interest rate
contracts

 

$

548,255

 

 

1,722,239

 

 

 

 

2,270,494

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(63,087

)

 

 

 

(63,087

)

Equity contacts

 

 

 

 

(114,598

)

 

 

 

(114,598

)

Foreign currency
contracts

 

 

 

 

(354,755

)

 

 

 

(354,755

)

Interest rate
contracts

 

 

(774,981

)

 

(10,328,316

)

 

 

 

(11,103,297

)

Other contracts

 

 

 

 

(43,272

)

 

 

 

(43,272

)

Total

 

$

(226,726

)

$

(8,501,461

)

 

 

$

(8,728,187

)


 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, and options. 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 or face value amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

340,000

 

 

 

 

 

$

340,000

 

Foreign currency
at value

 

 

1,439,246

 

 

 

 

 

 

1,439,246

 

Cash pledged as
collateral for
financial futures
contracts

 

 

459,000

 

 

 

 

 

 

459,000

 

Cash pledged as
collateral for
reverse repurchase
agreements

 

 

1,643,000

 

 

 

 

 

 

1,643,000

 

Cash pledged
as collateral
for swaps

 

 

7,390,000

 

 

 

 

 

 

7,390,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash received
as collateral
for swaps

 

 

 

$

(1,200,000

)

 

 

 

(1,200,000

)

Cash received
as collateral for
reverse repurchase
agreements

 

 

 

 

(590,475

)

 

 

 

(590,475

)

Reverse repurchase
agreements

 

 

 

 

(182,678,820

)

 

 

 

(182,678,820

)

Total

 

$

11,271,246

 

$

(184,469,295

)

 

 

$

(173,198,049

)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

33




 

 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

6,120,404

 

 

 

$

5,241,393

 

$

1,960,958

 

$

191

 

$

102,281

 

$

77,670

 

$

13,502,897

 

Transfers into Level 31

 

 

 

$

1,587

 

 

 

 

 

 

 

 

 

 

 

 

1,587

 

Transfers out of Level 32

 

 

(4,220,428

)

 

 

 

 

 

(352,670

)

 

 

 

 

 

 

 

(4,573,098

)

Accrued discounts/premiums

 

 

(374,117

)

 

 

 

190

 

 

8,560

 

 

 

 

 

 

 

 

(365,367

)

Net realized gain

 

 

19

 

 

 

 

17,863

 

 

45,558

 

 

 

 

 

 

 

 

63,440

 

Net change in unrealized
appreciation/depreciation3

 

 

279,257

 

 

(1,586

)

 

(109,425

)

 

25,814

 

 

(191

)

 

(102,281

)

 

(77,670

)

 

13,918

 

Purchases

 

 

 

 

 

 

126,787

 

 

566,548

 

 

 

 

 

 

 

 

693,335

 

Sales

 

 

(299,820

)

 

 

 

(52,000

)

 

(1,743,311

)

 

 

 

 

 

 

 

(2,095,131

)

Closing Balance, as of August 31, 2012

 

$

1,505,315

 

$

1

 

$

5,224,808

 

$

511,457

 

 

 

 

 

 

 

$

7,241,581

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $1,587 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,573,098 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $188,535.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Opening balance, as of August 31, 2011

 

$

(941

)

Transfers into Level 34

 

 

 

Transfers out of Level 34

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation5

 

 

941

 

Purchases

 

 

 

Issues6

 

 

 

Sales

 

 

 

Settlements7

 

 

 

Closing Balance, as of August 31, 2012

 

 

 


 

 

 

 

4

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

5

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

 

 

 

 

6

Issues represent upfront cash received on certain derivative financial instruments.

 

 

 

 

7

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

See Notes to Financial Statements.

 

     

 

 

34

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Consolidated Schedule of Investments August 31, 2012

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Dana Holding Corp.

 

 

53,700

 

$

733,542

 

Delphi Automotive Plc (a)

 

 

263,023

 

 

7,966,958

 

 

 

 

 

 

 

8,700,500

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

Ironwood Pharmaceuticals, Inc. (a)

 

 

10,590

 

 

132,693

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

American Capital Ltd. (a)

 

 

73,977

 

 

813,007

 

E*Trade Financial Corp. (a)

 

 

109,400

 

 

937,558

 

 

 

 

 

 

 

1,750,565

 

Chemicals — 0.2%

 

 

 

 

 

 

 

ADA-ES, Inc. (a)

 

 

2,690

 

 

63,081

 

CF Industries Holdings, Inc.

 

 

1,530

 

 

316,725

 

Huntsman Corp.

 

 

20,750

 

 

298,385

 

 

 

 

 

 

 

678,191

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

25,420

 

 

959,859

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd.

 

 

19,132

 

 

1,404,671

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

330,305,058

 

 

2,190,253

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

33,620

 

 

724,511

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

109,685

 

 

329

 

Energy Equipment & Services — 1.1%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

70,588

 

 

3,043,358

 

Osum Oil Sands Corp. (a)

 

 

120,000

 

 

1,521,684

 

 

 

 

 

 

 

4,565,042

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd. (a)(b)(c)

 

 

113,632

 

 

14,772

 

Media — 2.3%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

32,921

 

 

240,323

 

Charter Communications, Inc. (a)

 

 

108,248

 

 

8,421,694

 

Clear Channel Outdoor Holdings, Inc., Class A

 

 

14,202

 

 

74,561

 

Cumulus Media, Inc., Class A

 

 

138,454

 

 

383,518

 

DISH Network Corp., Class A

 

 

8,770

 

 

280,552

 

 

 

 

 

 

 

9,400,648

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

65,551

 

 

262,341

 

Oil, Gas & Consumable Fuels — 0.1%

 

 

 

 

 

 

 

African Petroleum Corp. Ltd. (a)

 

 

294,600

 

 

377,414

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

181,600

 

 

397,926

 

Ainsworth Lumber Co. Ltd. (a)(d)

 

 

208,741

 

 

457,398

 

Western Forest Products, Inc. (a)

 

 

74,889

 

 

81,290

 

Western Forest Products, Inc. (a)

 

 

74,936

 

 

81,341

 

 

 

 

 

 

 

1,017,955

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.3%

 

 

 

 

 

 

 

NXP Semiconductors NV (a)

 

 

8,000

 

 

186,560

 

Spansion, Inc., Class A (a)

 

 

94,583

 

 

1,081,084

 

SunPower Corp. (a)

 

 

200

 

 

896

 

 

 

 

 

 

 

1,268,540

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

737

 

 

7

 

HMH Holdings/EduMedia (a)

 

 

30,127

 

 

738,103

 

 

 

 

 

 

 

738,110

 

Total Common Stocks — 8.2%

 

 

 

 

 

34,186,394

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.7%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

340

 

$

363,800

 

7.13%, 3/15/21

 

 

480

 

 

519,600

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

1,244

 

 

1,324,860

 

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)

 

 

590

 

 

533,860

 

 

 

 

 

 

 

2,742,120

 

Air Freight & Logistics — 0.4%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

884

 

 

900,201

 

Series 2, 12.38%, 8/16/15

 

 

894

 

 

910,655

 

 

 

 

 

 

 

1,810,856

 

Airlines — 1.5%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust,
Series 2011-2, Class A, 8.63%, 4/15/23

 

 

1,614

 

 

1,710,740

 

Continental Airlines, Inc., Class B:

 

 

 

 

 

 

 

Series 1997-4, 6.90%, 7/02/18

 

 

50

 

 

49,590

 

Series 2010-1, 6.00%, 7/12/20

 

 

622

 

 

626,172

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2002-1, Class G-1, 6.72%, 7/02/24

 

 

905

 

 

982,366

 

Series 2009-1 Series B, 9.75%, 6/17/18

 

 

267

 

 

288,049

 

Series 2010-1, Class B, 6.38%, 7/02/17

 

 

800

 

 

800,000

 

US Airways Pass-Through Trust, Class C:

 

 

 

 

 

 

 

Series 2011-1, 10.88%, 10/22/14

 

 

1,004

 

 

1,028,672

 

Series 2012-1, 9.13%, 10/01/15

 

 

670

 

 

683,400

 

 

 

 

 

 

 

6,168,989

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

660

 

 

711,150

 

Delphi Corp., 6.13%, 5/15/21

 

 

260

 

 

286,000

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

4,815

 

 

5,127,975

 

IDQ Holdings, Inc., 11.50%, 4/01/17 (d)

 

 

585

 

 

612,056

 

International Automotive Components Group SL,
9.13%, 6/01/18 (d)

 

 

70

 

 

67,113

 

Jaguar Land Rover Plc, 8.25%, 3/15/20

 

GBP

712

 

 

1,192,459

 

Titan International, Inc., 7.88%, 10/01/17

 

USD

685

 

 

717,537

 

 

 

 

 

 

 

8,714,290

 

Beverages — 0.2%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

242

 

 

334,826

 

7.13%, 8/15/18 (d)

 

 

285

 

 

394,320

 

Refresco Group BV, 7.38%, 5/15/18

 

 

107

 

 

126,510

 

 

 

 

 

 

 

855,656

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (d)

 

USD

80

 

 

79,676

 

Building Products — 0.8%

 

 

 

 

 

 

 

Building Materials Corp. of America (d):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

810

 

 

876,825

 

6.75%, 5/01/21

 

 

1,170

 

 

1,278,225

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

555

 

 

338,550

 

USG Corp., 9.75%, 1/15/18

 

 

890

 

 

954,525

 

 

 

 

 

 

 

3,448,125

 

Capital Markets — 0.8%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (c)

 

 

1,575

 

 

1,797,469

 

2.26%, 8/31/19 (d)(e)(f)

 

 

356

 

 

304,380

 

KKR Group Finance Co. LLC, 6.38%, 9/29/20 (d)

 

 

970

 

 

1,097,992

 

 

 

 

 

 

 

3,199,841

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

35




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 4.1%

 

 

 

 

 

 

 

Basell Finance Co. BV, 8.10%, 3/15/27 (d)

 

USD

610

 

$

814,350

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

2,640

 

 

2,917,200

 

Chemtura Corp., 7.88%, 9/01/18

 

 

455

 

 

490,263

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20 (a)

 

 

355

 

 

358,550

 

9.00%, 11/15/20

 

 

460

 

 

393,300

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

250

 

 

286,250

 

INEOS Finance Plc (d):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

 

1,265

 

 

1,331,412

 

7.50%, 5/01/20

 

 

650

 

 

663,000

 

INEOS Group Holdings Plc, 8.50%, 2/15/16 (d)

 

 

220

 

 

207,350

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

505

 

 

692,219

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

185

 

 

189,625

 

LyondellBasell Industries NV, 5.75%, 4/15/24 (a)

 

 

4,180

 

 

4,733,850

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (d)

 

 

275

 

 

268,813

 

PolyOne Corp., 7.38%, 9/15/20

 

 

320

 

 

349,600

 

TPC Group LLC, 8.25%, 10/01/17

 

 

495

 

 

543,262

 

Tronox Finance LLC, 6.38%, 8/15/20 (d)

 

 

2,800

 

 

2,828,000

 

 

 

 

 

 

 

17,067,044

 

Commercial Banks — 0.9%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (d)

 

 

567

 

 

568,472

 

5.25%, 3/15/18

 

 

830

 

 

865,275

 

5.50%, 2/15/19 (d)

 

 

790

 

 

823,575

 

5.00%, 8/15/22

 

 

860

 

 

866,515

 

6.00%, 4/01/36

 

 

810

 

 

733,722

 

Glitnir Banki HF, 6.38%, 9/25/12 (a)(d)(g)

 

 

1,005

 

 

 

 

 

 

 

 

 

3,857,559

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

530

 

 

543,255

 

ARAMARK Holdings Corp., 8.63%, 5/01/16 (c)(d)

 

 

650

 

 

665,444

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (d)

 

 

800

 

 

821,400

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (d)

 

 

236

 

 

249,250

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (d)

 

 

38

 

 

38,380

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

689

 

 

682,110

 

Clean Harbors, Inc., 5.25%, 8/01/20 (d)

 

 

780

 

 

800,475

 

Covanta Holding Corp., 6.38%, 10/01/22

 

 

940

 

 

1,027,770

 

EC Finance Plc, 9.75%, 8/01/17

 

EUR

440

 

 

573,494

 

Mead Products LLC/ACCO Brands Corp., 6.75%,
4/30/20 (d)

 

USD

325

 

 

343,688

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

545

 

 

584,513

 

RSC Equipment Rental, Inc., 8.25%, 2/01/21

 

 

1,287

 

 

1,409,265

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

274

 

 

344,637

 

8.75%, 12/01/18

 

 

134

 

 

149,162

 

West Corp., 8.63%, 10/01/18

 

USD

205

 

 

208,075

 

 

 

 

 

 

 

8,440,918

 

Communications Equipment — 1.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

1,110

 

 

962,925

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

1,330

 

 

1,353,275

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

590

 

 

632,037

 

Zayo Group LLC/Zayo Capital, Inc.:

 

 

 

 

 

 

 

8.13%, 1/01/20

 

 

2,280

 

 

2,422,500

 

10.13%, 7/01/20

 

 

1,880

 

 

2,016,300

 

 

 

 

 

 

 

7,387,037

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (e)

 

 

330

 

 

365,475

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (d)

 

USD

275

 

$

285,313

 

H&E Equipment Services, Inc., 7.00%, 9/01/22 (d)

 

 

490

 

 

508,375

 

URS Corp., 5.00%, 4/01/22 (d)

 

 

105

 

 

106,469

 

 

 

 

 

 

 

900,157

 

Construction Materials — 1.4%

 

 

 

 

 

 

 

HD Supply, Inc. (d):

 

 

 

 

 

 

 

8.13%, 4/15/19

 

 

2,280

 

 

2,473,800

 

11.00%, 4/15/20

 

 

2,160

 

 

2,376,000

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18 (d)

 

EUR

376

 

 

461,109

 

8.00%, 6/01/18

 

 

315

 

 

386,302

 

 

 

 

 

 

 

5,697,211

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

660

 

 

726,000

 

Springleaf Finance (FKA AGFS Funding Co.),
6.90%, 12/15/17

 

 

155

 

 

127,487

 

 

 

 

 

 

 

853,487

 

Containers & Packaging — 1.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17 (d)

 

EUR

600

 

 

798,074

 

7.38%, 10/15/17

 

 

100

 

 

133,012

 

7.38%, 10/15/17 (d)

 

USD

200

 

 

214,250

 

7.38%, 10/15/17

 

EUR

200

 

 

266,025

 

9.13%, 10/15/20 (d)

 

USD

590

 

 

613,600

 

9.13%, 10/15/20 (d)

 

 

210

 

 

219,450

 

9.13%, 10/15/20 (d)

 

 

249

 

 

259,582

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.34%, 9/15/14 (b)

 

 

445

 

 

438,325

 

8.25%, 11/15/15

 

 

175

 

 

184,188

 

9.75%, 1/15/21

 

 

610

 

 

675,575

 

Beverage Packaging Holdings Luxembourg II SA,

 

 

 

 

 

 

 

8.00%, 12/15/16

 

EUR

867

 

 

1,068,702

 

GCL Holdings SCA, 9.38%, 4/15/18 (d)

 

 

394

 

 

480,706

 

Graphic Packaging International, Inc., 7.88%,
10/01/18

 

USD

550

 

 

613,250

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

233

 

 

302,592

 

Sealed Air Corp., 8.38%, 9/15/21 (d)

 

USD

275

 

 

309,375

 

Tekni-Plex, Inc., 9.75%, 6/01/19 (d)

 

 

265

 

 

276,925

 

 

 

 

 

 

 

6,853,631

 

Distributors — 0.6%

 

 

 

 

 

 

 

VWR Funding, Inc., 7.25%, 9/15/17 (d)(h)

 

 

2,390

 

 

2,419,875

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

Laureate Education, Inc., 9.25%, 9/01/19 (d)

 

 

895

 

 

895,000

 

Service Corp. International, 7.00%, 6/15/17

 

 

4,425

 

 

5,044,500

 

ServiceMaster Co., 8.00%, 2/15/20

 

 

280

 

 

298,550

 

 

 

 

 

 

 

6,238,050

 

Diversified Financial Services — 4.4%

 

 

 

 

 

 

 

Aircastle Ltd., 6.75%, 4/15/17

 

 

690

 

 

745,200

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

460

 

 

491,625

 

8.00%, 11/01/31

 

 

4,395

 

 

5,197,087

 

8.00%, 11/01/31

 

 

920

 

 

1,092,034

 

CNG Holdings, Inc., 9.38%, 5/15/20 (d)

 

 

450

 

 

459,000

 

DPL, Inc., 7.25%, 10/15/21 (d)

 

 

1,725

 

 

1,966,500

 

Gala Group Finance Plc, 8.88%, 9/01/18

 

GBP

300

 

 

444,201

 

General Motors Financial Co., Inc., 6.75%, 6/01/18

 

USD

460

 

 

510,022

 

Lehman Brothers Holdings, Inc. (a)(g):

 

 

 

 

 

 

 

5.38%, 10/17/12

 

EUR

200

 

 

64,148

 

1.00%, 5/17/13

 

USD

915

 

 

225,319

 

4.75%, 1/16/14

 

EUR

1,130

 

 

362,435

 

1.00%, 2/05/14

 

 

2,350

 

 

764,082

 

1.00%, 9/22/18

 

USD

255

 

 

62,794

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

36

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Leucadia National Corp., 8.13%, 9/15/15

 

USD

1,148

 

$

1,294,370

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

255

 

 

331,163

 

7.13%, 4/15/19

 

USD

365

 

 

393,288

 

9.75%, 4/15/19 (d)

 

 

400

 

 

406,500

 

7.88%, 8/15/19 (d)

 

 

585

 

 

650,812

 

9.88%, 8/15/19 (d)

 

 

1,600

 

 

1,692,000

 

8.25%, 2/15/21 (d)

 

 

195

 

 

191,588

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16 (d)

 

 

180

 

 

196,650

 

11.50%, 10/01/18

 

 

618

 

 

678,255

 

 

 

 

 

 

 

18,219,073

 

Diversified Telecommunication Services — 2.3%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12 (a)(g)

 

 

1,530

 

 

1,032,750

 

Consolidated Communications Finance Co.,
10.88%, 6/01/20 (d)

 

 

885

 

 

949,163

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

420

 

 

452,550

 

Level 3 Communications, Inc., 8.88%, 6/01/19 (d)

 

 

475

 

 

484,500

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

1,956

 

 

2,048,910

 

7.00%, 6/01/20 (d)

 

 

849

 

 

844,755

 

8.63%, 7/15/20 (a)

 

 

1,260

 

 

1,348,200

 

OTE Plc, 5.00%, 8/05/13

 

EUR

160

 

 

174,426

 

Telefonica Emisiones SAU, 4.69%, 11/11/19

 

 

50

 

 

58,042

 

Telenet Finance V Luxembourg SCA:

 

 

 

 

 

 

 

6.25%, 8/15/22

 

 

221

 

 

279,364

 

6.75%, 8/15/24

 

 

520

 

 

663,867

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

USD

510

 

 

538,050

 

7.88%, 11/01/17

 

 

630

 

 

685,125

 

 

 

 

 

 

 

9,559,702

 

Electric Utilities — 0.7%

 

 

 

 

 

 

 

Mirant Mid Atlantic Pass-Through Trust, Series B,
9.13%, 6/30/17

 

 

433

 

 

465,354

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,800

 

 

2,253,399

 

 

 

 

 

 

 

2,718,753

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Belden, Inc., 5.50%, 9/01/22 (d)

 

USD

550

 

 

551,375

 

Electronic Equipment, Instruments &
Components — 0.5%

 

 

 

 

 

 

 

CDW LLC/CDW Finance Corp., 8.50%, 4/01/19

 

 

559

 

 

612,105

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

350

 

 

420,000

 

Micron Technology, Inc., 2.38%, 5/01/32 (d)(e)

 

 

651

 

 

619,264

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (d)

 

 

300

 

 

342,750

 

 

 

 

 

 

 

1,994,119

 

Energy Equipment & Services — 3.4%

 

 

 

 

 

 

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

205

 

 

218,838

 

Calfrac Holdings LP, 7.50%, 12/01/20 (d)

 

 

585

 

 

573,300

 

Compagnie Générale de Géophysique, Veritas:

 

 

 

 

 

 

 

7.75%, 5/15/17

 

 

365

 

 

381,425

 

6.50%, 6/01/21

 

 

1,855

 

 

1,931,519

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

540

 

 

523,800

 

FTS International Services Inc, 8.13%, 11/15/18 (d)

 

 

2,595

 

 

2,679,337

 

Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d)

 

 

230

 

 

234,600

 

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

 

 

465

 

 

474,300

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

665

 

 

676,637

 

MEG Energy Corp. (d):

 

 

 

 

 

 

 

6.50%, 3/15/21

 

 

1,790

 

 

1,883,975

 

6.38%, 1/30/23

 

 

670

 

 

698,475

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

470

 

 

499,375

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Peabody Energy Corp.:

 

 

 

 

 

 

 

6.25%, 11/15/21 (d)

 

USD

2,060

 

$

2,096,050

 

7.88%, 11/01/26

 

 

555

 

 

592,463

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

 

115

 

 

120,750

 

6.50%, 12/15/21

 

 

440

 

 

462,000

 

 

 

 

 

 

 

14,046,844

 

Food & Staples Retailing — 0.2%

 

 

 

 

 

 

 

Bakkavor Finance 2 Plc, 8.25%, 2/15/18

 

GBP

311

 

 

434,563

 

Rite Aid Corp., 9.25%, 3/15/20

 

USD

555

 

 

570,263

 

 

 

 

 

 

 

1,004,826

 

Food Products — 0.4%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

170

 

 

192,525

 

Del Monte Corp., 7.63%, 2/15/19

 

 

90

 

 

89,888

 

Post Holdings, Inc., 7.38%, 2/15/22 (d)

 

 

640

 

 

674,400

 

Smithfield Foods, Inc., 6.63%, 8/15/22

 

 

867

 

 

887,591

 

 

 

 

 

 

 

1,844,404

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

Biomet, Inc. (d):

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

285

 

 

301,566

 

6.50%, 8/01/20

 

 

1,042

 

 

1,081,075

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

766

 

 

799,512

 

8.75%, 3/15/18 (d)

 

 

665

 

 

706,563

 

7.75%, 4/15/18

 

 

155

 

 

141,825

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (d)

 

 

965

 

 

1,025,312

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (d)

 

 

308

 

 

345,345

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (d)

 

 

800

 

 

921,000

 

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%,
11/01/19 (d)

 

 

430

 

 

390,225

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

435

 

 

465,450

 

 

 

 

 

 

 

6,177,873

 

Health Care Providers & Services — 7.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

845

 

 

878,800

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

5.13%, 8/15/18

 

 

1,180

 

 

1,216,875

 

7.13%, 7/15/20

 

 

669

 

 

700,777

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (d)

 

EUR

694

 

 

934,017

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (d)

 

GBP

547

 

 

875,069

 

DaVita, Inc., 5.75%, 8/15/22

 

USD

1,369

 

 

1,423,760

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

200

 

 

225,500

 

6.50%, 2/15/20

 

 

3,480

 

 

3,823,650

 

7.88%, 2/15/20

 

 

135

 

 

150,694

 

7.25%, 9/15/20

 

 

3,840

 

 

4,255,200

 

5.88%, 3/15/22

 

 

405

 

 

430,819

 

Hologic, Inc., 6.25%, 8/01/20 (d)

 

 

2,366

 

 

2,505,002

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

2,299

 

 

2,192,671

 

INC Research LLC, 11.50%, 7/15/19 (d)

 

 

605

 

 

592,900

 

inVentiv Health, Inc., 10.00%, 8/15/18 (d)

 

 

195

 

 

164,288

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,460

 

 

1,609,650

 

PSS World Medical, Inc., 6.38%, 3/01/22

 

 

494

 

 

522,405

 

Symbion, Inc., 8.00%, 6/15/16

 

 

510

 

 

515,419

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

1,042

 

 

1,198,300

 

6.25%, 11/01/18

 

 

485

 

 

526,528

 

8.88%, 7/01/19

 

 

4,505

 

 

5,124,437

 

United Surgical Partners International, Inc., 9.00%,
4/01/20 (d)

 

 

430

 

 

461,713

 

Vanguard Health Holding Co. II LLC, 7.75%,
2/01/19 (d)

 

 

685

 

 

714,112

 

 

 

 

 

 

 

31,042,586

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

37




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (d)

 

USD

3,550

 

$

4,171,250

 

Hotels, Restaurants & Leisure — 4.5%

 

 

 

 

 

 

 

Affinity Gaming LLC/Affinity Gaming Finance Corp.,
9.00%, 5/15/18 (d)

 

 

425

 

 

432,438

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

2,115

 

 

2,278,912

 

10.00%, 12/15/18

 

 

3,962

 

 

2,496,060

 

8.50%, 2/15/20 (d)

 

 

455

 

 

448,744

 

Caesars Operating Escrow LLC, 9.00%, 2/15/20 (d)

 

 

2,472

 

 

2,459,640

 

Carlson Wagonlit BV, 6.88%, 6/15/19 (d)

 

 

485

 

 

504,400

 

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

 

EUR

305

 

 

336,634

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

USD

1,770

 

 

1,882,838

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (d)

 

 

200

 

 

195,000

 

Enterprise Inns Plc, 6.50%, 12/06/18

 

GBP

477

 

 

655,155

 

Gategroup Finance Luxembourg SA, 6.75%,
3/01/19

 

EUR

345

 

 

443,705

 

Little Traverse Bay Bands of Odawa Indians,
9.00%, 8/31/20 (d)

 

USD

433

 

 

394,030

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

295

 

 

334,825

 

4.25%, 4/15/15 (e)

 

 

1,600

 

 

1,616,000

 

11.13%, 11/15/17

 

 

2,085

 

 

2,319,562

 

MTR Gaming Group, Inc., 11.50%, 8/01/19 (c)

 

 

221

 

 

227,180

 

Travelport LLC:

 

 

 

 

 

 

 

5.05%, 9/01/14 (b)

 

 

245

 

 

173,950

 

9.88%, 9/01/14

 

 

55

 

 

43,725

 

9.00%, 3/01/16

 

 

180

 

 

127,800

 

6.46%, 12/01/16 (b)(c)(d)

 

 

619

 

 

478,188

 

Tropicana Entertainment LLC, 9.63%,
12/15/14 (a)(g)

 

 

475

 

 

 

Wynn Las Vegas LLC, 5.38%, 3/15/22 (d)

 

 

910

 

 

930,475

 

 

 

 

 

 

 

18,779,261

 

Household Durables — 1.8%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (d)

 

 

55

 

 

56,238

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

447

 

 

605,810

 

Libbey Glass, Inc., 6.88%, 5/15/20 (d)

 

USD

905

 

 

964,956

 

Pulte Group, Inc., 6.38%, 5/15/33

 

 

280

 

 

243,600

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

500

 

 

527,500

 

Spie BondCo 3 SCA, 11.00%, 8/15/19

 

EUR

446

 

 

569,393

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

USD

2,210

 

 

2,668,575

 

8.38%, 1/15/21

 

 

1,575

 

 

1,756,125

 

 

 

 

 

 

 

7,392,197

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA:

 

 

 

 

 

 

 

7.50%, 4/15/18

 

EUR

105

 

 

134,050

 

7.50%, 4/15/18 (d)

 

 

220

 

 

280,867

 

9.00%, 4/15/19

 

 

213

 

 

246,478

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18 (d)

 

USD

865

 

 

987,181

 

9.50%, 6/15/18

 

 

530

 

 

604,863

 

 

 

 

 

 

 

2,253,439

 

Independent Power Producers &
Energy Traders — 2.9%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21

 

 

405

 

 

463,725

 

Calpine Corp. (d):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

265

 

 

283,550

 

7.50%, 2/15/21

 

 

150

 

 

166,500

 

7.88%, 1/15/23

 

 

655

 

 

740,150

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

2,790

 

 

3,075,975

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders (concluded)

 

 

 

 

 

 

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

6.88%, 8/15/17 (d)

 

USD

450

 

$

459,563

 

10.00%, 12/01/20

 

 

3,777

 

 

4,239,682

 

11.75%, 3/01/22 (d)

 

 

518

 

 

551,670

 

GenOn REMA LLC, 9.24%, 7/02/17

 

 

357

 

 

383,853

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

730

 

 

828,550

 

7.38%, 5/01/22

 

 

550

 

 

591,250

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

488

 

 

500,200

 

 

 

 

 

 

 

12,284,668

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (d):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,550

 

 

3,727,500

 

13.50%, 12/01/15

 

 

5,797

 

 

6,144,584

 

 

 

 

 

 

 

9,872,084

 

Insurance — 1.0%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (d)(h)

 

 

2,500

 

 

2,584,375

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (d)

 

 

543

 

 

593,906

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

630

 

 

643,734

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (d)

 

 

375

 

 

335,625

 

 

 

 

 

 

 

4,157,640

 

IT Services — 3.1%

 

 

 

 

 

 

 

Ceridian Corp., 8.88%, 7/15/19 (d)

 

 

2,185

 

 

2,343,413

 

Epicor Software Corp., 8.63%, 5/01/19

 

 

820

 

 

844,600

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (d)

 

 

2,315

 

 

2,390,237

 

8.88%, 8/15/20 (d)

 

 

795

 

 

866,550

 

6.75%, 11/01/20 (d)

 

 

1,310

 

 

1,300,175

 

8.25%, 1/15/21 (d)

 

 

890

 

 

882,213

 

12.63%, 1/15/21

 

 

2,415

 

 

2,445,187

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

810

 

 

860,625

 

7.63%, 11/15/20

 

 

880

 

 

943,800

 

 

 

 

 

 

 

12,876,800

 

Machinery — 1.2%

 

 

 

 

 

 

 

SPX Corp., 6.88%, 9/01/17

 

 

260

 

 

288,600

 

UR Financing Escrow Corp., 5.75%, 7/15/18 (d)

 

 

379

 

 

400,792

 

UR Merger Sub Corp. (d):

 

 

 

 

 

 

 

7.38%, 5/15/20

 

 

655

 

 

694,300

 

7.63%, 4/15/22

 

 

3,206

 

 

3,462,480

 

 

 

 

 

 

 

4,846,172

 

Media — 12.9%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,200

 

 

858,000

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

330

 

 

373,725

 

CCO Holdings LLC:

 

 

 

 

 

 

 

6.50%, 4/30/21

 

 

744

 

 

797,940

 

5.25%, 9/30/22

 

 

1,450

 

 

1,435,500

 

Cengage Learning Acquisitions, Inc., 11.50%,
4/15/20 (d)

 

 

1,850

 

 

1,947,125

 

Checkout Holding Corp., 16.00%, 11/15/15 (d)(f)

 

 

995

 

 

606,950

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

375

 

 

420,000

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

658

 

 

564,235

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

2,201

 

 

2,382,583

 

Series B, 9.25%, 12/15/17

 

 

7,938

 

 

8,622,652

 

Series B, 7.63%, 3/15/20

 

 

2,411

 

 

2,338,670

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

1,048

 

 

1,049,133

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,198

 

 

1,199,461

 

Shares Loan, 4.00%, 8/15/18

 

 

1,236

 

 

1,237,066

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

580

 

 

637,275

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

38

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

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)

 

 

 

 

 

 

 

DISH DBS Corp., 5.88%, 7/15/22 (d)

 

USD

1,710

 

$

1,722,825

 

Harron Communications LP, 9.13%, 4/01/20 (d)

 

 

470

 

 

508,775

 

Intelsat Jackson Holdings SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,302

 

 

1,370,355

 

7.25%, 10/15/20 (d)

 

 

1,210

 

 

1,303,775

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

910

 

 

955,500

 

11.50%, 2/04/17 (c)

 

 

1,765

 

 

1,853,250

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,990

 

 

2,243,725

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

500

 

 

558,750

 

Kabel Deutschland Vertrieb und Service GmbH &
Co. KG, 6.50%, 6/29/18 (d)

 

EUR

505

 

 

684,416

 

Lamar Media Corp., 5.88%, 2/01/22

 

USD

210

 

 

222,600

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (d)

 

 

1,130

 

 

1,209,100

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (d)

 

 

743

 

 

828,445

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

91

 

 

103,285

 

7.75%, 10/15/18

 

 

3,340

 

 

3,757,500

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (d)

 

GBP

308

 

 

485,390

 

ProQuest LLC, 9.00%, 10/15/18 (d)

 

USD

745

 

 

683,538

 

Truven Health Analytics, Inc., 10.63%, 6/01/20 (d)

 

 

760

 

 

811,300

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

235

 

 

332,161

 

9.63%, 12/01/19 (d)

 

 

845

 

 

1,194,368

 

9.50%, 3/15/21

 

 

518

 

 

743,570

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (d)

 

USD

1,382

 

 

1,496,015

 

8.13%, 12/01/17 (d)

 

EUR

180

 

 

244,233

 

7.50%, 3/15/19

 

 

1,249

 

 

1,720,236

 

UPC Holding BV, 9.88%, 4/15/18 (d)

 

USD

640

 

 

718,400

 

UPCB Finance II Ltd.:

 

 

 

 

 

 

 

6.38%, 7/01/20

 

EUR

514

 

 

675,602

 

6.38%, 7/01/20 (d)

 

 

1,218

 

 

1,600,940

 

WaveDivision Escrow LLC/WaveDivision Escrow
Corp., 8.13%, 9/01/20 (d)

 

USD

445

 

 

458,350

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (d)

 

EUR

583

 

 

804,794

 

Ziggo Finance BV, 6.13%, 11/15/17 (d)

 

 

102

 

 

136,956

 

 

 

 

 

 

 

53,898,469

 

Metals & Mining — 3.7%

 

 

 

 

 

 

 

Eco-Bat Finance Plc, 7.75%, 2/15/17

 

 

585

 

 

743,171

 

FMG Resources August 2006 Property Ltd. (d):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

520

 

 

495,300

 

6.88%, 4/01/22

 

 

270

 

 

248,400

 

Global Brass and Copper, Inc., 9.50%, 6/01/19 (d)

 

 

445

 

 

468,363

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

1,575

 

 

1,815,187

 

Kaiser Aluminum Corp., 8.25%, 6/01/20 (d)

 

 

330

 

 

349,800

 

New Gold, Inc., 7.00%, 4/15/20 (d)

 

 

225

 

 

236,813

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

990

 

 

1,238,996

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)

 

USD

2,170

 

 

2,758,612

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,920

 

 

5,498,100

 

Schmolz + Bickenbach Luxembourg SA, 9.88%,
5/15/19

 

EUR

364

 

 

369,705

 

Steel Dynamics, Inc., 6.38%, 8/15/22 (d)

 

USD

355

 

 

367,425

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

605

 

 

576,263

 

Vedanta Resources Plc, 8.25%, 6/07/21 (d)

 

 

415

 

 

396,325

 

 

 

 

 

 

 

15,562,460

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp., 4.13%, 7/15/17 (b)

 

USD

1,169

 

$

1,215,760

 

Oil, Gas & Consumable Fuels — 10.8%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

405

 

 

420,187

 

Alpha Appalachia Holdings, Inc., 3.25%,
8/01/15 (e)

 

 

1,222

 

 

1,096,745

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

470

 

 

423,000

 

6.25%, 6/01/21

 

 

385

 

 

344,575

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (d)

 

 

990

 

 

1,034,550

 

Berry Petroleum Co., 6.38%, 9/15/22

 

 

605

 

 

644,325

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (d)

 

 

375

 

 

382,500

 

CCS, Inc., 11.00%, 11/15/15 (d)

 

 

840

 

 

869,400

 

Chaparral Energy, Inc., 7.63%, 11/15/22 (d)

 

 

325

 

 

343,688

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

7.25%, 12/15/18

 

 

25

 

 

26,188

 

6.63%, 8/15/20

 

 

260

 

 

267,150

 

6.88%, 11/15/20

 

 

260

 

 

269,750

 

6.13%, 2/15/21

 

 

885

 

 

878,362

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (d)

 

 

172

 

 

183,180

 

Concho Resources, Inc.:

 

 

 

 

 

 

 

7.00%, 1/15/21

 

 

245

 

 

273,175

 

6.50%, 1/15/22

 

 

160

 

 

172,800

 

5.50%, 10/01/22

 

 

700

 

 

722,750

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

2,595

 

 

2,796,112

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

545

 

 

610,400

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

445

 

 

465,025

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

 

265

 

 

282,888

 

7.13%, 6/01/22 (d)

 

 

225

 

 

223,875

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

886

 

 

886,408

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

65

 

 

73,775

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

825

 

 

919,875

 

7.75%, 6/15/19

 

 

1,330

 

 

1,413,125

 

EP Energy LLC/EP Energy Finance, Inc., 6.88%,
5/01/19 (d)

 

 

510

 

 

546,975

 

EP Energy LLC/Everest Acquisition Finance, Inc.,
7.75%, 9/01/22 (d)

 

 

315

 

 

315,788

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

215

 

 

221,988

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (d)

 

 

1,115

 

 

1,226,500

 

Holly Energy Partners LP, 6.50%, 3/01/20 (d)

 

 

230

 

 

240,350

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d)

 

 

510

 

 

541,875

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (d)

 

 

145

 

 

144,275

 

6.25%, 11/01/19 (d)

 

 

3,010

 

 

2,972,375

 

8.63%, 4/15/20

 

 

330

 

 

356,400

 

7.75%, 2/01/21

 

 

305

 

 

317,963

 

MarkWest Energy Partners LP:

 

 

 

 

 

 

 

6.25%, 6/15/22

 

 

120

 

 

127,500

 

5.50%, 2/15/23

 

 

350

 

 

357,875

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

1,150

 

 

1,256,375

 

Northern Oil and Gas, Inc., 8.00%, 6/01/20 (d)

 

 

460

 

 

469,200

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

385

 

 

406,175

 

6.50%, 11/01/21

 

 

430

 

 

438,600

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15

 

 

485

 

 

535,925

 

11.50%, 8/01/15 (d)

 

 

1,965

 

 

2,171,325

 

OGX Petroleo e Gas Participações SA (d):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

3,442

 

 

3,054,775

 

8.38%, 4/01/22

 

 

835

 

 

709,750

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (d)

 

 

435

 

 

454,575

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (d)

 

 

1,775

 

 

1,814,937

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)

 

 

650

 

 

693,875

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

39




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

USD

680

 

$

823,275

 

7.50%, 1/15/20

 

 

215

 

 

268,894

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

515

 

 

569,075

 

5.75%, 6/01/21

 

 

1,445

 

 

1,537,119

 

5.00%, 8/15/22

 

 

644

 

 

670,565

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

905

 

 

968,350

 

Samson Investment Co., 9.75%, 2/15/20 (d)

 

 

123

 

 

126,690

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21 (d)

 

 

1,015

 

 

1,027,687

 

7.50%, 3/15/21

 

 

375

 

 

379,687

 

8.13%, 10/15/22 (d)

 

 

375

 

 

391,875

 

7.50%, 2/15/23 (d)

 

 

810

 

 

814,050

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

480

 

 

508,800

 

7.13%, 12/15/21

 

 

345

 

 

383,812

 

SM Energy Co.:

 

 

 

 

 

 

 

6.63%, 2/15/19

 

 

195

 

 

203,775

 

6.50%, 11/15/21

 

 

390

 

 

407,550

 

6.50%, 1/01/23 (d)

 

 

185

 

 

192,863

 

Vanguard Natural Resources, 7.88%, 4/01/20

 

 

400

 

 

400,000

 

 

 

 

 

 

 

45,073,251

 

Paper & Forest Products — 1.5%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(d)

 

 

1,861

 

 

1,693,524

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

85

 

 

94,138

 

8.00%, 4/01/20

 

 

180

 

 

198,900

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

585

 

 

653,737

 

7.13%, 11/01/18

 

 

865

 

 

945,012

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (d)

 

 

505

 

 

522,675

 

NewPage Corp., 11.38%, 12/31/14 (a)(g)

 

 

3,130

 

 

2,120,575

 

Sappi Papier Holding GmbH, 8.38%, 6/15/19 (d)

 

 

200

 

 

210,500

 

 

 

 

 

 

 

6,439,061

 

Pharmaceuticals — 1.0%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

100

 

 

140,559

 

9.88%, 8/01/19 (d)

 

 

300

 

 

421,678

 

Pharmaceutical Product Development, Inc.,
9.50%, 12/01/19 (d)

 

USD

520

 

 

579,800

 

Spectrum Brands, Inc., 6.75%, 3/15/20 (d)

 

 

385

 

 

404,250

 

Valeant Pharmaceuticals International (d):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

1,845

 

 

1,946,475

 

6.75%, 8/15/21

 

 

840

 

 

852,600

 

 

 

 

 

 

 

4,345,362

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

1,370

 

 

1,462,475

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

1,790

 

 

1,919,775

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

770

 

 

811,387

 

 

 

 

 

 

 

2,731,162

 

Real Estate Management & Development — 2.3%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

500

 

 

546,250

 

Crescent Resources LLC/Crescent Ventures, Inc.,
10.25%, 8/15/17 (d)

 

 

1,050

 

 

1,076,250

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

687

 

 

683,136

 

IVG Immobilien AG, 8.00% (i)

 

EUR

200

 

 

114,208

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Real Estate Management & Development
(concluded)

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

USD

575

 

$

610,937

 

12.00%, 4/15/17

 

 

145

 

 

151,888

 

7.88%, 2/15/19 (d)

 

 

2,995

 

 

3,084,850

 

7.63%, 1/15/20 (d)

 

 

750

 

 

817,500

 

9.00%, 1/15/20 (d)

 

 

485

 

 

523,800

 

Shea Homes LP, 8.63%, 5/15/19

 

 

1,775

 

 

1,974,687

 

 

 

 

 

 

 

9,583,506

 

Road & Rail — 1.2%

 

 

 

 

 

 

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

610

 

 

640,500

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

820

 

 

884,575

 

6.75%, 4/15/19 (d)

 

 

430

 

 

451,500

 

7.38%, 1/15/21

 

 

610

 

 

663,375

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

221

 

 

301,602

 

8.50%, 7/31/15 (d)

 

 

1,661

 

 

2,266,788

 

 

 

 

 

 

 

5,208,340

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

USD

850

 

 

828,750

 

Software — 1.3%

 

 

 

 

 

 

 

Audatex North America, Inc., 6.75%, 6/15/18 (d)

 

 

770

 

 

825,825

 

Infor US, Inc., 9.38%, 4/01/19 (d)

 

 

2,450

 

 

2,652,125

 

Nuance Communications, Inc., 5.38%, 8/15/20 (d)

 

 

1,295

 

 

1,324,137

 

Sophia LP, 9.75%, 1/15/19 (d)

 

 

645

 

 

693,375

 

 

 

 

 

 

 

5,495,462

 

Specialty Retail — 2.8%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

540

 

 

596,700

 

Claire’s Stores, Inc., 9.00%, 3/15/19 (d)

 

 

730

 

 

757,375

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (d)

 

GBP

420

 

 

592,705

 

8.88%, 8/15/18

 

 

221

 

 

311,876

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

1,170

 

 

1,404,000

 

5.63%, 2/15/22

 

 

235

 

 

247,338

 

Party City Holdings, Inc., 8.88%, 8/01/20 (d)

 

 

1,170

 

 

1,237,275

 

Penske Automotive Group, Inc., 5.75%,
10/01/22 (d)

 

 

800

 

 

816,000

 

Phones4u Finance Plc, 9.50%, 4/01/18 (d)

 

GBP

545

 

 

835,091

 

QVC, Inc. (d):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

340

 

 

359,625

 

7.50%, 10/01/19

 

 

920

 

 

1,019,373

 

7.38%, 10/15/20

 

 

440

 

 

490,279

 

5.13%, 7/02/22

 

 

632

 

 

662,426

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19

 

 

805

 

 

899,587

 

5.75%, 6/01/22

 

 

640

 

 

688,800

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

550

 

 

600,875

 

 

 

 

 

 

 

11,519,325

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%, 5/01/22

 

 

645

 

 

669,188

 

Trading Companies & Distributors — 0.7%

 

 

 

 

 

 

 

Ashtead Capital, Inc., 6.50%, 7/15/22 (d)

 

 

735

 

 

764,400

 

Doric Nimrod Air Finance Alpha Ltd. (d):

 

 

 

 

 

 

 

Series 2012-1, Class A, 5.13%, 11/30/24

 

 

1,130

 

 

1,146,950

 

Series 2012-1, Class B, 6.50%, 5/30/21

 

 

855

 

 

865,106

 

 

 

 

 

 

 

2,776,456

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (d)

 

 

632

 

 

665,970

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

40

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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

 

Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/16

 

USD

900

 

$

949,500

 

7.75%, 10/15/20

 

 

325

 

 

315,250

 

Digicel Group Ltd. (d):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

2,787

 

 

2,814,870

 

8.25%, 9/01/17

 

 

1,650

 

 

1,749,000

 

10.50%, 4/15/18

 

 

1,480

 

 

1,598,400

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

296

 

 

403,024

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

1,150

 

 

1,190,250

 

NII Capital Corp., 7.63%, 4/01/21

 

 

517

 

 

399,383

 

SBA Telecommunications, Inc., 5.75%, 7/15/20 (d)

 

 

422

 

 

440,990

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

2,703

 

 

2,446,215

 

Sprint Nextel Corp. (d):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

2,640

 

 

3,115,200

 

7.00%, 3/01/20

 

 

1,960

 

 

2,146,200

 

 

 

 

 

 

 

17,568,282

 

Total Corporate Bonds — 104.6%

 

 

 

 

 

435,936,342

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17

 

 

651

 

 

655,226

 

Auto Components — 0.6%

 

 

 

 

 

 

 

Federal-Mogul Corp., Term Loan B, 2.17%,
12/29/14

 

 

1,791

 

 

1,708,812

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

735

 

 

737,146

 

 

 

 

 

 

 

2,445,958

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

748

 

 

757,545

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

American Capital Holdings, Term Loan, 5.50%,
7/19/16

 

 

1,197

 

 

1,201,489

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

995

 

 

999,477

 

Second Lien Term Loan, 8.25%, 2/28/19

 

 

615

 

 

618,844

 

 

 

 

 

 

 

2,819,810

 

Chemicals — 0.7%

 

 

 

 

 

 

 

Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19

 

 

250

 

 

252,345

 

INEOS US Finance LLC, 6 Year Term Loan, 6.50%,
5/04/18

 

 

1,696

 

 

1,698,226

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B,
3.98%, 7/30/14

 

 

348

 

 

341,624

 

Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17

 

 

552

 

 

513,695

 

 

 

 

 

 

 

2,805,890

 

Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

676

 

 

675,572

 

Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16

 

 

875

 

 

883,750

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

1,474

 

 

1,473,750

 

 

 

 

 

 

 

3,033,072

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.18%, 10/24/14

 

 

373

 

 

358,107

 

Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19

 

 

3,075

 

 

3,120,172

 

 

 

 

 

 

 

3,478,279

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

3,000

 

 

3,000,000

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17

 

USD

1,650

 

$

1,685,755

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 5.50%, 5/10/17

 

 

7,480

 

 

7,223,810

 

Diversified Consumer Services — 0.1%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 6/18/18

 

 

214

 

 

208,659

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.74%, 7/24/14

 

 

12

 

 

12,416

 

Term Loan, 2.75% – 2.97%, 7/24/14

 

 

125

 

 

124,686

 

 

 

 

 

 

 

345,761

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Residential Capital LLC:

 

 

 

 

 

 

 

DIP Term Loan A1, 5.00%, 11/18/13

 

 

1,850

 

 

1,854,625

 

DIP Term Loan A2, 6.75%, 11/18/13

 

 

270

 

 

273,151

 

 

 

 

 

 

 

2,127,776

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

2016 Term Loan B, 4.75%, 2/01/16

 

 

500

 

 

501,000

 

2019 Term Loan B, 5.25%, 8/01/19

 

 

405

 

 

405,591

 

Term Loan B3, 5.75%, 8/31/18

 

 

1,200

 

 

1,203,168

 

 

 

 

 

 

 

2,109,759

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan, 4.00%, 7/14/17

 

 

404

 

 

398,710

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co. Term Loan,
9.25%, 8/04/16

 

 

2,928

 

 

3,037,399

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

5,359

 

 

5,609,925

 

Tervita Corp., Incremental Term Loan, 6.50%,
10/17/14

 

 

403

 

 

402,640

 

 

 

 

 

 

 

9,049,964

 

Food & Staples Retailing — 0.0%

 

 

 

 

 

 

 

US Foods, Inc. (FKA US Foodservice, Inc.),
Extended Term Loan B, 5.75%, 3/31/17

 

 

114

 

 

109,973

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

1,300

 

 

1,307,800

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19

 

 

705

 

 

707,348

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

1,117

 

 

1,121,389

 

LHP Hospital Group, Inc., Term Loan, 9.00%,
7/03/18

 

 

415

 

 

418,113

 

 

 

 

 

 

 

2,246,850

 

Health Care Providers & Services — 0.5%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add on Term Loan A, 7.75%, 3/02/15

 

 

590

 

 

572,205

 

Term Loan A, 8.50%, 3/02/15

 

 

514

 

 

504,009

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

1,069

 

 

994,998

 

 

 

 

 

 

 

2,071,212

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6, 5.49%, 1/26/18

 

 

300

 

 

263,718

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

716

 

 

730,453

 

Term Loan B1, 3.24%, 1/28/15

 

 

602

 

 

570,942

 

Term Loan B2, 3.24%, 1/28/15

 

 

655

 

 

620,722

 

Term Loan B3, 3.24% – 3.46%, 1/28/15

 

 

1,422

 

 

1,348,141

 


 

 

 

 

See Notes to Financial Statements.

 

 

       

 

 

ANNUAL REPORT

AUGUST 31, 2012

41




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.49% – 2.56%, 6/14/13

 

USD

14

 

$

13,808

 

Term Loan B, 2.56%, 6/14/14

 

 

140

 

 

139,168

 

Sabre, Inc., Non-Extended Initial Term Loan,
2.23%, 9/30/14

 

 

95

 

 

94,442

 

Station Casinos, Inc., Term Loan B1, 3.23%,
6/17/16

 

 

1,281

 

 

1,217,343

 

Travelport LLC:

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.44%, 9/28/12

 

 

285

 

 

85,468

 

Extended Tranche B Term Loan, 13.94%,
12/01/16

 

 

918

 

 

73,480

 

 

 

 

 

 

 

5,157,685

 

Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

263

 

 

263,372

 

Term Loan, 3.69% – 3.72%, 12/03/14

 

 

225

 

 

223,454

 

 

 

 

 

 

 

486,826

 

IT Services — 0.3%

 

 

 

 

 

 

 

Ceridian Corp., Extended Term Loan, 5.99%, 5/09/17

 

 

104

 

 

103,871

 

First Data Corp., Extended 2018 Term Loan B,
4.24%, 3/23/18

 

 

1,160

 

 

1,095,237

 

 

 

 

 

 

 

1,199,108

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/19/13

 

 

965

 

 

956,033

 

Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., Term Loan B, 7.00%,
8/17/17

 

 

1,000

 

 

1,004,573

 

Rexnord Corp., Term Loan B, 5.00%, 4/02/18

 

 

876

 

 

879,041

 

 

 

 

 

 

 

1,883,614

 

Media — 4.7%

 

 

 

 

 

 

 

Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15

 

 

69

 

 

58,863

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Non-Extended Term Loan, 2.49%, 7/03/14

 

 

482

 

 

444,174

 

Tranche 1 Incremental, 7.50%, 7/03/14

 

 

2,400

 

 

2,310,000

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/14/19

 

 

738

 

 

736,615

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.88%, 1/28/16

 

 

2,865

 

 

2,218,758

 

Term Loan C, 3.88%, 1/28/16

 

 

558

 

 

424,284

 

EMI Music Publishing Ltd., Term Loan B, 5.50%,
6/29/18

 

 

635

 

 

639,286

 

Intelsat Jackson Holdings SA, Tranche B Term Loan,
5.25%, 4/02/18

 

 

9,390

 

 

9,420,457

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

608

 

 

609,352

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

2,150

 

 

2,161,653

 

Univision Communications, Inc., Extended Term Loan,
4.48%, 3/31/17

 

 

450

 

 

434,600

 

 

 

 

 

 

 

19,458,042

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

Constellium Holdco BV, Term Loan B, 9.25%,
5/25/18

 

 

630

 

 

617,400

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

HEMA Holding BV, Mezzanine, 8.64%, 7/05/17

 

EUR

1,443

 

 

1,506,252

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Chesapeake Energy Corp., Unsecured Term Loan,
8.50%, 12/01/17

 

USD

1,760

 

$

1,763,784

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

1,487

 

 

1,486,883

 

 

 

 

 

 

 

3,250,667

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., Term Loan, 5.25%,
6/26/14

 

 

580

 

 

561,150

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

900

 

 

908,442

 

Verso Paper Finance Holdings LLC, Term Loan,
6.50% – 7.24%, 2/01/13

 

 

2,238

 

 

1,118,984

 

 

 

 

 

 

 

2,588,576

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

1,478

 

 

1,471,959

 

Pharmaceutical Product Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

462

 

 

467,392

 

 

 

 

 

 

 

1,939,351

 

Professional Services — 0.1%

 

 

 

 

 

 

 

Truven Health Analytics, Term Loan B, 6.75%,
6/06/19

 

 

550

 

 

553,894

 

Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

2,230

 

 

2,231,707

 

Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.50%, 10/10/16

 

 

163

 

 

157,596

 

Extended Term Loan, 4.49%, 10/10/16

 

 

1,084

 

 

1,046,757

 

Stockbridge SBE Holdings LLC, Term Loan B,
13.00%, 5/02/17

 

 

275

 

 

273,625

 

 

 

 

 

 

 

1,477,978

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

99

 

 

100,681

 

Software — 0.4%

 

 

 

 

 

 

 

Infor US, Inc. (FKA Lawson Software, Inc.),
Term Loan B, 6.25%, 4/05/18

 

 

1,815

 

 

1,834,113

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%,
5/29/14

 

 

574

 

 

563,408

 

Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Ascend Performance Materials LLC, Term Loan B,
6.75%, 4/10/18

 

 

1,636

 

 

1,620,899

 

Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

104

 

 

103,747

 

Vodafone Americas Finance 2, Inc. (c):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

3,046

 

 

3,167,528

 

Term Loan B, 6.25%, 7/11/16

 

 

1,908

 

 

1,945,969

 

 

 

 

 

 

 

5,217,244

 

Total Floating Rate Loan Interests — 24.1%

 

 

 

 

 

100,316,628

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. Escrow

 

 

790

 

 

8,394

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate (a)

 

 

4,650

 

 

47

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (a)

 

 

970

 

 

10

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

42

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

USD

1,250

 

$

12

 

Adelphia Recovery Trust (a)

 

 

1,568

 

 

157

 

 

 

 

 

 

 

169

 

Total Other Interests — 0.0%

 

 

 

 

 

8,620

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

Par
(000)

 

 

 

 

Capital Trusts — 0.2%

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (b)

 

 

1,270

 

 

762,000

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.7%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (d)(e)

 

 

25,990

 

 

3,037,581

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (d)

 

 

6,500

 

 

5,918,860

 

Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

13,326

 

 

306,231

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)

 

 

40,000

 

 

48,000

 

Freddie Mac, Series Z, 8.38% (a)

 

 

108,377

 

 

100,791

 

 

 

 

 

 

 

148,791

 

Total Preferred Stocks — 2.3%

 

 

 

 

 

9,411,463

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)

 

 

114,510

 

 

2,829,862

 

RBS Capital Funding Trust VII, 6.08% (a)(b)(g)(i)

 

 

42,900

 

 

735,306

 

Total Trust Preferreds — 0.8%

 

 

 

 

 

3,565,168

 

Total Preferred Securities — 3.3%

 

 

 

 

 

13,738,631

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/10/13)

 

 

1,100

 

 

46,258

 

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)

 

 

26,189

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

491

 

 

 

HMH Holdings/EduMedia (Issued/Exercisable
3/09/10, 19 Shares for 1 Warrant, Expires
6/22/19, Strike Price $42.27)

 

 

1,736

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

46,259

 

Total Investments (Cost — $569,171,553) — 140.2%

 

 

 

 

 

584,232,874

 

Liabilities in Excess of Other Assets — (40.2)%

 

 

 

 

 

(167,531,857

)

Net Assets — 100.0%

 

 

 

 

$

416,701,017

 


 

 

(a)

Non-income producing security.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(d)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(e)

Convertible security.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(h)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(i)

Security is perpetual in nature and has no stated maturity date.

 

 

(j)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(k)

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, if any.

 

 

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,171,689

 

 

(1,171,689

)

 

 

$

959

 


 

 

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 sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

   174

 

S&P 500
E-Mini
Index Future

 

Chicago
Mercantile

 

September
2012

 

USD

12,224,370

 

$

(840,806

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

94,000

 

USD

149,233

 

UBS AG

 

9/05/12

 

$

25

 

GBP

130,000

 

USD

204,343

 

Citigroup, Inc.

 

10/17/12

 

 

2,048

 

GBP

239,000

 

USD

374,431

 

Citigroup, Inc.

 

10/17/12

 

 

5,009

 

GBP

127,000

 

USD

200,904

 

Royal Bank of

 

10/17/12

 

 

723

 

 

 

 

 

 

 

Scotland Group Plc

 

 

 

 

 

 

USD

110,094

 

AUD

109,000

 

Citigroup, Inc.

 

10/17/12

 

 

(2,080

)

USD

191,230

 

AUD

188,000

 

UBS AG

 

10/17/12

 

 

(2,243

)

USD

4,956,788

 

CAD

5,034,000

 

UBS AG

 

10/17/12

 

 

(145,375

)

USD

407,359

 

GBP

260,000

 

Citigroup, Inc.

 

10/17/12

 

 

(5,421

)

USD

139,514

 

GBP

90,000

 

Deutsche Bank AG

 

10/17/12

 

 

(3,371

)

USD

5,455,889

 

GBP

3,514,500

 

UBS AG

 

10/17/12

 

 

(123,791

)

USD

411,031

 

GBP

265,000

 

UBS AG

 

10/17/12

 

 

(9,687

)

USD

62,726

 

GBP

40,000

 

UBS AG

 

10/17/12

 

 

(779

)

USD

149,213

 

GBP

94,000

 

UBS AG

 

10/17/12

 

 

(23

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

43




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

Foreign currency exchange contracts as of August 31, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

EUR

800,000

 

USD

991,377

 

Citigroup, Inc.

 

10/22/12

 

$

15,382

 

EUR

466,000

 

USD

571,666

 

Credit Suisse
Group AG

 

10/22/12

 

 

14,772

 

EUR

165,000

 

USD

207,448

 

UBS AG

 

10/22/12

 

 

196

 

EUR

70,000

 

USD

86,049

 

UBS AG

 

10/22/12

 

 

2,042

 

EUR

225,000

 

USD

279,212

 

UBS AG

 

10/22/12

 

 

3,939

 

USD

124,685

 

EUR

101,000

 

BNP Paribas SA

 

10/22/12

 

 

(2,418

)

USD

28,618,518

 

EUR

23,343,000

 

Citigroup, Inc.

 

10/22/12

 

 

(757,448

)

USD

826,223

 

EUR

665,000

 

Citigroup, Inc.

 

10/22/12

 

 

(10,646

)

USD

255,684

 

EUR

208,000

 

Citigroup, Inc.

 

10/22/12

 

 

(6,073

)

USD

18,562

 

EUR

15,000

 

Citigroup, Inc.

 

10/22/12

 

 

(315

)

USD

550,587

 

EUR

446,000

 

UBS AG

 

10/22/12

 

 

(10,681

)

USD

364,050

 

EUR

295,000

 

UBS AG

 

10/22/12

 

 

(7,192

)

USD

130,299

 

EUR

106,000

 

UBS AG

 

10/22/12

 

 

(3,096

)

USD

112,801

 

EUR

90,000

 

UBS AG

 

10/22/12

 

 

(460

)

Total

 

 

 

 

 

 

 

 

$

(1,046,963

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

155

 

$

(11,490

)

MGM Resorts
International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

130

 

 

(10,677

)

MGM Resorts
International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

250

 

 

(17,810

)

MGM Resorts
International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

130

 

 

(6,636

)

MGM Resorts
International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

130

 

 

(7,450

)

Republic of
Hungary

 

1.00%

 

Deutsche Bank AG

 

12/20/15

 

USD

450

 

 

8,185

 

Israel (State of)

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

USD

335

 

 

(7,509

)

Israel (State of)

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

USD

1,000

 

 

(23,041

)

Total

 

 

 

 

 

 

 

 

 

 

$

(76,428

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

Air Lease
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

2/14/13

 

Not Rated

 

USD

800

 

$

13,264

 

CIT
Group, Inc.

 

5.00%

 

Deutsche
Bank AG

 

9/20/15

 

BB–

 

USD

4,700

 

 

611,295

 

ARAMARK
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

3/20/16

 

B

 

USD

750

 

 

62,823

 

ARAMARK
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

6/20/16

 

B

 

USD

500

 

 

42,230

 

ARAMARK
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

6/20/16

 

B

 

USD

500

 

 

45,001

 

ARAMARK
Corp.

 

5.00%

 

Credit Suisse
Group AG

 

9/20/16

 

B

 

USD

200

 

 

23,894

 

ARAMARK
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

9/20/16

 

B

 

USD

450

 

 

39,429

 

ARAMARK
Corp.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

9/20/16

 

B

 

USD

200

 

 

23,236

 

ARAMARK
Corp.

 

5.00%

 

Deutsche
Bank AG

 

3/20/17

 

B

 

USD

295

 

 

19,473

 

Crown Castle
International
Corp.

 

7.25%

 

Deutsche
Bank AG

 

3/20/17

 

B–

 

USD

690

 

 

9,835

 

Ford
Motor Co.

 

5.00%

 

Deutsche
Bank AG

 

3/20/17

 

BB+

 

USD

2,200

 

 

96,904

 

Goodyear
Tire &
Rubber Co.

 

5.00%

 

Deutsche
Bank AG

 

6/20/17

 

B+

 

USD

460

 

 

21,435

 

Goodyear
Tire &
Rubber Co.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

6/20/17

 

B+

 

USD

500

 

 

17,619

 

CCO
Holdings LLC

 

8.00%

 

Deutsche
Bank AG

 

9/20/17

 

BB–

 

USD

2,400

 

 

195,516

 

Level 3
Communica-
tions, Inc.

 

5.00%

 

Goldman Sachs
Group, Inc.

 

6/20/19

 

CCC

 

USD

1,500

 

 

41,003

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

1,262,957

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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

 

 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Dow Jones CDX
North America
High Yield
Series 18,
Version 2

 

5.00%

 

Credit Suisse
Group AG

 

6/20/17

 

USD

2,673

 

$

(8,668

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

44

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

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 investments and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

26,415,876

 

$

1,015,216

 

$

6,755,302

 

$

34,186,394

 

Corporate Bonds

 

 

 

 

429,359,388

 

 

6,576,954

 

 

435,936,342

 

Floating Rate
Loan Interests

 

 

 

 

80,904,636

 

 

19,411,992

 

 

100,316,628

 

Other Interests

 

 

157

 

 

 

 

8,463

 

 

8,620

 

Preferred
Securities

 

 

4,020,190

 

 

9,718,441

 

 

 

 

13,738,631

 

Warrants

 

 

 

 

46,258

 

 

1

 

 

46,259

 

Total

 

$

30,436,223

 

$

521,043,939

 

$

32,752,712

 

$

584,232,874

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

441,232

 

$

829,910

 

$

1,271,142

 

Foreign currency
exchange
contracts

 

 

 

 

44,136

 

 

 

 

44,136

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(93,281

)

 

 

 

(93,281

)

Equity contracts

 

$

(840,806

)

 

 

 

 

 

(840,806

)

Foreign currency
exchange
contracts

 

 

 

 

(1,091,099

)

 

 

 

(1,091,099

)

Total

 

$

(840,806

)

$

(699,012

)

$

829,910

 

$

(709,908

)


 

 

 

 

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.

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, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

1,539,537

 

 

 

 

 

$

1,539,537

 

Foreign currency
at value

 

 

285,748

 

 

 

 

 

 

285,748

 

Cash pledged as
collateral for
financial futures
contracts

 

 

731,000

 

 

 

 

 

 

731,000

 

Cash pledged
as collateral
for swaps

 

 

400,000

 

 

 

 

 

 

400,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash received
as collateral
for swaps

 

 

 

$

(600,000

)

 

 

 

(600,000

)

Loan payable

 

 

 

 

(175,000,000

)

 

 

 

(175,000,000

)

Total

 

$

2,956,285

 

$

(175,600,000

)

 

 

$

(172,643,715

)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $11,248,714 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

Unobservable Inputs2

 

Range of
Unobservable
Inputs

 

Weighted Average
of Unobservable
Inputs3

Assets:

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

6,755,295

 

Market Comparable Companies

 

EBITDA Multiple

 

5.9x

 

5.9x

 

 

 

 

 

 

 

Forward EBITDA Multiple

 

4.6x

 

4.6x

 

 

 

 

 

Cost

 

N/A4

 

 

Corporate Bonds

 

 

6,182,924

 

Market Comparable Companies

 

Yield

 

7.00% – 9.67%

 

7.50%

 

 

 

 

 

 

 

EBITDA Multiple

 

6.0x

 

6.0x

 

 

 

 

 

Cost

 

N/A4

 

 

Floating Rate Loan Interests

 

 

5,195,198

 

Market Comparable Companies

 

Illiquidity Discount

 

50%

 

50%

 

 

 

 

 

 

 

Yield

 

9.65%

 

9.65%

 

 

 

 

 

Cost

 

N/A4

 

 

Total5

 

$

18,133,417

 

 

 

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

45




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

 

 

2

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

 

 

Unobservable Input

 

Impact to
Value if Input Increases

 

Impact to
Value if Input Decreases

EBITDA Multiple

 

Increase

 

Decrease

Forward EBITDA Multiple

 

Increase

 

Decrease

Yield

 

Decrease

 

Increase

Illiquidity Discount

 

Decrease

 

Increase


 

 

 

 

3

Unobservable inputs are weighted based on the value of the investments included in the range.

 

 

 

 

4

The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

 

 

 

5

Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

3,390,998

 

$

8,408,570

 

$

14,224,136

 

$

3,097,694

 

$

985,270

 

$

355,505

 

$

30,462,173

 

Transfers into Level 31

 

 

3,081,8722

 

 

 

 

4,979,715

 

 

 

 

 

 

 

 

8,061,587

 

Transfers out of Level 33

 

 

 

 

 

 

(2,219,875

)

 

(3,081,872

)2

 

 

 

 

 

(5,301,747

)

Accrued discounts/premiums

 

 

 

 

5,852

 

 

197,714

 

 

 

 

 

 

 

 

203,566

 

Net realized gain (loss)

 

 

(1,466,712

)

 

(3,496,785

)

 

46,329

 

 

 

 

(127,834

)

 

(300,060

)

 

(5,345,062

)

Net change in unrealized appreciation/depreciation4

 

 

14,032

 

 

3,435,600

 

 

(1,014,380

)

 

(7,359

)

 

(305,563

)

 

(55,444

)

 

2,066,886

 

Purchases

 

 

1,746,246

 

 

1,021,647

 

 

5,136,930

 

 

 

 

 

 

 

 

7,904,823

 

Sales

 

 

(11,134

)

 

(2,797,930

)

 

(1,938,577

)

 

 

 

(551,873

)

 

 

 

(5,299,514

)

Closing Balance, as of August 31, 2012

 

$

6,755,302

 

$

6,576,954

 

$

19,411,992

 

$

8,463

 

 

 

$

1

 

$

32,752,712

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,979,715 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

Transfers into and out of Level 3 are the result of a reclassification of certain Level 3 investments between Common Stocks and Other Interests and not the result of the investments transferring into or out of Level 3.

 

 

 

 

3

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $2,219,875 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(2,333,771).

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Assets:

 

 

 

 

Opening balance, as of August 31, 2011

 

 

 

Transfers into Level 35

 

 

 

Transfers out of Level 35

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation6

 

$

829,910

 

Purchases

 

 

 

Issues7

 

 

 

Sales

 

 

 

Settlements8

 

 

 

Closing Balance, as of August 31, 2012

 

$

829,910

 


 

 

 

 

5

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

6

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, 2012 was $829,910.

 

 

 

 

7

Issues represent upfront cash received on certain derivative financial instruments.

 

 

 

 

8

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

46

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Consolidated Schedule of Investments August 31, 2012

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 2.2%

 

 

 

 

 

 

 

Dana Holding Corp.

 

 

150,550

 

$

2,056,513

 

Delphi Automotive Plc (a)

 

 

250,665

 

 

7,592,646

 

 

 

 

 

 

 

9,649,159

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

Ironwood Pharmaceuticals, Inc. (a)

 

 

11,018

 

 

138,055

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

American Capital Ltd. (a)

 

 

80,782

 

 

887,794

 

E*Trade Financial Corp. (a)

 

 

116,200

 

 

995,834

 

 

 

 

 

 

 

1,883,628

 

Chemicals — 0.2%

 

 

 

 

 

 

 

ADA-ES, Inc. (a)

 

 

2,810

 

 

65,894

 

CF Industries Holdings, Inc.

 

 

1,580

 

 

327,076

 

Huntsman Corp.

 

 

21,750

 

 

312,765

 

 

 

 

 

 

 

705,735

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

26,710

 

 

1,008,570

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Loral Space & Communications Ltd.

 

 

21,531

 

 

1,580,806

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

360,332,790

 

 

2,389,367

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

34,800

 

 

749,940

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

116,910

 

 

351

 

Energy Equipment & Services — 1.1%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

70,588

 

 

3,043,358

 

Osum Oil Sands Corp. (a)

 

 

124,000

 

 

1,572,407

 

 

 

 

 

 

 

4,615,765

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd. (a)(b)(c)

 

 

118,935

 

 

15,462

 

Media — 2.2%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

36,341

 

 

265,289

 

Charter Communications, Inc. (a)

 

 

111,076

 

 

8,641,713

 

Clear Channel Outdoor Holdings, Inc., Class A

 

 

14,553

 

 

76,403

 

Cumulus Media, Inc., Class A

 

 

149,014

 

 

412,769

 

DISH Network Corp., Class A

 

 

9,200

 

 

294,308

 

 

 

 

 

 

 

9,690,482

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

72,301

 

 

289,355

 

Oil, Gas & Consumable Fuels — 0.1%

 

 

 

 

 

 

 

African Petroleum Corp. Ltd. (a)

 

 

307,100

 

 

393,427

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

192,951

 

 

422,799

 

Ainsworth Lumber Co. Ltd. (a)(d)

 

 

221,591

 

 

485,556

 

Western Forest Products, Inc. (a)

 

 

78,039

 

 

84,709

 

 

 

 

 

 

 

993,064

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

NXP Semiconductors NV (a)

 

 

8,400

 

 

195,888

 

Spansion, Inc., Class A (a)

 

 

103,218

 

 

1,179,782

 

SunPower Corp. (a)

 

 

431

 

 

1,931

 

 

 

 

 

 

 

1,377,601

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

787

 

 

8

 

HMH Holdings/EduMedia (a)

 

 

31,742

 

 

777,684

 

 

 

 

 

 

 

777,692

 

Total Common Stocks — 8.3%

 

 

 

 

 

36,258,459

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

370

 

$

395,900

 

7.13%, 3/15/21

 

 

520

 

 

562,900

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

1,274

 

 

1,356,810

 

Meccanica Holdings USA, Inc., 6.25%,
7/15/19 (d)

 

 

590

 

 

533,860

 

 

 

 

 

 

 

2,849,470

 

Airlines — 1.6%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust,
Series 2011-2, Class A, 8.63%, 4/15/23

 

 

1,693

 

 

1,794,065

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

Series 1997-4, Class B, 6.90%, 7/02/18

 

 

793

 

 

793,437

 

Series 2010-1, Class B, 6.00%, 7/12/20

 

 

622

 

 

626,172

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2002-1, Class G-1, 6.72%, 7/02/24

 

 

944

 

 

1,024,669

 

Series 2009-1 Class B, 9.75%, 6/17/18

 

 

283

 

 

305,332

 

Series 2010-1, Class B, 6.38%, 7/02/17

 

 

900

 

 

900,000

 

US Airways Pass-Through Trust:

 

 

 

 

 

 

 

Series 2011-1, Class C, 10.88%, 10/22/14

 

 

1,053

 

 

1,079,098

 

Series 2012-1, Class C, 9.13%, 10/01/15

 

 

700

 

 

714,000

 

 

 

 

 

 

 

7,236,773

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

700

 

 

754,250

 

Delphi Corp., 6.13%, 5/15/21

 

 

260

 

 

286,000

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

5,060

 

 

5,388,900

 

IDQ Holdings, Inc., 11.50%, 4/01/17 (d)

 

 

595

 

 

622,519

 

International Automotive Components Group SL,
9.13%, 6/01/18 (d)

 

 

70

 

 

67,113

 

Jaguar Land Rover Plc, 8.25%, 3/15/20

 

GBP

745

 

 

1,247,727

 

Titan International, Inc., 7.88%, 10/01/17

 

USD

720

 

 

754,200

 

 

 

 

 

 

 

9,120,709

 

Beverages — 0.2%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

255

 

 

352,813

 

7.13%, 8/15/18 (d)

 

 

303

 

 

419,225

 

Refresco Group BV, 7.38%, 5/15/18

 

 

212

 

 

250,654

 

 

 

 

 

 

 

1,022,692

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (d)

 

USD

85

 

 

84,988

 

Building Products — 0.8%

 

 

 

 

 

 

 

Building Materials Corp. of America (d):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

840

 

 

909,300

 

6.75%, 5/01/21

 

 

1,220

 

 

1,332,850

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

580

 

 

353,800

 

USG Corp., 9.75%, 1/15/18

 

 

940

 

 

1,008,150

 

 

 

 

 

 

 

3,604,100

 

Capital Markets — 0.8%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (b)

 

 

1,660

 

 

1,894,475

 

2.26%, 8/31/19 (d)(e)(f)

 

 

380

 

 

324,900

 

KKR Group Finance Co. LLC, 6.38%, 9/29/20 (d)

 

 

1,020

 

 

1,154,590

 

 

 

 

 

 

 

3,373,965

 

Chemicals — 4.1%

 

 

 

 

 

 

 

Basell Finance Co. BV, 8.10%, 3/15/27 (d)

 

 

645

 

 

861,075

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

2,780

 

 

3,071,900

 

Chemtura Corp., 7.88%, 9/01/18

 

 

480

 

 

517,200

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20 (d)

 

 

375

 

 

378,750

 

9.00%, 11/15/20

 

 

485

 

 

414,675

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

265

 

 

303,425

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

47




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par  
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

INEOS Finance Plc (d):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

USD

1,325

 

$

1,394,562

 

7.50%, 5/01/20

 

 

680

 

 

693,600

 

INEOS Group Holdings Plc, 8.50%, 2/15/16 (d)

 

 

230

 

 

216,775

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

532

 

 

729,236

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

195

 

 

199,875

 

LyondellBasell Industries NV, 5.75%, 4/15/24 (d)

 

 

4,370

 

 

4,949,025

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (d)

 

 

290

 

 

283,475

 

PolyOne Corp., 7.38%, 9/15/20

 

 

335

 

 

365,988

 

TPC Group LLC, 8.25%, 10/01/17

 

 

520

 

 

570,700

 

Tronox Finance LLC, 6.38%, 8/15/20 (d)

 

2,935

 

 

2,964,350

 

 

 

 

 

 

 

17,914,611

 

Commercial Banks — 0.9%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (d)

 

 

594

 

 

595,810

 

5.25%, 3/15/18

 

 

860

 

 

896,550

 

5.50%, 2/15/19 (d)

 

 

840

 

 

875,700

 

5.00%, 8/15/22

 

 

900

 

 

906,818

 

6.00%, 4/01/36

 

 

850

 

 

769,955

 

 

 

 

 

 

 

4,044,833

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

560

 

 

574,006

 

ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(d)

 

 

680

 

 

696,157

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (d)

 

 

840

 

 

862,470

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (d)

 

 

151

 

 

158,942

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (d)

 

 

43

 

 

43,430

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

721

 

 

713,790

 

Clean Harbors, Inc., 5.25%, 8/01/20 (d)

 

 

817

 

 

838,446

 

Covanta Holding Corp., 6.38%, 10/01/22

 

 

985

 

 

1,076,971

 

EC Finance Plc, 9.75%, 8/01/17

 

EUR

449

 

 

585,224

 

Mead Products LLC/ACCO Brands Corp., 6.75%,

 

 

 

 

 

 

 

4/30/20 (d)

 

USD

341

 

 

360,608

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

570

 

 

611,325

 

RSC Equipment Rental, Inc., 8.25%, 2/01/21

 

 

1,348

 

 

1,476,060

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

385

 

 

484,253

 

8.75%, 12/01/18

 

 

139

 

 

154,728

 

West Corp., 8.63%, 10/01/18

 

USD

210

 

 

213,150

 

 

 

 

 

 

 

8,849,560

 

Communications Equipment — 1.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

1,160

 

 

1,006,300

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

1,390

 

 

1,414,325

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

630

 

 

674,887

 

Zayo Group LLC/Zayo Capital, Inc.:

 

 

 

 

 

 

 

8.13%, 1/01/20

 

 

2,380

 

 

2,528,750

 

10.13%, 7/01/20

 

 

1,960

 

 

2,102,100

 

 

 

 

 

 

 

7,726,362

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (e)

 

 

340

 

 

376,550

 

Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd.,

 

 

 

 

 

 

 

7.00%, 4/01/21 (d)

 

 

300

 

 

311,250

 

H&E Equipment Services, Inc., 7.00%, 9/01/22 (d)

 

 

515

 

 

534,312

 

URS Corp., 5.00%, 4/01/22 (d)

 

 

115

 

 

116,609

 

 

 

 

 

 

 

962,171

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par  
(000)

 

Value

 

Construction Materials — 1.4%

 

 

 

 

 

 

 

HD Supply, Inc. (d):

 

 

 

 

 

 

 

8.13%, 4/15/19

 

USD

2,405

 

$

2,609,425

 

11.00%, 4/15/20

 

 

2,275

 

 

2,502,500

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18 (d)

 

EUR

393

 

 

481,958

 

8.00%, 6/01/18

 

 

310

 

 

380,170

 

 

 

 

 

 

 

5,974,053

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

710

 

 

781,000

 

Springleaf Finance (FKA AGFS Funding Co.),

 

 

 

 

 

 

 

6.90%, 12/15/17

 

 

160

 

 

131,600

 

 

 

 

 

 

 

912,600

 

Containers & Packaging — 1.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

200

 

 

266,025

 

7.38%, 10/15/17 (d)

 

 

574

 

 

763,491

 

7.38%, 10/15/17

 

 

100

 

 

133,012

 

7.38%, 10/15/17 (d)

 

USD

200

 

 

214,250

 

9.13%, 10/15/20 (d)

 

 

260

 

 

271,050

 

9.13%, 10/15/20 (d)

 

 

615

 

 

639,600

 

9.13%, 10/15/20 (d)

 

 

210

 

 

219,450

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.34%, 9/15/14 (c)

 

 

465

 

 

458,025

 

8.25%, 11/15/15

 

 

185

 

 

194,713

 

9.75%, 1/15/21

 

 

640

 

 

708,800

 

Beverage Packaging Holdings Luxembourg II SA,

 

 

 

 

 

 

 

8.00%, 12/15/16

 

EUR

882

 

 

1,087,192

 

GCL Holdings SCA, 9.38%, 4/15/18 (d)

 

 

414

 

 

505,107

 

Graphic Packaging International, Inc., 7.88%,

 

 

 

 

 

 

 

10/01/18

 

USD

580

 

 

646,700

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

254

 

 

329,864

 

Sealed Air Corp., 8.38%, 9/15/21 (d)

 

USD

285

 

 

320,625

 

Smurfit Kappa Acquisitions, 7.25%, 11/15/17 (d)

 

EUR

52

 

 

69,984

 

Tekni-Plex, Inc., 9.75%, 6/01/19 (d)

 

USD

275

 

 

287,375

 

 

 

 

 

 

 

7,115,263

 

Distributors — 0.6%

 

 

 

 

 

 

 

VWR Funding, Inc., 7.25%, 9/15/17 (d)(g)

 

 

2,501

 

 

2,532,262

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

Laureate Education, Inc., 9.25%, 9/01/19 (d)

 

 

935

 

 

935,000

 

Service Corp. International, 7.00%, 6/15/17

 

 

4,775

 

 

5,443,500

 

ServiceMaster Co., 8.00%, 2/15/20

 

 

295

 

 

314,544

 

 

 

 

 

 

 

6,693,044

 

Diversified Financial Services — 4.1%

 

 

 

 

 

 

 

Aircastle Ltd., 6.75%, 4/15/17

 

 

720

 

 

777,600

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

700

 

 

748,125

 

8.00%, 11/01/31

 

 

4,640

 

 

5,486,800

 

8.00%, 11/01/31

 

 

950

 

 

1,127,644

 

CNG Holdings, Inc., 9.38%, 5/15/20 (d)

 

 

465

 

 

474,300

 

DPL, Inc., 7.25%, 10/15/21 (d)

 

 

1,815

 

 

2,069,100

 

Gala Group Finance Plc, 8.88%, 9/01/18

 

GBP

400

 

 

592,268

 

General Motors Financial Co., Inc., 6.75%, 6/01/18

 

USD

460

 

 

510,022

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

1,232

 

 

1,389,080

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

261

 

 

338,955

 

7.13%, 4/15/19

 

USD

385

 

 

414,838

 

9.75%, 4/15/19 (d)

 

 

425

 

 

431,906

 

7.88%, 8/15/19 (d)

 

 

610

 

 

678,625

 

9.88%, 8/15/19 (d)

 

 

1,675

 

 

1,771,312

 

8.25%, 2/15/21 (d)

 

 

205

 

 

201,413

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16 (d)

 

 

190

 

 

207,575

 

11.50%, 10/01/18

 

 

656

 

 

719,960

 

 

 

 

 

 

 

17,939,523

 


See Notes to Financial Statements.

 

 

 

 

 

 

48

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Diversified Telecommunication Services — 2.3%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,

 

 

 

 

 

 

 

9/01/12 (d)(h)

 

USD

1,680

 

$

1,134,000

 

Consolidated Communications Finance Co.,

 

 

 

 

 

 

 

10.88%, 6/01/20 (d)

 

 

930

 

 

997,425

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

440

 

 

474,100

 

Level 3 Communications, Inc., 8.88%, 6/01/19 (d)

 

 

495

 

 

504,900

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

2,042

 

 

2,138,995

 

7.00%, 6/01/20 (d)

 

 

880

 

 

875,600

 

8.63%, 7/15/20 (d)

 

 

1,320

 

 

1,412,400

 

OTE Plc, 5.00%, 8/05/13

 

EUR

168

 

 

183,148

 

Telefonica Emisiones SAU, 4.69%, 11/11/19

 

 

50

 

 

58,042

 

Telenet Finance V Luxembourg SCA:

 

 

 

 

 

 

 

6.25%, 8/15/22

 

 

234

 

 

295,797

 

6.75%, 8/15/24

 

 

545

 

 

695,783

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

USD

703

 

 

741,665

 

7.88%, 11/01/17

 

 

627

 

 

681,863

 

 

 

 

 

 

 

10,193,718

 

Electric Utilities — 0.7%

 

 

 

 

 

 

 

Mirant Mid Atlantic Pass-Through Trust, Series B,

 

 

 

 

 

 

 

9.13%, 6/30/17

 

 

454

 

 

487,944

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,900

 

 

2,378,587

 

 

 

 

 

 

 

2,866,531

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Belden, Inc., 5.50%, 9/01/22 (d)

 

USD

570

 

 

571,425

 

Electronic Equipment, Instruments &

 

 

 

 

 

 

 

Components — 0.5%

 

 

 

 

 

 

 

CDW LLC/CDW Finance Corp., 8.50%, 4/01/19

 

 

585

 

 

640,575

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

365

 

 

438,000

 

Micron Technology, Inc., 2.38%, 5/01/32 (d)(e)

 

 

682

 

 

648,752

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (d)

 

 

310

 

 

354,175

 

 

 

 

 

 

 

2,081,502

 

Energy Equipment & Services — 3.4%

 

 

 

 

 

 

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

215

 

 

229,513

 

Calfrac Holdings LP, 7.50%, 12/01/20 (d)

 

 

610

 

 

597,800

 

Compagnie Générale de Géophysique, Veritas:

 

 

 

 

 

 

 

7.75%, 5/15/17

 

 

395

 

 

412,775

 

6.50%, 6/01/21

 

 

1,945

 

 

2,025,231

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

555

 

 

538,350

 

FTS International Services Inc, 8.13%, 11/15/18 (d)

 

 

2,730

 

 

2,818,725

 

Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d)

 

 

245

 

 

249,900

 

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

 

 

490

 

 

499,800

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

700

 

 

712,250

 

MEG Energy Corp. (d):

 

 

 

 

 

 

 

6.50%, 3/15/21

 

 

1,880

 

 

1,978,700

 

6.38%, 1/30/23

 

 

700

 

 

729,750

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

495

 

 

525,937

 

Peabody Energy Corp.:

 

 

 

 

 

 

 

6.25%, 11/15/21 (d)

 

 

2,170

 

 

2,207,975

 

7.88%, 11/01/26

 

 

580

 

 

619,150

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

 

120

 

 

126,000

 

6.50%, 12/15/21

 

 

460

 

 

483,000

 

 

 

 

 

 

 

14,754,856

 

Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Bakkavor Finance 2 Plc, 8.25%, 2/15/18

 

GBP

415

 

 

579,883

 

Rite Aid Corp., 9.25%, 3/15/20

 

USD

580

 

 

595,950

 

 

 

 

 

 

 

1,175,833

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Food Products — 0.4%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

USD

180

 

$

203,850

 

Del Monte Corp., 7.63%, 2/15/19

 

 

94

 

 

93,882

 

Post Holdings, Inc., 7.38%, 2/15/22 (d)

 

 

665

 

 

700,744

 

Smithfield Foods, Inc., 6.63%, 8/15/22

 

 

901

 

 

922,399

 

 

 

 

 

 

 

1,920,875

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

Biomet, Inc. (d):

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

300

 

 

317,438

 

6.50%, 8/01/20

 

 

1,088

 

 

1,128,800

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

804

 

 

839,175

 

8.75%, 3/15/18 (d)

 

 

695

 

 

738,437

 

7.75%, 4/15/18

 

 

160

 

 

146,400

 

Fresenius Medical Care US Finance II, Inc.,

 

 

 

 

 

 

 

5.88%, 1/31/22 (d)

 

 

1,010

 

 

1,073,125

 

Fresenius Medical Care US Finance, Inc., 6.50%,

 

 

 

 

 

 

 

9/15/18 (d)

 

 

324

 

 

363,285

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (d)

 

 

850

 

 

978,562

 

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%,

 

 

 

 

 

 

 

11/01/19 (d)

 

 

435

 

 

394,763

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

455

 

 

486,850

 

 

 

 

 

 

 

6,466,835

 

Health Care Providers & Services — 7.3%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

880

 

 

915,200

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

5.13%, 8/15/18

 

 

1,180

 

 

1,216,875

 

7.13%, 7/15/20

 

 

703

 

 

736,392

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (d)

 

EUR

694

 

 

934,017

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (d)

 

GBP

575

 

 

919,862

 

DaVita, Inc., 5.75%, 8/15/22

 

USD

1,431

 

 

1,488,240

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

205

 

 

231,138

 

6.50%, 2/15/20

 

 

3,660

 

 

4,021,425

 

7.88%, 2/15/20

 

 

145

 

 

161,856

 

7.25%, 9/15/20

 

 

4,020

 

 

4,454,662

 

5.88%, 3/15/22

 

 

425

 

 

452,094

 

Hologic, Inc., 6.25%, 8/01/20 (d)

 

 

2,475

 

 

2,620,406

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

2,274

 

 

2,168,827

 

INC Research LLC, 11.50%, 7/15/19 (d)

 

 

640

 

 

627,200

 

inVentiv Health, Inc., 10.00%, 8/15/18 (d)

 

 

200

 

 

168,500

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,520

 

 

1,675,800

 

PSS World Medical, Inc., 6.38%, 3/01/22

 

 

521

 

 

550,958

 

Symbion, Inc., 8.00%, 6/15/16

 

 

535

 

 

540,684

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

1,330

 

 

1,529,500

 

6.25%, 11/01/18

 

 

510

 

 

553,669

 

8.88%, 7/01/19

 

 

3,970

 

 

4,515,875

 

United Surgical Partners International, Inc.,

 

 

 

 

 

 

 

9.00%, 4/01/20 (d)

 

 

450

 

 

483,188

 

Vanguard Health Holding Co. II LLC, 7.75%,

 

 

 

 

 

 

 

2/01/19 (d)

 

 

720

 

 

750,600

 

 

 

 

 

 

 

31,716,968

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (d)

 

 

3,760

 

 

4,418,000

 

Hotels, Restaurants & Leisure — 4.5%

 

 

 

 

 

 

 

Affinity Gaming LLC/Affinity Gaming Finance Corp.,

 

 

 

 

 

 

 

9.00%, 5/15/18 (d)

 

 

445

 

 

452,787

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

2,215

 

 

2,386,662

 

10.00%, 12/15/18

 

 

4,150

 

 

2,614,500

 

8.50%, 2/15/20 (d)

 

 

475

 

 

468,469

 

Caesars Operating Escrow LLC, 9.00%, 2/15/20 (d)

 

 

2,587

 

 

2,574,065

 

Carlson Wagonlit BV, 6.88%, 6/15/19 (d)

 

 

510

 

 

530,400

 

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

 

EUR

364

 

 

401,754

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

USD

1,860

 

 

1,978,575

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

49




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (d)

 

USD

210

 

$

204,750

 

Enterprise Inns Plc, 6.50%, 12/06/18

 

GBP

501

 

 

688,119

 

Gategroup Finance Luxembourg SA, 6.75%,

 

 

 

 

 

 

 

3/01/19

 

EUR

455

 

 

585,176

 

Little Traverse Bay Bands of Odawa Indians, 9.00%,

 

 

 

 

 

 

 

8/31/20 (d)

 

USD

441

 

 

401,310

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

310

 

 

351,850

 

4.25%, 4/15/15 (e)

 

 

1,670

 

 

1,686,700

 

11.13%, 11/15/17

 

 

2,210

 

 

2,458,625

 

MTR Gaming Group, Inc., 11.50%, 8/01/19 (b)

 

 

231

 

 

237,507

 

Travelport LLC:

 

 

 

 

 

 

 

5.05%, 9/01/14 (c)

 

 

235

 

 

166,850

 

9.88%, 9/01/14

 

 

50

 

 

39,750

 

9.00%, 3/01/16

 

 

190

 

 

134,900

 

6.46%, 12/01/16 (b)(c)(d)

 

 

648

 

 

500,504

 

Tropicana Entertainment LLC, 9.63%,

 

 

 

 

 

 

 

12/15/14 (d)(h)

 

 

515

 

 

 

Wynn Las Vegas LLC, 5.38%, 3/15/22 (d)

 

 

950

 

 

971,375

 

 

 

 

 

 

 

19,834,628

 

Household Durables — 1.8%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (d)

 

 

55

 

 

56,238

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

455

 

 

616,652

 

Libbey Glass, Inc., 6.88%, 5/15/20 (d)

 

USD

945

 

 

1,007,606

 

Pulte Group, Inc., 6.38%, 5/15/33

 

 

290

 

 

252,300

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

525

 

 

553,875

 

Spie BondCo 3 SCA, 11.00%, 8/15/19

 

EUR

471

 

 

601,310

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

USD

2,355

 

 

2,843,663

 

8.38%, 1/15/21

 

 

1,640

 

 

1,828,600

 

 

 

 

 

 

 

7,760,244

 

Household Products — 0.6%

 

 

 

 

 

 

 

Ontex IV SA:

 

 

 

 

 

 

 

7.50%, 4/15/18

 

EUR

219

 

 

279,590

 

7.50%, 4/15/18 (d)

 

 

220

 

 

280,867

 

9.00%, 4/15/19

 

 

316

 

 

365,668

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

560

 

 

639,100

 

9.50%, 6/15/18 (d)

 

 

910

 

 

1,038,537

 

 

 

 

 

 

 

2,603,762

 

Independent Power Producers &

 

 

 

 

 

 

 

Energy Traders — 3.1%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21

 

 

425

 

 

486,625

 

Calpine Corp. (d):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

275

 

 

294,250

 

7.50%, 2/15/21

 

 

160

 

 

177,600

 

7.88%, 1/15/23

 

 

680

 

 

768,400

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

2,950

 

 

3,252,375

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

6.88%, 8/15/17 (d)

 

 

475

 

 

485,094

 

10.00%, 12/01/20

 

 

4,156

 

 

4,665,110

 

11.75%, 3/01/22 (d)

 

 

909

 

 

968,085

 

GenOn REMA LLC, 9.24%, 7/02/17

 

 

375

 

 

402,669

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

765

 

 

868,275

 

7.38%, 5/01/22

 

 

575

 

 

618,125

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

513

 

 

525,825

 

 

 

 

 

 

 

13,512,433

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (d):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,810

 

 

4,000,500

 

13.50%, 12/01/15

 

 

6,236

 

 

6,610,279

 

 

 

 

 

 

 

10,610,779

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Insurance — 1.0%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (d)(i)

 

USD

2,600

 

$

2,687,750

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (d)

 

 

573

 

 

626,719

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

660

 

 

674,388

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (d)

 

 

395

 

 

353,525

 

 

 

 

 

 

 

4,342,382

 

IT Services — 3.1%

 

 

 

 

 

 

 

Ceridian Corp., 8.88%, 7/15/19 (d)

 

 

2,290

 

 

2,456,025

 

Epicor Software Corp., 8.63%, 5/01/19

 

 

860

 

 

885,800

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (d)

 

 

2,430

 

 

2,508,975

 

8.88%, 8/15/20 (d)

 

 

830

 

 

904,700

 

6.75%, 11/01/20 (d)

 

 

1,375

 

 

1,364,687

 

8.25%, 1/15/21 (d)

 

 

935

 

 

926,819

 

12.63%, 1/15/21

 

 

2,540

 

 

2,571,750

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

840

 

 

892,500

 

7.63%, 11/15/20

 

 

930

 

 

997,425

 

 

 

 

 

 

 

13,508,681

 

Machinery — 1.1%

 

 

 

 

 

 

 

SPX Corp., 6.88%, 9/01/17

 

 

275

 

 

305,250

 

UR Merger Sub Corp. (d):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

398

 

 

420,885

 

7.38%, 5/15/20

 

 

675

 

 

715,500

 

7.63%, 4/15/22

 

 

3,169

 

 

3,422,520

 

 

 

 

 

 

 

4,864,155

 

Media — 13.1%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,260

 

 

900,900

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

350

 

 

396,375

 

CCO Holdings LLC:

 

 

 

 

 

 

 

6.50%, 4/30/21

 

 

785

 

 

841,913

 

5.25%, 9/30/22

 

 

1,520

 

 

1,504,800

 

Cengage Learning Acquisitions, Inc., 11.50%,

 

 

 

 

 

 

 

4/15/20 (d)

 

 

2,015

 

 

2,120,787

 

Checkout Holding Corp., 16.00%, 11/15/15 (d)(f)

 

 

1,040

 

 

634,400

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

390

 

 

436,800

 

Clear Channel Communications, Inc., 9.00%,

 

 

 

 

 

 

 

3/01/21

 

 

681

 

 

583,958

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

2,323

 

 

2,514,647

 

Series B, 9.25%, 12/15/17

 

 

8,776

 

 

9,532,930

 

Series B, 7.63%, 3/15/20

 

 

2,522

 

 

2,446,340

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

1,081

 

 

1,081,919

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,236

 

 

1,236,945

 

Shares Loan, 4.00%, 8/15/18

 

 

1,275

 

 

1,275,724

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

550

 

 

604,313

 

DISH DBS Corp., 5.88%, 7/15/22 (d)

 

 

1,790

 

 

1,803,425

 

Harron Communications LP, 9.13%, 4/01/20 (d)

 

 

500

 

 

541,250

 

Intelsat Jackson Holdings SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,377

 

 

1,449,292

 

7.25%, 10/15/20 (d)

 

 

1,275

 

 

1,373,812

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

950

 

 

997,500

 

11.50%, 2/04/17 (b)

 

 

1,870

 

 

1,963,500

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

2,080

 

 

2,345,200

 

The Interpublic Group of Cos., Inc., 10.00%,

 

 

 

 

 

 

 

7/15/17

 

 

525

 

 

586,688

 

Kabel Deutschland Vertrieb und Service GmbH &

 

 

 

 

 

 

 

Co. KG, 6.50%, 6/29/18 (d)

 

EUR

530

 

 

718,298

 

Lamar Media Corp., 5.88%, 2/01/22

 

USD

220

 

 

233,200

 

Live Nation Entertainment, Inc., 8.13%,

 

 

 

 

 

 

 

5/15/18 (d)

 

 

1,170

 

 

1,251,900

 

NAI Entertainment Holdings LLC, 8.25%,

 

 

 

 

 

 

 

12/15/17 (d)

 

 

914

 

 

1,019,110

 


See Notes to Financial Statements.

 

 

 

 

 

 

50

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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)

 

 

 

 

 

 

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

USD

147

 

$

166,845

 

7.75%, 10/15/18

 

 

3,425

 

 

3,853,125

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (d)

 

GBP

324

 

 

510,605

 

ProQuest LLC, 9.00%, 10/15/18 (d)

 

USD

775

 

 

711,063

 

Truven Health Analytics, Inc., 10.63%, 6/01/20 (d)

 

 

790

 

 

843,325

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

244

 

 

344,882

 

9.63%, 12/01/19 (d)

 

 

900

 

 

1,272,107

 

9.50%, 3/15/21

 

 

548

 

 

786,634

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

(FKA UPC Germany GmbH), 8.13%,

 

 

 

 

 

 

 

12/01/17 (d)

 

USD

1,353

 

 

1,464,622

 

8.13%, 12/01/17 (d)

 

EUR

198

 

 

268,657

 

8.13%, 12/01/17 (d)

 

 

70

 

 

94,980

 

7.50%, 3/15/19

 

 

1,313

 

 

1,808,383

 

UPC Holding BV, 9.88%, 4/15/18 (d)

 

USD

640

 

 

718,400

 

UPCB Finance II Ltd.:

 

 

 

 

 

 

 

6.38%, 7/01/20 (d)

 

EUR

1,273

 

 

1,673,232

 

6.38%, 7/01/20

 

 

514

 

 

675,602

 

WaveDivision Escrow LLC/WaveDivision

 

 

 

 

 

 

 

Escrow Corp., 8.13%, 9/01/20 (d)

 

USD

465

 

 

478,950

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (d)

 

EUR

610

 

 

842,066

 

Ziggo Finance BV, 6.13%, 11/15/17 (d)

 

 

104

 

 

139,641

 

 

 

 

 

 

 

57,049,045

 

Metals & Mining — 3.7%

 

 

 

 

 

 

 

Eco-Bat Finance Plc, 7.75%, 2/15/17

 

 

610

 

 

774,931

 

FMG Resources August 2006 Property Ltd. (d):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

545

 

 

519,112

 

6.88%, 4/01/22

 

 

280

 

 

257,600

 

Global Brass and Copper, Inc., 9.50%, 6/01/19 (d)

 

 

460

 

 

484,150

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

1,650

 

 

1,901,625

 

Kaiser Aluminum Corp., 8.25%, 6/01/20 (d)

 

 

345

 

 

365,700

 

New Gold, Inc., 7.00%, 4/15/20 (d)

 

 

235

 

 

247,337

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

1,055

 

 

1,320,344

 

Newmont Mining Corp., Series A, 1.25%,

 

 

 

 

 

 

 

7/15/14 (e)

 

USD

2,275

 

 

2,892,094

 

Novelis, Inc., 8.75%, 12/15/20

 

 

5,140

 

 

5,743,950

 

Schmolz + Bickenbach Luxembourg SA, 9.88%,

 

 

 

 

 

 

 

5/15/19

 

EUR

383

 

 

389,003

 

Steel Dynamics, Inc., 6.38%, 8/15/22 (d)

 

USD

375

 

 

388,125

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

650

 

 

619,125

 

Vedanta Resources Plc, 8.25%, 6/07/21 (d)

 

GBP

435

 

 

415,425

 

 

 

 

 

 

 

16,318,521

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp., 4.13%, 7/15/17 (c)

 

USD

1,225

 

 

1,274,000

 

Oil, Gas & Consumable Fuels — 10.9%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

425

 

 

440,937

 

Alpha Appalachia Holdings, Inc., 3.25%,

 

 

 

 

 

 

 

8/01/15 (e)

 

 

1,263

 

 

1,133,542

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

490

 

 

441,000

 

6.25%, 6/01/21

 

 

405

 

 

362,475

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (d)

 

 

1,005

 

 

1,050,225

 

Berry Petroleum Co., 6.38%, 9/15/22

 

 

630

 

 

670,950

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (d)

 

 

400

 

 

408,000

 

CCS, Inc., 11.00%, 11/15/15 (d)

 

 

880

 

 

910,800

 

Chaparral Energy, Inc., 7.63%, 11/15/22 (d)

 

 

340

 

 

359,550

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

7.25%, 12/15/18

 

 

25

 

 

26,188

 

6.63%, 8/15/20

 

 

270

 

 

277,425

 

6.88%, 11/15/20

 

 

275

 

 

285,313

 

6.13%, 2/15/21

 

 

940

 

 

932,950

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Oil, Gas & Consumable Fuels (continued)

 

 

 

 

 

 

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (d)

 

USD

179

 

$

190,635

 

Concho Resources, Inc.:

 

 

 

 

 

 

 

7.00%, 1/15/21

 

 

255

 

 

284,325

 

6.50%, 1/15/22

 

 

170

 

 

183,600

 

5.50%, 10/01/22

 

 

730

 

 

753,725

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

2,750

 

 

2,963,125

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

575

 

 

644,000

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

465

 

 

485,925

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

 

280

 

 

298,900

 

7.13%, 6/01/22 (d)

 

 

235

 

 

233,825

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

929

 

 

929,023

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

70

 

 

79,450

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

860

 

 

958,900

 

7.75%, 6/15/19

 

 

1,390

 

 

1,476,875

 

EP Energy LLC/EP Energy Finance, Inc., 6.88%,

 

 

 

 

 

 

 

5/01/19 (d)

 

 

535

 

 

573,787

 

EP Energy LLC/Everest Acquisition Finance, Inc.,

 

 

 

 

 

 

 

7.75%, 9/01/22 (d)

 

 

325

 

 

325,813

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

220

 

 

227,150

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (d)

 

 

1,165

 

 

1,281,500

 

Holly Energy Partners LP, 6.50%, 3/01/20 (d)

 

 

245

 

 

256,025

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d)

 

 

540

 

 

573,750

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (d)

 

 

145

 

 

144,275

 

6.25%, 11/01/19 (d)

 

 

3,150

 

 

3,110,625

 

8.63%, 4/15/20

 

 

345

 

 

372,600

 

7.75%, 2/01/21

 

 

320

 

 

333,600

 

MarkWest Energy Partners LP:

 

 

 

 

 

 

 

6.25%, 6/15/22

 

 

125

 

 

132,813

 

5.50%, 2/15/23

 

 

350

 

 

357,875

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

1,205

 

 

1,316,462

 

Northern Oil and Gas, Inc., 8.00%, 6/01/20 (d)

 

 

480

 

 

489,600

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

410

 

 

432,550

 

6.50%, 11/01/21

 

 

450

 

 

459,000

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15 (d)

 

 

2,060

 

 

2,276,300

 

11.50%, 8/01/15

 

 

505

 

 

558,025

 

OGX Petroleo e Gas Participações SA (d):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

3,760

 

 

3,337,000

 

8.38%, 4/01/22

 

 

885

 

 

752,250

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (d)

 

 

460

 

 

480,700

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (d)

 

 

1,860

 

 

1,901,850

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)

 

 

690

 

 

736,575

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

715

 

 

865,650

 

7.50%, 1/15/20

 

 

225

 

 

281,401

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

600

 

 

663,000

 

5.75%, 6/01/21

 

 

1,520

 

 

1,616,900

 

5.00%, 8/15/22

 

 

644

 

 

670,565

 

Sabine Pass Liquified Natural Gas LP, 7.50%,

 

 

 

 

 

 

 

11/30/16

 

 

945

 

 

1,011,150

 

Samson Investment Co., 9.75%, 2/15/20 (d)

 

 

134

 

 

138,020

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21 (d)

 

 

1,060

 

 

1,073,250

 

7.50%, 3/15/21

 

 

395

 

 

399,937

 

8.13%, 10/15/22 (d)

 

 

395

 

 

412,775

 

7.50%, 2/15/23 (d)

 

 

860

 

 

864,300

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

505

 

 

535,300

 

7.13%, 12/15/21

 

 

360

 

 

400,500

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

51




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

SM Energy Co.:

 

 

 

 

 

 

 

6.63%, 2/15/19

 

USD

205

 

$

214,225

 

6.50%, 11/15/21

 

 

405

 

 

423,225

 

6.50%, 1/01/23 (d)

 

 

190

 

 

198,075

 

Vanguard Natural Resources, 7.88%, 4/01/20

 

 

420

 

 

420,000

 

 

 

 

 

 

 

47,400,061

 

Paper & Forest Products — 1.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d)

 

 

1,976

 

 

1,797,780

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

90

 

 

99,675

 

8.00%, 4/01/20

 

 

180

 

 

198,900

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

625

 

 

698,438

 

7.13%, 11/01/18

 

 

885

 

 

966,862

 

Longview Fibre Paper & Packaging, Inc., 8.00%,

 

 

 

 

 

 

 

6/01/16 (d)

 

 

535

 

 

553,725

 

NewPage Corp., 11.38%, 12/31/14 (a)(h)

 

 

3,350

 

 

2,269,625

 

Sappi Papier Holding GmbH, 8.38%, 6/15/19 (d)

 

 

200

 

 

210,500

 

 

 

 

 

 

 

6,795,505

 

Pharmaceuticals — 1.0%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

105

 

 

147,587

 

9.88%, 8/01/19 (d)

 

 

300

 

 

421,678

 

Pharmaceutical Product Development, Inc.,

 

 

 

 

 

 

 

9.50%, 12/01/19 (d)

 

USD

545

 

 

607,675

 

Spectrum Brands, Inc., 6.75%, 3/15/20 (d)

 

 

400

 

 

420,000

 

Valeant Pharmaceuticals

 

 

 

 

 

 

 

International (d):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

1,915

 

 

2,020,325

 

6.75%, 8/15/21

 

 

880

 

 

893,200

 

 

 

 

 

 

 

4,510,465

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

1,450

 

 

1,547,875

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

1,875

 

 

2,010,937

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

805

 

 

848,269

 

 

 

 

 

 

 

2,859,206

 

Real Estate Management & Development — 2.3%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

520

 

 

568,100

 

Crescent Resources LLC/Crescent Ventures, Inc.,

 

 

 

 

 

 

 

10.25%, 8/15/17 (d)

 

 

1,100

 

 

1,127,500

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

687

 

 

683,136

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

605

 

 

642,812

 

12.00%, 4/15/17

 

 

155

 

 

162,363

 

7.88%, 2/15/19 (d)

 

 

3,160

 

 

3,254,800

 

7.63%, 1/15/20 (d)

 

 

785

 

 

855,650

 

9.00%, 1/15/20 (d)

 

 

510

 

 

550,800

 

Shea Homes LP, 8.63%, 5/15/19

 

 

1,885

 

 

2,097,062

 

 

 

 

 

 

 

9,942,223

 

Road & Rail — 1.3%

 

 

 

 

 

 

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

650

 

 

682,500

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

855

 

 

922,331

 

6.75%, 4/15/19 (d)

 

 

450

 

 

472,500

 

7.38%, 1/15/21

 

 

640

 

 

696,000

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

239

 

 

326,167

 

8.50%, 7/31/15 (d)

 

 

1,749

 

 

2,386,883

 

 

 

 

 

 

 

5,486,381

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

USD

890

 

$

867,750

 

Software — 1.3%

 

 

 

 

 

 

 

Audatex North America, Inc., 6.75%, 6/15/18 (d)

 

 

810

 

 

868,725

 

Infor US, Inc. (FKA Lawson Fortune, Inc.), 9.38%,

 

 

 

 

 

 

 

4/01/19 (d)

 

 

2,560

 

 

2,771,200

 

Nuance Communications, Inc., 5.38%, 8/15/20 (d)

 

 

1,360

 

 

1,390,600

 

Sophia LP, 9.75%, 1/15/19 (d)

 

 

666

 

 

715,950

 

 

 

 

 

 

 

5,746,475

 

Specialty Retail — 2.8%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

565

 

 

624,325

 

Claire’s Stores, Inc., 9.00%, 3/15/19 (d)

 

 

765

 

 

793,687

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (d)

 

GBP

439

 

 

619,518

 

8.88%, 8/15/18

 

 

222

 

 

313,287

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

1,255

 

 

1,506,000

 

5.63%, 2/15/22

 

 

250

 

 

263,125

 

Party City Holdings, Inc., 8.88%, 8/01/20 (d)

 

 

1,222

 

 

1,292,265

 

Penske Automotive Group, Inc., 5.75%,

 

 

 

 

 

 

 

10/01/22 (d)

 

 

835

 

 

851,700

 

Phones4u Finance Plc, 9.50%, 4/01/18 (d)

 

GBP

570

 

 

873,397

 

QVC, Inc. (d):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

355

 

 

375,491

 

7.50%, 10/01/19

 

 

970

 

 

1,074,774

 

7.38%, 10/15/20

 

 

455

 

 

506,993

 

5.13%, 7/02/22

 

 

662

 

 

693,871

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19

 

 

840

 

 

938,700

 

5.75%, 6/01/22

 

 

670

 

 

721,088

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

580

 

 

633,650

 

 

 

 

 

 

 

12,081,871

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%, 5/01/22

 

 

675

 

 

700,312

 

Trading Companies & Distributors — 0.7%

 

 

 

 

 

 

 

Ashtead Capital, Inc., 6.50%, 7/15/22 (d)

 

 

765

 

 

795,600

 

Doric Nimrod Air Finance Alpha Ltd.,

 

 

 

 

 

 

 

Series 2012-1 (d):

 

 

 

 

 

 

 

Class A, 5.13%, 11/30/24

 

 

1,200

 

 

1,218,000

 

Class B, 6.50%, 5/30/21

 

 

900

 

 

910,638

 

 

 

 

 

 

 

2,924,238

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (d)

 

 

665

 

 

700,744

 

Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/16

 

 

830

 

 

875,650

 

7.75%, 10/15/20

 

 

345

 

 

334,650

 

Digicel Group Ltd. (d):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

2,864

 

 

2,892,640

 

8.25%, 9/01/17

 

 

1,720

 

 

1,823,200

 

10.50%, 4/15/18

 

 

1,490

 

 

1,609,200

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

296

 

 

403,024

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

1,210

 

 

1,252,350

 

NII Capital Corp., 7.63%, 4/01/21

 

 

539

 

 

416,378

 

SBA Telecommunications, Inc., 5.75%, 7/15/20 (d)

 

 

443

 

 

462,935

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

2,821

 

 

2,553,005

 

Sprint Nextel Corp. (d):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

2,760

 

 

3,256,800

 

7.00%, 3/01/20

 

 

2,060

 

 

2,255,700

 

 

 

 

 

 

 

18,135,532

 

Total Corporate Bonds — 104.6%

 

 

 

 

 

455,877,340

 


See Notes to Financial Statements.

 

 

 

 

 

 

52

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17

 

USD

653

 

$

657,704

 

Auto Components — 0.6%

 

 

 

 

 

 

 

Federal-Mogul Corp., Term Loan B, 2.17%,
12/29/14

 

 

1,741

 

 

1,661,344

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

765

 

 

767,234

 

 

 

 

 

 

 

2,428,578

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

764

 

 

773,663

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

American Capital Holdings, Term Loan, 5.50%,
7/19/16

 

 

1,255

 

 

1,259,706

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

1,045

 

 

1,049,703

 

Second Lien Term Loan, 8.25%, 2/28/19

 

 

640

 

 

644,000

 

 

 

 

 

 

 

2,953,409

 

Chemicals — 0.7%

 

 

 

 

 

 

 

Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19

 

 

265

 

 

267,486

 

INEOS US Finance LLC, 6 Year Term Loan, 6.50%,
5/04/18

 

 

1,776

 

 

1,778,142

 

PQ Corp. (FKA Niagara Acquisition, Inc.),
Term Loan B, 3.98%, 7/30/14

 

 

325

 

 

318,975

 

Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17

 

 

534

 

 

497,129

 

 

 

 

 

 

 

2,861,732

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

742

 

 

741,375

 

Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16

 

 

975

 

 

984,750

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

1,572

 

 

1,572,000

 

 

 

 

 

 

 

3,298,125

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.18%, 10/24/14

 

 

393

 

 

377,206

 

Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19

 

 

3,210

 

 

3,257,155

 

 

 

 

 

 

 

3,634,361

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

3,250

 

 

3,250,000

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17

 

 

1,730

 

 

1,767,489

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 5.50%, 5/10/17

 

 

7,825

 

 

7,556,994

 

Diversified Consumer Services — 0.1%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 6/18/18

 

 

224

 

 

218,364

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.74%, 7/24/14

 

 

13

 

 

12,860

 

Term Loan, 2.75% – 2.97%, 7/24/14

 

 

130

 

 

129,139

 

 

 

 

 

 

 

360,363

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Residential Capital LLC:

 

 

 

 

 

 

 

DIP Term Loan A1, 5.00%, 11/18/13

 

 

1,935

 

 

1,939,837

 

DIP Term Loan A2, 6.75%, 11/18/13

 

 

285

 

 

288,326

 

 

 

 

 

 

 

2,228,163

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

2016 Term Loan B, 4.75%, 2/01/16

 

USD

515

 

$

516,030

 

2019 Term Loan B, 5.25%, 8/01/19

 

 

420

 

 

420,613

 

Term Loan B3, 5.75%, 8/31/18

 

 

1,300

 

 

1,303,432

 

 

 

 

 

 

 

2,240,075

 

Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan, 4.00%, 7/14/17

 

 

428

 

 

423,022

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co.
Term Loan, 9.25%, 8/04/16

 

 

3,068

 

 

3,182,903

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

5,616

 

 

5,878,663

 

Tervita Corp., Incremental Term Loan, 6.50%,
10/17/14

 

 

423

 

 

422,524

 

 

 

 

 

 

 

9,484,090

 

Food & Staples Retailing — 0.0%

 

 

 

 

 

 

 

US Foods, Inc. (FKA US Foodservice, Inc.),
Extended Term Loan B, 5.75%, 3/31/17

 

 

119

 

 

114,742

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

1,300

 

 

1,307,800

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B, 5.25%,
5/17/19

 

 

740

 

 

742,464

 

Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19

 

 

1,177

 

 

1,181,464

 

LHP Hospital Group, Inc., Term Loan, 9.00%,
7/03/18

 

 

435

 

 

438,263

 

 

 

 

 

 

 

2,362,191

 

Health Care Providers & Services — 0.5%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add on Term Loan A, 7.75%, 3/02/15

 

 

664

 

 

643,731

 

Term Loan A, 8.50%, 3/02/15

 

 

514

 

 

504,009

 

inVentiv Health, Inc., Combined Term Loan,
6.50%, 8/04/16

 

 

1,069

 

 

994,998

 

 

 

 

 

 

 

2,142,738

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6, 5.49%, 1/26/18

 

 

315

 

 

276,904

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

751

 

 

765,961

 

Term Loan B1, 3.24%, 1/28/15

 

 

629

 

 

596,636

 

Term Loan B2, 3.24%, 1/28/15

 

 

693

 

 

657,580

 

Term Loan B3, 3.24% – 3.46%, 1/28/15

 

 

1,507

 

 

1,428,755

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.49% – 2.56%, 6/14/13

 

 

15

 

 

14,699

 

Term Loan B, 2.56%, 6/14/14

 

 

149

 

 

148,147

 

Sabre, Inc., Non-Extended Initial Term Loan,
2.23%, 9/30/14

 

 

99

 

 

97,590

 

Station Casinos, Inc., Term Loan B1, 3.23%,
6/17/16

 

 

1,343

 

 

1,276,246

 

Travelport LLC:

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.44%,
9/28/12

 

 

298

 

 

89,457

 

Extended Tranche B Term Loan, 13.94%,
12/01/16

 

 

961

 

 

76,909

 

 

 

 

 

 

 

5,428,884

 

Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

278

 

 

278,296

 

Term Loan, 3.69% – 3.72%, 12/03/14

 

 

235

 

 

233,386

 

 

 

 

 

 

 

511,682

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

53




 

 

 

 

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

 

IT Services — 0.3%

 

 

 

 

 

 

 

Ceridian Corp., Extended Term Loan, 5.99%,
5/09/17

 

USD

107

 

$

106,839

 

First Data Corp., Extended 2018 Term Loan B,
4.24%, 3/23/18

 

 

1,220

 

 

1,151,887

 

 

 

 

 

 

 

1,258,726

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/19/13

 

 

1,013

 

 

1,003,506

 

Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., Term Loan B, 7.00%,
8/17/17

 

 

1,046

 

 

1,051,108

 

Rexnord Corp., Term Loan B, 5.00%, 4/02/18

 

 

915

 

 

918,997

 

 

 

 

 

 

 

1,970,105

 

Media — 4.8%

 

 

 

 

 

 

 

Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15

 

 

69

 

 

58,842

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Non-Extended Term Loan, 2.49%, 7/03/14

 

 

497

 

 

457,911

 

Tranche 1 Incremental, 7.50%, 7/03/14

 

 

2,640

 

 

2,541,000

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/14/19

 

 

738

 

 

736,615

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.88%, 1/28/16

 

 

2,993

 

 

2,317,669

 

Term Loan C, 3.88%, 1/28/16

 

 

598

 

 

454,885

 

EMI Music Publishing Ltd., Term Loan B, 5.50%,
6/29/18

 

 

675

 

 

679,556

 

Intelsat Jackson Holdings SA, Tranche B Term Loan,
5.25%, 4/02/18

 

 

9,826

 

 

9,857,906

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

635

 

 

635,436

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

2,450

 

 

2,463,279

 

Univision Communications, Inc., Extended Term Loan,
4.48%, 3/31/17

 

 

468

 

 

451,984

 

 

 

 

 

 

 

20,655,083

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Constellium Holdco BV, Term Loan B, 9.25%,
5/25/18

 

 

660

 

 

646,800

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

HEMA Holding BV, Mezzanine, 8.64%, 7/05/17

 

EUR

1,731

 

 

1,807,502

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Chesapeake Energy Corp., Unsecured Term Loan,
8.50%, 12/01/17

 

USD

1,845

 

 

1,848,967

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

1,561

 

 

1,560,799

 

 

 

 

 

 

 

3,409,766

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., Term Loan, 5.25%,
6/26/14

 

 

605

 

 

585,338

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

950

 

 

958,911

 

Verso Paper Finance Holdings LLC, Term Loan,
6.50% – 7.24%, 2/01/13

 

 

2,314

 

 

1,157,214

 

 

 

 

 

 

 

2,701,463

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

1,478

 

 

1,471,960

 

Pharmaceutical Product Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

487

 

 

492,529

 

 

 

 

 

 

 

1,964,489

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Professional Services — 0.1%

 

 

 

 

 

 

 

Truven Health Analytics, Term Loan B, 6.75%,
6/06/19

 

USD

575

 

$

579,071

 

Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%,
6/28/13

 

 

2,340

 

 

2,341,899

 

Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.50%,
10/10/16

 

 

166

 

 

159,839

 

Extended Term Loan, 4.49%, 10/10/16

 

 

1,173

 

 

1,132,330

 

Stockbridge SBE Holdings LLC, Term Loan B,
13.00%, 5/02/17

 

 

285

 

 

283,575

 

 

 

 

 

 

 

1,575,744

 

Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

104

 

 

105,715

 

Software — 0.4%

 

 

 

 

 

 

 

Infor US, Inc. (FKA Lawson Software, Inc.),
Term Loan B, 6.25%, 4/05/18

 

 

1,900

 

 

1,919,772

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%,
5/29/14

 

 

601

 

 

589,495

 

Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Ascend Performance Materials LLC, Term Loan B,
6.75%, 4/10/18

 

 

1,746

 

 

1,729,618

 

Wireless Telecommunication Services — 1.0%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

99

 

 

98,815

 

Vodafone Americas Finance 2, Inc., Term Loan B,
6.25%, 7/11/16 (b)

 

 

4,022

 

 

4,102,313

 

 

 

 

 

 

 

4,201,128

 

Total Floating Rate Loan Interests — 23.9%

 

 

 

 

 

104,245,687

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate (a)

 

 

4,870

 

 

49

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (a)

 

 

950

 

 

9

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

1,300

 

 

13

 

Adelphia Recovery Trust (a)

 

 

1,630

 

 

163

 

 

 

 

 

 

 

176

 

Total Other Interests — 0.0%

 

 

 

 

 

234

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

Par
(000)

 

 

 

 

Capital Trusts — 0.2%

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (c)

 

 

1,335

 

 

801,000

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

54

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Auto Components — 0.4%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (d)(e)

 

 

12,760

 

$

1,491,325

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (d)

 

 

6,825

 

 

6,214,802

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)

 

 

40,000

 

 

48,000

 

Freddie Mac, Series Z, 8.38% (a)

 

 

110,157

 

 

102,446

 

 

 

 

 

 

 

150,446

 

Total Preferred Stocks — 1.8%

 

 

 

 

 

7,856,573

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)

 

 

119,490

 

 

2,952,932

 

RBS Capital Funding Trust VII, 6.08% (a)(c)(h)(k)

 

 

44,200

 

 

757,588

 

Total Trust Preferreds — 0.8%

 

 

 

 

 

3,710,520

 

Total Preferred Securities — 2.8%

 

 

 

 

 

12,368,093

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

54,577

 

 

1

 

Media — 0.0%

 

 

 

 

 

 

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

26,189

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

525

 

 

 

HMH Holdings/EduMedia (Issued/Exercisable

 

 

 

 

 

 

 

3/09/10, 19 Shares for 1 Warrant, Expires

 

 

 

 

 

 

 

6/22/19, Strike Price $42.27)

 

 

1,835

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

1

 

Total Investments (Cost — $594,142,867) — 139.6%

 

 

 

 

 

608,749,814

 

Liabilities in Excess of Other Assets — (39.6)%

 

 

 

 

 

(172,794,791

)

Net Assets — 100.0%

 

 

 

 

$

435,955,023

 

 

 

 

 

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(c)

Variable rate security. Rate shown is as of report date.

 

 

(d)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(e)

Convertible security.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. (g) When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Goldman Sachs Group, Inc.

 

$

2,532,262

 

$

31,263

 


 

 

(h)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(i)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(j)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(k)

Security is perpetual in nature and has no stated maturity date.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2 (a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

941,235

 

 

(941,235

)

 

 

$

991

 


 

 

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 future contracts sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

182

 

 

S&P 500
E-Mini Index

 

 

Chicago
Mercantile

 

 

September
2012

 

USD

12,786,410

 

$

(879,524

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

140,000

 

USD

220,061

 

 

Citigroup, Inc.

 

 

10/17/12

 

$

2,205

 

GBP

256,000

 

USD

401,064

 

 

Citigroup, Inc.

 

 

10/17/12

 

 

5,365

 

USD

115,144

 

AUD

114,000

 

 

Citigroup, Inc.

 

 

10/17/12

 

 

(2,175

)

USD

200,385

 

AUD

197,000

 

 

UBS AG

 

 

10/17/12

 

 

(2,351

)

USD

4,951,372

 

CAD

5,028,500

 

 

UBS AG

 

 

10/17/12

 

 

(145,216

)

USD

517,032

 

GBP

330,000

 

 

Citigroup, Inc.

 

 

10/17/12

 

 

(6,881

)

USD

152,004

 

GBP

97,000

 

 

Citigroup, Inc.

 

 

10/17/12

 

 

(1,995

)

USD

142,615

 

GBP

92,000

 

 

Deutsche Bank AG

 

 

10/17/12

 

 

(3,446

)

USD

5,660,029

 

GBP

3,646,000

 

 

UBS AG

 

 

10/17/12

 

 

(128,422

)

USD

426,542

 

GBP

275,000

 

 

UBS AG

 

 

10/17/12

 

 

(10,053

)

USD

144,270

 

GBP

93,000

 

 

UBS AG

 

 

10/17/12

 

 

(3,379

)

USD

61,158

 

GBP

39,000

 

 

UBS AG

 

 

10/17/12

 

 

(759

)

EUR

175,000

 

USD

213,055

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

7,174

 

EUR

390,000

 

USD

483,296

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

7,499

 

EUR

1,000,000

 

USD

1,224,283

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

34,166

 

USD

30,263,810

 

EUR

24,685,000

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

(800,994

)

USD

869,708

 

EUR

700,000

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

(11,206

)

USD

256,913

 

EUR

209,000

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

(6,103

)

USD

24,749

 

EUR

20,000

 

 

Citigroup, Inc.

 

 

10/22/12

 

 

(420

)

USD

122,847

 

EUR

99,000

 

Royal Bank of
Scotland Group Plc

 

 

10/22/12

 

 

(1,740

)

USD

585,153

 

EUR

474,000

 

 

UBS AG

 

 

10/22/12

 

 

(11,351

)

USD

377,625

 

EUR

306,000

 

 

UBS AG

 

 

10/22/12

 

 

(7,460

)

USD

192,990

 

EUR

157,000

 

 

UBS AG

 

 

10/22/12

 

 

(4,586

)

Total

 

 

 

 

 

 

 

 

$

(1,092,128

)


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

55




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

 

6/20/15

 

USD

160

 

$

(11,861

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

 

6/20/15

 

USD

135

 

 

(11,087

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

 

6/20/15

 

USD

260

 

 

(18,522

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

 

6/20/15

 

USD

140

 

 

(7,147

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

 

6/20/15

 

USD

135

 

 

(7,736

)

Republic of
Hungary

 

 

1.00

%

 

Deutsche Bank AG

 

 

12/20/15

 

USD

470

 

 

8,548

 

Israel (State of)

 

 

1.00

%

 

Deutsche Bank AG

 

 

3/20/17

 

USD

350

 

 

(7,845

)

Israel (State of)

 

 

1.00

%

 

Deutsche Bank AG

 

 

3/20/17

 

USD

1,050

 

 

(24,193

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(79,843

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

Air Lease
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

2/14/13

 

 

Not Rated

 

USD

800

 

$

13,264

 

CIT
Group, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

9/20/15

 

 

BB–

 

USD

5,000

 

 

650,314

 

ARAMARK
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

3/20/16

 

 

B

 

USD

750

 

 

62,823

 

ARAMARK
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

6/20/16

 

 

B

 

USD

475

 

 

40,119

 

ARAMARK
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

6/20/16

 

 

B

 

USD

475

 

 

42,751

 

ARAMARK
Corp.

 

 

5.00

%

 

Credit Suisse
Group AG

 

 

9/20/16

 

 

B

 

USD

200

 

 

23,894

 

ARAMARK
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

9/20/16

 

 

B

 

USD

450

 

 

39,429

 

ARAMARK
Corp.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

9/20/16

 

 

B

 

USD

200

 

 

23,236

 

ARAMARK
Corp.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

B

 

USD

305

 

 

20,133

 

Crown Castle
International
Corp.

 

 

7.25

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

B–

 

USD

720

 

 

10,262

 

Ford
Motor Co.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

BB+

 

USD

2,200

 

 

96,904

 

Goodyear
Tire &
Rubber Co.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/17

 

 

B+

 

USD

480

 

 

22,367

 


 

 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

Goodyear
Tire &
Rubber Co.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

6/20/17

 

 

B+

 

USD

500

 

$

17,619

 

CCO
Holdings LLC

 

 

8.00

%

 

Deutsche
Bank AG

 

 

9/20/17

 

 

BB–

 

USD

2,400

 

 

195,516

 

Level 3
Communica-
tions, Inc.

 

 

5.00

%

 

Goldman Sachs
Group, Inc.

 

 

6/20/19

 

 

CCC

 

USD

1,600

 

 

43,737

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,302,368

 


 

 

1

Using S&P’s rating.

 

 

2

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


 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Dow Jones CDX
North America
High Yield
Series 18,
Version 2

 

 

5.00%

 

 

Credit Suisse
Group AG

 

 

6/20/17

 

USD    2,871

 

$

(9,310

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

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 and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


See Notes to Financial Statements.

 

 

 

 

 

 

56

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:
Common Stocks

 

$

28,170,818

 

$

1,082,501

 

$

7,005,140

 

$

36,258,459

 

Corporate Bonds

 

 

 

 

450,952,419

 

 

4,924,921

 

 

455,877,340

 

Floating Rate
Loan Interests

 

 

 

 

84,784,618

 

 

19,461,069

 

 

104,245,687

 

Other Interests

 

 

163

 

 

 

 

71

 

 

234

 

Preferred
Securities

 

 

3,860,966

 

 

8,507,127

 

 

 

 

12,368,093

 

Warrants

 

 

 

 

 

 

1

 

 

1

 

Total

 

$

32,031,947

 

$

545,326,665

 

$

31,391,202

 

$

608,749,814

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

441,560

 

$

869,356

 

$

1,310,916

 

Foreign currency
exchange
contracts

 

 

 

 

56,409

 

 

 

 

56,409

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(97,701

)

 

 

 

(97,701

)

Equity contracts

 

$

(879,524

)

 

 

 

 

 

(879,524

)

Foreign currency
exchange
contracts

 

 

 

 

(1,148,537

)

 

 

 

(1,148,537

)

Total

 

$

(879,524

)

$

(748,269

)

$

869,356

 

$

(758,437

)


 

 

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.

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, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

1,867,598

 

 

 

 

 

$

1,867,598

 

Foreign currency
at value

 

 

550,512

 

 

 

 

 

 

550,512

 

Cash pledged
as collateral for
financial futures
contracts

 

 

765,000

 

 

 

 

 

 

765,000

 

Cash pledged
as collateral
for swaps

 

 

400,000

 

 

 

 

 

 

400,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash received
as collateral
for swaps

 

 

 

$

(600,000

)

 

 

 

(600,000

)

Loan payable

 

 

 

 

(181,000,000

)

 

 

 

(181,000,000

)

Total

 

$

3,583,110

 

$

(181,600,000

)

 

 

$

(178,016,890

)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $11,090,417 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

 

Unobservable Inputs2

 

Range of
Unobservable
Inputs

 

Weighted Average
of Unobservable
Inputs3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

$

7,005,132

   

Market Comparable Companies

Cost

 

 

EBITDA Multiple
Forward EBITDA Multiple
N/A4

 

5.9x
4.6x

 

5.9x
4.6x

 

Corporate Bonds

 

4,523,611

 

Market Comparable Companies

Cost

 

 

Yield
EBITDA Multiple
N/A4

 

9.67%
6.0x

 

9.67%
6.0x

 

Floating Rate Loan Interests

 

5,554,954

 

Market Comparable Companies
Cost

 

 

Illiquidity Discount
Yield
N/A4

 

50%
9.65%

 

50%
9.65%

 

Total5

$

17,083,697

 

 

 

 

 

 

 

 

 

 


 

 

2

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

Unobservable Input

Impact to
Value if Input Increases

Impact to
Value if Input Decreases

EBITDA Multiple

Increase

Decrease

Forward EBITDA Multiple

Increase

Decrease

Yield

Decrease

Increase

Illiquidity Discount

Decrease

Increase


 

 

3

Unobservable inputs are weighted based on the value of the investments included in the range.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

57




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)


 

 

 

 

4

The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

 

 

 

5

Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

3,689,799

 

$

6,541,570

 

$

14,112,734

 

$

3,081,895

 

$

503,497

 

$

382,599

 

$

28,312,094

 

Transfers into Level 31

 

 

3,081,876

2

 

 

 

5,487,806

 

 

 

 

 

 

 

 

8,569,682

 

Transfers out of Level 33

 

 

 

 

 

 

(2,529,625

)

 

(3,081,872

)2

 

 

 

 

 

(5,611,497

)

Accrued discounts/premiums

 

 

 

 

6,060

 

 

200,544

 

 

 

 

 

 

 

 

206,604

 

Net realized gain (loss)

 

 

(1,658,754

)

 

(3,660,373

)

 

48,617

 

 

 

 

592,350

 

 

(293,874

)

 

(4,972,034

)

Net change in unrealized appreciation/depreciation4

 

 

93,110

 

 

3,647,602

 

 

(1,178,187

)

 

48

 

 

(503,497

)

 

(88,724

)

 

1,970,352

 

Purchases

 

 

1,810,765

 

 

1,068,488

 

 

5,354,106

 

 

 

 

 

 

 

 

8,233,359

 

Sales

 

 

(11,656

)

 

(2,678,426

)

 

(2,034,926

)

 

 

 

(592,350

)

 

 

 

(5,317,358

)

Closing Balance, as of August 31, 2012

 

$

7,005,140

 

$

4,924,921

 

$

19,461,069

 

$

71

 

 

 

$

1

 

$

31,391,202

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $5,487,810 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

Transfers into and out of Level 3 are the result of a reclassification of certain Level 3 investments between Common Stocks and Other Interests and not the result of the investments transferring into or out of Level 3.

 

 

 

 

3

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $2,529,625 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(2,542,944).

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Assets:

 

 

 

 

Opening balance, as of August 31, 2011

 

 

 

Transfers into Level 35

 

 

 

Transfers out of Level 35

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation6

 

$

869,356

 

Purchases

 

 

 

Issues7

 

 

 

Sales

 

 

 

Settlements8

 

 

 

Closing Balance, as of August 31, 2012

 

$

869,356

 


 

 

 

 

5

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

6

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, 2012 was $869,356.

 

 

 

 

7

Issues represent upfront cash received on certain derivative financial instruments.

 

 

 

 

8

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

58

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 0.4%

 

 

 

 

 

 

 

Delphi Automotive Plc

 

 

16,057

 

$

486,354

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

100,092,440

 

 

663,713

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

35,081

 

 

4,560

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc., Class A

 

 

40,597

 

 

112,454

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

251

 

 

3

 

HMH Holdings/EduMedia

 

 

9,409

 

 

230,515

 

 

 

 

 

 

 

230,518

 

Total Common Stocks — 1.2%

 

 

 

 

 

1,497,599

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000
)

 

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

100

 

 

107,000

 

7.13%, 3/15/21

 

 

140

 

 

151,550

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

398

 

 

423,870

 

 

 

 

 

 

 

682,420

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

276

 

 

281,313

 

Series 2, 12.38%, 8/16/15

 

 

279

 

 

284,580

 

 

 

 

 

 

 

565,893

 

Airlines — 1.3%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

 

504

 

 

533,899

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 7/12/20

 

 

178

 

 

178,906

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2002-1, Class G-1, 6.72%, 7/02/24

 

 

273

 

 

296,120

 

Series 2009-1-B, 9.75%, 6/17/18

 

 

93

 

 

100,817

 

US Airways Pass-Through Trust, Class C:

 

 

 

 

 

 

 

Series 2011-1, 10.88%, 10/22/14

 

 

305

 

 

312,636

 

Series 2012-1, 9.13%, 10/01/15

 

 

200

 

 

204,000

 

 

 

 

 

 

 

1,626,378

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

200

 

 

215,500

 

Delphi Corp., 6.13%, 5/15/21

 

 

80

 

 

88,000

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

1,510

 

 

1,608,150

 

IDQ Holdings, Inc., 11.50%, 4/01/17 (b)

 

 

155

 

 

162,169

 

International Automotive Components Group SL,
9.13%, 6/01/18 (b)

 

 

20

 

 

19,175

 

Titan International, Inc., 7.88%, 10/01/17

 

 

190

 

 

199,025

 

 

 

 

 

 

 

2,292,019

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

100

 

 

138,358

 

7.13%, 8/15/18 (b)

 

 

167

 

 

231,058

 

 

 

 

 

 

 

369,416

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)

 

USD

25

 

 

25,041

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000
)

 

 

Value

 

Building Products — 0.8%

 

 

 

 

 

 

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

USD

250

 

$

270,625

 

6.75%, 5/01/21

 

 

350

 

 

382,375

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

170

 

 

103,700

 

USG Corp., 9.75%, 1/15/18

 

 

270

 

 

289,575

 

 

 

 

 

 

 

1,046,275

 

Capital Markets — 0.9%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (c)

 

 

485

 

 

553,506

 

Series A, 11.15%, 8/31/19 (d)(e)

 

 

295

 

 

252,225

 

KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)

 

 

300

 

 

339,586

 

 

 

 

 

 

 

1,145,317

 

Chemicals — 4.0%

 

 

 

 

 

 

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

810

 

 

895,050

 

Chemtura Corp., 7.88%, 9/01/18

 

 

145

 

 

156,237

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20 (b)

 

 

105

 

 

106,050

 

9.00%, 11/15/20

 

 

145

 

 

123,975

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

80

 

 

91,600

 

INEOS Finance Plc (b):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

 

400

 

 

421,000

 

7.50%, 5/01/20

 

 

195

 

 

198,900

 

INEOS Group Holdings Plc, 8.50%, 2/15/16 (b)

 

 

75

 

 

70,688

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

148

 

 

202,360

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

55

 

 

56,375

 

LyondellBasell Industries NV, 5.75%, 4/15/24 (b)

 

 

1,210

 

 

1,370,325

 

Nexeo Solutions LLC, 8.38%, 3/01/18

 

 

85

 

 

83,088

 

PolyOne Corp., 7.38%, 9/15/20

 

 

100

 

 

109,250

 

TPC Group LLC, 8.25%, 10/01/17

 

 

155

 

 

170,112

 

Tronox Finance LLC, 6.38%, 8/15/20 (b)

 

 

835

 

 

843,350

 

 

 

 

 

 

 

4,898,360

 

Commercial Banks — 1.1%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (b)

 

 

632

 

 

633,600

 

5.25%, 3/15/18

 

 

240

 

 

250,200

 

5.50%, 2/15/19 (b)

 

 

240

 

 

250,200

 

5.00%, 8/15/22

 

 

260

 

 

261,970

 

 

 

 

 

 

 

1,395,970

 

Commercial Services & Supplies — 1.9%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

166

 

 

170,152

 

ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(c)

 

 

190

 

 

194,514

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (b)

 

 

230

 

 

236,152

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

 

 

171

 

 

180,616

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)

 

 

9

 

 

9,090

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

214

 

 

211,860

 

Clean Harbors, Inc., 5.25%, 8/01/20 (b)

 

 

233

 

 

239,116

 

Covanta Holding Corp., 6.38%, 10/01/22

 

 

280

 

 

306,144

 

Mead Products LLC/ACCO Brands Corp., 6.75%,
4/30/20 (b)

 

 

97

 

 

102,578

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

165

 

 

176,963

 

RSC Equipment Rental, Inc., 8.25%, 2/01/21

 

 

392

 

 

429,240

 

West Corp., 8.63%, 10/01/18

 

 

65

 

 

65,975

 

 

 

 

 

 

 

2,322,400

 

Communications Equipment — 1.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

310

 

 

268,925

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

400

 

 

407,000

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

180

 

 

192,825

 

Zayo Group LLC/Zayo Capital, Inc.:

 

 

 

 

 

 

 

8.13%, 1/01/20

 

 

690

 

 

733,125

 

10.13%, 7/01/20

 

 

560

 

 

600,600

 

 

 

 

 

 

 

2,202,475

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

59




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (e)

 

USD

100

 

$

110,750

 

Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (b)

 

 

90

 

 

93,375

 

H&E Equipment Services, Inc., 7.00%, 9/01/22 (b)

 

 

145

 

 

150,437

 

URS Corp., 5.00%, 4/01/22 (b)

 

 

30

 

 

30,420

 

 

 

 

 

 

 

274,232

 

Construction Materials — 1.3%

 

 

 

 

 

 

 

HD Supply, Inc. (b):

 

 

 

 

 

 

 

8.13%, 4/15/19

 

 

680

 

 

737,800

 

11.00%, 4/15/20

 

 

655

 

 

720,500

 

Xefin Lux SCA, 8.00%, 6/01/18 (b)

 

EUR

113

 

 

138,578

 

 

 

 

 

 

 

1,596,878

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

220

 

 

242,000

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

270

 

 

300,559

 

12.00%, 5/15/15

 

 

330

 

 

410,850

 

 

 

 

 

 

 

953,409

 

Containers & Packaging — 1.5%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (b):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

285

 

 

379,085

 

9.13%, 10/15/20

 

USD

200

 

 

209,000

 

9.13%, 10/15/20

 

 

200

 

 

208,000

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.34%, 9/15/14 (f)

 

 

135

 

 

132,975

 

8.25%, 11/15/15

 

 

55

 

 

57,888

 

9.75%, 1/15/21

 

 

195

 

 

215,962

 

GCL Holdings SCA, 9.38%, 4/15/18 (b)

 

EUR

120

 

 

146,408

 

Graphic Packaging International, Inc., 7.88%,
10/01/18

 

USD

175

 

 

195,125

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

100

 

 

129,868

 

Sealed Air Corp., 8.38%, 9/15/21 (b)

 

USD

85

 

 

95,625

 

Tekni-Plex, Inc., 9.75%, 6/01/19 (b)

 

 

80

 

 

83,600

 

 

 

 

 

 

 

1,853,536

 

Distributors — 0.6%

 

 

 

 

 

 

 

VWR Funding, Inc., 7.25%, 9/15/17 (b)(g)

 

 

710

 

 

718,875

 

Diversified Consumer Services — 0.3%

 

 

 

 

 

 

 

Laureate Education, Inc., 9.25%, 9/01/19 (b)

 

 

270

 

 

270,000

 

ServiceMaster Co., 8.00%, 2/15/20

 

 

85

 

 

90,631

 

 

 

 

 

 

 

360,631

 

Diversified Financial Services — 4.3%

 

 

 

 

 

 

 

Aircastle, Ltd., 6.75%, 4/15/17

 

 

200

 

 

216,000

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

90

 

 

96,188

 

8.00%, 11/01/31

 

 

1,520

 

 

1,797,400

 

Boparan Holdings Ltd. (b):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

100

 

 

132,226

 

9.88%, 4/30/18

 

GBP

100

 

 

166,053

 

CNG Holdings, Inc., 9.38%, 5/15/20 (b)

 

USD

135

 

 

137,700

 

DPL, Inc., 7.25%, 10/15/21 (b)

 

 

530

 

 

604,200

 

General Motors Financial Co., Inc., 6.75%, 6/01/18

 

 

140

 

 

155,224

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

378

 

 

426,195

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

71

 

 

92,206

 

7.13%, 4/15/19

 

USD

115

 

 

123,912

 

9.75%, 4/15/19

 

 

100

 

 

101,625

 

7.88%, 8/15/19

 

 

250

 

 

278,125

 

9.88%, 8/15/19

 

 

575

 

 

608,062

 

8.25%, 2/15/21

 

 

100

 

 

98,250

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16

 

USD

55

 

$

60,088

 

11.50%, 10/01/18

 

 

190

 

 

208,525

 

 

 

 

 

 

 

5,301,979

 

Diversified Telecommunication Services — 2.4%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12 (a)(h)

 

 

480

 

 

324,000

 

Consolidated Communications Finance Co.,
10.88%, 6/01/20 (b)

 

 

270

 

 

289,575

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

140

 

 

150,850

 

Level 3 Communications, Inc.:

 

 

 

 

 

 

 

6.50%, 10/01/16

 

 

125

 

 

172,813

 

8.88%, 6/01/19 (b)

 

 

145

 

 

147,900

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

913

 

 

956,367

 

7.00%, 6/01/20 (b)

 

 

252

 

 

250,740

 

8.63%, 7/15/20

 

 

385

 

 

411,950

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

112

 

 

118,160

 

7.88%, 11/01/17

 

 

163

 

 

177,262

 

 

 

 

 

 

 

2,999,617

 

Electric Utilities — 0.5%

 

 

 

 

 

 

 

Mirant Mid Atlantic Pass-Through Trust, Series B,
9.13%, 6/30/17

 

 

130

 

 

140,058

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

350

 

 

438,161

 

 

 

 

 

 

 

578,219

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Belden, Inc., 5.50%, 9/01/22 (b)

 

USD

160

 

 

160,400

 

Electronic Equipment, Instruments &
Components — 0.4%

 

 

 

 

 

 

 

CDW LLC/CDW Finance Corp., 8.50%, 4/01/19

 

 

170

 

 

186,150

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

105

 

 

126,000

 

Micron Technology, Inc., 2.38%, 5/01/32 (b)(e)

 

 

192

 

 

182,640

 

 

 

 

 

 

 

494,790

 

Energy Equipment & Services — 3.5%

 

 

 

 

 

 

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

65

 

 

69,388

 

Calfrac Holdings LP, 7.50%, 12/01/20 (b)

 

 

185

 

 

181,300

 

Compagnie Générale de Géophysique, Veritas:

 

 

 

 

 

 

 

7.75%, 5/15/17

 

 

170

 

 

177,650

 

6.50%, 6/01/21

 

 

595

 

 

619,544

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

165

 

 

160,050

 

FTS International Services LLC/FTS International
Bonds Inc., 8.13%, 11/15/18 (b)

 

 

795

 

 

820,837

 

Gulfmark Offshore, Inc., 6.38%, 3/15/22 (b)

 

 

70

 

 

71,400

 

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

 

 

140

 

 

142,800

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

205

 

 

208,588

 

MEG Energy Corp. (b):

 

 

 

 

 

 

 

6.50%, 3/15/21

 

 

545

 

 

573,612

 

6.38%, 1/30/23

 

 

200

 

 

208,500

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

140

 

 

148,750

 

Peabody Energy Corp.:

 

 

 

 

 

 

 

6.25%, 11/15/21 (b)

 

 

640

 

 

651,200

 

7.88%, 11/01/26

 

 

170

 

 

181,475

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

 

35

 

 

36,750

 

6.50%, 12/15/21

 

 

135

 

 

141,750

 

 

 

 

 

 

 

4,393,594

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

Rite Aid Corp., 9.25%, 3/15/20

 

 

165

 

 

169,538

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

60

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food Products — 0.4%

 

 

 

 

 

 

 

Del Monte Corp., 7.63%, 2/15/19

 

USD

27

 

$

26,966

 

Post Holdings, Inc., 7.38%, 2/15/22 (b)

 

 

195

 

 

205,481

 

Smithfield Foods, Inc., 6.63%, 8/15/22

 

 

256

 

 

262,080

 

 

 

 

 

 

 

494,527

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

90

 

 

95,231

 

6.50%, 8/01/20 (b)(c)

 

 

313

 

 

324,738

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

239

 

 

249,456

 

8.75%, 3/15/18 (b)

 

 

200

 

 

212,500

 

7.75%, 4/15/18

 

 

50

 

 

45,750

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (b)

 

 

48

 

 

53,820

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)

 

 

505

 

 

581,381

 

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%,
11/01/19 (b)

 

 

125

 

 

113,438

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

130

 

 

139,100

 

 

 

 

 

 

 

1,815,414

 

Health Care Providers & Services — 7.6%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

255

 

 

265,200

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

5.13%, 8/15/18

 

 

395

 

 

407,344

 

7.13%, 7/15/20

 

 

202

 

 

211,595

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)

 

EUR

200

 

 

269,169

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (b)

 

GBP

200

 

 

319,952

 

DaVita, Inc., 5.75%, 8/15/22

 

USD

408

 

 

424,320

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

60

 

 

67,650

 

6.50%, 2/15/20

 

 

1,075

 

 

1,181,156

 

7.88%, 2/15/20

 

 

40

 

 

44,650

 

7.25%, 9/15/20

 

 

1,400

 

 

1,551,375

 

Hologic, Inc., 6.25%, 8/01/20 (b)

 

 

703

 

 

744,301

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

683

 

 

651,411

 

INC Research LLC, 11.50%, 7/15/19 (b)

 

 

185

 

 

181,300

 

inVentiv Health, Inc., 10.00%, 8/15/18 (b)

 

 

55

 

 

46,338

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

450

 

 

496,125

 

PSS World Medical, Inc., 6.38%, 3/01/22

 

 

65

 

 

68,738

 

Symbion, Inc., 8.00%, 6/15/16

 

 

155

 

 

156,647

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

352

 

 

404,800

 

6.25%, 11/01/18

 

 

150

 

 

162,844

 

8.88%, 7/01/19

 

 

1,260

 

 

1,433,250

 

United Surgical Partners International, Inc., 9.00%,
4/01/20 (b)

 

 

125

 

 

134,219

 

Vanguard Health Holding Co. II LLC, 7.75%,
2/01/19 (b)

 

 

205

 

 

213,712

 

 

 

 

 

 

 

9,436,096

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

 

1,125

 

 

1,321,875

 

Hotels, Restaurants & Leisure — 4.1%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

625

 

 

673,437

 

10.00%, 12/15/18

 

 

1,819

 

 

1,145,970

 

Caesars Operating Escrow LLC (b):

 

 

 

 

 

 

 

8.50%, 2/15/20

 

 

135

 

 

133,144

 

9.00%, 2/15/20

 

 

734

 

 

730,330

 

Carlson Wagonlit BV, 6.88%, 6/15/19 (b)

 

 

200

 

 

208,000

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

550

 

 

585,063

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (b)

 

 

60

 

 

58,500

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

95

 

 

107,825

 

11.13%, 11/15/17

 

 

790

 

 

878,875

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

MTR Gaming Group, Inc., 11.50%, 8/01/19 (c)

 

USD

65

 

$

67,121

 

Travelport LLC:

 

 

 

 

 

 

 

5.09%, 9/01/14 (f)

 

 

85

 

 

60,350

 

9.88%, 9/01/14

 

 

20

 

 

15,900

 

9.00%, 3/01/16

 

 

60

 

 

42,600

 

6.46%, 12/01/16 (b)(c)(f)

 

 

191

 

 

147,629

 

Tropicana Entertainment LLC, 9.63%,
12/15/14 (a)(h)

 

 

215

 

 

 

Wynn Las Vegas LLC, 5.38%, 3/15/22 (b)

 

 

270

 

 

276,075

 

 

 

 

 

 

 

5,130,819

 

Household Durables — 1.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)

 

 

15

 

 

15,338

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

140

 

 

189,739

 

Libbey Glass, Inc., 6.88%, 5/15/20 (b)

 

USD

270

 

 

287,887

 

Pulte Group, Inc., 6.38%, 5/15/33

 

 

85

 

 

73,950

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

160

 

 

168,800

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

890

 

 

1,074,675

 

8.38%, 1/15/21

 

 

480

 

 

535,200

 

 

 

 

 

 

 

2,345,589

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (b)

 

EUR

100

 

 

127,667

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

160

 

 

182,600

 

9.50%, 6/15/18 (b)

 

 

270

 

 

308,137

 

 

 

 

 

 

 

618,404

 

Independent Power Producers &
Energy Traders — 3.4%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21

 

 

125

 

 

143,125

 

Calpine Corp. (b):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

80

 

 

85,600

 

7.50%, 2/15/21

 

 

45

 

 

49,950

 

7.88%, 1/15/23

 

 

200

 

 

226,000

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

825

 

 

909,562

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

6.88%, 8/15/17 (b)

 

 

135

 

 

137,869

 

10.00%, 12/01/20

 

 

1,341

 

 

1,505,272

 

11.75%, 3/01/22 (b)

 

 

270

 

 

287,550

 

GenOn REMA LLC, 9.24%, 7/02/17

 

 

107

 

 

114,780

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

340

 

 

385,900

 

7.38%, 5/01/22

 

 

165

 

 

177,375

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

148

 

 

151,700

 

 

 

 

 

 

 

4,174,683

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,060

 

 

1,113,000

 

13.50%, 12/01/15

 

 

1,770

 

 

1,875,713

 

 

 

 

 

 

 

2,988,713

 

Insurance — 1.1%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)

 

 

800

 

 

827,000

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (b)

 

 

168

 

 

183,750

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

190

 

 

194,142

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)

 

 

120

 

 

107,400

 

 

 

 

 

 

 

1,312,292

 

IT Services — 3.0%

 

 

 

 

 

 

 

Ceridian Corp., 8.88%, 7/15/19 (b)

 

 

650

 

 

697,125

 

Epicor Software Corp., 8.63%, 5/01/19

 

 

230

 

 

236,900

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

61




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (b)

 

USD

700

 

$

722,750

 

6.75%, 11/01/20 (b)

 

 

395

 

 

392,038

 

8.25%, 1/15/21 (b)

 

 

285

 

 

282,506

 

12.63%, 1/15/21

 

 

763

 

 

772,537

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

250

 

 

265,625

 

7.63%, 11/15/20

 

 

280

 

 

300,300

 

 

 

 

 

 

 

3,669,781

 

Machinery — 1.2%

 

 

 

 

 

 

 

SPX Corp., 6.88%, 9/01/17

 

 

80

 

 

88,800

 

UR Financing Escrow Corp. (b):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

114

 

 

120,555

 

7.38%, 5/15/20

 

 

195

 

 

206,700

 

7.63%, 4/15/22

 

 

957

 

 

1,033,560

 

 

 

 

 

 

 

1,449,615

 

Media — 14.3%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

365

 

 

260,975

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

100

 

 

113,250

 

CCH II LLC, 13.50%, 11/30/16

 

 

637

 

 

697,672

 

CCO Holdings LLC:

 

 

 

 

 

 

 

6.50%, 4/30/21

 

 

563

 

 

603,817

 

5.25%, 9/30/22

 

 

430

 

 

425,700

 

Cengage Learning Acquisitions, Inc., 11.50%,
4/15/20 (b)

 

 

575

 

 

605,187

 

Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)

 

 

310

 

 

189,100

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

120

 

 

134,400

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

491

 

 

421,033

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

686

 

 

742,595

 

Series B, 9.25%, 12/15/17

 

 

2,436

 

 

2,646,105

 

Series B, 7.63%, 3/15/20

 

 

717

 

 

695,490

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

328

 

 

327,854

 

Loan Close 3, 4.00%, 8/15/18

 

 

375

 

 

374,832

 

Shares Loan, 12.00%, 8/15/18

 

 

386

 

 

386,583

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

180

 

 

197,775

 

DISH DBS Corp., 5.88%, 7/15/22 (b)

 

 

510

 

 

513,825

 

Harron Communications LP, 9.13%, 4/01/20 (b)

 

 

140

 

 

151,550

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)

 

 

365

 

 

393,288

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

395

 

 

415,738

 

11.25%, 2/04/17

 

 

270

 

 

283,500

 

11.50%, 2/04/17 (c)

 

 

545

 

 

572,250

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

615

 

 

693,412

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

155

 

 

173,213

 

Kabel Deutschland Vertrieb und Service GmbH & Co.
KG, 6.50%, 6/29/18 (b)

 

EUR

155

 

 

210,068

 

Lamar Media Corp., 5.88%, 2/01/22

 

USD

65

 

 

68,900

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)

 

 

335

 

 

358,450

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (b)

 

 

261

 

 

291,015

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

72

 

 

81,720

 

7.75%, 10/15/18

 

 

970

 

 

1,091,250

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b)

 

GBP

100

 

 

157,594

 

ProQuest LLC, 9.00%, 10/15/18 (b)

 

USD

230

 

 

211,025

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h)

 

 

1,427

 

 

714

 

Truven Health Analytics, Inc., 10.63%, 6/01/20 (b)

 

 

220

 

 

234,850

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

100

 

 

141,345

 

9.63%, 12/01/19 (b)

 

 

245

 

 

346,296

 

9.50%, 3/15/21

 

 

190

 

 

272,738

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (b)

 

USD

557

 

$

602,953

 

7.50%, 3/15/19

 

EUR

304

 

 

418,696

 

UPC Holding BV, 9.88%, 4/15/18 (b)

 

USD

200

 

 

224,500

 

UPCB Finance II Ltd., 6.38%, 7/01/20 (b)

 

EUR

371

 

 

487,643

 

WaveDivision Escrow LLC/WaveDivision Escrow
Corp., 8.13%, 9/01/20 (b)

 

USD

130

 

 

133,900

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)

 

EUR

175

 

 

241,576

 

Ziggo Finance BV, 6.13%, 11/15/17 (b)

 

 

96

 

 

128,899

 

 

 

 

 

 

 

17,723,276

 

Metals & Mining — 3.3%

 

 

 

 

 

 

 

FMG Resources August 2006 Property Ltd. (b):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

160

 

 

152,400

 

6.88%, 4/01/22

 

 

85

 

 

78,200

 

Global Brass and Copper, Inc., 9.50%,
6/01/19 (b)(h)

 

 

130

 

 

136,825

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

460

 

 

530,150

 

Kaiser Aluminum Corp., 8.25%, 6/01/20 (b)

 

 

100

 

 

106,000

 

New Gold, Inc., 7.00%, 4/15/20 (b)

 

 

65

 

 

68,413

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)

 

 

670

 

 

851,737

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,525

 

 

1,704,187

 

Steel Dynamics, Inc., 6.38%, 8/15/22 (b)

 

 

105

 

 

108,675

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

190

 

 

180,975

 

Vedanta Resources Plc, 8.25%, 6/07/21 (b)

 

 

200

 

 

191,000

 

 

 

 

 

 

 

4,108,562

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp., 4.13%, 7/15/17 (f)

 

 

351

 

 

365,040

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

120

 

 

124,500

 

Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)

 

 

352

 

 

315,920

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

140

 

 

126,000

 

6.25%, 6/01/21

 

 

115

 

 

102,925

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b)

 

 

100

 

 

104,500

 

Berry Petroleum Co., 6.38%, 9/15/22

 

 

180

 

 

191,700

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (b)

 

 

115

 

 

117,300

 

CCS, Inc., 11.00%, 11/15/15 (b)

 

 

250

 

 

258,750

 

Chaparral Energy, Inc., 7.63%, 11/15/22 (b)

 

 

95

 

 

100,463

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

7.25%, 12/15/18

 

 

5

 

 

5,238

 

6.63%, 8/15/20

 

 

80

 

 

82,200

 

6.88%, 11/15/20

 

 

80

 

 

83,000

 

6.13%, 2/15/21

 

 

265

 

 

263,012

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (b)

 

 

52

 

 

55,380

 

Concho Resources, Inc.:

 

 

 

 

 

 

 

7.00%, 1/15/21

 

 

75

 

 

83,625

 

6.50%, 1/15/22

 

 

50

 

 

54,000

 

5.50%, 10/01/22

 

 

210

 

 

216,825

 

CONSOL Energy, Inc., 8.25%, 4/01/20

 

 

805

 

 

867,387

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

170

 

 

190,400

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

135

 

 

141,075

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

 

85

 

 

90,738

 

7.13%, 6/01/22 (b)

 

 

65

 

 

64,675

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

23

 

 

26,105

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

250

 

 

278,750

 

7.75%, 6/15/19

 

 

405

 

 

430,312

 

EP Energy LLC/Everest Acquisition Finance, Inc.,
7.75%, 9/01/22 (b)

 

 

95

 

 

95,238

 

EP Energy LLC/EP Energy Finance, Inc., 6.88%,
5/01/19 (b)

 

 

155

 

 

166,237

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

70

 

 

72,275

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

62

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (b)

 

USD

350

 

$

385,000

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)

 

 

155

 

 

164,687

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (b)

 

 

45

 

 

44,775

 

6.25%, 11/01/19 (b)

 

 

815

 

 

804,812

 

8.63%, 4/15/20

 

 

100

 

 

108,000

 

7.75%, 2/01/21

 

 

95

 

 

99,038

 

MarkWest Energy Partners LP:

 

 

 

 

 

 

 

6.25%, 6/15/22

 

 

35

 

 

37,188

 

5.50%, 2/15/23

 

 

100

 

 

102,250

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

350

 

 

382,375

 

Northern Oil and Gas, Inc., 8.00%, 6/01/20 (b)

 

 

140

 

 

142,800

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

120

 

 

126,600

 

6.50%, 11/01/21

 

 

135

 

 

137,700

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15 (b)

 

 

590

 

 

651,950

 

11.50%, 8/01/15

 

 

145

 

 

160,225

 

OGX Petroleo e Gas Participações SA (b):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

1,310

 

 

1,162,625

 

8.38%, 4/01/22

 

 

305

 

 

259,250

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (b)

 

 

135

 

 

141,075

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)

 

 

535

 

 

547,037

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)

 

 

265

 

 

282,887

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

210

 

 

254,247

 

7.50%, 1/15/20

 

 

65

 

 

81,294

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

170

 

 

187,850

 

5.75%, 6/01/21

 

 

445

 

 

473,369

 

5.00%, 8/15/22

 

 

193

 

 

200,962

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

270

 

 

288,900

 

Samson Investment Co., 9.75%, 2/15/20 (b)

 

 

39

 

 

40,170

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21

 

 

115

 

 

116,438

 

7.50%, 3/15/21 (b)

 

 

300

 

 

303,750

 

8.13%, 10/15/22 (b)

 

 

110

 

 

114,950

 

7.50%, 2/15/23 (b)

 

 

245

 

 

246,225

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

145

 

 

153,700

 

7.13%, 12/15/21

 

 

105

 

 

116,812

 

SM Energy Co.:

 

 

 

 

 

 

 

6.63%, 2/15/19

 

 

60

 

 

62,700

 

6.50%, 11/15/21

 

 

115

 

 

120,175

 

6.50%, 1/01/23 (b)

 

 

55

 

 

57,338

 

Vanguard Natural Resources, 7.88%, 4/01/20

 

 

120

 

 

120,000

 

 

 

 

 

 

 

13,387,684

 

Paper & Forest Products — 1.4%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

25

 

 

27,688

 

8.00%, 4/01/20

 

 

50

 

 

55,250

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

185

 

 

206,737

 

7.13%, 11/01/18

 

 

270

 

 

294,975

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (b)

 

 

155

 

 

160,425

 

NewPage Corp., 11.38%, 12/31/14 (a)(h)

 

 

995

 

 

674,112

 

Sappi Papier Holding GmbH (b):

 

 

 

 

 

 

 

8.38%, 6/15/19

 

 

200

 

 

210,500

 

6.63%, 4/15/21

 

 

65

 

 

60,125

 

 

 

 

 

 

 

1,689,812

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 1.0%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)

 

EUR

100

 

$

140,559

 

Pharmaceutical Product Development, Inc., 9.50%,
12/01/19 (b)

 

USD

75

 

 

83,625

 

Spectrum Brands, Inc., 6.75%, 3/15/20 (b)

 

 

115

 

 

120,750

 

Valeant Pharmaceuticals International (b):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

725

 

 

764,875

 

6.75%, 8/15/21

 

 

175

 

 

177,625

 

 

 

 

 

 

 

1,287,434

 

Professional Services — 0.6%

 

 

 

 

 

 

 

FTI Consulting, Inc.:

 

 

 

 

 

 

 

7.75%, 10/01/16

 

 

275

 

 

282,906

 

6.75%, 10/01/20

 

 

425

 

 

453,688

 

 

 

 

 

 

 

736,594

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

550

 

 

589,875

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

240

 

 

252,900

 

 

 

 

 

 

 

842,775

 

Real Estate Management & Development — 2.2%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

160

 

 

174,800

 

Crescent Resources LLC/Crescent Ventures, Inc.,
10.25%, 8/15/17 (b)

 

 

310

 

 

317,750

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

175

 

 

185,937

 

12.00%, 4/15/17

 

 

45

 

 

47,138

 

7.88%, 2/15/19 (b)

 

 

905

 

 

932,150

 

7.63%, 1/15/20 (b)

 

 

220

 

 

239,800

 

9.00%, 1/15/20 (b)

 

 

145

 

 

156,600

 

Shea Homes LP, 8.63%, 5/15/19

 

 

565

 

 

628,562

 

 

 

 

 

 

 

2,682,737

 

Road & Rail — 1.0%

 

 

 

 

 

 

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

200

 

 

210,000

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

360

 

 

388,350

 

6.75%, 4/15/19 (b)

 

 

130

 

 

136,500

 

7.38%, 1/15/21

 

 

450

 

 

489,375

 

 

 

 

 

 

 

1,224,225

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

260

 

 

253,500

 

Software — 1.3%

 

 

 

 

 

 

 

Audatex North America, Inc., 6.75%, 6/15/18 (b)

 

 

230

 

 

246,675

 

Infor US, Inc. (FKA Lawson Software, Inc.), 9.38%,
4/01/19 (b)

 

 

730

 

 

790,225

 

Nuance Communications, Inc., 5.38%, 8/15/20 (b)

 

 

390

 

 

398,775

 

Sophia LP, 9.75%, 1/15/19 (b)

 

 

198

 

 

212,850

 

 

 

 

 

 

 

1,648,525

 

Specialty Retail — 2.5%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

165

 

 

182,325

 

Claire’s Stores, Inc., 9.00%, 3/15/19 (b)

 

 

315

 

 

326,812

 

House of Fraser Funding Plc, 8.88%, 8/15/18 (b)

 

GBP

129

 

 

182,045

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

70

 

 

84,000

 

5.63%, 2/15/22

 

 

70

 

 

73,675

 

Party City Holdings, Inc., 8.88%, 8/01/20 (b)

 

 

350

 

 

370,125

 

Penske Automotive Group, Inc., 5.75%, 10/01/22 (b)

 

 

240

 

 

244,800

 

Phones4u Finance Plc, 9.50%, 4/01/18 (b)

 

GBP

130

 

 

199,196

 

QVC, Inc. (b):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

105

 

 

111,061

 

7.50%, 10/01/19

 

 

285

 

 

315,784

 

7.38%, 10/15/20

 

 

130

 

 

144,855

 

5.13%, 7/02/22

 

 

189

 

 

198,099

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

63




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19

 

USD

245

 

$

273,787

 

5.75%, 6/01/22

 

 

190

 

 

204,488

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

175

 

 

191,188

 

 

 

 

 

 

 

3,102,240

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%, 5/01/22

 

 

195

 

 

202,313

 

Trading Companies & Distributors — 0.6%

 

 

 

 

 

 

 

Ashtead Capital, Inc., 6.50%, 7/15/22 (b)

 

 

215

 

 

223,600

 

Doric Nimrod Air Finance Alpha Ltd.,
Series 2012-1 (b):

 

 

 

 

 

 

 

Class A, 5.13%, 11/30/24

 

 

260

 

 

263,900

 

Class B, 6.50%, 5/30/21

 

 

250

 

 

252,955

 

 

 

 

 

 

 

740,455

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (b)

 

 

198

 

 

208,643

 

Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/16

 

 

250

 

 

263,750

 

7.75%, 10/15/20

 

 

95

 

 

92,150

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15 (c)

 

 

1,220

 

 

1,232,200

 

8.25%, 9/01/17

 

 

565

 

 

598,900

 

10.50%, 4/15/18

 

 

520

 

 

561,600

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

350

 

 

362,250

 

NII Capital Corp., 7.63%, 4/01/21

 

 

152

 

 

117,420

 

SBA Telecommunications, Inc., 5.75%, 7/15/20 (b)

 

 

127

 

 

132,715

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

853

 

 

771,965

 

Sprint Nextel Corp. (b):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

900

 

 

1,062,000

 

7.00%, 3/01/20

 

 

20

 

 

21,900

 

 

 

 

 

 

 

5,216,850

 

Total Corporate Bonds — 104.0%

 

 

 

 

 

128,716,885

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17

 

 

213

 

 

214,178

 

Auto Components — 0.6%

 

 

 

 

 

 

 

Federal-Mogul Corp., Term Loan B, 2.17%, 12/29/14

 

 

497

 

 

474,670

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

225

 

 

225,657

 

 

 

 

 

 

 

700,327

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

191

 

 

193,416

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

American Capital Holdings, Term Loan, 5.50%,
7/19/16

 

 

356

 

 

357,335

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

295

 

 

296,328

 

Second Lien Term Loan, 8.25%, 2/28/19

 

 

185

 

 

186,156

 

 

 

 

 

 

 

839,819

 

Chemicals — 0.6%

 

 

 

 

 

 

 

Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19

 

 

75

 

 

75,703

 

INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18

 

 

509

 

 

509,468

 

Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17

 

 

168

 

 

156,195

 

 

 

 

 

 

 

741,366

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

USD

211

 

$

210,568

 

Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16

 

 

325

 

 

328,250

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

442

 

 

442,125

 

 

 

 

 

 

 

980,943

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.18%, 10/24/14

 

 

114

 

 

109,819

 

Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19

 

 

920

 

 

933,515

 

 

 

 

 

 

 

1,043,334

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17

 

 

495

 

 

505,727

 

Consumer Finance — 1.8%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS Funding
Co.), Term Loan, 5.50%, 5/10/17

 

 

2,245

 

 

2,168,109

 

Diversified Consumer Services — 0.1%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 6/18/18

 

 

65

 

 

63,083

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.74%, 7/24/14

 

 

4

 

 

3,991

 

Term Loan, 2.75% – 2.97%, 7/24/14

 

 

40

 

 

40,077

 

 

 

 

 

 

 

107,151

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Residential Capital LLC:

 

 

 

 

 

 

 

DIP Term Loan A1, 5.00%, 11/18/13

 

 

555

 

 

556,387

 

DIP Term Loan A2, 6.75%, 11/18/13

 

 

80

 

 

80,934

 

 

 

 

 

 

 

637,321

 

Diversified Telecommunication Services — 0.9%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc., Term Loan B,
7.00%, 2/28/17

 

 

405

 

 

410,063

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

2016 Term Loan B, 4.75%, 2/01/16

 

 

150

 

 

150,300

 

2019 Term Loan B, 5.25%, 8/01/19

 

 

120

 

 

120,175

 

Term Loan B3, 5.75%, 8/31/18

 

 

400

 

 

401,056

 

 

 

 

 

 

 

1,081,594

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan, 4.00%, 7/14/17

 

 

123

 

 

121,558

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co. Term Loan,
9.25%, 8/04/16

 

 

894

 

 

927,589

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

1,637

 

 

1,713,210

 

Tervita Corp., Incremental Term Loan, 6.50%,
10/17/14

 

 

119

 

 

119,301

 

 

 

 

 

 

 

2,760,100

 

Food & Staples Retailing — 0.0%

 

 

 

 

 

 

 

US Foods, Inc. (FKA US Foodservice, Inc.), Extended
Term Loan B, 5.75%, 3/31/17

 

 

35

 

 

33,474

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

400

 

 

402,400

 

Health Care Equipment & Supplies — 0.6%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19

 

 

215

 

 

215,716

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

349

 

 

350,434

 

LHP Hospital Group, Inc., Term Loan, 9.00%,
7/03/18

 

 

125

 

 

125,938

 

 

 

 

 

 

 

692,088

 


 

 

 

See Notes to Financial Statements.

 

 

 

64

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Health Care Providers & Services — 0.5%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add on Term Loan A, 7.75%, 3/02/15

 

USD

221

 

$

214,577

 

Term Loan A, 8.50%, 3/02/15

 

 

165

 

 

162,003

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

308

 

 

286,274

 

 

 

 

 

 

 

662,854

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6, 5.49%, 1/26/18

 

 

90

 

 

79,115

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

219

 

 

223,194

 

Term Loan B1, 3.24%, 1/28/15

 

 

194

 

 

183,802

 

Term Loan B2, 3.24%, 1/28/15

 

 

119

 

 

113,140

 

Term Loan B3, 3.24% – 3.46%, 1/28/15

 

 

450

 

 

426,672

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.49% – 2.56%, 6/14/13

 

 

4

 

 

4,009

 

Term Loan B, 2.56%, 6/14/14

 

 

41

 

 

40,404

 

Sabre, Inc., Non-Extended Initial Term Loan, 2.23%,
9/30/14

 

 

29

 

 

28,333

 

Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16

 

 

372

 

 

353,422

 

Travelport LLC:

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.44%, 9/28/12

 

 

88

 

 

26,387

 

Extended Tranche B Term Loan, 13.94%, 12/01/16

 

 

284

 

 

22,685

 

 

 

 

 

 

 

1,501,163

 

Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

84

 

 

84,487

 

Term Loan, 3.69% – 3.72%, 12/03/14

 

 

70

 

 

69,519

 

 

 

 

 

 

 

154,006

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended 2018 Term Loan B, 4.24%,
3/23/18

 

 

355

 

 

335,180

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/19/13

 

 

293

 

 

290,025

 

Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., Term Loan B, 7.00%,
8/17/17

 

 

301

 

 

302,642

 

Rexnord Corp., Term Loan B, 5.00%, 4/02/18

 

 

264

 

 

264,711

 

 

 

 

 

 

 

567,353

 

Media — 5.1%

 

 

 

 

 

 

 

Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15

 

 

20

 

 

16,814

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Non-Extended Term Loan, 2.49%, 7/03/14

 

 

139

 

 

128,215

 

Tranche 1 Incremental, 7.50%, 7/03/14

 

 

720

 

 

693,001

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/14/19

 

 

200

 

 

199,085

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.88%, 1/28/16

 

 

865

 

 

669,753

 

Term Loan C, 3.88%, 1/28/16

 

 

174

 

 

132,466

 

EMI Music Publishing Ltd., Term Loan B, 5.50%,
6/29/18

 

 

195

 

 

196,316

 

Intelsat Jackson Holdings SA, Tranche B Term Loan,
5.25%, 4/02/18

 

 

3,149

 

 

3,159,262

 

Interactive Data Corp., Term Loan B, 4.50%, 2/12/18

 

 

185

 

 

184,804

 

Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13

 

 

750

 

 

754,065

 

Univision Communications, Inc., Extended Term Loan,
4.48%, 3/31/17

 

 

135

 

 

130,380

 

 

 

 

 

 

 

6,264,161

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

Constellium Holdco BV, Term Loan B, 9.25%,
5/25/18

 

USD

190

 

$

186,200

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Chesapeake Energy Corp., Unsecured Term Loan,
8.50%, 12/01/17

 

 

525

 

 

526,129

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

472

 

 

472,440

 

 

 

 

 

 

 

998,569

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co., Ltd., Term Loan, 5.25%,
6/26/14

 

 

170

 

 

164,475

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

300

 

 

302,814

 

Verso Paper Finance Holdings LLC, Term Loan,
6.50% – 7.24%, 2/01/13

 

 

553

 

 

276,437

 

 

 

 

 

 

 

743,726

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Product Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

139

 

 

140,712

 

Professional Services — 0.1%

 

 

 

 

 

 

 

Truven Health Analytics, Term Loan B, 6.75%,
6/06/19

 

 

165

 

 

166,168

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

481

 

 

481,091

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.50%, 10/10/16

 

 

35

 

 

33,430

 

Extended Term Loan, 4.49%, 10/10/16

 

 

245

 

 

236,826

 

Stockbridge SBE Holdings LLC, Term Loan B, 13.00%,
5/02/17

 

 

80

 

 

79,600

 

 

 

 

 

 

 

349,856

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

30

 

 

30,204

 

Software — 0.4%

 

 

 

 

 

 

 

Infor US, Inc. (FKA Lawson Software, Inc.), Term
Loan B, 6.25%, 4/05/18

 

 

544

 

 

549,226

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%,
5/29/14

 

 

170

 

 

166,939

 

Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Ascend Performance Materials LLC, Term Loan B,
6.75%, 4/10/18

 

 

509

 

 

504,060

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

30

 

 

29,638

 

Vodafone Americas Finance 2, Inc. (c):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

831

 

 

863,872

 

Term Loan B, 6.25%, 7/11/16

 

 

619

 

 

631,125

 

 

 

 

 

 

 

1,524,635

 

Total Floating Rate Loan Interests — 23.3%

 

 

 

 

 

28,839,033

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts — 0.2%

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (f)

 

 

390

 

 

234,000

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

65




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Auto Components — 0.6%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

6,200

 

$

724,625

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (b)

 

 

1,953

 

 

1,778,390

 

Media — 0.2%

 

 

 

 

 

 

 

Emmis Communications Corp., Series A, 6.25%

 

 

10,300

 

 

210,635

 

Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

4,171

 

 

95,849

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)

 

 

10,000

 

 

12,000

 

Freddie Mac, Series Z, 8.38% (a)

 

 

31,930

 

 

29,695

 

 

 

 

 

 

 

41,695

 

Total Preferred Stocks — 2.3%

 

 

 

 

 

2,851,194

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)

 

 

34,610

 

 

855,309

 

RBS Capital Funding Trust VII, 6.08% (a)(f)(h)(i)

 

 

13,100

 

 

224,534

 

Total Trust Preferreds — 0.9%

 

 

 

 

 

1,079,843

 

Total Preferred Securities — 3.4%

 

 

 

 

 

4,165,037

 

 

 

 

 

 

 

 

 


Warrants (j)

 

 

 

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

167

 

 

 

HMH Holdings/EduMedia (Issued/Exercisable
3/09/10, 19 Shares for 1 Warrant,
Expires 6/22/19, Strike Price $42.27)

 

 

513

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

 

Total Long-Term Investments (Cost — $160,473,519) — 131.9%

 

 

 

 

 

163,218,554

 

Liabilities in Excess of Other Assets — (31.9)%

 

 

 

 

 

(39,473,197

)

Net Assets — 100.0%

 

 

 

 

$

123,745,357

 

 

 

 

 

 

 

 

 


 

 

(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)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Convertible security.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Goldman Sachs & Co.

 

$

718,875

 

$

8,875

 


 

 

(h)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(i)

Security is perpetual in nature and has no stated maturity 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, if any.

 

 

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

822,452

 

 

(822,452)

 

 

 

 

$  643

 


 

 

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 sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

54

 

S&P 500
E-Mini Index

 

Chicago
Mercantile

 

September
2012

 

$

3,793,770

 

$

(260,417

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

787,148

 

GBP

 

505,500

 

Royal Bank of
Scotland Group Plc

 

10/17/12

 

$

(15,390

)

EUR

 

358,000

 

USD

 

444,675

 

Deutsche Bank AG

 

10/22/12

 

 

5,847

 

USD

 

5,158,211

 

EUR

 

4,202,000

 

UBS AG

 

10/22/12

 

 

(129,748

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(139,291

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.

 

 

 

66

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

The following tables summarize the Trust’s investments and derivative financial instrument categorized in the disclosure hierarchy as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

598,808

 

$

235,075

 

$

663,716

 

$

1,497,599

 

Corporate Bonds

 

 

 

 

127,061,009

 

 

1,655,876

 

 

128,716,885

 

Floating Rate
Loan Interests

 

 

 

 

23,961,082

 

 

4,877,951

 

 

28,839,033

 

Preferred Securities

 

 

1,428,022

 

 

2,737,015

 

 

 

 

4,165,037

 

Total

 

$

2,026,830

 

$

153,994,181

 

$

7,197,543

 

$

163,218,554

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange contracts

 

 

 

$

5,847

 

 

 

$

5,847

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange contracts

 

 

 

 

(145,138

)

 

 

 

(145,138

)

Interest rate
contracts

 

$

(260,417

)

 

 

 

 

 

(260,417

)

Total

 

$

(260,417

)

$

(139,291

)

 

 

$

(399,708

)


 

 

 

 

1

Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
at value

 

$

40,712

 

 

 

 

 

$

40,712

 

Cash

 

 

1,172,455

 

 

 

 

 

 

1,172,455

 

Cash pledged
as collateral for
financial futures
contracts

 

 

208,000

 

 

 

 

 

 

208,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

 

$

(42,000,000

)

 

 

 

(42,000,000

)

Total

 

$

1,421,167

 

$

(42,000,000

)

 

 

$

(40,578,833

)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $554,692 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

Unobservable Inputs2

 

Range of
Unobservable
Inputs

 

Weighted Average
of Unobservable
Inputs3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

663,713

 

Market Comparable Companies

 

EBITDA Multiple

 

5.9x

 

5.9x

 

 

 

 

 

 

 

 

Forward EBITDA Multiple

 

4.6x

 

4.6x

 

Corporate Bonds

 

 

1,655,162

 

Market Comparable Companies

 

Yield

 

7.00% – 9.67%

 

8.76%

 

 

 

 

 

 

 

 

EBITDA Multiple

 

6.0x

 

6.0x

 

Floating Rate Loan Interests

 

 

653,017

 

Market Comparable Companies

 

Illiquidity Discount

 

50%

 

50%

 

 

 

 

 

 

 

 

Yield

 

9.65%

 

9.65%

 

 

 

 

 

 

Cost

 

N/A4

 

 

 

Total5

 

$

2,971,892

 

 

 

 

 

 

 

 

 


 

 

 

 

2

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

 

 

 

Unobservable Input

 

Impact to
Value if Input Increases

 

Impact to
Value if Input Decreases

 

EBITDA Multiple

 

Increase

 

Decrease

 

Forward EBITDA Multiple

 

Increase

 

Decrease

 

Yield

 

Decrease

 

Increase

 

Illiquidity Discount

 

Decrease

 

Increase

 


 

 

 

 

3

Unobservable inputs are weighted based on the value of the investments included in the range.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

67




 

 

 

 

Schedule of Investments (concluded)

BlackRock High Income Shares (HIS)


 

 

 

 

4

The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

 

 

 

5

Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

1,023,120

 

$

1,804,070

 

 

$

3,539,166

 

 

$

476

 

$

137,173

 

$

104,162

 

$

6,608,167

 

Transfers into Level 31

 

 

1

 

 

 

 

 

871,133

 

 

 

 

 

 

 

 

 

871,134

 

Transfers out of Level 32

 

 

 

 

 

 

 

(774,375

)

 

 

 

 

 

 

 

 

(774,375

)

Accrued discounts/premiums

 

 

 

 

 

 

 

(10,676

)

 

 

 

 

 

 

 

 

(10,676

)

Net realized gain (loss)

 

 

(406,391

)

 

36,517

 

 

 

15,422

 

 

 

 

 

161,380

 

 

 

 

(193,072

)

Net change in unrealized appreciation/depreciation3

 

 

(33,326

)

 

(80,973

)

 

 

(80,018

)

 

 

(476

)

 

(137,173

)

 

(104,162

)

 

(436,128

)

Purchases

 

 

80,317

 

 

42,262

 

 

 

1,915,242

 

 

 

 

 

 

 

 

 

2,037,821

 

Sales

 

 

(5

)

 

(146,000

)

 

 

(597,943

)

 

 

 

 

(161,380

)

 

 

 

(905,328

)

Closing Balance, as of August 31, 2012

 

$

663,716

 

$

1,655,876

 

 

$

4,877,951

 

 

 

 

 

 

 

 

$

7,197,543

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $871,134 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $774,375 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(488,619).


 

 

 

See Notes to Financial Statements.

 

 

 

68

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 1.9%

 

 

 

 

 

 

 

Dana Holding Corp.

 

 

6,200

 

$

84,692

 

Delphi Automotive Plc (a)

 

 

26,378

 

 

798,993

 

 

 

 

 

 

 

883,685

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

Ironwood Pharmaceuticals, Inc. (a)

 

 

1,210

 

 

15,161

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

American Capital Ltd. (a)

 

 

8,899

 

 

97,800

 

E*Trade Financial Corp. (a)

 

 

4,900

 

 

41,993

 

 

 

 

 

 

 

139,793

 

Chemicals — 0.1%

 

 

 

 

 

 

 

ADA-ES, Inc. (a)

 

 

300

 

 

7,035

 

CF Industries Holdings, Inc.

 

 

120

 

 

24,841

 

Huntsman Corp.

 

 

2,250

 

 

32,355

 

 

 

 

 

 

 

64,231

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

2,780

 

 

104,973

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

4,300

 

 

92,665

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

12,460

 

 

1,620

 

Media — 1.3%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

6,900

 

 

536,820

 

Cumulus Media, Inc., Class A (a)

 

 

13,610

 

 

37,700

 

DISH Network Corp., Class A

 

 

950

 

 

30,390

 

 

 

 

 

 

 

604,910

 

Oil, Gas & Consumable Fuels — 0.1%

 

 

 

 

 

 

 

African Petroleum Corp. Ltd (a)

 

 

17,200

 

 

22,035

 

Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)(h)

 

 

2,507

 

 

5,494

 

Ainsworth Lumber Co. Ltd. (a)

 

 

2,234

 

 

4,895

 

 

 

 

 

 

 

10,389

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP Semiconductors NV (a)

 

 

900

 

 

20,988

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

91

 

 

1

 

HMH Holdings/EduMedia (a)

 

 

3,231

 

 

79,163

 

 

 

 

 

 

 

79,164

 

Total Common Stocks — 4.3%

 

 

 

 

 

2,039,614

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.9%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc., 6.88%, 3/15/18

 

USD

160

 

 

171,200

 

Kratos Defense & Security Solutions, Inc., 10.00%,
6/01/17

 

 

210

 

 

223,650

 

 

 

 

 

 

 

394,850

 

Air Freight & Logistics — 0.4%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

99

 

 

100,469

 

Series 2, 12.38%, 8/16/15

 

 

100

 

 

101,636

 

 

 

 

 

 

 

202,105

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Airlines — 1.2%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

USD

191

 

$

202,655

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 7/12/20

 

 

89

 

 

89,453

 

Delta Air Lines, Inc., Series 2002-1, Class G-1,
6.72%, 7/02/24

 

 

104

 

 

112,808

 

US Airways Pass-Through Trust, Class C:

 

 

 

 

 

 

 

Series 2011-1, 10.88%, 10/22/14

 

 

108

 

 

110,935

 

Series 2012-1, 9.13%, 10/01/15

 

 

80

 

 

81,600

 

 

 

 

 

 

 

597,451

 

Auto Components — 2.5%

 

 

 

 

 

 

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

180

 

 

193,950

 

Delphi Corp., 6.13%, 5/15/21

 

 

30

 

 

33,000

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

650

 

 

692,250

 

IDQ Holdings, Inc., 11.50%, 4/01/17 (b)

 

 

85

 

 

88,931

 

Jaguar Land Rover Plc, 8.25%, 3/15/20

 

GBP

100

 

 

167,480

 

 

 

 

 

 

 

1,175,611

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA, 7.13%, 8/15/18

 

EUR

92

 

 

127,289

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)

 

USD

10

 

 

9,865

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

20

 

 

21,650

 

6.75%, 5/01/21

 

 

160

 

 

174,800

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

65

 

 

39,650

 

USG Corp., 9.75%, 1/15/18

 

 

100

 

 

107,250

 

 

 

 

 

 

 

343,350

 

Capital Markets — 0.8%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

180

 

 

205,425

 

Series A, 2.25%, 8/31/19 (d)

 

 

71

 

 

60,705

 

KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)

 

 

110

 

 

124,515

 

 

 

 

 

 

 

390,645

 

Chemicals — 4.0%

 

 

 

 

 

 

 

Basell Finance Co. BV, 8.10%, 3/15/27 (b)

 

 

60

 

 

80,100

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

300

 

 

331,500

 

Chemtura Corp., 7.88%, 9/01/18

 

 

55

 

 

59,263

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20 (b)

 

 

40

 

 

40,400

 

9.00%, 11/15/20

 

 

50

 

 

42,750

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

25

 

 

28,625

 

INEOS Finance Plc (b):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

 

100

 

 

105,250

 

7.50%, 5/01/20

 

 

75

 

 

76,500

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

 

20

 

 

20,500

 

LyondellBasell Industries NV, 5.75%, 4/15/24 (b)

 

 

485

 

 

549,262

 

Nexeo Solutions LLC, 8.38%, 3/01/18

 

 

30

 

 

29,325

 

Orion Engineered Carbons Bondco GmbH, 9.63%,
6/15/18 (b)

 

 

200

 

 

211,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

35

 

 

38,238

 

TPC Group LLC, 8.25%, 10/01/17

 

 

55

 

 

60,362

 

Tronox Finance LLC, 6.38%, 8/15/20 (b)

 

 

205

 

 

207,050

 

 

 

 

 

 

 

1,880,125

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

69




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Banks — 1.3%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (b)

 

USD

237

 

$

237,198

 

5.25%, 3/15/18

 

 

130

 

 

135,525

 

5.50%, 2/15/19 (b)

 

 

80

 

 

83,400

 

5.00%, 8/15/22

 

 

90

 

 

90,682

 

6.00%, 4/01/36

 

 

90

 

 

81,525

 

 

 

 

 

 

 

628,330

 

Commercial Services & Supplies — 2.3%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

64

 

 

65,601

 

ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(c)

 

 

70

 

 

71,663

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (b)

 

 

92

 

 

94,461

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

 

 

171

 

 

180,616

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)

 

 

7

 

 

7,070

 

Clean Harbors, Inc., 5.25%, 8/01/20 (b)

 

 

88

 

 

90,310

 

Covanta Holding Corp., 6.38%, 10/01/22

 

 

135

 

 

147,605

 

Mead Products LLC/ACCO Brands Corp., 6.75%,
4/30/20 (b)

 

 

40

 

 

42,300

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

60

 

 

64,350

 

RSC Equipment Rental, Inc., 8.25%, 2/01/21

 

 

148

 

 

162,060

 

Verisure Holding AB, 8.75%, 9/01/18

 

EUR

100

 

 

125,780

 

West Corp., 8.63%, 10/01/18

 

USD

25

 

 

25,375

 

 

 

 

 

 

 

1,077,191

 

Communications Equipment — 1.5%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

40

 

 

34,700

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

150

 

 

152,625

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

10

 

 

10,713

 

Zayo Group LLC/Zayo Capital, Inc.:

 

 

 

 

 

 

 

8.13%, 1/01/20

 

 

265

 

 

281,562

 

10.13%, 7/01/20

 

 

220

 

 

235,950

 

 

 

 

 

 

 

715,550

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (e)

 

 

40

 

 

44,300

 

Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (b)

 

 

35

 

 

36,312

 

H&E Equipment Services, Inc., 7.00%, 9/01/22 (b)

 

 

60

 

 

62,250

 

URS Corp., 5.00%, 4/01/22 (b)

 

 

10

 

 

10,140

 

 

 

 

 

 

 

108,702

 

Construction Materials — 1.4%

 

 

 

 

 

 

 

HD Supply, Inc. (b):

 

 

 

 

 

 

 

8.13%, 4/15/19

 

 

265

 

 

287,525

 

11.00%, 4/15/20

 

 

240

 

 

264,000

 

Xefin Lux SCA, 8.00%, 6/01/18

 

EUR

100

 

 

122,635

 

 

 

 

 

 

 

674,160

 

Consumer Finance — 1.4%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

80

 

 

88,000

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

120

 

 

133,581

 

12.00%, 5/15/15

 

 

120

 

 

149,400

 

6.63%, 8/15/17

 

 

230

 

 

264,404

 

 

 

 

 

 

 

635,385

 

Containers & Packaging — 1.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (b)

 

 

200

 

 

208,000

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.34%, 9/15/14 (f)

 

 

50

 

 

49,250

 

8.25%, 11/15/15

 

 

20

 

 

21,050

 

9.75%, 1/15/21

 

 

70

 

 

77,525

 

Graphic Packaging International, Inc., 7.88%, 10/01/18

 

 

60

 

 

66,900

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging (concluded)

 

 

 

 

 

 

 

Sealed Air Corp., 8.38%, 9/15/21 (b)

 

USD

30

 

$

33,750

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19

 

EUR

64

 

 

88,147

 

Tekni-Plex, Inc., 9.75%, 6/01/19 (b)

 

USD

30

 

 

31,350

 

 

 

 

 

 

 

575,972

 

Distributors — 0.6%

 

 

 

 

 

 

 

VWR Funding, Inc., 7.25%, 9/15/17 (b)(g)

 

 

269

 

 

272,362

 

Diversified Consumer Services — 0.3%

 

 

 

 

 

 

 

Laureate Education, Inc., 9.25%, 9/01/19 (b)

 

 

100

 

 

100,000

 

ServiceMaster Co., 8.00%, 2/15/20

 

 

35

 

 

37,319

 

 

 

 

 

 

 

137,319

 

Diversified Financial Services — 4.2%

 

 

 

 

 

 

 

Aircastle, Ltd., 6.75%, 4/15/17

 

 

70

 

 

75,600

 

Ally Financial, Inc., 8.00%, 11/01/31

 

 

800

 

 

946,000

 

CNG Holdings, Inc., 9.38%, 5/15/20 (b)

 

 

50

 

 

51,000

 

DPL, Inc., 7.25%, 10/15/21 (b)

 

 

195

 

 

222,300

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

140

 

 

157,850

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

9.88%, 8/15/19

 

 

275

 

 

290,812

 

6.88%, 2/15/21

 

 

115

 

 

124,488

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

20

 

 

21,850

 

11.50%, 10/01/18

 

 

72

 

 

79,020

 

 

 

 

 

 

 

1,968,920

 

Diversified Telecommunication Services — 2.2%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12 (h)

 

 

195

 

 

131,625

 

Consolidated Communications Finance Co.,
10.88%, 6/01/20 (b)

 

 

95

 

 

101,887

 

Level 3 Communications, Inc., 8.88%, 6/01/19 (b)

 

 

55

 

 

56,100

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

380

 

 

398,050

 

7.00%, 6/01/20 (b)

 

 

95

 

 

94,525

 

8.63%, 7/15/20

 

 

140

 

 

149,800

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

25

 

 

26,375

 

7.88%, 11/01/17

 

 

70

 

 

76,125

 

 

 

 

 

 

 

1,034,487

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

Mirant Mid Atlantic Pass-Through Trust, Series B,
9.13%, 6/30/17

 

 

84

 

 

90,360

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Belden, Inc., 5.50%, 9/01/22 (b)

 

 

60

 

 

60,150

 

Electronic Equipment, Instruments &
Components — 0.4%

 

 

 

 

 

 

 

CDW LLC/CDW Finance Corp., 8.50%, 4/01/19

 

 

66

 

 

72,270

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

40

 

 

48,000

 

Micron Technology, Inc., 2.38%, 5/01/32 (b)

 

 

71

 

 

67,539

 

 

 

 

 

 

 

187,809

 

Energy Equipment & Services — 3.4%

 

 

 

 

 

 

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

25

 

 

26,688

 

Calfrac Holdings LP, 7.50%, 12/01/20 (b)

 

 

65

 

 

63,700

 

Compagnie Générale de Géophysique, Veritas:

 

 

 

 

 

 

 

7.75%, 5/15/17

 

 

65

 

 

67,925

 

6.50%, 6/01/21

 

 

200

 

 

208,250

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

60

 

 

58,200

 

Frac Tech Services LLC, 8.13%, 11/15/18 (b)

 

 

295

 

 

304,587

 

Gulfmark Offshore, Inc., 6.38%, 3/15/22 (b)

 

 

25

 

 

25,500

 

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

 

 

50

 

 

51,000

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

75

 

 

76,313

 


 

 

 

See Notes to Financial Statements.

 

 

 

70

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

MEG Energy Corp. (b):

 

 

 

 

 

 

 

6.50%, 3/15/21

 

USD

205

 

$

215,762

 

6.38%, 1/30/23

 

 

75

 

 

78,187

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

50

 

 

53,125

 

Peabody Energy Corp.:

 

 

 

 

 

 

 

6.25%, 11/15/21 (b)

 

 

230

 

 

234,025

 

7.88%, 11/01/26

 

 

65

 

 

69,388

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

 

10

 

 

10,500

 

6.50%, 12/15/21

 

 

45

 

 

47,250

 

 

 

 

 

 

 

1,590,400

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

Rite Aid Corp., 9.25%, 3/15/20

 

 

60

 

 

61,650

 

Food Products — 0.5%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

20

 

 

22,650

 

Del Monte Corp., 7.63%, 2/15/19

 

 

9

 

 

8,989

 

Post Holdings, Inc., 7.38%, 2/15/22 (b)

 

 

85

 

 

89,568

 

Smithfield Foods, Inc., 6.63%, 8/15/22

 

 

100

 

 

102,375

 

 

 

 

 

 

 

223,582

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

35

 

 

37,034

 

6.50%, 8/01/20 (b)

 

 

119

 

 

123,462

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

86

 

 

89,762

 

8.75%, 3/15/18 (b)

 

 

75

 

 

79,688

 

7.75%, 4/15/18

 

 

20

 

 

18,300

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (b)

 

 

110

 

 

116,875

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (b)

 

 

54

 

 

60,548

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)

 

 

80

 

 

92,100

 

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%,
11/01/19 (b)

 

 

50

 

 

45,375

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

50

 

 

53,500

 

 

 

 

 

 

 

716,644

 

Health Care Providers & Services — 7.2%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

95

 

 

98,800

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

5.13%, 8/15/18

 

 

140

 

 

144,375

 

7.13%, 7/15/20

 

 

75

 

 

78,562

 

Crown Newco 3 Plc, 7.00%, 2/15/18

 

GBP

100

 

 

159,976

 

DaVita, Inc., 5.75%, 8/15/22

 

USD

153

 

 

159,120

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

25

 

 

28,188

 

6.50%, 2/15/20

 

 

395

 

 

434,006

 

7.88%, 2/15/20

 

 

115

 

 

128,369

 

7.25%, 9/15/20

 

 

410

 

 

454,331

 

5.88%, 3/15/22

 

 

45

 

 

47,869

 

Hologic, Inc., 6.25%, 8/01/20 (b)

 

 

118

 

 

124,932

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

260

 

 

247,975

 

INC Research LLC, 11.50%, 7/15/19 (b)

 

 

70

 

 

68,600

 

inVentiv Health, Inc. (b):

 

 

 

 

 

 

 

10.00%, 8/15/18

 

 

5

 

 

4,213

 

10.00%, 8/15/18

 

 

20

 

 

16,850

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

160

 

 

176,400

 

PSS World Medical, Inc., 6.38%, 3/01/22

 

 

58

 

 

61,335

 

Symbion, Inc., 8.00%, 6/15/16

 

 

55

 

 

55,584

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

229

 

 

263,350

 

6.25%, 11/01/18

 

 

55

 

 

59,709

 

8.88%, 7/01/19

 

 

360

 

 

409,500

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

United Surgical Partners International, Inc., 9.00%,
4/01/20 (b)

 

USD

50

 

$

53,688

 

Vanguard Health Holding Co. II LLC, 7.75%,
2/01/19 (b)

 

 

75

 

 

78,188

 

 

 

 

 

 

 

3,353,920

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

 

410

 

 

481,750

 

Hotels, Restaurants & Leisure — 4.5%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

210

 

 

226,275

 

10.00%, 12/15/18

 

 

520

 

 

327,600

 

8.50%, 2/15/20 (b)

 

 

55

 

 

54,244

 

Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b)

 

 

280

 

 

278,600

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

200

 

 

212,750

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (b)

 

 

25

 

 

24,375

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

345

 

 

391,575

 

4.25%, 4/15/15 (e)

 

 

183

 

 

184,830

 

11.13%, 11/15/17

 

 

185

 

 

205,812

 

MTR Gaming Group, Inc., 11.50%, 8/01/19

 

 

25

 

 

25,816

 

Travelport LLC:

 

 

 

 

 

 

 

5.09%, 9/01/14 (f)

 

 

20

 

 

14,200

 

9.88%, 9/01/14

 

 

5

 

 

3,975

 

6.46%, 12/01/16 (b)(c)

 

 

68

 

 

52,433

 

Tropicana Entertainment LLC, 9.63%,
12/15/14 (a)(h)

 

 

25

 

 

 

Wynn Las Vegas LLC, 5.38%, 3/15/22 (b)

 

 

100

 

 

102,250

 

 

 

 

 

 

 

2,104,735

 

Household Durables — 2.0%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)

 

 

10

 

 

10,225

 

Jarden Corp., 8.00%, 5/01/16

 

 

40

 

 

42,950

 

Libbey Glass, Inc., 6.88%, 5/15/20 (b)

 

 

100

 

 

106,625

 

Pulte Group, Inc., 6.38%, 5/15/33

 

 

30

 

 

26,100

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

60

 

 

63,300

 

Spie BondCo 3 SCA, 11.00%, 8/15/19

 

EUR

100

 

 

127,667

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

USD

300

 

 

362,250

 

8.38%, 1/15/21

 

 

170

 

 

189,550

 

 

 

 

 

 

 

928,667

 

Household Products — 0.7%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (b)

 

EUR

100

 

 

127,667

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18 (b)

 

USD

100

 

 

114,125

 

9.50%, 6/15/18

 

 

60

 

 

68,475

 

 

 

 

 

 

 

310,267

 

Independent Power Producers &
Energy Traders — 3.3%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21

 

 

45

 

 

51,525

 

Calpine Corp. (b):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

30

 

 

32,100

 

7.50%, 2/15/21

 

 

15

 

 

16,650

 

7.88%, 1/15/23

 

 

70

 

 

79,100

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

330

 

 

363,825

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

6.88%, 8/15/17 (b)

 

 

50

 

 

51,063

 

10.00%, 12/01/20

 

 

508

 

 

570,230

 

11.75%, 3/01/22 (b)

 

 

93

 

 

99,045

 

GenOn REMA LLC, 9.24%, 7/02/17

 

 

70

 

 

75,265

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

90

 

 

102,150

 

7.38%, 5/01/22

 

 

60

 

 

64,500

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

56

 

 

57,400

 

 

 

 

 

 

 

1,562,853

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

71




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Industrial Conglomerates — 2.1%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

350

 

$

367,500

 

13.50%, 12/01/15

 

 

586

 

 

620,924

 

 

 

 

 

 

 

988,424

 

Insurance — 0.4%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (b)

 

 

61

 

 

66,719

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

70

 

 

71,526

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)

 

 

40

 

 

35,800

 

 

 

 

 

 

 

174,045

 

IT Services — 3.2%

 

 

 

 

 

 

 

Ceridian Corp., 8.88%, 7/15/19 (b)

 

 

245

 

 

262,763

 

Epicor Software Corp., 8.63%, 5/01/19

 

 

87

 

 

89,610

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (b)

 

 

265

 

 

273,612

 

8.88%, 8/15/20 (b)

 

 

90

 

 

98,100

 

6.75%, 11/01/20 (b)

 

 

150

 

 

148,875

 

8.25%, 1/15/21 (b)

 

 

100

 

 

99,125

 

12.63%, 1/15/21

 

 

266

 

 

269,325

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

150

 

 

159,375

 

7.63%, 11/15/20

 

 

100

 

 

107,250

 

 

 

 

 

 

 

1,508,035

 

Machinery — 1.3%

 

 

 

 

 

 

 

SPX Corp., 6.88%, 9/01/17

 

 

30

 

 

33,300

 

UR Merger Sub Corp. (b):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

43

 

 

45,472

 

7.38%, 5/15/20

 

 

75

 

 

79,500

 

7.63%, 4/15/22

 

 

421

 

 

454,680

 

 

 

 

 

 

 

612,952

 

Media — 14.2%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

130

 

 

92,950

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

40

 

 

45,300

 

CCO Holdings LLC:

 

 

 

 

 

 

 

6.50%, 4/30/21

 

 

178

 

 

190,905

 

5.25%, 9/30/22

 

 

160

 

 

158,400

 

Cengage Learning Acquisitions, Inc., 11.50%,
4/15/20 (b)

 

 

195

 

 

205,237

 

Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)

 

 

110

 

 

67,100

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

35

 

 

39,200

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

76

 

 

65,170

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

246

 

 

266,295

 

Series B, 9.25%, 12/15/17

 

 

882

 

 

958,072

 

Series B, 7.63%, 3/15/20

 

 

271

 

 

262,870

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

131

 

 

131,141

 

Loan Close 3, 4.00%, 8/15/18

 

 

150

 

 

149,932

 

Shares Loan, 12.00%, 8/15/18

 

 

155

 

 

154,633

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

80

 

 

87,900

 

DISH DBS Corp., 5.88%, 7/15/22 (b)

 

 

250

 

 

251,875

 

Harron Communications LP, 9.13%, 4/01/20 (b)

 

 

60

 

 

64,950

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)

 

 

130

 

 

140,075

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

139

 

 

146,298

 

11.25%, 2/04/17

 

 

210

 

 

220,500

 

11.50%, 2/04/17 (c)

 

 

153

 

 

160,650

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

220

 

 

248,050

 

The Interpublic Group of Cos., Inc., 10.00%, 7/15/17

 

 

55

 

 

61,463

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Kabel Deutschland Vertrieb und Service GmbH,
6.50%, 6/29/18

 

EUR

100

 

$

135,528

 

Lamar Media Corp., 5.88%, 2/01/22

 

USD

25

 

 

26,500

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)

 

 

125

 

 

133,750

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (b)

 

 

94

 

 

104,810

 

The New York Times Co., 6.63%, 12/15/16

 

 

225

 

 

244,125

 

Nielsen Finance LLC, 7.75%, 10/15/18

 

 

600

 

 

675,000

 

ProQuest LLC, 9.00%, 10/15/18 (b)

 

 

85

 

 

77,988

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h)

 

 

414

 

 

207

 

Truven Health Analytics, Inc., 10.63%,
6/01/20 (b)(g)

 

 

90

 

 

96,075

 

Unitymedia GmbH, 9.50%, 3/15/21

 

EUR

100

 

 

143,546

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

(FKA UPC Germany GmbH), 8.13%,
12/01/17 (b)

 

USD

500

 

 

541,250

 

7.50%, 3/15/19

 

EUR

112

 

 

154,257

 

WaveDivision Escrow LLC/WaveDivision

 

 

 

 

 

 

 

Escrow Corp., 8.13%, 9/01/20 (b)

 

USD

45

 

 

46,350

 

Ziggo Bond Co. BV, 8.00%, 5/15/18

 

EUR

65

 

 

89,728

 

 

 

 

 

 

 

6,638,080

 

Metals & Mining — 2.9%

 

 

 

 

 

 

 

FMG Resources August 2006 Property Ltd. (b):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

60

 

 

57,150

 

6.88%, 4/01/22

 

 

30

 

 

27,600

 

Global Brass and Copper, Inc., 9.50%, 6/01/19 (b)

 

 

50

 

 

52,625

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

85

 

 

97,963

 

Kaiser Aluminum Corp., 8.25%, 6/01/20 (b)

 

 

35

 

 

37,100

 

New Gold, Inc., 7.00%, 4/15/20 (b)

 

 

25

 

 

26,313

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

110

 

 

137,666

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)

 

USD

90

 

 

114,413

 

Novelis, Inc., 8.75%, 12/15/20

 

 

545

 

 

609,037

 

Schmolz + Bickenbach Luxembourg SA, 9.88%,
5/15/19

 

EUR

100

 

 

101,567

 

Steel Dynamics, Inc., 6.38%, 8/15/22 (b)

 

USD

40

 

 

41,400

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

70

 

 

66,675

 

 

 

 

 

 

 

1,369,509

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp., 4.13%, 7/15/17

 

 

134

 

 

139,360

 

Oil, Gas & Consumable Fuels — 12.0%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

45

 

 

46,688

 

Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)

 

 

129

 

 

115,777

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

55

 

 

49,500

 

6.25%, 6/01/21

 

 

45

 

 

40,275

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b)

 

 

115

 

 

120,175

 

Berry Petroleum Co., 6.38%, 9/15/22

 

 

70

 

 

74,550

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (b)

 

 

40

 

 

40,800

 

CCS, Inc., 11.00%, 11/15/15 (b)

 

 

95

 

 

98,325

 

Chaparral Energy, Inc., 7.63%, 11/15/22 (b)

 

 

35

 

 

37,013

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

7.25%, 12/15/18

 

 

5

 

 

5,238

 

6.63%, 8/15/20

 

 

30

 

 

30,825

 

6.88%, 11/15/20

 

 

30

 

 

31,125

 

6.13%, 2/15/21

 

 

95

 

 

94,287

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (b)

 

 

20

 

 

21,300

 

Concho Resources, Inc.:

 

 

 

 

 

 

 

7.00%, 1/15/21

 

 

25

 

 

27,875

 

6.50%, 1/15/22

 

 

20

 

 

21,600

 

5.50%, 10/01/22

 

 

80

 

 

82,600

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

305

 

 

328,637

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

60

 

 

67,200

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

50

 

 

52,250

 


 

 

 

See Notes to Financial Statements.

 

 

 

72

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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)

 

 

 

 

 

 

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

USD

30

 

$

32,025

 

7.13%, 6/01/22 (b)

 

 

25

 

 

24,875

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

9

 

 

10,215

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

90

 

 

100,350

 

7.75%, 6/15/19

 

 

150

 

 

159,375

 

EP Energy LLC/Everest Acquisition Finance, Inc.,
7.75%, 9/01/22 (b)

 

 

35

 

 

35,088

 

EP Energy LLC/EP Energy Finance, Inc., 6.88%,
5/01/19 (b)

 

 

55

 

 

58,988

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

25

 

 

25,813

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (b)

 

 

125

 

 

137,500

 

Holly Energy Partners LP, 6.50%, 3/01/20 (b)

 

 

25

 

 

26,125

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)

 

 

60

 

 

63,750

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (b)

 

 

15

 

 

14,925

 

6.25%, 11/01/19 (b)

 

 

385

 

 

380,187

 

8.63%, 4/15/20

 

 

40

 

 

43,200

 

7.75%, 2/01/21

 

 

75

 

 

78,187

 

MarkWest Energy Partners LP:

 

 

 

 

 

 

 

6.25%, 6/15/22

 

 

15

 

 

15,938

 

5.50%, 2/15/23

 

 

45

 

 

46,013

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

135

 

 

147,487

 

Northern Oil and Gas, Inc., 8.00%, 6/01/20 (b)

 

 

55

 

 

56,100

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

45

 

 

47,475

 

6.50%, 11/01/21

 

 

50

 

 

51,000

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15 (b)

 

 

220

 

 

243,100

 

11.50%, 8/01/15

 

 

55

 

 

60,775

 

OGX Petroleo e Gas Participações SA (b):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

900

 

 

798,750

 

8.38%, 4/01/22

 

 

200

 

 

170,000

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (b)

 

 

50

 

 

52,250

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)

 

 

220

 

 

224,950

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)

 

 

95

 

 

101,412

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

75

 

 

90,802

 

7.50%, 1/15/20

 

 

25

 

 

31,267

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

20

 

 

22,100

 

5.75%, 6/01/21

 

 

160

 

 

170,200

 

5.00%, 8/15/22

 

 

74

 

 

77,052

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

100

 

 

107,000

 

Samson Investment Co., 9.75%, 2/15/20 (b)

 

 

16

 

 

16,480

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21

 

 

45

 

 

45,563

 

7.50%, 3/15/21 (b)

 

 

110

 

 

111,375

 

8.13%, 10/15/22 (b)

 

 

45

 

 

47,025

 

7.50%, 2/15/23 (b)

 

 

95

 

 

95,475

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

55

 

 

58,300

 

7.13%, 12/15/21

 

 

40

 

 

44,500

 

SM Energy Co.:

 

 

 

 

 

 

 

6.63%, 2/15/19

 

 

20

 

 

20,900

 

6.50%, 11/15/21

 

 

45

 

 

47,025

 

6.50%, 1/01/23 (b)

 

 

20

 

 

20,850

 

Vanguard Natural Resources, 7.88%, 4/01/20

 

 

40

 

 

40,000

 

 

 

 

 

 

 

5,637,807

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(c)

 

USD

22

 

$

20,338

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

15

 

 

16,613

 

8.00%, 4/01/20

 

 

5

 

 

5,525

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

70

 

 

78,225

 

7.13%, 11/01/18

 

 

95

 

 

103,787

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (b)

 

 

55

 

 

56,925

 

NewPage Corp., 11.38%, 12/31/14 (a)(h)

 

 

365

 

 

247,287

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)

 

 

25

 

 

23,125

 

 

 

 

 

 

 

551,825

 

Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Pharmaceutical Product Development, Inc., 9.50%,
12/01/19 (b)

 

 

30

 

 

33,450

 

Spectrum Brands, Inc., 6.75%, 3/15/20 (b)

 

 

45

 

 

47,250

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (b)

 

 

290

 

 

305,950

 

 

 

 

 

 

 

386,650

 

Professional Services — 0.6%

 

 

 

 

 

 

 

FTI Consulting, Inc.:

 

 

 

 

 

 

 

7.75%, 10/01/16

 

 

100

 

 

102,875

 

6.75%, 10/01/20

 

 

150

 

 

160,125

 

 

 

 

 

 

 

263,000

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

215

 

 

230,587

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

85

 

 

89,569

 

 

 

 

 

 

 

320,156

 

Real Estate Management & Development — 2.2%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

55

 

 

60,087

 

Crescent Resources LLC/Crescent Ventures, Inc.,
10.25%, 8/15/17 (b)

 

 

120

 

 

123,000

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

60

 

 

63,750

 

12.00%, 4/15/17

 

 

15

 

 

15,713

 

7.88%, 2/15/19 (b)

 

 

345

 

 

355,350

 

7.63%, 1/15/20 (b)

 

 

120

 

 

130,800

 

9.00%, 1/15/20 (b)

 

 

55

 

 

59,400

 

Shea Homes LP, 8.63%, 5/15/19

 

 

205

 

 

228,062

 

 

 

 

 

 

 

1,036,162

 

Road & Rail — 1.0%

 

 

 

 

 

 

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

80

 

 

84,000

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

130

 

 

140,238

 

6.75%, 4/15/19 (b)

 

 

50

 

 

52,500

 

7.38%, 1/15/21

 

 

165

 

 

179,437

 

 

 

 

 

 

 

456,175

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

50

 

 

48,750

 

Software — 1.4%

 

 

 

 

 

 

 

Audatex North America, Inc., 6.75%, 6/15/18 (b)

 

 

90

 

 

96,525

 

Infor US, Inc. (FKA Lawson Software, Inc.), 9.38%,
4/01/19 (b)

 

 

280

 

 

303,100

 

Nuance Communications, Inc., 5.38%, 8/15/20 (b)

 

 

145

 

 

148,262

 

Sophia LP, 9.75%, 1/15/19 (b)

 

 

78

 

 

83,850

 

 

 

 

 

 

 

631,737

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

73




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail — 3.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc.:

 

 

 

 

 

 

 

7.63%, 3/15/17

 

USD

60

 

$

62,250

 

8.38%, 11/15/20

 

 

60

 

 

66,300

 

Claire’s Stores, Inc., 9.00%, 3/15/19 (b)

 

 

85

 

 

88,187

 

House of Fraser Funding Plc, 8.88%, 8/15/18

 

GBP

100

 

 

141,120

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

140

 

 

168,000

 

5.63%, 2/15/22

 

 

25

 

 

26,313

 

Party City Holdings, Inc., 8.88%, 8/01/20 (b)

 

 

133

 

 

140,647

 

Penske Automotive Group, Inc., 5.75%, 10/01/22 (b)

 

 

90

 

 

91,800

 

Phones4u Finance Plc, 9.50%, 4/01/18

 

GBP

100

 

 

153,228

 

QVC, Inc. (b):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

40

 

 

42,309

 

7.50%, 10/01/19

 

 

100

 

 

110,801

 

7.38%, 10/15/20

 

 

55

 

 

61,285

 

5.13%, 7/02/22

 

 

71

 

 

74,418

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19

 

 

90

 

 

100,575

 

5.75%, 6/01/22

 

 

70

 

 

75,338

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

65

 

 

71,013

 

 

 

 

 

 

 

1,473,584

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%, 5/01/22

 

 

75

 

 

77,813

 

Trading Companies & Distributors — 1.1%

 

 

 

 

 

 

 

Ashtead Capital, Inc., 6.50%, 7/15/22 (b)

 

 

90

 

 

93,600

 

Doric Nimrod Air Finance Alpha Ltd. (b):

 

 

 

 

 

 

 

Series 2012-1, Class A, 5.13%, 11/30/24

 

 

200

 

 

203,000

 

Series 2012-1, Class B, 6.50%, 5/30/21

 

 

200

 

 

202,364

 

 

 

 

 

 

 

498,964

 

Transportation Infrastructure — 0.3%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18

 

 

150

 

 

158,063

 

Wireless Telecommunication Services — 5.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

7.75%, 5/15/16

 

 

250

 

 

263,750

 

7.75%, 10/15/20

 

 

35

 

 

33,950

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

294

 

 

296,940

 

8.25%, 9/01/17

 

 

330

 

 

349,800

 

10.50%, 4/15/18

 

 

200

 

 

216,000

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

100

 

 

136,157

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

110

 

 

113,850

 

NII Capital Corp., 7.63%, 4/01/21

 

 

35

 

 

27,037

 

SBA Telecommunications, Inc., 5.75%, 7/15/20 (b)

 

 

48

 

 

50,160

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

283

 

 

256,115

 

Sprint Nextel Corp. (b):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

350

 

 

413,000

 

7.00%, 3/01/20

 

 

210

 

 

229,950

 

 

 

 

 

 

 

2,386,709

 

Total Corporate Bonds — 106.7%

 

 

 

 

 

50,024,556

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17

 

 

96

 

 

97,050

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

70

 

 

70,204

 

Building Products — 0.0%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

16

 

 

16,118

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

American Capital Holdings, Term Loan, 5.50%,
7/19/16

 

USD

136

 

$

136,510

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

110

 

 

110,495

 

New Second Lien Term Loan, 8.25%, 2/28/19

 

 

70

 

 

70,438

 

 

 

 

 

 

 

317,443

 

Chemicals — 0.5%

 

 

 

 

 

 

 

Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19

 

 

30

 

 

30,281

 

INEOS US Finance LLC, 6 Year Term Loan, 6.50%,
5/04/18

 

 

195

 

 

194,797

 

 

 

 

 

 

 

225,078

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

105

 

 

105,284

 

Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16

 

 

100

 

 

101,000

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

162

 

 

162,113

 

 

 

 

 

 

 

368,397

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., Non-Extended Term Loan B1, 3.18%,
10/24/14

 

 

40

 

 

38,198

 

Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19

 

 

340

 

 

344,995

 

 

 

 

 

 

 

383,193

 

Construction & Engineering — 0.5%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

250

 

 

250,000

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17

 

 

185

 

 

189,009

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 5.50%, 5/10/17

 

 

840

 

 

811,230

 

Diversified Consumer Services — 0.1%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 6/18/18

 

 

25

 

 

24,263

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.74%, 7/24/14

 

 

1

 

 

1,330

 

Term Loan, 2.75% – 2.97%, 7/24/14

 

 

13

 

 

13,359

 

 

 

 

 

 

 

38,952

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Residential Capital LLC:

 

 

 

 

 

 

 

DIP Term Loan A1, 5.00%, 11/18/13

 

 

210

 

 

210,525

 

DIP Term Loan A2, 6.75%, 11/18/13

 

 

30

 

 

30,350

 

 

 

 

 

 

 

240,875

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

2016 Term Loan B, 4.75%, 2/01/16

 

 

50

 

 

50,100

 

2019 Term Loan B, 5.25%, 8/01/19

 

 

40

 

 

40,058

 

Term Loan B3, 5.75%, 8/31/18

 

 

150

 

 

150,396

 

 

 

 

 

 

 

240,554

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan, 4.00%, 7/14/17

 

 

49

 

 

48,623

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co.
Term Loan, 9.25%, 8/04/16

 

 

333

 

 

345,572

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

610

 

 

638,255

 

Tervita Corp., Incremental Term Loan, 6.50%,
10/17/14

 

 

45

 

 

44,738

 

 

 

 

 

 

 

1,028,565

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

74

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Food & Staples Retailing — 0.0%

 

 

 

 

 

 

 

US Foods, Inc. (FKA US Foodservice, Inc.),
Extended Term Loan B, 5.75%, 3/31/17

 

USD

15

 

$

14,359

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

135

 

 

135,810

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19

 

 

65

 

 

65,216

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

130

 

 

130,161

 

LHP Hospital Group, Inc., Term Loan, 9.00%,
7/03/18

 

 

45

 

 

45,338

 

 

 

 

 

 

 

240,715

 

Health Care Providers & Services — 0.6%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add on Term Loan A, 7.75%, 3/02/15

 

 

74

 

 

71,526

 

Term Loan A, 8.50%, 3/02/15

 

 

62

 

 

61,201

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

146

 

 

136,176

 

 

 

 

 

 

 

268,903

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6, 5.49%, 1/26/18

 

 

35

 

 

30,767

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

85

 

 

86,234

 

Term Loan B1, 3.24%, 1/28/15

 

 

62

 

 

58,795

 

Term Loan B2, 3.24%, 1/28/15

 

 

74

 

 

70,023

 

Term Loan B3, 3.24% — 3.46%, 1/28/15

 

 

165

 

 

156,762

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.49% — 2.56%, 6/14/13

 

 

2

 

 

1,782

 

Term Loan B, 2.56%, 6/14/14

 

 

18

 

 

17,957

 

Sabre, Inc., Non-Extended Initial Term Loan, 2.23%,
9/30/14

 

 

13

 

 

12,592

 

Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16

 

 

145

 

 

137,442

 

Travelport LLC:

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.44%, 9/28/12

 

 

31

 

 

9,372

 

Extended Tranche B Term Loan, 13.94%,
12/01/16

 

 

101

 

 

8,057

 

 

 

 

 

 

 

589,783

 

Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

30

 

 

29,812

 

Term Loan, 3.69% – 3.72%, 12/03/14

 

 

25

 

 

24,828

 

 

 

 

 

 

 

54,640

 

IT Services — 0.3%

 

 

 

 

 

 

 

Ceridian Corp., Extended Term Loan, 5.99%,
5/09/17

 

 

12

 

 

11,871

 

First Data Corp., Extended 2018 Term Loan B, 4.24%,
3/23/18

 

 

130

 

 

122,742

 

 

 

 

 

 

 

134,613

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/19/13

 

 

110

 

 

109,350

 

Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., Term Loan B, 7.00%,
8/17/17

 

 

116

 

 

116,542

 

Rexnord Corp., Term Loan B, 5.00%, 4/02/18

 

 

100

 

 

99,891

 

 

 

 

 

 

 

216,433

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Media — 5.2%

 

 

 

 

 

 

 

Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15

 

USD

5

 

$

4,190

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Non-Extended Term Loan, 2.49%, 7/03/14

 

 

60

 

 

54,949

 

Tranche 1 Incremental, 7.50%, 7/03/14

 

 

240

 

 

230,999

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/14/19

 

 

75

 

 

74,657

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.88%, 1/28/16

 

 

324

 

 

251,119

 

Term Loan C, 3.88%, 1/28/16

 

 

62

 

 

46,869

 

EMI Music Publishing Ltd., Term Loan B, 5.50%,
6/29/18

 

 

45

 

 

45,304

 

Intelsat Jackson Holdings SA, Tranche B Term Loan,
5.25%, 4/02/18

 

 

1,194

 

 

1,198,358

 

Interactive Data Corp., Term Loan B, 4.50%, 2/12/18

 

 

70

 

 

69,926

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

375

 

 

377,033

 

Univision Communications, Inc., Extended Term Loan,
4.48%, 3/31/17

 

 

49

 

 

47,806

 

 

 

 

 

 

 

2,401,210

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Constellium Holdco BV, Term Loan B, 9.25%,
5/25/18

 

 

70

 

 

68,600

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Chesapeake Energy Corp., Unsecured Term Loan,
8.50%, 12/01/17

 

 

200

 

 

200,430

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

166

 

 

166,463

 

 

 

 

 

 

 

366,893

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co., Ltd., Term Loan, 5.25%,
6/26/14

 

 

65

 

 

62,887

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

100

 

 

100,938

 

Verso Paper Finance Holdings LLC, Term Loan,
6.50% – 7.24%, 2/01/13

 

 

235

 

 

117,633

 

 

 

 

 

 

 

281,458

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Product Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

50

 

 

50,261

 

Professional Services — 0.1%

 

 

 

 

 

 

 

Truven Health Analytics, Term Loan B, 6.75%,
6/06/19

 

 

60

 

 

60,425

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

179

 

 

179,581

 

Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.50%,
10/10/16

 

 

17

 

 

16,715

 

Extended Term Loan, 4.49%, 10/10/16

 

 

123

 

 

118,413

 

Stockbridge SBE Holdings LLC, Term Loan B,
13.00%, 5/02/17

 

 

30

 

 

29,850

 

 

 

 

 

 

 

164,978

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

10

 

 

10,068

 

Software — 0.4%

 

 

 

 

 

 

 

Infor US, Inc. (FKA Lawson Software, Inc.),
Term Loan B, 6.25%, 4/05/18

 

 

204

 

 

206,590

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%,
5/29/14

 

 

63

 

 

61,706

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

75




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Ascend Performance Materials LLC, Term Loan B,
6.75%, 4/10/18

 

USD

185

 

$

182,845

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

10

 

 

9,863

 

Vodafone Americas Finance 2, Inc. (c):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

277

 

 

287,957

 

Term Loan B, 6.25%, 7/11/16

 

 

258

 

 

262,969

 

 

 

 

 

 

 

560,789

 

Total Floating Rate Loan Interests — 22.8%

 

 

 

 

 

10,685,301

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts — 0.2%

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (f)

 

 

145

 

 

87,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.4%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

1,800

 

 

210,375

 

Diversified Financial Services — 1.3%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (b)

 

 

660

 

 

600,992

 

Total Preferred Stocks — 1.7%

 

 

 

 

 

811,367

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)

 

 

12,320

 

 

304,462

 

RBS Capital Funding Trust VII, 6.08% (a)(f)(h)(i)

 

 

5,100

 

 

87,414

 

Total Trust Preferreds — 0.9%

 

 

 

 

 

391,876

 

Total Preferred Securities — 2.8%

 

 

 

 

 

1,290,243

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (j)

 

 

 

 

 

 

 

Diversified Telecommunication Services — 0.0%

 

 

 

 

 

 

 

NEON Communications, Inc. (Expires 12/02/12)

 

 

53,622

 

 

1

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

61

 

 

 

HMH Holdings/EduMedia (Issued/Exercisable
3/09/10, 19 Shares for 1 Warrant,
Expires 6/22/19, Strike Price $42.27)

 

 

176

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

1

 

Total Long-Term Investments
(Cost — $61,521,901) — 136.6%

 

 

 

 

 

64,039,715

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (k)(l)

 

 

1,204,968

 

$

1,204,968

 

Total Short-Term Securities
(Cost — $1,204,968) — 2.6%

 

 

 

 

 

1,204,968

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs Group, Inc.

 

 

3

 

 

 

Total Options Purchased
(Cost — $2,933) — 0.0%

 

 

 

 

 

 

Total Investments (Cost — $62,729,802) — 139.2%

 

 

 

 

 

65,244,683

 

Liabilities in Excess of Other Assets — (39.2)%

 

 

 

 

 

(18,368,290

)

Net Assets — 100.0%

 

 

 

 

$

46,876,393

 


 

 

 

 

(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)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Convertible security.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

JPMorgan Securities

 

$

96,075

 

$

6,665

 

Goldman Sachs & Co.

 

$

272,362

 

$

3,363

 


 

 

(h)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(i)

Security is perpetual in nature and has no stated maturity 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, if any.

 

 

(k)

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

421,345

 

 

783,623

 

 

1,204,968

 

 

$   521

 


 

 

(l)

Represents the current yield as of report date.


 

 

 

See Notes to Financial Statements.

 

 

 

 

76

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)


 

 

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 sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

    18

 

S&P 500
E-Mini
Index Future

 

Chicago
Mercantile

 

September
2012

 

USD 1,264,590

 

$

(87,001

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

581,602

 

GBP

373,500

 

Royal Bank
of Scotland
Group Plc

 

10/17/12

 

$

(11,373

)

EUR

83,000

 

USD

102,645

 

Citigroup, Inc.

 

10/22/12

 

 

1,806

 

USD

1,643,704

 

EUR

1,339,000

 

UBS AG

 

10/22/12

 

 

(41,358

)

Total

 

 

 

 

 

 

 

 

 

$

(50,925

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

20

 

$

(1,482

)

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

15

 

 

(1,232

)

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

30

 

 

(2,137

)

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

15

 

 

(766

)

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

USD

15

 

 

(860

)

Republic of Hungary

 

1.00%

 

Deutsche Bank AG

 

12/20/15

 

USD

50

 

 

909

 

The New York Times Co.

 

1.00%

 

Barclays Plc

 

12/20/16

 

USD

225

 

 

(660

)

Israel (State of)

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

USD

35

 

 

(785

)

Israel (State of)

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

USD

100

 

 

(2,304

)

Total

 

 

 

 

 

 

 

 

 

 

$

(9,317

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

Air Lease Corp.

 

5.00%

 

Goldman Sachs Group, Inc.

 

2/14/13

 

Not Rated

 

USD

100

 

$

1,658

 

CIT Group, Inc.

 

5.00%

 

Deutsche Bank AG

 

9/20/15

 

BB–

 

USD

500

 

 

65,031

 

ARAMARK Corp.

 

5.00%

 

Credit Suisse Group AG

 

9/20/16

 

B

 

USD

50

 

 

5,974

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs Group, Inc.

 

9/20/16

 

B

 

USD

50

 

 

5,809

 

ARAMARK Corp.

 

5.00%

 

Deutsche Bank AG

 

3/20/17

 

B

 

USD

35

 

 

2,310

 

Crown Castle International Corp.

 

7.25%

 

Deutsche Bank AG

 

3/20/17

 

B–

 

USD

80

 

 

1,140

 

Goodyear Tire & Rubber Co.

 

5.00%

 

Deutsche Bank AG

 

6/20/17

 

B+

 

USD

50

 

 

2,330

 

Goodyear Tire & Rubber Co.

 

5.00%

 

Goldman Sachs Group, Inc.

 

6/20/17

 

B+

 

USD

50

 

 

1,762

 

CCO Holdings LLC

 

8.00%

 

Deutsche Bank AG

 

9/20/17

 

BB–

 

USD

280

 

 

22,810

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

108,824

 


 

 

 

 

1

Using S&P’s rating.

 

 

2

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


 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Dow Jones CDX North America High Yield Series 18, Version 2

 

5.00%

 

Credit Suisse Group AG

 

6/20/17

 

USD

297

 

$

(963

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

77




 

 

 

 

Schedule of Investments (continued)

 

BlackRock High Yield Trust (BHY)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

1,958,830

 

$

80,783

 

$

1

 

$

2,039,614

 

Corporate Bonds

 

 

 

 

49,386,538

 

 

638,018

 

 

50,024,556

 

Floating Rate
Loan Interests

 

 

 

 

8,786,761

 

 

1,898,540

 

 

10,685,301

 

Preferred Securities

 

 

391,876

 

 

898,367

 

 

 

 

1,290,243

 

Warrants

 

 

 

 

 

 

1

 

 

1

 

Short-Term Securities

 

 

1,204,968

 

 

 

 

 

 

1,204,968

 

Total

 

$

3,555,674

 

$

59,152,449

 

$

2,536,560

 

$

65,244,683

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

19,094

 

$

90,639

 

$

109,733

 

Foreign currency
exchange contracts

 

 

 

 

1,806

 

 

 

 

1,806

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(11,189

)

 

 

 

(11,189

)

Equity contracts

 

$

(87,001

)

 

 

 

 

 

(87,001

)

Foreign currency
exchange contracts

 

 

 

 

(52,731

)

 

 

 

(52,731

)

Total

 

$

(87,001

)

$

(43,020

)

$

90,639

 

$

(39,382

)


 

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. 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, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
at value

 

$

24,065

 

 

 

 

 

$

24,065

 

Cash pledged as
collateral for financial
futures contracts

 

 

71,000

 

 

 

 

 

 

71,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

 

$

(19,000,000

)

 

 

 

(19,000,000

)

Total

 

$

95,065

 

$

(19,000,000

)

 

 

$

(18,904,935

)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,095,341 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

 

Valuation Techniques

 

 

Unobservable Inputs2

 

Range of
of Unobservable
Inputs

 

Weighted Average
Inputs3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

$

637,811

 

 

Market Comparable Companies

 

 

Yield

 

 

7.00% – 9.67%

 

 

8.82%

 

 

 

 

 

 

 

 

 

 

EBITDA Multiple

 

 

6.0x

 

 

6.0x

 

Floating Rate Loan Interests

 

 

500,360

 

 

Market Comparable Companies

 

 

Illiquidity Discount

 

 

50%

 

 

50%

 

 

 

 

 

 

 

 

 

 

Yield

 

 

9.65%

 

 

9.65%

 

 

 

 

 

 

 

Cost

 

 

N/A4

 

 

 

 

 

Total5

 

$

1,138,171

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

2

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

 

 

 

 

 

Unobservable Input

 

Impact to
Value if Input Increases

 

Impact to
Value if Input Decreases

 

EBITDA Multiple

 

 

Increase

 

 

Decrease

 

Yield

 

 

Decrease

 

 

Increase

 

Illiquidity Discount

 

 

Decrease

 

 

Increase

 


 

 

 

 

3

Unobservable inputs are weighted based on the value of the investments included in the range.


 

 

 

See Notes to Financial Statements.

 

 

 

78

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (concluded)

 

BlackRock High Yield Trust (BHY)


 

 

 

 

4

The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

 

 

 

5

Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

27,152

 

$

688,980

 

$

1,642,711

 

$

477

 

$

45,985

 

$

34,922

 

$

2,440,227

 

Transfers into Level 31

 

 

1

 

 

 

 

345,543

 

 

 

 

 

 

 

 

345,544

 

Transfers out of Level 32

 

 

 

 

 

 

(387,187

)

 

 

 

 

 

 

 

(387,187

)

Accrued discounts/premiums

 

 

 

 

 

 

10,123

 

 

 

 

 

 

 

 

10,123

 

Net realized gain (loss)

 

 

(139,718

)

 

9,120

 

 

5,303

 

 

910

 

 

54,100

 

 

 

 

(70,285

)

Net change in unrealized appreciation/depreciation3

 

 

112,568

 

 

(26,239

)

 

(59,066

)

 

(477

)

 

(45,985

)

 

(34,921

)

 

(54,120

)

Purchases

 

 

 

 

16,904

 

 

562,752

 

 

 

 

 

 

 

 

579,656

 

Sales

 

 

(2

)

 

(50,747

)

 

(221,639

)

 

(910

)

 

(54,100

)

 

 

 

(327,398

)

Closing Balance as of August 31, 2012

 

$

1

 

$

638,018

 

$

1,898,540

 

 

 

 

 

$

1

 

$

2,536,560

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $345,544 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $387,187 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(77,581).

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, 2011

 

 

 

Transfers into Level 34

 

 

 

Transfers out of Level 34

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation5

 

$

90,639

 

Purchases

 

 

 

Issues6

 

 

 

Sales

 

 

 

Settlements7

 

 

 

Closing Balance, as of August 31, 2012

 

$

90,639

 


 

 

 

 

4

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

5

Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $90,639.

 

 

 

 

6

Issues represent upfront cash received on certain derivative financial instruments.

 

 

 

 

7

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

79




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 6.1%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC, Series 2010-3A,
Class A, 3.82%, 12/15/48 (a)

 

USD

757

 

$

790,793

 

AH Mortgage Advance Trust, Series SART-3, Class 1A1,
2.98%, 3/13/43 (a)

 

 

630

 

 

634,369

 

AmeriCredit Automobile Receivables Trust,
Series 2011-5, Class C, 3.44%, 10/08/17

 

 

400

 

 

411,338

 

CarMax Auto Owner Trust, Series 2012-1:

 

 

 

 

 

 

 

Class B, 1.76%, 8/15/17

 

 

210

 

 

212,152

 

Class C, 2.20%, 10/16/17

 

 

125

 

 

126,840

 

Class D, 3.09%, 8/15/18

 

 

160

 

 

161,556

 

CenterPoint Energy Transition Bond Co. LLC,
Series 2012-1, Class A3, 3.03%, 10/15/25

 

 

1,105

 

 

1,197,989

 

Credit Acceptance Auto Loan Trust, Series 2010-1,
Class B, 3.63%, 10/15/18 (a)

 

 

1,970

 

 

1,990,277

 

DT Auto Owner Trust, Class C (a):

 

 

 

 

 

 

 

Series 2011-2A, 3.05%, 2/16/16

 

 

1,500

 

 

1,500,462

 

Series 2011-3A, 4.03%, 2/15/17

 

 

260

 

 

263,897

 

Ford Credit Floorplan Master Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.14%, 1/15/16 (b)

 

 

180

 

 

180,001

 

Series 2012-1, Class C, 1.74%, 1/15/16 (b)

 

 

480

 

 

480,002

 

Series 2012-1, Class D, 2.34%, 1/15/16 (b)

 

 

450

 

 

450,001

 

Series 2012-2, Class B, 2.32%, 1/15/19

 

 

245

 

 

252,208

 

Series 2012-2, Class C, 2.86%, 1/15/19

 

 

105

 

 

107,018

 

Series 2012-2, Class D, 3.50%, 1/15/19

 

 

200

 

 

203,357

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.35%, 7/25/37 (b)

 

 

76

 

 

74,949

 

Nelnet Student Loan Trust (b):

 

 

 

 

 

 

 

Series 2006-1, Class A5, 0.54%, 8/23/27

 

 

525

 

 

497,842

 

Series 2008-3, Class A4, 2.08%, 11/25/24

 

 

620

 

 

649,571

 

PFS Financing Corp., Series 2012-AA, Class A, 1.44%,
2/15/16 (a)(b)

 

 

480

 

 

481,654

 

Santander Consumer Acquired Receivables Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class B, 1.66%, 8/15/16

 

 

521

 

 

522,220

 

Series 2011-S1A, Class C, 2.01%, 8/15/16

 

 

373

 

 

371,621

 

Series 2011-S1A, Class D, 3.15%, 8/15/16

 

 

382

 

 

379,916

 

Series 2011-WO, Class C, 3.19%, 10/15/15

 

 

575

 

 

579,272

 

Santander Drive Auto Receivables Trust:

 

 

 

 

 

 

 

Series 2010-2, Class B, 2.24%, 12/15/14

 

 

870

 

 

874,527

 

Series 2010-2, Class C, 3.89%, 7/17/17

 

 

1,020

 

 

1,055,676

 

Series 2010-B, Class B, 2.10%, 9/15/14 (a)

 

 

700

 

 

702,535

 

Series 2010-B, Class C, 3.02%, 10/17/16 (a)

 

 

735

 

 

749,049

 

Series 2011-1, Class D, 4.01%, 2/15/17

 

 

940

 

 

960,565

 

Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)

 

 

270

 

 

269,363

 

Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)

 

 

293

 

 

294,267

 

Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)

 

 

693

 

 

700,253

 

Series 2012-1, Class B, 2.72%, 5/16/16

 

 

240

 

 

244,548

 

Series 2012-1, Class C, 3.78%, 11/15/17

 

 

325

 

 

335,789

 

SLM Student Loan Trust:

 

 

 

 

 

 

 

Series 2004-B, Class A2, 0.67%, 6/15/21 (b)

 

 

196

 

 

190,944

 

Series 2008-5, Class A3, 1.75%, 1/25/18 (b)

 

 

525

 

 

538,067

 

Series 2008-5, Class A4, 2.15%, 7/25/23 (b)

 

 

630

 

 

664,627

 

Series 2012-A, Class A1, 1.64%, 8/15/25 (a)(b)

 

 

330

 

 

332,543

 

Series 2012-A, Class A2, 3.83%, 1/17/45 (a)

 

 

345

 

 

368,769

 

Series 2012-D, Class A2, 2.95%, 2/15/46 (a)

 

 

2,840

 

 

2,940,378

 

Small Business Administration Participation
Certificates, Series 1996-20K, Class 1, 6.95%,
11/01/16

 

 

162

 

 

173,337

 

World Financial Network Credit Card Master Trust,
4.55%, 8/15/22

 

 

1,180

 

 

1,184,931

 

 

 

 

 

 

 

25,099,473

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (a)

 

USD

4,204

 

$

332,404

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

5,949

 

 

453,649

 

 

 

 

 

 

 

786,053

 

Total Asset-Backed Securities — 6.3%

 

 

 

 

 

25,885,526

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Cumulus Media, Inc., Class A

 

 

32,384

 

 

89,704

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

152

 

 

1

 

Total Common Stocks — 0.0%

 

 

 

 

 

89,705

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

United Technologies Corp. (d):

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,250

 

 

1,390,662

 

6.13%, 7/15/38

 

 

750

 

 

1,017,677

 

 

 

 

 

 

 

2,408,339

 

Airlines — 0.6%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 1/12/19

 

 

622

 

 

626,172

 

US Airways Pass-Through Trust, Series 2012-1,
Class C, 9.13%, 10/01/15

 

 

1,673

 

 

1,706,460

 

 

 

 

 

 

 

2,332,632

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

4.00%, 8/15/13 (a)(b)

 

 

2,335

 

 

2,335,000

 

8.00%, 1/15/18

 

 

1,000

 

 

1,065,000

 

 

 

 

 

 

 

3,400,000

 

Capital Markets — 4.6%

 

 

 

 

 

 

 

CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)

 

 

2,955

 

 

3,812,139

 

E*Trade Financial Corp., 12.50%, 11/30/17 (e)

 

 

1,440

 

 

1,643,400

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

1,215

 

 

1,309,367

 

5.25%, 7/27/21

 

 

3,175

 

 

3,376,000

 

5.75%, 1/24/22

 

 

1,815

 

 

2,002,783

 

Lehman Brothers Holdings, Inc., 6.50%,
7/19/17 (c)(f)

 

 

225

 

 

 

Morgan Stanley:

 

 

 

 

 

 

 

2.94%, 5/14/13 (b)

 

 

1,880

 

 

1,892,942

 

4.20%, 11/20/14

 

 

680

 

 

697,586

 

4.00%, 7/24/15

 

 

400

 

 

407,707

 

6.25%, 8/28/17

 

 

1,925

 

 

2,085,828

 

Murray Street Investment Trust I, 4.65%, 3/09/17

 

 

1,640

 

 

1,711,829

 

 

 

 

 

 

 

18,939,581

 

Chemicals — 0.2%

 

 

 

 

 

 

 

The Dow Chemical Co., 4.13%, 11/15/21

 

 

350

 

 

383,209

 

INEOS Finance Plc, 8.38%, 2/15/19 (a)

 

 

265

 

 

278,912

 

 

 

 

 

 

 

662,121

 


 

 

 

See Notes to Financial Statements.

 

 

 

80

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Banks — 3.9%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (a)

 

USD

88

 

$

88,447

 

7.00%, 5/02/17 (a)

 

 

347

 

 

347,787

 

5.38%, 5/15/20

 

 

1,650

 

 

1,718,063

 

5.00%, 8/15/22

 

 

440

 

 

443,333

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands, 3.88%, 2/08/22 (d)

 

 

1,390

 

 

1,447,629

 

DEPFA ACS Bank, 5.13%, 3/16/37 (a)

 

 

4,150

 

 

2,894,625

 

Discover Bank, 8.70%, 11/18/19

 

 

250

 

 

316,369

 

Eksportfinans ASA, 5.50%, 6/26/17

 

 

1,000

 

 

1,015,245

 

HSBC Bank Brasil SA — Banco Multiplo, 4.00%,
5/11/16 (a)

 

 

1,400

 

 

1,435,000

 

HSBC Bank Plc, 3.10%, 5/24/16 (a)(d)

 

 

695

 

 

728,478

 

HSBC Holdings Plc, 6.10%, 1/14/42 (d)

 

 

305

 

 

408,114

 

Wachovia Corp., 5.25%, 8/01/14 (d)

 

 

3,420

 

 

3,679,219

 

Wells Fargo & Co., 3.50%, 3/08/22 (d)

 

 

1,390

 

 

1,481,235

 

 

 

 

 

 

 

16,003,544

 

Commercial Services & Supplies — 0.5%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

18

 

 

18,450

 

Clean Harbors, Inc., 5.25%, 8/01/20 (a)

 

 

390

 

 

400,238

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

1,320

 

 

1,415,700

 

West Corp., 8.63%, 10/01/18

 

 

135

 

 

137,025

 

 

 

 

 

 

 

1,971,413

 

Communications Equipment — 1.3%

 

 

 

 

 

 

 

ADC Telecommunications, Inc., 3.50%, 7/15/15

 

 

4,340

 

 

4,431,834

 

Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20

 

 

640

 

 

680,000

 

 

 

 

 

 

 

5,111,834

 

Construction & Engineering — 0.3%

 

 

 

 

 

 

 

ABB Finance USA, Inc., 4.38%, 5/08/42

 

 

194

 

 

219,085

 

URS Corp., 5.00%, 4/01/22 (a)

 

 

975

 

 

988,641

 

 

 

 

 

 

 

1,207,726

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

HD Supply, Inc., 8.13%, 4/15/19 (a)

 

 

570

 

 

618,450

 

Lafarge SA, 7.13%, 7/15/36

 

 

135

 

 

137,025

 

 

 

 

 

 

 

755,475

 

Consumer Finance — 0.9%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

6.63%, 8/15/17

 

 

280

 

 

321,883

 

8.13%, 1/15/20

 

 

1,265

 

 

1,566,267

 

SLM Corp.:

 

 

 

 

 

 

 

6.25%, 1/25/16

 

 

651

 

 

696,570

 

Series A, 0.75%, 1/27/14 (b)

 

 

600

 

 

581,692

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

345

 

 

376,071

 

 

 

 

 

 

 

3,542,483

 

Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (a):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

425

 

 

565,302

 

Series 144, 7.38%, 10/15/17

 

USD

200

 

 

214,250

 

 

 

 

 

 

 

779,552

 

Diversified Financial Services — 7.8%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

860

 

 

954,600

 

5.50%, 2/15/17

 

 

1,500

 

 

1,560,162

 

6.25%, 12/01/17

 

 

160

 

 

172,881

 

8.00%, 3/15/20

 

 

560

 

 

655,200

 

8.00%, 11/01/31

 

 

320

 

 

378,400

 

Bank of America Corp., 5.63%, 7/01/20

 

 

1,100

 

 

1,219,567

 

Capital One Financial Corp., 4.75%, 7/15/21

 

 

975

 

 

1,093,772

 

Citigroup, Inc.:

 

 

 

 

 

 

 

5.00%, 9/15/14

 

 

285

 

 

298,130

 

4.59%, 12/15/15

 

 

7,245

 

 

7,794,772

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

General Electric Capital Corp., 6.75%, 3/15/32 (d)

 

USD

2,500

 

$

3,246,107

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

7.90% (b)(g)

 

 

3,500

 

 

3,915,240

 

6.30%, 4/23/19 (d)

 

 

1,375

 

 

1,678,099

 

JPMorgan Chase Bank NA, Series BKNT, 6.00%,
10/01/17 (d)

 

 

2,045

 

 

2,407,642

 

Moody’s Corp., 4.50%, 9/01/22

 

 

900

 

 

935,853

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

550

 

 

714,273

 

7.88%, 8/15/19

 

USD

560

 

 

623,000

 

6.88%, 2/15/21

 

 

1,255

 

 

1,358,538

 

Spirit Issuer Plc, 5.86%, 12/28/21

 

GBP

1,620

 

 

2,115,732

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16

 

USD

160

 

 

174,800

 

11.50%, 10/01/18

 

 

562

 

 

616,795

 

 

 

 

 

 

 

31,913,563

 

Diversified Telecommunication Services — 3.2%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

671

 

 

702,872

 

8.63%, 7/15/20

 

 

580

 

 

620,600

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

4,440,625

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

3.50%, 11/01/21

 

 

500

 

 

550,038

 

6.40%, 2/15/38

 

 

3,396

 

 

4,558,845

 

8.95%, 3/01/39

 

 

1,125

 

 

1,961,481

 

Windstream Corp., 7.88%, 11/01/17

 

 

200

 

 

217,500

 

 

 

 

 

 

 

13,051,961

 

Electric Utilities — 6.5%

 

 

 

 

 

 

 

The Cleveland Electric Illuminating Co.:

 

 

 

 

 

 

 

8.88%, 11/15/18

 

 

121

 

 

164,273

 

5.95%, 12/15/36

 

 

217

 

 

255,413

 

CMS Energy Corp., 5.05%, 3/15/22

 

 

917

 

 

993,839

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

431,110

 

6.00%, 1/15/38 (d)

 

 

850

 

 

1,141,290

 

4.25%, 12/15/41 (d)

 

 

375

 

 

410,460

 

E.ON International Finance BV, 6.65%, 4/30/38 (a)

 

 

1,575

 

 

2,150,555

 

EDF SA, 5.60%, 1/27/40 (a)(d)

 

 

1,400

 

 

1,565,707

 

Florida Power Corp. (d):

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

2,009,465

 

6.40%, 6/15/38

 

 

340

 

 

477,596

 

Georgia Power Co., 3.00%, 4/15/16 (d)

 

 

800

 

 

859,924

 

Hydro-Quebec (d):

 

 

 

 

 

 

 

8.40%, 1/15/22

 

 

730

 

 

1,059,806

 

8.05%, 7/07/24

 

 

1,900

 

 

2,832,484

 

Jersey Central Power & Light Co., 7.35%, 2/01/19

 

 

245

 

 

313,858

 

Nisource Finance Corp.:

 

 

 

 

 

 

 

6.40%, 3/15/18

 

 

280

 

 

335,129

 

5.25%, 2/15/43

 

 

500

 

 

552,707

 

Ohio Power Co., Series D, 6.60%, 3/01/33

 

 

1,500

 

 

1,974,781

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

910,552

 

Public Service Co. of Colorado, 6.25%, 9/01/37 (d)

 

 

1,350

 

 

1,948,531

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

675

 

 

887,753

 

Series 08-A, 5.95%, 2/01/38 (d)

 

 

1,100

 

 

1,512,710

 

The Tokyo Electric Power Co., Inc., 4.50%,
3/24/14 (d)

 

EUR

1,000

 

 

1,251,888

 

Virginia Electric and Power Co., Series A, 6.00%,
5/15/37

 

USD

1,920

 

 

2,658,929

 

 

 

 

 

 

 

26,698,760

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

81




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%, 12/01/20 (a)

 

USD

565

 

$

553,700

 

Ensco Plc:

 

 

 

 

 

 

 

3.25%, 3/15/16

 

 

160

 

 

170,795

 

4.70%, 3/15/21

 

 

1,745

 

 

1,958,024

 

Frac Tech Services LLC, 8.13%, 11/15/18 (a)

 

 

1,110

 

 

1,146,075

 

MEG Energy Corp., 6.50%, 3/15/21 (a)

 

 

560

 

 

589,400

 

Noble Holding International Ltd., 5.25%, 3/15/42

 

 

350

 

 

375,470

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

2,610

 

 

2,655,675

 

Transocean, Inc.:

 

 

 

 

 

 

 

5.05%, 12/15/16

 

 

850

 

 

941,480

 

6.50%, 11/15/20

 

 

350

 

 

418,359

 

 

 

 

 

 

 

8,808,978

 

Food Products — 1.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

335

 

 

379,388

 

Kraft Foods Group, Inc. (a):

 

 

 

 

 

 

 

5.38%, 2/10/20

 

 

1,570

 

 

1,876,338

 

5.00%, 6/04/42

 

 

997

 

 

1,134,085

 

Kraft Foods, Inc., 5.38%, 2/10/20

 

 

1,430

 

 

1,718,691

 

 

 

 

 

 

 

5,108,502

 

Gas Utilities — 0.2%

 

 

 

 

 

 

 

CenterPoint Energy Resources Corp., 5.85%,
1/15/41

 

 

700

 

 

881,220

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

Boston Scientific Corp., 6.25%, 11/15/15

 

 

1,260

 

 

1,427,114

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

190

 

 

198,312

 

7.75%, 4/15/18

 

 

40

 

 

36,600

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

385

 

 

411,950

 

 

 

 

 

 

 

2,073,976

 

Health Care Providers & Services — 2.7%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

535

 

 

556,400

 

CHS/Community Health Systems, Inc., 5.13%,
8/15/18

 

 

400

 

 

412,500

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)

 

EUR

494

 

 

664,848

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

17

 

 

19,168

 

6.50%, 2/15/20

 

 

2,015

 

 

2,213,981

 

7.88%, 2/15/20

 

 

135

 

 

150,694

 

7.25%, 9/15/20

 

 

50

 

 

55,406

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,000

 

 

953,750

 

INC Research LLC, 11.50%, 7/15/19 (a)

 

 

545

 

 

534,100

 

inVentiv Health, Inc. (a):

 

 

 

 

 

 

 

10.00%, 8/15/18

 

 

40

 

 

33,700

 

10.25%, 8/15/18

 

 

155

 

 

130,588

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

805

 

 

887,512

 

Symbion, Inc., 8.00%, 6/15/16

 

 

455

 

 

459,834

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

370

 

 

425,500

 

8.88%, 7/01/19

 

 

1,150

 

 

1,308,125

 

UnitedHealth Group, Inc., 2.88%, 3/15/22

 

 

2,000

 

 

2,049,750

 

 

 

 

 

 

 

10,855,856

 

Health Care Technology — 0.6%

 

 

 

 

 

 

 

Amgen, Inc. (d):

 

 

 

 

 

 

 

6.40%, 2/01/39

 

 

750

 

 

931,504

 

5.15%, 11/15/41

 

 

1,500

 

 

1,637,571

 

 

 

 

 

 

 

2,569,075

 

Hotels, Restaurants & Leisure — 0.1%

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (a)

 

 

180

 

 

175,500

 

MGM Resorts International, 11.13%, 11/15/17

 

 

265

 

 

294,813

 

 

 

 

 

 

 

470,313

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Standard Pacific Corp., 10.75%, 9/15/16

 

USD

1,000

 

$

1,207,500

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (a)

 

EUR

190

 

 

242,567

 

Independent Power Producers &
Energy Traders — 0.5%

 

 

 

 

 

 

 

Energy Future Intermediate Holding Co. LLC, 10.00%,
12/01/20

 

USD

1,955

 

 

2,194,487

 

Industrial Conglomerates — 0.6%

 

 

 

 

 

 

 

The ADT Corp., 4.88%, 7/15/42 (a)

 

 

539

 

 

586,299

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

798,000

 

13.50%, 12/01/15

 

 

927

 

 

983,130

 

 

 

 

 

 

 

2,367,429

 

Insurance — 4.4%

 

 

 

 

 

 

 

Allianz Finance II BV, 5.75%, 7/08/41

 

EUR

500

 

 

607,993

 

American International Group, Inc.:

 

 

 

 

 

 

 

3.80%, 3/22/17 (d)

 

USD

5,580

 

 

5,905,504

 

5.45%, 5/18/17

 

 

800

 

 

898,869

 

AXA SA, 5.25%, 4/16/40

 

EUR

250

 

 

267,714

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

USD

408

 

 

446,250

 

Hartford Financial Services Group, Inc.:

 

 

 

 

 

 

 

6.00%, 1/15/19

 

 

345

 

 

383,954

 

5.13%, 4/15/22

 

 

930

 

 

999,523

 

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)

 

 

1,000

 

 

1,085,395

 

Lincoln National Corp., 6.25%, 2/15/20

 

 

630

 

 

730,900

 

Manulife Financial Corp., 3.40%, 9/17/15

 

 

1,625

 

 

1,692,883

 

Metropolitan Life Global Funding I, 5.13%,
6/10/14 (a)(d)

 

 

775

 

 

833,093

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

 

 

340

 

 

304,300

 

Muenchener Rueckversicherungs AG, 6.00%,
5/26/41

 

EUR

200

 

 

264,289

 

Prudential Financial, Inc. (d):

 

 

 

 

 

 

 

4.75%, 9/17/15

 

USD

1,220

 

 

1,339,589

 

7.38%, 6/15/19

 

 

300

 

 

377,559

 

5.38%, 6/21/20

 

 

250

 

 

288,865

 

4.50%, 11/15/20

 

 

400

 

 

436,532

 

5.70%, 12/14/36

 

 

950

 

 

1,053,230

 

 

 

 

 

 

 

17,916,442

 

IT Services — 0.8%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

205

 

 

211,662

 

8.88%, 8/15/20

 

 

1,000

 

 

1,090,000

 

8.25%, 1/15/21

 

 

75

 

 

74,344

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

490

 

 

520,625

 

7.63%, 11/15/20

 

 

1,100

 

 

1,179,750

 

 

 

 

 

 

 

3,076,381

 

Machinery — 0.3%

 

 

 

 

 

 

 

UR Financing Escrow Corp. (a):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

194

 

 

205,155

 

7.38%, 5/15/20

 

 

495

 

 

524,700

 

7.63%, 4/15/22

 

 

455

 

 

491,400

 

 

 

 

 

 

 

1,221,255

 

Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)

 

 

1,100

 

 

1,300,750

 

Media — 8.1%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,505

 

 

1,076,075

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

320

 

 

362,400

 

CCH II LLC, 13.50%, 11/30/16

 

 

2,265

 

 

2,479,738

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

553

 

 

474,197

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

278

 

 

300,935

 

Series B, 9.25%, 12/15/17

 

 

2,492

 

 

2,706,935

 


 

 

 

See Notes to Financial Statements.

 

 

 

82

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22

 

USD

2,000

 

$

2,986,628

 

Cox Communications, Inc. (a):

 

 

 

 

 

 

 

6.95%, 6/01/38

 

 

1,000

 

 

1,303,728

 

8.38%, 3/01/39

 

 

1,735

 

 

2,618,124

 

DIRECTV Holdings LLC:

 

 

 

 

 

 

 

6.38%, 3/01/41

 

 

260

 

 

306,570

 

5.15%, 3/15/42

 

 

2,100

 

 

2,142,745

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

238

 

 

250,495

 

11.25%, 2/04/17

 

 

750

 

 

787,500

 

11.50%, 2/04/17 (e)

 

 

420

 

 

441,000

 

NBC Universal Media LLC:

 

 

 

 

 

 

 

5.15%, 4/30/20

 

 

1,974

 

 

2,329,798

 

4.38%, 4/01/21

 

 

1,015

 

 

1,145,763

 

The New York Times Co., 6.63%, 12/15/16

 

 

1,800

 

 

1,953,000

 

Omnicom Group, Inc., 3.63%, 5/01/22

 

 

2,355

 

 

2,469,022

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

7.30%, 7/01/38

 

 

970

 

 

1,323,610

 

5.88%, 11/15/40

 

 

460

 

 

545,786

 

5.50%, 9/01/41

 

 

920

 

 

1,041,084

 

Time Warner, Inc.:

 

 

 

 

 

 

 

4.70%, 1/15/21

 

 

1,000

 

 

1,146,948

 

6.10%, 7/15/40

 

 

615

 

 

750,459

 

Unitymedia Hessen GmbH & Co. KG, 8.13%,
12/01/17 (a)

 

 

454

 

 

491,455

 

Virgin Media Secured Finance Plc:

 

 

 

 

 

 

 

6.50%, 1/15/18

 

 

330

 

 

359,700

 

7.00%, 1/15/18

 

GBP

792

 

 

1,364,472

 

 

 

 

 

 

 

33,158,167

 

Metals & Mining — 3.6%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21

 

USD

1,450

 

 

1,497,052

 

Barrick Gold Corp., 2.90%, 5/30/16

 

 

1,685

 

 

1,773,328

 

Corp. Nacional del Cobre de Chile, 3.00%,
7/17/22 (a)(d)

 

 

1,566

 

 

1,573,694

 

Falconbridge Ltd., 6.20%, 6/15/35

 

 

1,550

 

 

1,665,154

 

Freeport-McMoRan Copper & Gold, Inc., 3.55%,
3/01/22

 

 

540

 

 

536,471

 

New Gold, Inc., 7.00%, 4/15/20 (a)

 

 

105

 

 

110,513

 

Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)

 

 

475

 

 

492,688

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,105

 

 

4,587,337

 

Teck Resources Ltd., 5.38%, 10/01/15

 

 

2,350

 

 

2,583,252

 

 

 

 

 

 

 

14,819,489

 

Oil, Gas & Consumable Fuels — 10.1%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

400

 

 

415,000

 

Anadarko Petroleum Corp., 5.95%, 9/15/16

 

 

1,916

 

 

2,215,632

 

BP Capital Markets Plc, 3.13%, 10/01/15

 

 

330

 

 

352,977

 

Burlington Resources Finance Co., 7.40%,
12/01/31 (d)

 

 

950

 

 

1,377,700

 

Cenovus Energy, Inc., 6.75%, 11/15/39

 

 

750

 

 

1,006,300

 

ConocoPhillips Canada Funding Co., 5.95%,
10/15/36

 

 

150

 

 

197,851

 

CONSOL Energy, Inc.,:

 

 

 

 

 

 

 

8.00%, 4/01/17

 

 

514

 

 

553,835

 

8.25%, 4/01/20

 

 

191

 

 

205,803

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

65

 

 

73,775

 

Devon Energy Corp., 7.95%, 4/15/32

 

 

650

 

 

968,092

 

El Paso Natural Gas Co., 8.38%, 6/15/32

 

 

275

 

 

385,590

 

El Paso Pipeline Partners Operating Co. LLC, 6.50%,
4/01/20

 

 

240

 

 

282,929

 

Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17

 

 

540

 

 

602,100

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

4.05%, 2/15/22

 

USD

1,250

 

$

1,364,512

 

6.13%, 10/15/39

 

 

700

 

 

831,755

 

5.95%, 2/01/41

 

 

500

 

 

592,379

 

Series L, 6.30%, 9/15/17

 

 

600

 

 

726,079

 

KeySpan Gas East Corp., 5.82%, 4/01/41 (a)

 

 

505

 

 

674,554

 

Kinder Morgan Energy Partners LP:

 

 

 

 

 

 

 

5.95%, 2/15/18

 

 

1,300

 

 

1,546,067

 

6.50%, 9/01/39

 

 

3,000

 

 

3,598,422

 

6.55%, 9/15/40

 

 

110

 

 

133,704

 

6.38%, 3/01/41

 

 

160

 

 

192,750

 

5.00%, 8/15/42

 

 

500

 

 

514,300

 

Linn Energy LLC, 6.25%, 11/01/19 (a)

 

 

590

 

 

582,625

 

Marathon Petroleum Corp., 6.50%, 3/01/41

 

 

1,052

 

 

1,283,424

 

MidAmerican Energy Co., 5.80%, 10/15/36

 

 

800

 

 

1,056,160

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

1,228,777

 

6.50%, 9/15/37

 

 

2,115

 

 

2,885,376

 

Newfield Exploration Co., 5.63%, 7/01/24

 

 

850

 

 

922,250

 

Nexen, Inc.:

 

 

 

 

 

 

 

6.40%, 5/15/37

 

 

400

 

 

498,720

 

7.50%, 7/30/39

 

 

670

 

 

938,127

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (a)

 

 

360

 

 

397,800

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,335

 

 

1,401,596

 

5.75%, 1/20/20

 

 

1,760

 

 

1,983,358

 

Pioneer Natural Resources Co., 3.95%, 7/15/22

 

 

350

 

 

364,140

 

Premier Oil Plc, 5.00%, 6/09/18

 

 

1,900

 

 

1,957,000

 

Range Resources Corp., 5.75%, 6/01/21

 

 

941

 

 

1,000,989

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

540

 

 

577,800

 

Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17

 

 

1,030

 

 

1,264,248

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

715

 

 

794,100

 

The Williams Cos., Inc., Series A, 7.50%, 1/15/31

 

 

2,500

 

 

3,134,485

 

 

 

 

 

 

 

41,083,081

 

Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Clearwater Paper Corp., 7.13%, 11/01/18

 

 

1,000

 

 

1,092,500

 

Domtar Corp., 6.25%, 9/01/42

 

 

2,000

 

 

2,067,086

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

75

 

 

97,579

 

4.75%, 2/15/22

 

 

420

 

 

472,491

 

6.00%, 11/15/41

 

 

435

 

 

518,358

 

NewPage Corp., 11.38%, 12/31/14 (c)(f)

 

 

1,240

 

 

840,100

 

 

 

 

 

 

 

5,088,114

 

Pharmaceuticals — 0.2%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

 

EUR

200

 

 

281,118

 

Pharmaceutical Product Development, Inc., 9.50%,
12/01/19 (a)

 

USD

520

 

 

579,800

 

 

 

 

 

 

 

860,918

 

Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

128,594

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

Simon Property Group LP, 4.75%, 3/15/42

 

 

835

 

 

919,518

 

Ventas Realty LP/Ventas Capital Corp., 4.75%,
6/01/21

 

 

275

 

 

301,910

 

Vornado Realty LP, 5.00%, 1/15/22

 

 

1,190

 

 

1,300,345

 

 

 

 

 

 

 

2,521,773

 

Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Punch Taverns Finance Plc, Series A2R, 6.82%,
7/15/20

 

GBP

739

 

 

1,091,578

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

83




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Real Estate Management & Development
(concluded)

 

 

 

 

 

 

 

Realogy Corp. (a)(d):

 

 

 

 

 

 

 

7.88%, 2/15/19

 

USD

369

 

$

380,070

 

7.63%, 1/15/20

 

 

520

 

 

566,800

 

WEA Finance LLC, 4.63%, 5/10/21 (a)

 

 

305

 

 

331,379

 

 

 

 

 

 

 

2,369,827

 

Road & Rail — 0.7%

 

 

 

 

 

 

 

Burlington Northern Santa Fe LLC, 5.75%, 5/01/40

 

 

940

 

 

1,164,991

 

The Hertz Corp., 7.38%, 1/15/21

 

 

1,375

 

 

1,495,312

 

 

 

 

 

 

 

2,660,303

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

390

 

 

380,250

 

Software — 0.5%

 

 

 

 

 

 

 

Nuance Communications, Inc., 5.38%, 8/15/20 (a)

 

 

895

 

 

915,138

 

Oracle Corp., 5.38%, 7/15/40 (d)

 

 

800

 

 

1,025,611

 

 

 

 

 

 

 

1,940,749

 

Specialty Retail — 0.5%

 

 

 

 

 

 

 

Home Depot, Inc., 5.88%, 12/16/36

 

 

830

 

 

1,105,109

 

QVC, Inc. (a):

 

 

 

 

 

 

 

7.50%, 10/01/19

 

 

85

 

 

94,181

 

7.38%, 10/15/20

 

 

35

 

 

39,000

 

5.13%, 7/02/22

 

 

965

 

 

1,011,458

 

 

 

 

 

 

 

2,249,748

 

Thrifts & Mortgage Finance — 0.3%

 

 

 

 

 

 

 

Radian Group, Inc., 5.38%, 6/15/15

 

 

1,400

 

 

1,053,500

 

Tobacco — 0.9%

 

 

 

 

 

 

 

Altria Group, Inc.:

 

 

 

 

 

 

 

9.95%, 11/10/38

 

 

800

 

 

1,366,270

 

10.20%, 2/06/39

 

 

1,389

 

 

2,420,782

 

 

 

 

 

 

 

3,787,052

 

Wireless Telecommunication Services — 2.3%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%, 9/08/16

 

 

800

 

 

830,725

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

850

 

 

896,750

 

Crown Castle Towers LLC, 6.11%, 1/15/20 (a)

 

 

1,595

 

 

1,886,391

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

8.25%, 9/01/17

 

 

150

 

 

159,000

 

10.50%, 4/15/18

 

 

540

 

 

583,200

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

750

 

 

776,250

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

 

1,175

 

 

1,705,011

 

SBA Tower Trust, 5.10%, 4/15/17 (a)

 

 

360

 

 

401,456

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.88%, 11/15/28

 

 

510

 

 

461,550

 

8.75%, 3/15/32

 

 

350

 

 

353,500

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

530

 

 

625,400

 

7.00%, 3/01/20

 

 

770

 

 

843,150

 

 

 

 

 

 

 

9,522,383

 

Total Corporate Bonds — 76.1%

 

 

 

 

 

310,697,663

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Deutsche Bundesrepublik Inflation Linked Bond,
1.75%, 4/15/20

 

EUR

3,290

 

 

4,910,866

 

Hydro-Quebec, 9.40%, 2/01/21 (d)

 

USD

390

 

 

587,925

 

Italy Government International Bond, 5.38%,
6/15/33

 

 

470

 

 

424,175

 

Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13 (d)

 

 

655

 

 

660,829

 

Total Foreign Agency Obligations — 1.6%

 

 

 

 

 

6,583,795

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations — 2.5%

 

 

 

 

 

 

 

Banc of America Funding Corp., Series 2007-2,
Class 1A2, 6.00%, 3/25/37

 

USD

1,048

 

$

870,264

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 580.50%, 4/01/18

 

 

(h)

 

42

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class 1A15, 5.50%,
12/25/35

 

 

1,534

 

 

1,311,605

 

Series 2006-OA21, Class A1, 0.43%,
3/20/47 (b)

 

 

849

 

 

465,854

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-OA5, Class 2A1, 0.44%,
4/25/46 (b)

 

 

335

 

 

201,275

 

Series 2007-10, Class A22, 6.00%, 7/25/37

 

 

612

 

 

507,650

 

Credit Suisse Mortgage Capital Certificates, Series
2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b)

 

 

1,265

 

 

1,227,913

 

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3,
Class 5A1, 5.08%, 6/19/35 (b)

 

 

1,034

 

 

1,021,978

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.42%, 12/25/36 (b)

 

 

611

 

 

422,412

 

IndyMac IMJA Mortgage Loan Trust, Series 2007-A1,
Class A4, 6.00%, 8/25/37

 

 

874

 

 

729,923

 

Merrill Lynch Mortgage Investors, Inc., Series
2006-A3, Class 3A1, 2.94%, 5/25/36 (b)

 

 

692

 

 

479,089

 

Monastery BV, Series 2004-I, Class A2, 1.00%,
3/17/37 (b)

 

EUR

1,020

 

 

986,507

 

Residential Funding Securities LLC, Series
2003-RM2, Class AI5, 8.50%, 5/25/33

 

USD

1,524

 

 

1,620,799

 

WaMu Mortgage Pass-Through Certificates, Series
2007-OA4, Class 1A, 0.92%, 5/25/47 (b)

 

 

366

 

 

255,114

 

Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-10, Class 1A21, 6.00%, 7/25/37

 

 

52

 

 

49,245

 

 

 

 

 

 

 

10,149,670

 

Commercial Mortgage-Backed Securities — 12.6%

 

 

 

 

 

 

 

Banc of America Merrill Lynch Commercial
Mortgage, Inc.:

 

 

 

 

 

 

 

Series 2006-6, Class A2, 5.31%, 10/10/45

 

 

1,419

 

 

1,448,874

 

Series 2007-1, Class A4, 5.45%, 1/15/49

 

 

500

 

 

572,826

 

Series 2007-2, Class A4, 5.80%, 4/10/49 (b)

 

 

750

 

 

869,145

 

Bear Stearns Commercial Mortgage Securities,
Series 2005-PWR9, Class A4A, 4.87%, 9/11/42

 

 

800

 

 

885,825

 

Citigroup Commercial Mortgage Trust, Series
2008-C7, Class A4, 6.26%, 12/10/49 (b)

 

 

1,200

 

 

1,421,371

 

Citigroup/Deutsche Bank Commercial Mortgage
Trust, Series 2006-CD3, Class AM, 5.65%,
10/15/48

 

 

1,100

 

 

1,154,638

 

Commercial Mortgage Loan Trust, Series 2008-LS1,
Class A4B, 6.20%, 12/10/49 (b)

 

 

1,515

 

 

1,769,102

 

Commercial Mortgage Pass-Through Certificates,
Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)

 

 

1,750

 

 

1,851,881

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-C3, Class AJ, 4.77%, 7/15/37

 

 

705

 

 

698,888

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C3, Class AM, 6.00%, 6/15/38 (b)

 

 

1,000

 

 

1,080,596

 

Series 2006-C5, Class AM, 5.34%, 12/15/39

 

 

1,750

 

 

1,780,425

 

Series 2010-RR2, Class 2A, 5.95%,
9/15/39 (a)(b)

 

 

1,010

 

 

1,144,527

 

DBRR Trust, Series 2011-C32, Class A3A, 5.93%,
6/17/49 (a)(b)

 

 

365

 

 

419,450

 

Extended Stay America Trust, Series 2010-ESHA (a):

 

 

 

 

 

 

 

Class A, 2.95%, 11/05/27

 

 

484

 

 

487,693

 

Class D, 5.50%, 11/05/27

 

 

210

 

 

213,237

 

First Union-Lehman Brothers-Bank of America,
Series 1998-C2, Class D, 6.78%, 11/18/35

 

 

1,658

 

 

1,665,708

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

726

 

 

728,412

 

Series 2004-C3, Class A4, 4.55%, 12/10/41

 

 

510

 

 

511,148

 


 

 

 

See Notes to Financial Statements.

 

 

 

84

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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)

 

 

 

 

 

 

 

Greenwich Capital Commercial Funding Corp.,
Class A4:

 

 

 

 

 

 

 

Series 2006-GG7, 6.06%, 7/10/38 (b)

 

USD

1,169

 

$

1,349,481

 

Series 2007-GG9, 5.44%, 3/10/39

 

 

2,165

 

 

2,450,592

 

GS Mortgage Securities Corp. II, Series 2007-GG10,
Class A4, 5.98%, 8/10/45 (b)

 

 

430

 

 

486,453

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2004-LN2, Class A2, 5.12%, 7/15/41

 

 

820

 

 

870,986

 

Series 2006-CB14, Class AM, 5.64%,
12/12/44 (b)

 

 

330

 

 

340,388

 

Series 2006-CB16, Class AJ, 5.62%, 5/12/45

 

 

720

 

 

614,341

 

LB-UBS Commercial Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-C4, Class A3, 5.30%, 6/15/29

 

 

1,493

 

 

1,502,568

 

Series 2004-C8, Class C, 4.93%, 12/15/39

 

 

1,385

 

 

1,461,171

 

Series 2007-C6, Class A4, 5.86%, 7/15/40

 

 

5,225

 

 

6,105,115

 

Series 2007-C7, Class A3, 5.87%, 9/15/45

 

 

1,460

 

 

1,722,822

 

Merrill Lynch Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-BPC1, Class A3, 4.47%, 10/12/41

 

 

16

 

 

15,571

 

Series 2004-KEY2, Class A4, 4.86%, 8/12/39

 

 

1,000

 

 

1,079,590

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)

 

 

4,000

 

 

4,593,504

 

Series 2007-XLC1, Class A2, 0.56%, 7/17/17

 

 

557

 

 

523,351

 

Morgan Stanley Reremic Trust, Series 2011-IO, Class A,
2.50%, 3/23/51 (a)

 

 

831

 

 

837,156

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-C28, Class A2, 5.50%, 10/15/48

 

 

4,391

 

 

4,402,438

 

Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)

 

 

2,285

 

 

2,659,361

 

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

 

 

 

 

 

 

 

Class B, 4.31%, 8/15/45

 

 

700

 

 

706,985

 

Class C, 5.04%, 8/15/45 (b)

 

 

900

 

 

877,801

 

 

 

 

 

 

 

51,303,420

 

Interest Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

GSMPS Mortgage Loan Trust, Series 1998-5, Class IO,
0.10%, 6/19/27 (a)(b)

 

 

2,040

 

 

43,564

 

Interest Only Commercial Mortgage-Backed
Securities — 1.0%

 

 

 

 

 

 

 

Morgan Stanley Bank of America Merrill Lynch Trust,
2.10%, 8/15/45 (a)(b)

 

 

15,980

 

 

1,812,247

 

Morgan Stanley Capital I, Series 2012-C4, Class XA,
2.89%, 3/15/45 (a)(b)

 

 

9,617

 

 

1,418,400

 

WF-RBS Commercial Mortgage Trust, Series 2012-C8,
Class XA, 2.42%, 8/15/45 (a)(b)

 

 

6,115

 

 

835,187

 

 

 

 

 

 

 

4,065,834

 

Total Non-Agency Mortgage-Backed
Securities — 16.1%

 

 

 

 

 

65,562,488

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 0.0%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.47%, 6/01/67 (b)

 

 

70

 

 

50,003

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)

 

 

505

 

 

505,000

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

200

 

 

206,000

 

Capital One Capital VI, 8.88%, 5/15/40

 

 

690

 

 

706,048

 

 

 

 

 

 

 

912,048

 

 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

Value

 

Insurance — 1.7%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/67 (b)

 

USD

2,150

 

$

2,254,812

 

American International Group, Inc., 8.18%,
5/15/68 (b)

 

 

195

 

 

232,781

 

Lincoln National Corp., 6.05%, 4/20/67 (b)

 

 

750

 

 

723,750

 

MetLife Capital Trust IV, 7.88%, 12/15/67 (a)

 

 

645

 

 

754,650

 

MetLife, Inc., 6.40%, 12/15/66

 

 

1,000

 

 

1,063,398

 

Swiss Re Capital I LP, 6.85% (a)(b)(g)

 

 

1,060

 

 

1,049,400

 

XL Group Plc, Series E, 6.50% (b)(g)

 

 

810

 

 

738,113

 

 

 

 

 

 

 

6,816,904

 

Total Capital Trusts — 2.0%

 

 

 

 

 

8,283,955

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Commercial Banks — 1.0%

 

 

 

 

 

 

 

US Bancorp, Series G, 6.00% (b)

 

 

150,000

 

 

4,156,500

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (c)

 

 

40,000

 

 

48,000

 

Fannie Mae, Series S, 8.25% (c)

 

 

10,000

 

 

9,000

 

Freddie Mac, Series Z, 8.38% (c)

 

 

94,539

 

 

87,921

 

 

 

 

 

 

 

144,921

 

Total Preferred Stocks — 1.1%

 

 

 

 

 

4,301,421

 

 

 

 

 

 

 

 

 

 

Trust Preferreds — 0.1%

 

 

 

 

 

 

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Citigroup Capital XIII, 7.88%, 10/30/40 (b)

 

 

14,810

 

 

405,787

 

Total Preferred Securities — 3.2%

 

 

 

 

 

12,991,163

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 

 

City of Detroit Michigan Capital Improvement, GO,
Taxable Capital Improvement, Limited Tax,
Series A-2, 8.00%, 4/01/14

 

USD

1,525

 

 

1,454,957

 

District of Columbia, Refunding RB, The Howard
University Issue, Series B, 7.63%, 10/01/35

 

 

1,000

 

 

1,246,860

 

East Bay Municipal Utility District, RB, Build America
Bonds, 5.87%, 6/01/40

 

 

950

 

 

1,304,264

 

Indianapolis Local Public Improvement Bond Bank,
RB, Build America Bonds, 6.12%, 1/15/40

 

 

1,260

 

 

1,694,713

 

Metropolitan Transportation Authority, RB, Build
America Bonds, 7.34%, 11/15/39

 

 

670

 

 

1,010,192

 

Municipal Electric Authority of Georgia Plant Vogtle
Units 3 & 4, Refunding RB, Build America Bonds,
7.06%, 4/01/57

 

 

1,000

 

 

1,085,470

 

New York City Municipal Water Finance Authority,
Refunding RB, Build America Bonds:

 

 

 

 

 

 

 

5.72%, 6/15/42

 

 

690

 

 

936,144

 

Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

385

 

 

451,028

 

Second General Resolution, Series EE, 5.50%,
6/15/43

 

 

465

 

 

551,983

 

New York State Dormitory Authority, RB, Build
America Bonds:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

696,790

 

5.60%, 3/15/40

 

 

950

 

 

1,224,958

 

Port Authority of New York & New Jersey, RB,
Consolidated, 159th Series, 6.04%, 12/01/29

 

 

395

 

 

510,873

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

85




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

State of California, GO, Build America Bonds:

 

 

 

 

 

 

 

7.63%, 3/01/40

 

USD

860

 

$

1,168,043

 

Various Purpose, 7.55%, 4/01/39

 

 

140

 

 

188,601

 

State of Illinois, GO, Pension Funding, 5.10%,
6/01/33

 

 

1,000

 

 

968,960

 

University of California, RB, Build America Bonds,
5.95%, 5/15/45

 

 

440

 

 

554,396

 

Total Taxable Municipal Bonds — 3.7%

 

 

 

 

 

15,048,232

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 4.2%

 

 

 

 

 

 

 

Fannie Mae (d):

 

 

 

 

 

 

 

1.94%, 10/09/19 (i)

 

 

7,305

 

 

6,367,243

 

5.63%, 7/15/37

 

 

825

 

 

1,202,794

 

Federal Home Loan Bank (d):

 

 

 

 

 

 

 

5.25%, 12/09/22

 

 

700

 

 

909,790

 

5.37%, 9/09/24

 

 

1,100

 

 

1,447,647

 

Federal Housing Administration, Merrill Projects,
Series 42, 7.43%, 9/01/22

 

 

36

 

 

35,727

 

Resolution Funding Corp., 2.76%, 4/15/30 (i)

 

 

6,055

 

 

3,736,825

 

Tennessee Valley Authority, 5.25%, 9/15/39 (d)

 

 

2,405

 

 

3,194,109

 

 

 

 

 

 

 

16,894,135

 

Collateralized Mortgage Obligations — 0.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S, 2,461.75%,
5/25/21 (b)

 

 

(h)

 

2,886

 

Series 1991-87, Class S, 26.02%, 8/25/21 (b)

 

 

19

 

 

33,325

 

Series 2005-5, Class PK, 5.00%, 12/25/34

 

 

618

 

 

665,899

 

Series G-7, Class S, 1,116.37%, 3/25/21 (b)

 

 

(h)

 

1,887

 

Series G-17, Class S, 1,055.17%, 6/25/21 (b)

 

 

(h)

 

2,193

 

Series G-33, Class PV, 1,078.42%, 10/25/21

 

 

(h)

 

2,071

 

Series G-49, Class S, 1,008.80%, 12/25/21 (b)

 

 

(h)

 

911

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class R, 16,196.49%, 3/15/20 (b)

 

 

(h)

 

473

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(h)

 

1

 

Series 75, Class RS, 28.65%, 1/15/21 (b)

 

 

(h)

 

1

 

Series 173, Class R, 9.00%, 11/15/21

 

 

(h)

 

5

 

Series 173, Class RS, 9.27%, 11/15/21 (b)

 

 

(h)

 

5

 

Series 1057, Class J, 1.01%, 3/15/21

 

 

(h)

 

789

 

Series K013, Class A2, 3.97%, 1/25/21 (b)

 

 

930

 

 

1,068,623

 

 

 

 

 

 

 

1,779,069

 

Commercial Mortgage-Backed Securities — 0.0%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities, Series
K706, Class C, 4.16%, 11/25/44 (a)(b)

 

 

170

 

 

157,480

 

Federal Deposit Insurance Corporation
Guaranteed — 0.1%

 

 

 

 

 

 

 

General Electric Capital Corp., 2.13%, 12/21/12 (d)

 

 

525

 

 

528,020

 

Interest Only Collateralized Mortgage
Obligations — 3.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

 

2

 

 

245

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

3

 

 

365

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

1

 

 

228

 

Series 1990-123, Class M, 1,009.50%,
10/25/20

 

 

(h)

 

211

 

Series 1990-136, Class S, 19.83%,
11/25/20 (b)

 

 

5

 

 

7,419

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(h)

 

917

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

(h)

 

1,560

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (b)

 

 

143

 

 

5,162

 

Series 2003-80, Class DI, 5.50%, 10/25/31

 

 

4,942

 

 

297,781

 

Series 2010-126, Class UI, 5.50%, 10/25/40

 

 

5,884

 

 

939,459

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage Obligations
(concluded)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities (concluded):

 

 

 

 

 

 

 

Series 2012-47, Class NI, 4.50%, 4/25/42

 

USD

6,111

 

$

1,235,526

 

Series 2012-96, Class DI, 4.00%, 2/25/27

 

 

10,000

 

 

1,005,358

 

Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)

 

 

13,450

 

 

2,378,780

 

Series G-10, Class S, 1,080.00%, 5/25/21 (b)

 

 

(h)

 

6,776

 

Series G-12, Class S, 1,146.44%, 5/25/21 (b)

 

 

(h)

 

4,265

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

25

 

 

3,366

 

Series K707, Class X1, 1.70%, 12/25/18 (b)

 

 

2,522

 

 

206,186

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(h)

 

270

 

Series 200, Class R, 195,955.91%, 12/15/22 (b)

 

 

(h)

 

6

 

Series 1043, Class H, 43.87%, 2/15/21 (b)

 

 

3

 

 

7,525

 

Series 1054, Class I, 859.64%, 3/15/21 (b)

 

 

(h)

 

681

 

Series 1056, Class KD, 1,084.50%, 3/15/21

 

 

(h)

 

580

 

Series 1148, Class E, 1,167.37%, 10/15/21 (b)

 

 

(h)

 

1,684

 

Series 1254, Class Z, 8.50%, 4/15/22

 

 

51

 

 

11,210

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

1,546

 

 

176,697

 

Series K710, Class X1, 1.92%, 5/25/19 (b)

 

 

8,673

 

 

842,130

 

Ginnie Mae Mortgage-Backed Securities (b):

 

 

 

 

 

 

 

Series 2009-78, Class SD, 5.96%, 9/20/32

 

 

7,736

 

 

1,506,590

 

Series 2011-52, Class NS, 6.43%, 4/16/41

 

 

21,186

 

 

3,759,998

 

 

 

 

 

 

 

12,400,975

 

Mortgage-Backed Securities — 12.9%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.00%, 9/15/42 (j)

 

 

16,300

 

 

16,908,704

 

3.50%, 3/01/42 (d)

 

 

1,443

 

 

1,530,581

 

4.00%, 12/01/41 (d)

 

 

5,094

 

 

5,468,815

 

4.50%, 7/01/41 (d)

 

 

6,883

 

 

7,483,245

 

5.00%, 8/01/34 (d)

 

 

4,998

 

 

5,498,719

 

5.50%, 12/01/13 – 6/01/38 (d)

 

 

3,590

 

 

3,955,387

 

6.00%, 3/01/16 – 9/15/42 (d)(j)

 

 

10,611

 

 

11,692,692

 

Ginnie Mae Mortgage-Backed Securities, 8.00%,
7/15/24

 

 

(h)

 

355

 

 

 

 

 

 

 

52,538,498

 

Principal Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

8

 

 

6,851

 

Series 228, Class 1, 6/01/23

 

 

6

 

 

5,030

 

Series 1993-51, Class E, 2/25/23

 

 

25

 

 

22,633

 

Series 1993-70, Class A, 5/25/23

 

 

4

 

 

3,493

 

Freddie Mac Mortgage-Backed Securities,
Series 1739, Class B, 2/15/24

 

 

2

 

 

2,112

 

 

 

 

 

 

 

40,119

 

Total US Government Sponsored Agency
Securities — 20.7%

 

 

 

 

 

84,338,296

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds (d):

 

 

 

 

 

 

 

8.13%, 8/15/21

 

 

1,550

 

 

2,442,825

 

8.00%, 11/15/21

 

 

7,065

 

 

11,133,444

 

6.25%, 8/15/23

 

 

4,355

 

 

6,371,230

 

5.38%, 2/15/31

 

 

375

 

 

552,422

 

3.50%, 2/15/39

 

 

2,865

 

 

3,377,119

 

4.25%, 5/15/39

 

 

2,770

 

 

3,681,937

 

4.38%, 5/15/40

 

 

8,225

 

 

11,166,721

 

4.75%, 2/15/41

 

 

1,621

 

 

2,331,201

 

4.38%, 5/15/41

 

 

805

 

 

1,094,925

 

3.13%, 11/15/41

 

 

20,940

 

 

22,948,942

 

3.13%, 2/15/42

 

 

2,368

 

 

2,592,590

 

3.00%, 5/15/42

 

 

2,730

 

 

2,915,555

 

2.75%, 8/15/42

 

 

10,900

 

 

11,046,474

 


 

 

 

See Notes to Financial Statements.

 

 

 

86

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Treasury Obligations

 

Par
(000)

 

Value

 

US Treasury Inflation Indexed Bonds, 0.75%,
2/15/42 (d)

 

USD

4,260

 

$

4,647,570

 

US Treasury Notes:

 

 

 

 

 

 

 

2.25%, 7/31/18 (d)

 

 

2,495

 

 

2,705,516

 

2.63%, 8/15/20 (d)

 

 

1,105

 

 

1,225,427

 

2.00%, 2/15/22 (d)

 

 

3,932

 

 

4,112,628

 

1.75%, 5/15/22

 

 

152

 

 

155,088

 

Total US Treasury Obligations — 23.2%

 

 

 

 

 

94,501,614

 

 

 

 

 

 

 

 

 

 

Warrants — 0.0% (k)

 

Shares

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

101

 

 

 

Total Long-Term Investments
(Cost — $573,268,297) — 150.9%

 

 

 

 

 

615,698,482

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (l)(m)

 

 

1,343,014

 

 

1,343,014

 

Total Short-Term Securities
(Cost — $1,343,014) — 0.3%

 

 

 

 

 

1,343,014

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 1.10% and pay a floating rate
based on 3-month LIBOR, Expires 7/31/13,
Broker JPMorgan Chase & Co.

 

USD

13,500

 

 

160,273

 

Over-the-Counter Interest Rate Put
Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 3.50% and receive a floating rate
based on a 6-month EURIBOR, Expires 11/08/12,
Broker Citigroup, Inc.

 

EUR

4,000

 

 

296

 

Pay a fixed rate of 2.08% and receive a floating rate
based on a 3-month LIBOR, Expires 3/26/13,
Broker JPMorgan Chase & Co.

 

USD

45,300

 

 

31,932

 

Pay a fixed rate of 3.25% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

1,200

 

 

24,257

 

Pay a fixed rate of 3.75% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

2,400

 

 

18,246

 

Pay a fixed rate of 4.25% and receive a floating rate
based on a 3-month LIBOR, Expires 6/03/13,
Broker JPMorgan Chase & Co.

 

 

4,800

 

 

13,214

 

Pay a fixed rate of 1.50% and receive a floating rate
based on a 3-month LIBOR, Expires 7/11/13,
Broker JPMorgan Chase & Co.

 

 

15,600

 

 

78,891

 

Pay a fixed rate of 1.50% and receive a floating rate
based on a 3-month LIBOR, Expires 7/19/13,
Broker Deutsche Bank AG

 

 

9,700

 

 

51,259

 

Pay a fixed rate of 1.10% and receive a floating rate
based on a 3-month LIBOR, Expires 7/31/13,
Broker JPMorgan Chase & Co.

 

 

13,500

 

 

144,667

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Put
Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.50% and receive a floating rate
based on a 3-month LIBOR, Expires 3/16/17,
Broker Deutsche Bank AG

 

USD

6,300

 

$

164,038

 

 

 

 

 

 

 

526,800

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

 

 

Over-the-Counter Put Options — 0.1%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD 1,375.00,
Expires 10/19/12, Broker Deutsche Bank AG

 

 

12,000

 

 

271,612

 

Total Options Purchased
(Cost — $1,882,435) — 0.2%

 

 

 

 

 

958,685

 

Total Investments Before Options Written
(Cost — $576,493,746) — 151.4%

 

 

 

 

 

618,000,181

 

 

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — (1.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 2.00% and receive a floating rate
based on 3-month LIBOR, Expires 8/28/13,
Broker Royal Bank of Scotland Group Plc

 

USD

14,000

 

 

(484,456

)

Pay a fixed rate of 2.09% and receive a floating rate
based on 3-month LIBOR, Expires 1/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(194,058

)

Pay a fixed rate of 2.06% and receive a floating rate
based on 3-month LIBOR, Expires 4/09/14,
Broker JPMorgan Chase & Co.

 

 

16,100

 

 

(679,236

)

Pay a fixed rate of 1.40% and receive a floating rate
based on 3-month LIBOR, Expires 5/08/14,
Broker Deutsche Bank AG

 

 

9,600

 

 

(170,723

)

Pay a fixed rate of 1.15% and receive a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker Deutsche Bank AG

 

 

9,300

 

 

(101,092

)

Pay a fixed rate of 1.15% and receive a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker BNP Paribas SA

 

 

30,300

 

 

(329,364

)

Pay a fixed rate of 1.20% and receive a floating rate
based on 3-month LIBOR, Expires 6/18/14,
Broker Deutsche Bank AG

 

 

12,100

 

 

(145,492

)

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker Bank of America Corp.

 

 

9,000

 

 

(68,623

)

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker JPMorgan Chase & Co.

 

 

15,600

 

 

(118,947

)

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 7/21/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(73,920

)

Pay a fixed rate of 1.48% and receive a floating rate
based on 3-month LIBOR, Expires 7/31/14,
Broker JPMorgan Chase & Co.

 

 

10,000

 

 

(191,236

)

Pay a fixed rate of 1.00% and receive a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(73,630

)

Pay a fixed rate of 3.65% and receive a floating rate
based on 3-month LIBOR, Expires 3/27/17,
Broker JPMorgan Chase & Co.

 

 

1,100

 

 

(119,428

)

Pay a fixed rate of 3.53% and receive a floating rate
based on 3-month LIBOR, Expires 3/30/17,
Broker Deutsche Bank AG

 

 

15,000

 

 

(1,522,873

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

87




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Call
Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 4/03/17,
Broker Goldman Sachs Group, Inc.

 

USD

8,200

 

$

(866,884

)

 

 

 

 

 

 

(5,139,962

)

Over-the-Counter Interest Rate Put
Swaptions — (0.8)%

 

 

 

 

 

 

 

Receive a fixed rate of 1.59% and pay a floating rate
based on 3-month LIBOR, Expires 11/30/12,
Broker JPMorgan Chase & Co.

 

 

11,200

 

 

(4,472

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/28/13,
Broker Royal Bank of Scotland Group Plc

 

 

14,000

 

 

(407,736

)

Receive a fixed rate of 2.09% and pay a floating rate
based on 3-month LIBOR, Expires 1/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(21,801

)

Receive a fixed rate of 2.06% and pay a floating rate
based on 3-month LIBOR, Expires 4/09/14,
Broker JPMorgan Chase & Co.

 

 

16,100

 

 

(125,195

)

Receive a fixed rate of 2.40% and pay a floating rate
based on 3-month LIBOR, Expires 5/08/14,
Broker Deutsche Bank AG

 

 

9,600

 

 

(59,035

)

Receive a fixed rate of 2.15% and pay a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker BNP Paribas SA

 

 

30,300

 

 

(263,713

)

Receive a fixed rate of 2.15% and pay a floating rate
based on 3-month LIBOR, Expires 6/09/14,
Broker Deutsche Bank AG

 

 

9,300

 

 

(80,942

)

Receive a fixed rate of 2.20% and pay a floating rate
based on 3-month LIBOR, Expires 6/18/14,
Broker Deutsche Bank AG

 

 

12,100

 

 

(103,605

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker Bank of America Corp.

 

 

9,000

 

 

(100,247

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/11/14,
Broker JPMorgan Chase & Co.

 

 

15,600

 

 

(173,762

)

Receive a fixed rate of 1.95% and pay a floating rate
based on 3-month LIBOR, Expires 7/16/14,
Broker Deutsche Bank AG

 

 

24,800

 

 

(292,925

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 7/21/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(110,702

)

Receive a fixed rate of 1.48% and pay a floating rate
based on 3-month LIBOR, Expires 7/31/14,
Broker JPMorgan Chase & Co.

 

 

10,000

 

 

(193,489

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker JPMorgan Chase & Co.

 

 

11,200

 

 

(132,625

)

Receive a fixed rate of 2.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/01/14,
Broker Deutsche Bank AG

 

 

9,700

 

 

(114,863

)

Receive a fixed rate of 6.00% and pay a floating rate
based on 3-month LIBOR, Expires 3/16/17,
Broker Deutsche Bank AG

 

 

12,600

 

 

(159,697

)

Receive a fixed rate of 3.65% and pay a floating rate
based on 3-month LIBOR, Expires 3/27/17,
Broker JPMorgan Chase & Co.

 

 

1,100

 

 

(46,198

)

Receive a fixed rate of 3.53% and pay a floating rate
based on 3-month LIBOR, Expires 3/30/17,
Broker Deutsche Bank AG

 

 

15,000

 

 

(673,874

)

Receive a fixed rate of 3.60% and pay a floating rate
based on 3-month LIBOR, Expires 4/03/17,
Broker Goldman Sachs Group, Inc.

 

 

8,200

 

 

(354,828

)

 

 

 

 

 

 

(3,419,709

)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Over-the-Counter Put Options — (0.0)%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD 1,325.00,
Expires 10/19/12, Broker Deutsche Bank AG

 

 

9,500

 

$

(114,598

)

Total Options Written
(Premiums Received — $8,723,514) — (2.1)%

 

 

 

 

 

(8,674,269

)

Total Investments, Net of Options Written — 149.3%

 

 

 

 

 

609,325,912

 

Liabilities in Excess of Other Assets — (49.3)%

 

 

 

 

 

(201,257,538

)

Net Assets — 100.0%

 

 

 

 

$

408,068,374

 


 

 

 

 

(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 security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(e)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(f)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(g)

Security is perpetual in nature and has no stated maturity date.

 

 

(h)

Amount is less than $500.

 

 

(i)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(j)

Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Credit Suisse Group AG

 

$

4,186,680

 

$

(1,930

)

Deutsche Bank AG

 

$

3,966,328

 

$

(422

)

Goldman Sachs Group, Inc.

 

$

16,908,704

 

$

2,548

 


 

 

(k)

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, if any.

 

 

(l)

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

3,706,293

 

 

(2,363,279

)

 

1,343,014

 

$

4,026

 


 

 

(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.


 

 

 

See Notes to Financial Statements.

 

 

 

 

88

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Reverse repurchase agreements outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Face
Value

 

Face Value
Including
Accrued
Interest

 

UBS Securities LLC

 

(1.25

)%

 

2/02/12

 

Open

 

$

440,700

 

$

437,456

 

Bank of America Merrill Lynch

 

0.17

%

 

4/18/12

 

Open

 

 

3,115,688

 

 

3,117,688

 

BNP Paribas Securities Corp.

 

0.14

%

 

4/18/12

 

Open

 

 

1,192,019

 

 

1,192,649

 

Deutsche Bank AG

 

0.13

%

 

4/24/12

 

Open

 

 

1,381,875

 

 

1,382,524

 

Bank of America Merrill Lynch

 

0.12

%

 

5/07/12

 

Open

 

 

2,439,313

 

 

2,440,264

 

Bank of America Merrill Lynch

 

0.22

%

 

5/07/12

 

Open

 

 

895,125

 

 

895,710

 

BNP Paribas Securities Corp.

 

0.17

%

 

5/09/12

 

Open

 

 

2,212,665

 

 

2,213,867

 

BNP Paribas Securities Corp.

 

0.18

%

 

5/09/12

 

Open

 

 

1,045,494

 

 

1,046,095

 

BNP Paribas Securities Corp.

 

0.19

%

 

5/09/12

 

Open

 

 

2,694,600

 

 

2,696,235

 

UBS Securities LLC

 

0.28

%

 

5/10/12

 

Open

 

 

3,516,450

 

 

3,519,568

 

BNP Paribas Securities Corp.

 

0.32

%

 

5/14/12

 

Open

 

 

510,100

 

 

510,599

 

Bank of America Merrill Lynch

 

0.25

%

 

6/05/12

 

Open

 

 

6,017,494

 

 

6,021,171

 

BNP Paribas Securities Corp.

 

0.23

%

 

6/05/12

 

Open

 

 

23,191,050

 

 

23,204,089

 

UBS Securities LLC

 

0.32

%

 

6/06/12

 

Open

 

 

5,158,900

 

 

5,162,890

 

Credit Suisse Securities (USA) LLC

 

0.23

%

 

6/20/12

 

Open

 

 

646,812

 

 

647,114

 

BNP Paribas Securities Corp.

 

0.20

%

 

6/26/12

 

Open

 

 

1,214,812

 

 

1,215,265

 

UBS Securities LLC

 

0.32

%

 

6/29/12

 

Open

 

 

1,806,337

 

 

1,807,365

 

BNP Paribas Securities Corp.

 

0.32

%

 

7/02/12

 

Open

 

 

2,979,000

 

 

2,980,615

 

Deutsche Bank AG

 

(2.00

)%

 

7/02/12

 

Open

 

 

316,417

 

 

315,345

 

UBS Securities LLC

 

0.32

%

 

7/02/12

 

Open

 

 

1,477,212

 

 

1,478,014

 

BNP Paribas Securities Corp.

 

0.27

%

 

7/24/12

 

Open

 

 

573,750

 

 

573,918

 

Credit Suisse Securities (USA) LLC

 

0.23

%

 

7/25/12

 

Open

 

 

3,228,713

 

 

3,229,496

 

Bank of America Merrill Lynch

 

0.15

%

 

7/26/12

 

Open

 

 

11,356,988

 

 

11,358,738

 

Bank of America Merrill Lynch

 

0.17

%

 

7/26/12

 

Open

 

 

6,570,606

 

 

6,571,754

 

Bank of America Merrill Lynch

 

0.18

%

 

7/26/12

 

Open

 

 

22,898,159

 

 

22,902,395

 

UBS Securities LLC

 

0.33

%

 

7/27/12

 

Open

 

 

2,604,925

 

 

2,605,785

 

UBS Securities LLC

 

0.34

%

 

7/27/12

 

Open

 

 

1,006,000

 

 

1,006,342

 

Barclays Capital, Inc.

 

0.35

%

 

7/31/12

 

Open

 

 

1,603,125

 

 

1,603,624

 

Morgan Stanley & Co. International

 

0.10

%

 

8/02/12

 

Open

 

 

1,164,152

 

 

1,164,634

 

Credit Suisse Securities (USA) LLC

 

0.14

%

 

8/07/12

 

Open

 

 

4,138,430

 

 

4,138,832

 

UBS Securities LLC

 

0.34

%

 

8/07/12

 

Open

 

 

3,420,000

 

 

3,420,808

 

Credit Suisse Securities (USA) LLC

 

0.35

%

 

8/08/12

 

Open

 

 

11,183,623

 

 

11,186,234

 

Barclays Capital, Inc.

 

0.35

%

 

8/09/12

 

Open

 

 

3,435,469

 

 

3,436,236

 


 

 

 

Reverse repurchase agreements outstanding as of August 31, 2012 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Face
Value

 

Face Value
Including
Accrued
Interest

 

Credit Suisse Securities (USA) LLC

 

0.31

%

 

8/10/12

 

9/13/12

 

$

26,398,356

 

$

26,406,312

 

UBS Securities LLC

 

0.34

%

 

8/13/12

 

Open

 

 

553,800

 

 

553,899

 

UBS Securities LLC

 

0.35

%

 

8/13/12

 

Open

 

 

1,855,000

 

 

1,855,343

 

Credit Suisse Securities (USA) LLC

 

0.35

%

 

8/15/12

 

Open

 

 

812,000

 

 

812,134

 

Credit Suisse Securities (USA) LLC

 

0.35

%

 

8/16/12

 

Open

 

 

8,004,324

 

 

8,005,570

 

Barclays Capital, Inc.

 

0.35

%

 

8/21/12

 

Open

 

 

1,290,812

 

 

1,290,951

 

BNP Paribas Securities Corp.

 

0.11

%

 

8/21/12

 

Open

 

 

2,791,425

 

 

2,791,519

 

BNP Paribas Securities Corp.

 

0.17

%

 

8/30/12

 

9/04/12

 

 

10,913,625

 

 

10,913,934

 

Total

 

 

 

 

 

 

 

 

$

188,055,345

 

$

188,112,981

 


 

 

Financial futures contracts purchased as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

18

 

5-Year US Treasury Note

 

Chicago Board of Trade

 

December 2012

 

USD

 

2,243,953

 

$

9,810

 

246

 

30-Year US Treasury Bond

 

Chicago Board of Trade

 

December 2012

 

USD

 

37,245,938

 

 

416,919

 

57

 

Ultra Long US Treasury Bond

 

Chicago Board of Trade

 

December 2012

 

USD

 

9,633,000

 

 

108,103

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

534,832

 


 

 

Financial futures contracts sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

15

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

September 2012

 

USD

 

3,735,375

 

$

(1,126

)

440

 

2-Year US Treasury Note

 

Chicago Board of Trade

 

December 2012

 

USD

 

97,054,375

 

 

(88,686

)

446

 

10-Year US Treasury Note

 

Chicago Board of Trade

 

December 2012

 

USD

 

59,638,563

 

 

(503,783

)

15

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

December 2012

 

USD

 

3,736,688

 

 

(2,926

)

15

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

March 2013

 

USD

 

3,736,688

 

 

(3,788

)

12

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

June 2013

 

USD

 

2,989,050

 

 

(2,130

)

12

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

September 2013

 

USD

 

2,988,600

 

 

(5,559

)

16

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

December 2013

 

USD

 

3,983,800

 

 

(11,342

)

12

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

March 2014

 

USD

 

2,987,100

 

 

(7,854

)

9

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

June 2014

 

USD

 

2,239,537

 

 

(4,335

)

9

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

September 2014

 

USD

 

2,238,637

 

 

(8,113

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

89




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

Financial futures contracts sold as of August 31, 2012 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

9

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

December 2014

 

USD

 

2,237,287

 

$

(9,286

)

53

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

March 2015

 

USD

 

13,168,513

 

 

(66,819

)

44

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

June 2015

 

USD

 

10,924,100

 

 

(58,595

)

44

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

September 2015

 

USD

 

10,912,550

 

 

(67,771

)

44

 

90-Day Euro-Dollar

 

Chicago Mercantile

 

December 2015

 

USD

 

10,897,700

 

 

(69,421

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(911,534

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

 

1,036,977

 

USD

 

1,627,000

 

UBS AG

 

10/17/12

 

$

19,323

 

USD

 

918,184

 

GBP

 

588,000

 

Credit Suisse Group AG

 

10/17/12

 

 

(15,335

)

USD

 

3,765,332

 

GBP

 

2,425,500

 

UBS AG

 

10/17/12

 

 

(85,433

)

USD

 

938,006

 

GBP

 

594,000

 

UBS AG

 

10/17/12

 

 

(5,038

)

EUR

 

168,000

 

USD

 

211,043

 

Citigroup, Inc.

 

10/22/12

 

 

376

 

EUR

 

91,952

 

USD

 

113,000

 

UBS AG

 

10/22/12

 

 

2,717

 

USD

 

7,433,238

 

EUR

 

6,063,000

 

Citigroup, Inc.

 

10/22/12

 

 

(196,736

)

USD

 

56,776

 

EUR

 

46,000

 

Citigroup, Inc.

 

10/22/12

 

 

(1,112

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(281,238

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Radian Group, Inc.

 

 

5.00%

 

Citigroup, Inc.

 

6/20/15

 

USD

1,400

 

$

232,792

 

The New York Times Co.

 

 

1.00%

 

Barclays Plc

 

12/20/16

 

USD

1,800

 

 

(5,281

)

DE Master Blenders, Inc.

 

 

1.00%

 

JPMorgan Chase & Co.

 

3/20/17

 

USD

208

 

 

(4,055

)

Hillshire Brands Co.

 

 

1.00%

 

JPMorgan Chase & Co.

 

3/20/17

 

USD

208

 

 

7,539

 

XL Group Plc

 

 

1.00%

 

JPMorgan Chase & Co.

 

6/20/17

 

USD

1,600

 

 

(26,877

)

Australia & New Zealand Banking Group Ltd.

 

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

1,020

 

 

(4,785

)

Commonwealth Bank of Australia

 

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

2,000

 

 

(9,400

)

National Australia Bank Ltd.

 

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

2,000

 

 

(6,587

)

Westpac Banking Corp.

 

 

1.00%

 

Deutsche Bank AG

 

9/20/17

 

USD

1,020

 

 

(6,188

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

177,158

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

MetLife, Inc.

 

 

1.00%

 

Credit Suisse Group AG

 

9/20/16

 

A–

 

USD

545

 

$

19,635

 

MetLife, Inc.

 

 

1.00%

 

Deutsche Bank AG

 

9/20/16

 

A–

 

USD

730

 

 

21,665

 

MetLife, Inc.

 

 

1.00%

 

Goldman Sachs Group, Inc.

 

9/20/16

 

A–

 

USD

500

 

 

13,927

 

MetLife, Inc.

 

 

1.00%

 

Morgan Stanley

 

9/20/16

 

A–

 

USD

910

 

 

25,810

 

MetLife, Inc.

 

 

1.00%

 

Morgan Stanley

 

9/20/16

 

A–

 

USD

275

 

 

5,819

 

MetLife, Inc.

 

 

1.00%

 

Citigroup, Inc.

 

12/20/16

 

A–

 

USD

298

 

 

5,859

 

MetLife, Inc.

 

 

1.00%

 

Citigroup, Inc.

 

12/20/16

 

A–

 

USD

290

 

 

7,292

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

100,007

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating3

 

Notional
Amount
(000)4

 

Unrealized
Appreciation

 

Markit CMBX North America AAA Index Series 3

 

 

0.08%

 

Morgan Stanley

 

12/13/49

 

A+

 

USD

530

 

$

28,033

 

Markit CMBX North America AAA Index Series 4

 

 

0.35%

 

Morgan Stanley

 

2/17/51

 

A–

 

USD

530

 

 

24,651

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

52,684

 


 

 

 

 

3

Using S&P’s rating of the underlying securities.

 

 

 

 

4

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.

 

 

 

 

90

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Interest rate swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

1.26%1

 

3-month CBA

 

JPMorgan Chase & Co.

 

6/25/14

 

CAD

 

29,600

 

$

(54,648

)

1.27%1

 

3-month CBA

 

Deutsche Bank AG

 

7/03/14

 

CAD

 

13,600

 

 

(24,083

)

1.33%1

 

3-month CBA

 

Deutsche Bank AG

 

7/05/14

 

CAD

 

13,600

 

 

(15,890

)

1.22%1

 

3-month CBA

 

Deutsche Bank AG

 

7/09/14

 

CAD

 

13,600

 

 

(30,755

)

1.24%1

 

3-month CBA

 

Deutsche Bank AG

 

7/11/14

 

CAD

 

13,600

 

 

(28,174

)

1.66%2

 

3-month CBA

 

JPMorgan Chase & Co.

 

6/25/16

 

CAD

 

15,000

 

 

15,753

 

1.64%2

 

3-month CBA

 

Deutsche Bank AG

 

7/03/16

 

CAD

 

13,600

 

 

19,878

 

1.70%2

 

3-month CBA

 

Deutsche Bank AG

 

7/05/16

 

CAD

 

13,600

 

 

4,354

 

0.87%2

 

3-month LIBOR

 

Royal Bank of Scotland Group Plc

 

7/31/17

 

USD

 

7,000

 

 

(38,740

)

1.74%1

 

3-month LIBOR

 

Deutsche Bank AG

 

3/30/18

 

USD

 

1,000

 

 

38,661

 

1.20%1

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

8/30/18

 

USD

 

7,900

 

 

35,996

 

1.51%1

 

3-month LIBOR

 

Deutsche Bank AG

 

7/13/19

 

USD

 

5,900

 

 

14,969

 

3.27%2

 

3-month LIBOR

 

Deutsche Bank AG

 

5/16/21

 

USD

 

910

 

 

(134,713

)

2.08%1

 

3-month LIBOR

 

Morgan Stanley

 

4/26/22

 

USD

 

6,400

 

 

268,975

 

2.04%1

 

3-month LIBOR

 

Morgan Stanley

 

5/04/22

 

USD

 

11,500

 

 

434,771

 

1.94%1

 

3-month LIBOR

 

Citigroup, Inc.

 

5/16/22

 

USD

 

2,100

 

 

58,597

 

1.89%1

 

6-month EURIBOR

 

Citigroup, Inc.

 

6/27/22

 

EUR

 

1,800

 

 

38,016

 

1.60%1

 

3-month LIBOR

 

Credit Suisse Group AG

 

8/02/22

 

USD

 

2,100

 

 

(12,156

)

1.61%1

 

3-month LIBOR

 

Deutsche Bank AG

 

8/06/22

 

USD

 

1,700

 

 

(8,139

)

1.74%2

 

3-month LIBOR

 

Credit Suisse Group AG

 

8/07/22

 

USD

 

6,000

 

 

(42,635

)

1.79%2

 

3-month LIBOR

 

Credit Suisse Group AG

 

8/10/22

 

USD

 

1,000

 

 

(11,721

)

1.91%1

 

3-month LIBOR

 

Deutsche Bank AG

 

8/21/22

 

USD

 

3,800

 

 

88,431

 

1.93%2

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

8/21/22

 

USD

 

2,000

 

 

(48,609

)

2.58%2

 

6-month EURIBOR

 

Deutsche Bank AG

 

11/11/41

 

EUR

 

350

 

 

(37,911

)

2.68%2

 

6-month EURIBOR

 

Deutsche Bank AG

 

11/18/41

 

EUR

 

750

 

 

(102,306

)

3.07%2

 

3-month LIBOR

 

Barclays Plc

 

3/21/42

 

USD

 

8,200

 

 

(1,060,280

)

2.15%2

 

6-month EURIBOR

 

Citigroup, Inc.

 

6/27/42

 

EUR

 

770

 

 

8,297

 

2.41%2

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

7/02/42

 

USD

 

3,400

 

 

51,292

 

2.48%2

 

3-month LIBOR

 

Deutsche Bank AG

 

7/05/42

 

USD

 

4,500

 

 

(7,362

)

2.52%2

 

3-month LIBOR

 

Citigroup, Inc.

 

9/04/42

 

USD

 

5,100

 

 

(59,408

)

2.52%2

 

3-month LIBOR

 

Goldman Sachs Group, Inc.

 

9/04/42

 

USD

 

5,100

 

 

(57,332

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(696,872

)


 

 

 

 

1

Trust pays the floating rate and receives the fixed rate.

 

 

 

 

2

Trust pays the fixed rate and receives the floating rate.


 

 

Total return swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reference Entity

 

Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Change in Return of the Consumer Price Index for All Urban Consumers

 

2.18%3

 

Bank of America Corp.

 

10/06/21

 

USD

 

1,885

 

$

(43,387

)


 

 

 

 

3

Trust pays the total return of the reference entity and receives the fixed rate. Net payment made at termination.


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

24,347,936

 

$

1,537,590

 

$

25,885,526

 

Common Stocks

 

$

89,704

 

 

 

 

1

 

 

89,705

 

Corporate Bonds

 

 

 

 

308,740,663

 

 

1,957,000

 

 

310,697,663

 

Foreign Agency Obligations

 

 

 

 

6,583,795

 

 

 

 

6,583,795

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

65,039,095

 

 

523,393

 

 

65,562,488

 

Preferred Securities

 

 

4,707,208

 

 

8,283,955

 

 

 

 

12,991,163

 

Taxable Municipal Bonds

 

 

 

 

15,048,232

 

 

 

 

15,048,232

 

US Government Sponsored Agency Securities

 

 

 

 

84,302,078

 

 

36,218

 

 

84,338,296

 

US Treasury Obligations

 

 

 

 

94,501,614

 

 

 

 

94,501,614

 

Short-Term Securities

 

 

1,343,014

 

 

 

 

 

 

1,343,014

 

Total

 

$

6,139,926

 

$

606,847,368

 

$

4,054,202

 

$

617,041,496

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

91




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

393,022

 

 

 

$

393,022

 

Equity contracts

 

 

 

 

271,612

 

 

 

 

271,612

 

Foreign currency exchange contracts

 

 

 

 

22,416

 

 

 

 

22,416

 

Interest rate contracts

 

$

534,832

 

 

1,765,063

 

 

 

 

2,299,895

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(63,173

)

 

 

 

(63,173

)

Equity contracts

 

 

 

 

(114,598

)

 

 

 

(114,598

)

Foreign currency exchange contracts

 

 

 

 

(303,654

)

 

 

 

(303,654

)

Interest rate contracts

 

 

(911,534

)

 

(10,334,533

)

 

 

 

(11,246,067

)

Other contracts

 

 

 

 

(43,387

)

 

 

 

(43,387

)

Total

 

$

(376,702

)

$

(8,407,232

)

 

 

$

(8,783,934

)


 

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. 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 or face value amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

325,000

 

 

 

 

 

$

325,000

 

Foreign currency at value

 

 

548,136

 

 

 

 

 

 

548,136

 

Cash pledged as collateral for financial futures contracts

 

 

1,344,000

 

 

 

 

 

 

1,344,000

 

Cash pledged as collateral for reverse repurchase agreements

 

 

752,000

 

 

 

 

 

 

752,000

 

Cash pledged as collateral for swaps

 

 

7,320,000

 

 

 

 

 

 

7,320,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash received as collateral for swaps

 

 

 

$

(1,200,000

)

 

 

 

(1,200,000

)

Cash received as collateral for reverse repurchase agreements

 

 

 

 

(127,000

)

 

 

 

(127,000

)

Reverse repurchase agreements

 

 

 

 

(188,055,345

)

 

 

 

(188,055,345

)

Total

 

$

10,289,136

 

$

(189,382,345

)

 

 

$

(179,093,209

)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

A reconciliation of Level 3 investments 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

US Government
Sponsored Agency
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

6,157,600

 

 

 

$

2,004,500

 

 

$

1,957,342

 

 

$

190

 

$

109,421

 

 

$

80,827

 

 

$

83,088

 

$

10,392,968

 

Transfers into Level 32

 

 

 

$

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 

Transfers out of Level 33

 

 

(4,220,557

)

 

 

 

 

 

 

(352,670

)

 

 

 

 

 

 

 

 

 

 

 

 

(4,573,227

)

Accrued discounts/
premiums

 

 

(408,000

)

 

 

 

199

 

 

 

4,535

 

 

 

 

 

 

 

 

(133

)

 

 

 

 

(403,399

)

Net realized gain (loss)

 

 

21

 

 

(1

)

 

18,672

 

 

 

67,431

 

 

 

364

 

 

128,730

 

 

 

(1,523

)

 

 

 

 

213,694

 

Net change in unrealized appreciation/
depreciation4

 

 

310,836

 

 

1

 

 

(11,371

)

 

 

8,053

 

 

 

(190

)

 

(109,421

)

 

 

748

 

 

 

(83,088

)

 

115,568

 

Purchases

 

 

 

 

 

 

 

 

 

579,724

 

 

 

 

 

 

 

 

 

 

 

 

 

579,724

 

Sales

 

 

(302,310

)

 

 

 

(55,000

)

 

 

(1,741,022

)

 

 

(364

)

 

(128,730

)

 

 

(43,701

)

 

 

 

 

(2,271,127

)

Closing Balance, as of August 31, 2012

 

$

1,537,590

 

$

1

 

$

1,957,000

 

 

$

523,393

 

 

 

 

 

 

 

$

36,218

 

 

 

 

$

4,054,202

 


 

 

 

 

2

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $1 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

3

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,573,227 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $2,271,976.


 

 

 

See Notes to Financial Statements.

 

 

 

 

92

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Opening balance, as of August 31, 2011

 

$

(941

)

Transfers into Level 31

 

 

 

Transfers out of Level 31

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation2

 

 

941

 

Purchases

 

 

 

Issues3

 

 

 

Sales

 

 

 

Settlements4

 

 

 

Closing Balance, as of August 31, 2012

 

 

 


 

 

 

 

1

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

 

 

 

 

3

Issues represent upfront cash received on certain derivative financial instruments.

 

 

 

 

4

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

93




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 1.4%

 

 

 

 

 

 

 

First Franklin Mortgage Loan Asset-Backed Certificates,
Series 2005-FF2, Class M2, 0.68%, 3/25/35 (a)

 

$

5,214

 

$

4,946,311

 

Securitized Asset-Backed Receivables LLC Trust,
Series 2005-OP2, Class M1, 0.67%, 10/25/35 (a)

 

 

1,875

 

 

1,204,526

 

Small Business Administration Participation
Certificates, Class 1:

 

 

 

 

 

 

 

Series 1996-20E, 1, 7.60%, 5/01/16

 

 

112

 

 

118,718

 

Series 1996-20G, 7.70%, 7/01/16

 

 

120

 

 

128,910

 

Series 1996-20H, 7.25%, 8/01/16

 

 

177

 

 

188,875

 

Series 1996-20K, 6.95%, 11/01/16

 

 

307

 

 

328,201

 

Series 1997-20C, 7.15%, 3/01/17

 

 

133

 

 

143,533

 

 

 

 

 

 

 

7,059,074

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Small Business Administration, Series 1, 2.00%,
4/01/15

 

 

1,438

 

 

12,582

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (b)

 

 

4,301

 

 

340,073

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

7,404

 

 

564,541

 

 

 

 

 

 

 

917,196

 

Total Asset-Backed Securities — 1.6%

 

 

 

 

 

7,976,270

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 1.4%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 580.50%, 4/01/18

 

 

(c)

 

90

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-AR5, Class 22A, 5.50%, 10/25/21

 

 

814

 

 

830,451

 

Homebanc Mortgage Trust, Series 2005-4, Class A1,
0.51%, 10/25/35 (a)

 

 

2,912

 

 

2,190,760

 

JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2,
2.71%, 1/25/37 (a)

 

 

333

 

 

251,518

 

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, 16.18%, 8/25/23 (a)

 

 

50

 

 

57,187

 

Residential Funding Securities LLC, Series 2003-RM2,
Class AI5, 8.50%, 5/25/33

 

 

2,134

 

 

2,269,118

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-11, Class A, 2.88%, 8/25/34 (a)

 

 

1,385

 

 

1,319,463

 

 

 

 

 

 

 

6,918,587

 

Commercial Mortgage-Backed Securities — 0.5%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital Certificates,
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,700,856

 

Interest Only Collateralized Mortgage
Obligations — 1.0%

 

 

 

 

 

 

 

Bank of America Mortgage Securities, Inc.,
Series 2003-3, Class 1A, 0.28%, 5/25/33 (a)

 

 

55,752

 

 

357,984

 

CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A7, 6.00%, 5/25/37

 

 

894

 

 

222,099

 

Collateralized Mortgage Obligation Trust, Series 42,
Class R, 6.000%, 10/01/14

 

 

(c)

 

1

 

First Boston Mortgage Securities Corp., Series C,
10.97%, 4/25/17

 

 

16

 

 

2,087

 

GSMPS Mortgage Loan Trust, Series 1998-5, Class IO,
0.10%, 6/19/27 (a)(b)

 

 

4,056

 

 

86,601

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33,
Class 4AX, 0.17%, 1/25/37

 

 

90,589

 

 

452,944

 

MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3AX, 0.98%, 4/25/34

 

 

11,266

 

 

124,984

 

MASTR Alternative Loans Trust, Series 2003-9,
Class 15X2, 6.00%, 1/25/19

 

 

429

 

 

53,343

 


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Morgan Stanley Mortgage Loan Trust, Series 2004-3,
Class 1AX, 5.00%, 5/25/19

 

$

476

 

$

43,288

 

Sequoia Mortgage Trust, Series 2005-2, Class XA,
1.09%, 3/20/35 (a)

 

 

37,750

 

 

607,538

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-7, Class 3AS, 5.17%, 8/25/36 (a)

 

 

24,498

 

 

2,882,341

 

Vendee Mortgage Trust, Series 1999-2, Class 1,
0.04%, 5/15/29 (a)

 

 

50,603

 

 

86,957

 

 

 

 

 

 

 

4,920,167

 

Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 1997-C1, Class AX, 1.31%, 6/20/29 (a)(b)

 

 

2,401

 

 

45,646

 

Principal Only Collateralized Mortgage
Obligations — 0.5%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2003-26, 8/25/33

 

 

1,190

 

 

1,147,015

 

Series 2003-J4, 6/25/33

 

 

245

 

 

233,340

 

Series 2003-J5, 7/25/33

 

 

374

 

 

356,681

 

Series 2003-J8, 9/25/23

 

 

281

 

 

276,632

 

Drexel Burnham Lambert CMO Trust, Class 1:

 

 

 

 

 

 

 

Series K, 9/23/17

 

 

7

 

 

7,206

 

Series V, 9/01/18

 

 

17

 

 

17,001

 

MASTR Asset Securitization Trust, Series 2004-3,
Class 4A15, 3/25/34

 

 

53

 

 

46,358

 

Residential Asset Securitization Trust,
Series 2005-A15, Class 1A8, 2/25/36

 

 

756

 

 

443,892

 

Structured Mortgage Asset Residential Trust,
Series 1993-3C, Class CX, 4/25/24

 

 

7

 

 

5,426

 

Washington Mutual Alternative Mortgage Pass-Through
Certificates, Series 2005-9, Class CP, 11/25/35

 

 

484

 

 

303,068

 

 

 

 

 

 

 

2,836,619

 

Total Non-Agency Mortgage-Backed
Securities — 3.4%

 

 

 

 

 

17,421,875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 2.5%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,
Series 56, 7.43%, 11/01/22

 

 

200

 

 

196,383

 

Merrill Projects, Series 54, 7.43%, 5/15/23

 

 

2

 

 

1,822

 

Reilly Projects, Series 41, 8.28%, 3/01/20

 

 

199

 

 

198,368

 

USGI Projects, Series 87, 7.43%, 12/01/22

 

 

63

 

 

61,392

 

USGI Projects, Series 99, 7.43%, 6/01/21

 

 

4,097

 

 

4,014,908

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

38

 

 

37,687

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

114

 

 

111,349

 

Resolution Funding Corp., 2.76%, 4/15/30 (d)

 

 

13,000

 

 

8,022,911

 

 

 

 

 

 

 

12,644,820

 

Collateralized Mortgage Obligations — 11.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S, 2,461.75%, 5/25/21 (a)

 

 

(c)

 

6,195

 

Series 1991-87, Class S, 26.02%, 8/25/21 (a)

 

 

42

 

 

72,815

 

Series 1993-247, Class SN, 10.00%, 12/25/23 (a)

 

 

327

 

 

425,650

 

Series 2003-135, Class PB, 6.00%, 1/25/34

 

 

12,264

 

 

14,358,274

 

Series 2004-31, Class ZG, 7.50%, 5/25/34

 

 

3,418

 

 

4,435,092

 

Series 2005-73, Class DS, 16.94%, 8/25/35 (a)

 

 

2,511

 

 

3,491,851

 

Series G-7, Class S, 1,116.37%, 3/25/21 (a)

 

 

(c)

 

4,051

 

Series G-17, Class S, 1,055.17%, 6/25/21 (a)

 

 

(c)

 

4,709

 

Series G-33, Class PV, 1,078.42%, 10/25/21

 

 

(c)

 

4,446

 

Series G-49, Class S, 1,008.80%, 12/25/21 (a)

 

 

(c)

 

1,954

 


 

 

 

See Notes to Financial Statements.

 

 

 

94

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

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

 

$

64

 

$

69,958

 

Series 19, Class R, 16,196.49%, 3/15/20 (a)

 

 

(c)

 

1,017

 

Series 40, Class K, 6.50%, 8/17/24

 

 

295

 

 

339,336

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(c)

 

2

 

Series 75, Class RS, 28.70%, 1/15/21 (a)

 

 

(c)

 

2

 

Series 173, Class R, 9.00%, 11/15/21

 

 

(c)

 

11

 

Series 173, Class RS, 9.27%, 11/15/21 (a)

 

 

(c)

 

11

 

Series 192, Class U, 1,009.03%, 2/15/22 (a)

 

 

(c)

 

51

 

Series 1057, Class J, 1,008.00%, 3/15/21

 

 

(c)

 

1,694

 

Series 1160, Class F, 39.10%, 10/15/21 (a)

 

 

16

 

 

35,429

 

Series 2218, Class Z, 8.50%, 3/15/30

 

 

4,622

 

 

5,381,068

 

Series 2542, Class UC, 6.00%, 12/15/22

 

 

6,120

 

 

6,856,413

 

Series 2758, Class KV, 5.50%, 5/15/23

 

 

8,870

 

 

9,993,286

 

Series 2861, Class AX, 10.44%, 9/15/34 (a)

 

 

152

 

 

170,056

 

Series 2927, Class BZ, 5.50%, 2/15/35

 

 

3,132

 

 

3,926,475

 

Series T-11, Class A9, 2.68%, 1/25/28 (a)

 

 

1,975

 

 

1,874,505

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1996-5, Class Z, 7.00%, 5/16/26

 

 

458

 

 

492,933

 

Series 2001-33, Class PB, 6.50%, 7/20/31

 

 

792

 

 

915,620

 

Series 2004-89, Class PE, 6.00%, 10/20/34

 

 

3,392

 

 

3,622,628

 

 

 

 

 

 

 

56,485,532

 

Federal Deposit Insurance Corporation
Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%, 10/22/12

 

 

3,800

 

 

3,809,291

 

Interest Only Collateralized Mortgage
Obligations — 5.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

 

4

 

 

526

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

6

 

 

783

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

2

 

 

490

 

Series 1990-123, Class M, 1,009.50%, 10/25/20

 

 

(c)

 

454

 

Series 1990-136, Class S, 19.83%, 11/25/20 (a)

 

 

10

 

 

15,928

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(c)

 

1,970

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

(c)

 

3,348

 

Series 1993-199, Class SB, 7.25%, 10/25/23 (a)

 

 

512

 

 

57,739

 

Series 1996-68, Class SC, 7.85%, 1/25/24 (a)

 

 

153

 

 

3,210

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

 

 

285

 

 

10,325

 

Series 1997-90, Class M, 6.00%, 1/25/28

 

 

4,666

 

 

821,845

 

Series 1999-W4, 6.50%, 12/25/28

 

 

290

 

 

64,695

 

Series 2003-80, Class DI, 5.50%, 10/25/31

 

 

6,401

 

 

385,742

 

Series 2010-74, Class DI, 5.00%, 12/25/39

 

 

39,429

 

 

3,667,405

 

Series 2010-75, Class PI, 4.50%, 12/25/36

 

 

10,632

 

 

289,362

 

Series 2010-126, Class UI, 5.50%, 10/25/40

 

 

18,255

 

 

2,914,501

 

Series 2012-96, Class DI, 4.00%, 2/25/27

 

 

12,695

 

 

1,276,264

 

Series G-10, Class S, 1,080.00%, 5/25/21 (a)

 

 

(c)

 

14,548

 

Series G-12, Class S, 1,146.44%, 5/25/21 (a)

 

 

(c)

 

9,156

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

64

 

 

8,656

 

Series G92-12, Class C, 1,016.90%, 2/25/22

 

 

(c)

 

3,744

 

Series G92-60, Class SB, 1.60%, 10/25/22

 

 

200

 

 

8,395

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(c)

 

581

 

Series 200, Class R, 195,955.91%, 12/15/22 (a)

 

 

(c)

 

12

 

Series 1043, Class H, 43.87%, 2/15/21 (a)

 

 

7

 

 

16,155

 

Series 1054, Class I, 859.64%, 3/15/21 (a)

 

 

(c)

 

1,462

 

Series 1056, Class KD, 1,084.50%, 3/15/21

 

 

(c)

 

1,245

 

Series 1148, Class E, 1,167.37%, 10/15/21 (a)

 

 

(c)

 

3,615

 

Series 2559, 0.50%, 8/15/30 (a)

 

 

158

 

 

1,679

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

2,823

 

 

322,495

 

Series 2949, 5.50%, 3/15/35

 

 

464

 

 

33,357

 

Series 3744, Class PI, 4.00%, 6/15/39

 

 

19,412

 

 

2,863,283

 

Series 3745, Class IN, 4.00%, 1/15/35

 

 

42,529

 

 

4,316,801

 

Series 4026, 4.50%, 4/15/32

 

 

6,967

 

 

1,115,231

 


 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2010-101, Class YT, 2.00%, 8/16/13

 

$

48,814

 

$

757,144

 

Series 2011-52, Class MJ, 6.41%, 4/20/41 (a)

 

 

26,384

 

 

5,125,269

 

Series 2011-52, Class NS, 6.43%, 4/16/41 (a)

 

 

27,941

 

 

4,959,035

 

 

 

 

 

 

 

29,076,450

 

Mortgage-Backed Securities — 125.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.00%, 9/15/42 (e)

 

 

24,300

 

 

25,207,454

 

3.50%, 9/15/44 (e)

 

 

7,000

 

 

7,421,093

 

4.00%, 1/01/41 – 9/15/42 (e)

 

 

54,532

 

 

58,543,009

 

4.50%, 9/15/42 (e)(f)

 

 

189,700

 

 

208,930,119

 

5.00%, 1/01/23 – 9/15/42 (e)(g)

 

 

176,536

 

 

194,122,033

 

5.50%, 9/15/27 – 10/01/39 (e)(f)

 

 

69,319

 

 

76,431,230

 

5.97%, 8/01/16

 

 

3,016

 

 

3,458,688

 

6.00%, 9/15/42 (e)

 

 

21,800

 

 

24,018,320

 

6.50%, 12/01/37 – 10/01/39

 

 

33,154

 

 

37,794,277

 

7.50%, 2/01/22

 

 

(c)

 

107

 

9.50%, 1/01/19 – 9/01/19

 

 

3

 

 

2,572

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

2.48%, 1/01/35 (a)

 

 

197

 

 

201,526

 

2.55%, 10/01/34 (a)

 

 

297

 

 

307,009

 

2.73%, 11/01/17 (a)

 

 

13

 

 

13,481

 

5.00%, 2/01/22 – 4/01/22

 

 

742

 

 

805,650

 

9.00%, 9/01/20

 

 

40

 

 

44,849

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

7.50%, 8/15/21 – 12/15/23

 

 

169

 

 

180,423

 

8.00%, 10/15/22 – 8/15/27

 

 

66

 

 

74,402

 

9.00%, 6/15/18 – 9/15/21

 

 

7

 

 

7,731

 

 

 

 

 

 

 

637,563,973

 

Principal Only Collateralized Mortgage
Obligations — 0.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

16

 

 

14,709

 

Series 228, Class 1, 6/01/23

 

 

13

 

 

10,799

 

Series 1991-7, Class J, 2/25/21

 

 

17

 

 

15,589

 

Series 1993-51, Class E, 2/25/23

 

 

54

 

 

48,592

 

Series 1993-70, Class A, 5/25/23

 

 

8

 

 

7,500

 

Series 1999-W4, Class PO, 2/25/29

 

 

146

 

 

139,937

 

Series 2002-13, Class PR, 3/25/32

 

 

310

 

 

267,855

 

Series G93-2, Class KB, 1/25/23

 

 

142

 

 

131,518

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1418, Class M, 11/15/22

 

 

58

 

 

52,373

 

Series 1571, Class G, 8/15/23

 

 

366

 

 

354,008

 

Series 1691, Class B, 3/15/24

 

 

735

 

 

629,492

 

Series 1739, Class B, 2/15/24

 

 

5

 

 

4,734

 

Series T-8, Class A10, 11/15/28

 

 

122

 

 

110,689

 

 

 

 

 

 

 

1,787,795

 

Total US Government Sponsored Agency
Securities — 146.0%

 

 

 

 

 

741,367,861

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds, 2.75%, 8/15/42 (g)

 

 

72,295

 

 

73,266,500

 

US Treasury Notes:

 

 

 

 

 

 

 

0.50%, 7/31/17

 

 

1,090

 

 

1,085,487

 

0.63%, 8/31/17 (g)

 

 

18,690

 

 

18,716,278

 

0.88%, 7/31/19 (g)

 

 

1,715

 

 

1,701,736

 

1.00%, 8/31/19

 

 

1,365

 

 

1,364,466

 

1.63%, 8/15/22 (g)

 

 

2,525

 

 

2,539,597

 

Total US Treasury Obligations — 19.4%

 

 

 

 

 

98,674,064

 

Total Long-Term Investments
(Cost — $840,915,743) — 170.4%

 

 

 

 

 

865,440,070

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

95




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Borrowed Bond Agreements — 3.8%

 

 

 

 

 

 

 

BNP Paribas SA:

 

 

 

 

 

 

 

0.13%, Open

 

$

7,264

 

$

7,264,256

 

0.14%, Open

 

 

938

 

 

938,400

 

Credit Suisse Securities (USA) LLC:

 

 

 

 

 

 

 

0.00%, Open

 

 

101

 

 

100,750

 

0.11%, Open

 

 

438

 

 

437,800

 

0.15%, Open

 

 

6,508

 

 

6,508,450

 

0.18%, Open

 

 

3,859

 

 

3,859,125

 

 

 

 

 

 

 

19,108,781

 


 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 0.4%

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (h)(i)

 

 

2,187,808

 

 

2,187,808

 

Total Short-Term Securities
(Cost — $21,296,589) — 4.2%

 

 

 

 

 

21,296,589

 

Total Investments Before Borrowed Bonds
and TBA Sale Commitments
(Cost — $862,212,332) — 174.6%

 

 

 

 

 

886,736,659

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

 

 

 

US Treasury Notes:

 

 

 

 

 

 

 

1.25%, 2/15/14

 

$

920

 

 

(933,728

)

2.13%, 2/29/16

 

 

6,845

 

 

(7,264,790

)

1.00%, 10/31/16

 

 

3,765

 

 

(3,848,538

)

0.88%, 12/31/16

 

 

6,460

 

 

(6,565,479

)

0.88%, 2/28/17

 

 

440

 

 

(447,116

)

1.00%, 3/31/17

 

 

100

 

 

(102,101

)

Total Borrowed Bonds
(Proceeds — $18,489,219) — (3.8)%

 

 

 

 

 

(19,161,752

)

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (e)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 1/01/41 – 9/15/42

 

 

3,000

 

 

(3,216,094

)

4.50%, 9/15/27 – 9/15/42

 

 

43,200

 

 

(46,711,998

)

5.00%, 9/15/27 – 9/15/42

 

 

71,800

 

 

(78,401,965

)

Total TBA Sale Commitments
(Proceeds — $128,007,914) — (25.2)%

 

 

 

 

 

(128,330,057

)

Total Investments, Net of Borrowed Bonds and
TBA Sale Commitments — 145.6%

 

 

 

 

 

739,244,850

 

Liabilities in Excess of Other Assets — (45.6)%

 

 

 

 

 

(231,393,030

)

Net Assets — 100.0%

 

 

 

 

$

507,851,820

 


 

 

 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Amount is less than $500.

 

 

(d)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

 

Value

 

Unrealized
Appreciation

(Depreciation)

 

Bank of America Corp.

 

$

(4,112,890

)

 

$

(33,859

)

 

Credit Suisse Group AG

 

$

56,971,711

 

 

$

205,875

 

 

Deutsche Bank AG

 

$

2,983,937

 

 

$

(187,742

)

 

Goldman Sachs Group, Inc.

 

$

21,058,079

 

 

$

79,298

 

 

JPMorgan Chase & Co.

 

$

8,251,312

 

 

$

12,882

 

 

Morgan Stanley

 

$

(13,710,046

)

 

$

26,790

 

 


 

 

(f)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(g)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(h)

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

 

Shares Held at
August 31,

2011

 

 

Net
Activity

 

 

Shares Held at
August 31,

2012

 

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

3,958,025

 

 

(1,770,217)

 

 

2,187,808

 

 

$9,117

 


 

 

(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 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, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

 

Trade
Date

 

 

Maturity
Date

 

Face
Value

 

Face Value
Including
Accrued
Interest

 

Credit Suisse

 

0.31

%

 

 

8/10/12

 

 

9/13/12

 

$

39,738,879

 

$

39,750,856

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

0.23

%

 

 

8/30/12

 

 

9/04/12

 

 

2,996,250

 

 

2,996,365

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.17

%

 

 

8/30/12

 

 

9/04/12

 

 

72,385,369

 

 

72,387,420

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas

 

0.19

%

 

 

8/30/12

 

 

9/04/12

 

 

2,057,425

 

 

2,057,490

 

Securities Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

(0.02

)%

 

 

8/30/12

 

 

9/04/12

 

 

2,528,156

 

 

2,528,148

 

Securities (USA) LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

119,706,079

 

$

119,720,279

 


 

 

 

See Notes to Financial Statements.

 

 

 

96

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

Financial futures contracts purchased as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

123

 

90-Day

 

Chicago

 

September

 

$

30,630,075

 

 

$

38,666

 

 

 

Euro-Dollar

 

Mercantile

 

2012

 

 

 

 

 

 

 

 

52

 

90-Day

 

Chicago

 

December

 

$

12,953,850

 

 

 

20,141

 

 

 

Euro-Dollar

 

Mercantile

 

2012

 

 

 

 

 

 

 

 

43

 

Ultra Long US

 

Chicago

 

December

 

$

7,267,000

 

 

 

81,551

 

 

 

Treasury Bond

 

Board of Trade

 

2012

 

 

 

 

 

 

 

 

24

 

90-Day

 

Chicago

 

March 2013

 

$

5,978,700

 

 

 

5,717

 

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

 

63

 

90-Day

 

Chicago

 

June 2013

 

$

15,692,513

 

 

 

31,349

 

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

 

57

 

90-Day

 

Chicago

 

September

 

$

14,195,850

 

 

 

28,871

 

 

 

Euro-Dollar

 

Mercantile

 

2013

 

 

 

 

 

 

 

 

18

 

90-Day

 

Chicago

 

December

 

$

4,481,775

 

 

 

6,018

 

 

 

Euro-Dollar

 

Mercantile

 

2013

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

212,313

 


 

 

Financial futures contracts sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

125

 

2-Year US

 

Chicago

 

December

 

$

27,572,266

 

$

(21,104)

 

 

 

Treasury Note

 

Board of Trade

 

2012

 

 

 

 

 

 

 

743

 

5-Year US

 

Chicago

 

December

 

$

92,625,398

 

 

(340,959)

 

 

 

Treasury Note

 

Board of Trade

 

2012

 

 

 

 

 

 

 

1,519

 

10-Year US

 

Chicago

 

December

 

$

203,118,781

 

 

(1,553,324)

 

 

 

Treasury Note

 

Board of Trade

 

2012

 

 

 

 

 

 

 

36

 

30-Year US

 

Chicago

 

December

 

$

5,450,625

 

 

(59,778)

 

 

 

Treasury Bond

 

Board of Trade

 

2012

 

 

 

 

 

 

 

7

 

90-Day

 

Chicago

 

March 2014

 

$

1,742,475

 

 

(2,118)

 

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

25

 

90-Day

 

Chicago

 

June 2014

 

$

6,220,938

 

 

(15,678)

 

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

25

 

90-Day

 

Chicago

 

September

 

$

6,218,438

 

 

(18,509)

 

 

 

Euro-Dollar

 

Mercantile

 

2014

 

 

 

 

 

 

 

25

 

90-Day

 

Chicago

 

December

 

$

6,214,687

 

 

(20,590)

 

 

 

Euro-Dollar

 

Mercantile

 

2014

 

 

 

 

 

 

 

25

 

90-Day

 

Chicago

 

March 2015

 

$

6,211,562

 

 

(20,578)

 

 

 

Euro-Dollar

 

Mercantile

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

(2,052,638)

 


 

 

Interest rate swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

4.88%1

 

3-month LIBOR

 

UBS AG

 

3/21/15

 

$

25,000

 

$

2,813,523

 

4.87%1

 

3-month LIBOR

 

Goldman Sachs

 

1/25/16

 

$

5,500

 

 

806,208

 

 

 

 

 

Group, Inc.

 

 

 

 

 

 

 

 

 

2.81%1

 

3-month LIBOR

 

Citigroup, Inc.

 

2/06/16

 

$

20,000

 

 

1,562,956

 

5.72%1

 

3-month LIBOR

 

JPMorgan

 

7/14/16

 

$

5,400

 

 

1,062,683

 

 

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

4.31%2

 

3-month LIBOR

 

Deutsche

 

10/01/18

 

$

60,000

 

(11,773,298

)

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

3.43%1

 

3-month LIBOR

 

JPMorgan

 

3/28/21

 

$

6,000

 

 

1,202,883

 

 

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

5.41%1

 

3-month LIBOR

 

JPMorgan

 

8/15/22

 

$

9,565

 

 

3,359,900

 

 

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

(965,145

)


 

 

 

 

1

Trust pays the floating rate and receives the fixed rate.

 

 

 

 

2

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


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

97




 

 

 

 

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, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

7,059,074

 

$

917,196

 

$

7,976,270

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

13,353,977

 

 

4,067,898

 

 

17,421,875

 

US Government Sponsored Agency Securities

 

 

 

 

736,744,897

 

 

4,622,964

 

 

741,367,861

 

US Treasury Obligations

 

 

 

 

98,674,064

 

 

 

 

98,674,064

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bond Agreements

 

 

 

 

19,108,781

 

 

 

 

19,108,781

 

Money Market Funds

 

$

2,187,808

 

 

 

 

 

 

2,187,808

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(19,161,752

)

 

 

 

(19,161,752

)

TBA Sale Commitments

 

 

 

 

(128,330,057

)

 

 

 

(128,330,057

)

Total

 

$

2,187,808

 

$

727,448,984

 

$

9,608,058

 

$

739,244,850

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

212,313

 

$

10,808,153

 

 

 

$

11,020,466

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(2,052,638

)

 

(11,773,298

)

 

 

 

(13,825,936

)

Total

 

$

(1,840,325

)

$

(965,145

)

 

 

$

(2,805,470

)


 

 

 

 

1

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

Certain of the Trust’s assets and liabilities are held at carrying or face value amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged as collateral for financial futures contracts

 

$

2,464,000

 

 

 

 

 

$

2,464,000

 

Cash pledged as collateral for swaps

 

 

3,300,000

 

 

 

 

 

 

3,300,000

 

Cash pledged as collateral for reverse repurchase agreements

 

 

50,000

 

 

 

 

 

 

50,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash received as collateral for swaps

 

 

 

$

(4,100,000

)

 

 

 

(4,100,000

)

Reverse repurchase agreements

 

 

 

 

(119,706,079

)

 

 

 

(119,706,079

)

Total

 

$

5,814,000

 

$

(123,806,079

)

 

 

$

(117,992,079

)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

A reconciliation of Level 3 investments 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Non-Agency
Mortgage-Backed
Securities

 

US Government
Sponsored
Agency Securities

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

$

1,038,628

 

$

4,432,527

 

$

5,096,285

 

$

10,567,440

 

Transfers into Level 32

 

 

 

 

 

 

 

 

 

Transfers out of Level 32

 

 

 

 

 

 

 

 

 

Accrued discounts/premiums

 

 

(429,565

)

 

44,402

 

 

(13,872

)

 

(399,035

)

Net realized loss

 

 

 

 

 

 

(14,027

)

 

(14,027

)

Net change in unrealized appreciation/depreciation3

 

 

331,765

 

 

(282,172

)

 

(63,757

)

 

(14,164

)

Purchases

 

 

 

 

 

 

 

 

 

Sales

 

 

(23,632

)

 

(126,859

)

 

(381,665

)

 

(532,156

)

Closing Balance, as of August 31, 2012

 

$

917,196

 

$

4,067,898

 

$

4,622,964

 

$

9,608,058

 


 

 

 

 

2

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $19,455.


 

 

 

See Notes to Financial Statements.

 

 

 

98

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments August 31, 2012

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 1.6%

 

 

 

 

 

 

 

Delphi Automotive Plc (a)

 

 

53,804

 

$

1,629,723

 

Media — 0.1%

 

 

 

 

 

 

 

Adelphia Recovery Trust

 

 

396,568

 

 

793

 

Cumulus Media, Inc., Class A (a)

 

 

23,466

 

 

65,001

 

 

 

 

 

 

 

65,794

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

84

 

 

1

 

Total Common Stocks — 1.7%

 

 

 

 

 

1,695,518

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

Aerospace & Defense — 0.2%

 

 

 

 

 

 

 

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)

 

USD

200

 

 

180,969

 

Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2002-1, Class G-1, 6.72%, 7/02/24

 

 

143

 

 

155,110

 

Series 2009-1-B, 9.75%, 6/17/18

 

 

37

 

 

40,327

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

246

 

 

252,126

 

 

 

 

 

 

 

447,563

 

Auto Components — 1.2%

 

 

 

 

 

 

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

180

 

 

193,950

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

670

 

 

713,550

 

Jaguar Land Rover Plc, 8.25%, 3/15/20

 

GBP

177

 

 

296,440

 

 

 

 

 

 

 

1,203,940

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

50

 

 

69,179

 

7.13%, 8/15/18 (b)

 

 

142

 

 

196,468

 

 

 

 

 

 

 

265,647

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)

 

USD

20

 

 

20,488

 

Building Products — 0.3%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

210

 

 

227,325

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

135

 

 

82,350

 

 

 

 

 

 

 

309,675

 

Capital Markets — 2.4%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (c)

 

 

390

 

 

445,087

 

Series A, 2.25%, 8/31/19 (d)(e)

 

 

100

 

 

85,500

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

225

 

 

242,475

 

6.00%, 6/15/20

 

 

250

 

 

279,709

 

5.75%, 1/24/22

 

 

525

 

 

579,318

 

KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)

 

 

170

 

 

192,432

 

Merrill Lynch & Co., Inc., 6.05%, 5/16/16

 

 

325

 

 

350,241

 

Morgan Stanley, 5.50%, 7/28/21

 

 

265

 

 

271,689

 

 

 

 

 

 

 

2,446,451

 

Chemicals — 3.1%

 

 

 

 

 

 

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

650

 

 

718,250

 

Chemtura Corp., 7.88%, 9/01/18

 

 

115

 

 

123,913

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20

 

 

95

 

 

95,950

 

9.00%, 11/15/20

 

 

115

 

 

98,325

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

65

 

 

74,425

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

INEOS Finance Plc (b):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

USD

300

 

$

315,750

 

7.50%, 5/01/20

 

 

155

 

 

158,100

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

98

 

 

134,495

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

45

 

 

46,125

 

LyondellBasell Industries NV, 5.75%, 4/15/24

 

 

664

 

 

751,980

 

Nexeo Solutions LLC, 8.38%, 3/01/18

 

 

65

 

 

63,538

 

PolyOne Corp., 7.38%, 9/15/20

 

 

80

 

 

87,400

 

TPC Group LLC, 8.25%, 10/01/17

 

 

125

 

 

137,187

 

Tronox Finance LLC, 6.38%, 8/15/20 (b)

 

 

325

 

 

328,250

 

 

 

 

 

 

 

3,133,688

 

Commercial Banks — 2.5%

 

 

 

 

 

 

 

Amsouth Bank, Series AI, 4.85%, 4/01/13

 

 

650

 

 

654,875

 

Barclays Bank Plc, 5.14%, 10/14/20

 

 

100

 

 

100,839

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (b)

 

 

480

 

 

481,633

 

7.00%, 5/02/17 (b)

 

 

520

 

 

520,719

 

5.25%, 3/15/18

 

 

110

 

 

114,675

 

5.50%, 2/15/19 (b)

 

 

120

 

 

125,100

 

5.00%, 8/15/22

 

 

110

 

 

110,833

 

HSBC Bank Plc, 7.65%, 5/01/25

 

 

350

 

 

395,260

 

 

 

 

 

 

 

2,503,934

 

Commercial Services & Supplies — 1.2%

 

 

 

 

 

 

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

 

 

193

 

 

204,096

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)

 

 

11

 

 

11,110

 

Clean Harbors, Inc., 5.25%, 8/01/20 (b)

 

 

96

 

 

98,520

 

Covanta Holding Corp., 6.38%, 10/01/22

 

 

85

 

 

92,937

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

135

 

 

144,788

 

RSC Equipment Rental, Inc., 8.25%, 2/01/21

 

 

310

 

 

339,450

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

100

 

 

125,780

 

8.75%, 12/01/18

 

 

100

 

 

111,315

 

West Corp., 8.63%, 10/01/18

 

USD

50

 

 

50,750

 

 

 

 

 

 

 

1,178,746

 

Communications Equipment — 1.1%

 

 

 

 

 

 

 

Brocade Communications Systems, Inc., 6.88%,
1/15/20

 

 

175

 

 

189,000

 

Zayo Group LLC/Zayo Capital, Inc.:

 

 

 

 

 

 

 

8.13%, 1/01/20

 

 

708

 

 

752,250

 

10.13%, 7/01/20

 

 

186

 

 

199,485

 

 

 

 

 

 

 

1,140,735

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (b)

 

 

75

 

 

77,813

 

Construction Materials — 0.6%

 

 

 

 

 

 

 

HD Supply, Inc., 8.13%, 4/15/19 (b)

 

 

452

 

 

490,420

 

Xefin Lux SCA, 8.00%, 6/01/18 (b)

 

EUR

100

 

 

122,635

 

 

 

 

 

 

 

613,055

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

185

 

 

203,500

 

Ford Motor Credit Co. LLC, 2.75%, 5/15/15

 

 

500

 

 

506,477

 

SLM Corp., 5.38%, 5/15/14

 

 

675

 

 

706,033

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

85

 

 

92,655

 

 

 

 

 

 

 

1,508,665

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

99




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 0.8%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (b)

 

EUR

260

 

$

345,832

 

Berry Plastics Corp., 8.25%, 11/15/15

 

USD

45

 

 

47,362

 

Beverage Packaging Holdings Luxembourg II SA,
8.00%, 12/15/16

 

EUR

54

 

 

66,563

 

GCL Holdings SCA, 9.38%, 4/15/18 (b)

 

 

100

 

 

122,007

 

Graphic Packaging International, Inc., 7.88%,
10/01/18

 

USD

135

 

 

150,525

 

Sealed Air Corp., 8.38%, 9/15/21 (b)

 

 

65

 

 

73,125

 

 

 

 

 

 

 

805,414

 

Diversified Financial Services — 6.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

400

 

 

444,000

 

6.25%, 12/01/17

 

 

30

 

 

32,415

 

8.00%, 3/15/20

 

 

60

 

 

70,200

 

7.50%, 9/15/20

 

 

550

 

 

629,750

 

8.00%, 11/01/31

 

 

740

 

 

875,050

 

8.00%, 11/01/31

 

 

400

 

 

474,798

 

Bank of America Corp.:

 

 

 

 

 

 

 

4.50%, 4/01/15

 

 

375

 

 

398,915

 

6.50%, 8/01/16

 

 

410

 

 

467,559

 

5.63%, 10/14/16

 

 

100

 

 

111,144

 

5.75%, 12/01/17

 

 

240

 

 

268,343

 

Citigroup, Inc., 8.13%, 7/15/39

 

 

55

 

 

80,601

 

DPL, Inc., 7.25%, 10/15/21 (b)

 

 

425

 

 

484,500

 

Gala Group Finance Plc, 8.88%, 9/01/18

 

GBP

100

 

 

148,067

 

Itau Unibanco Holding SA, 5.75%, 1/22/21 (b)

 

USD

225

 

 

236,250

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

5.50%, 10/15/40

 

 

175

 

 

209,801

 

5.60%, 7/15/41

 

 

175

 

 

214,497

 

Macquarie Bank Ltd., 5.00%, 2/22/17 (b)

 

 

200

 

 

208,920

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

100

 

 

129,868

 

7.88%, 8/15/19

 

USD

180

 

 

200,250

 

9.88%, 8/15/19

 

 

200

 

 

211,500

 

6.88%, 2/15/21

 

 

125

 

 

135,313

 

WMG Acquisition Corp.:

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

45

 

 

49,163

 

11.50%, 10/01/18

 

 

151

 

 

165,722

 

 

 

 

 

 

 

6,246,626

 

Diversified Telecommunication Services — 2.6%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12 (a)(f)

 

 

155

 

 

104,625

 

Level 3 Communications, Inc., 8.88%, 6/01/19 (b)

 

 

150

 

 

153,000

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

1,310

 

 

1,372,225

 

8.63%, 7/15/20

 

 

188

 

 

201,160

 

OTE Plc, 5.00%, 8/05/13

 

EUR

40

 

 

43,607

 

Qwest Corp., 7.25%, 10/15/35

 

USD

200

 

 

205,010

 

Telefonica Emisiones SAU, 5.46%, 2/16/21

 

 

250

 

 

230,000

 

Telenet Finance V Luxembourg SCA:

 

 

 

 

 

 

 

6.25%, 8/15/22

 

EUR

100

 

 

126,409

 

6.75%, 8/15/24

 

 

100

 

 

127,667

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

USD

45

 

 

47,475

 

7.88%, 11/01/17

 

 

65

 

 

70,687

 

 

 

 

 

 

 

2,681,865

 

Electric Utilities — 2.6%

 

 

 

 

 

 

 

Nisource Finance Corp., 3.85%, 2/15/23

 

 

400

 

 

414,592

 

Oncor Electric Delivery Co. LLC, 4.10%, 6/01/22

 

 

325

 

 

339,261

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,418,099

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

400

 

 

500,755

 

 

 

 

 

 

 

2,672,707

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

45

 

$

54,000

 

Energy Equipment & Services — 4.4%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%, 12/01/20 (b)

 

 

145

 

 

142,100

 

Compagnie Générale de Géophysique, Veritas:

 

 

 

 

 

 

 

7.75%, 5/15/17

 

 

55

 

 

57,475

 

6.50%, 6/01/21

 

 

200

 

 

208,250

 

Energy Transfer Partners LP, 5.20%, 2/01/22

 

 

600

 

 

660,434

 

Ensco Plc, 4.70%, 3/15/21

 

 

425

 

 

476,883

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

130

 

 

126,100

 

Frac Tech Services LLC, 8.13%, 11/15/18 (b)

 

 

640

 

 

660,800

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

160

 

 

162,800

 

MEG Energy Corp. (b):

 

 

 

 

 

 

 

6.50%, 3/15/21

 

 

330

 

 

347,325

 

6.38%, 1/30/23

 

 

45

 

 

46,913

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

115

 

 

122,188

 

Peabody Energy Corp., 6.25%, 11/15/21 (b)

 

 

655

 

 

666,462

 

Precision Drilling Corp., 6.50%, 12/15/21

 

 

105

 

 

110,250

 

Transocean, Inc., 6.50%, 11/15/20

 

 

550

 

 

657,421

 

 

 

 

 

 

 

4,445,401

 

Food Products — 1.1%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

90

 

 

101,925

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.50%, 8/11/17

 

 

600

 

 

737,694

 

6.13%, 8/23/18

 

 

250

 

 

309,192

 

 

 

 

 

 

 

1,148,811

 

Gas Utilities — 0.2%

 

 

 

 

 

 

 

El Paso Natural Gas Co., 8.63%, 1/15/22

 

 

145

 

 

191,410

 

Health Care Equipment & Supplies — 0.8%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

201

 

 

209,794

 

7.75%, 4/15/18

 

 

40

 

 

36,600

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (b)

 

 

38

 

 

42,608

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)

 

 

410

 

 

472,012

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

105

 

 

112,350

 

 

 

 

 

 

 

873,364

 

Health Care Providers & Services — 6.1%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

150

 

 

156,000

 

CHS/Community Health Systems, Inc., 5.13%,
8/15/18

 

 

100

 

 

103,125

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)

 

EUR

200

 

 

269,169

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (b)

 

GBP

200

 

 

319,952

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

40

 

 

45,100

 

6.50%, 2/15/20

 

 

730

 

 

802,087

 

7.88%, 2/15/20

 

 

35

 

 

39,069

 

7.25%, 9/15/20

 

 

805

 

 

892,041

 

5.88%, 3/15/22

 

 

183

 

 

194,666

 

Hologic, Inc., 6.25%, 8/01/20 (b)

 

 

190

 

 

201,163

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

270

 

 

257,512

 

INC Research LLC, 11.50%, 7/15/19 (b)

 

 

145

 

 

142,100

 

inVentiv Health, Inc. (b):

 

 

 

 

 

 

 

10.00%, 8/15/18

 

 

50

 

 

42,125

 

10.25%, 8/15/18

 

 

10

 

 

8,425

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

260

 

 

286,650

 

Symbion, Inc., 8.00%, 6/15/16

 

 

125

 

 

126,328

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

665

 

 

764,750

 

6.25%, 11/01/18

 

 

120

 

 

130,275

 

8.88%, 7/01/19

 

 

195

 

 

221,813

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

1,191,989

 

 

 

 

 

 

 

6,194,339

 


 

 

 

See Notes to Financial Statements.

 

 

 

100

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

USD

660

 

$

775,500

 

Hotels, Restaurants & Leisure — 2.5%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

140

 

 

150,850

 

10.00%, 12/15/18

 

 

996

 

 

627,480

 

Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b)

 

 

303

 

 

301,485

 

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

 

EUR

51

 

 

56,290

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

USD

310

 

 

329,762

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (b)

 

 

50

 

 

48,750

 

Gategroup Finance Luxembourg SA, 6.75%,
3/01/19

 

EUR

100

 

 

128,610

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

USD

750

 

 

851,250

 

11.13%, 11/15/17

 

 

65

 

 

72,313

 

Tropicana Entertainment LLC, 9.63%,
12/15/14 (a)(f)

 

 

50

 

 

 

 

 

 

 

 

 

2,566,790

 

Household Durables — 1.3%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)

 

 

145

 

 

148,263

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

130

 

 

137,150

 

Spie BondCo 3 SCA, 11.00%, 8/15/19

 

EUR

109

 

 

139,157

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

USD

565

 

 

682,237

 

8.38%, 1/15/21

 

 

200

 

 

223,000

 

 

 

 

 

 

 

1,329,807

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (b)

 

EUR

100

 

 

127,667

 

Independent Power Producers &
Energy Traders — 2.5%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21

 

USD

95

 

 

108,775

 

Calpine Corp. (b):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

80

 

 

85,600

 

7.50%, 2/15/21

 

 

80

 

 

88,800

 

7.88%, 1/15/23

 

 

70

 

 

79,100

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

945

 

 

1,041,862

 

Energy Future Intermediate Holding Co. LLC, 10.00%,
12/01/20

 

 

450

 

 

505,125

 

Exelon Generation Co. LLC, 4.25%, 6/15/22 (b)

 

 

357

 

 

371,124

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

115

 

 

130,525

 

7.38%, 5/01/22

 

 

50

 

 

53,750

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

75

 

 

76,875

 

 

 

 

 

 

 

2,541,536

 

Industrial Conglomerates — 1.9%

 

 

 

 

 

 

 

The ADT Corp. (b):

 

 

 

 

 

 

 

3.50%, 7/15/22

 

 

300

 

 

311,616

 

4.88%, 7/15/42

 

 

200

 

 

217,551

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

460

 

 

483,000

 

13.50%, 12/01/15

 

 

854

 

 

905,514

 

 

 

 

 

 

 

1,917,681

 

Insurance — 3.3%

 

 

 

 

 

 

 

American International Group, Inc., 6.40%,
12/15/20

 

 

1,130

 

 

1,342,859

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (b)

 

 

130

 

 

142,187

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

150

 

 

153,270

 

Lincoln National Corp., 8.75%, 7/01/19

 

 

575

 

 

744,045

 

MetLife Capital Trust X, 9.25%, 4/08/68 (b)

 

 

150

 

 

191,250

 

Metropolitan Life Global Funding I, 5.13%,
6/10/14 (b)

 

 

250

 

 

268,740

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)

 

 

90

 

 

80,550

 

Prudential Financial, Inc., 5.38%, 6/21/20

 

 

400

 

 

462,184

 

 

 

 

 

 

 

3,385,085

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

IT Services — 2.3%

 

 

 

 

 

 

 

Ceridian Corp., 8.88%, 7/15/19 (b)

 

USD

370

 

$

396,825

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (b)

 

 

481

 

 

496,633

 

8.88%, 8/15/20 (b)

 

 

195

 

 

212,550

 

8.25%, 1/15/21 (b)

 

 

145

 

 

143,731

 

12.63%, 1/15/21

 

 

525

 

 

531,562

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

280

 

 

297,500

 

7.63%, 11/15/20

 

 

220

 

 

235,950

 

 

 

 

 

 

 

2,314,751

 

Machinery — 0.8%

 

 

 

 

 

 

 

SPX Corp., 6.88%, 9/01/17

 

 

65

 

 

72,150

 

UR Financing Escrow Corp. (b):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

50

 

 

52,875

 

7.38%, 5/15/20

 

 

125

 

 

132,500

 

7.63%, 4/15/22

 

 

550

 

 

594,000

 

 

 

 

 

 

 

851,525

 

Media — 14.6%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

290

 

 

207,350

 

AMC Networks, Inc., 7.75%, 7/15/21

 

 

80

 

 

90,600

 

CCH II LLC, 13.50%, 11/30/16

 

 

289

 

 

316,925

 

CCO Holdings LLC:

 

 

 

 

 

 

 

6.50%, 4/30/21

 

 

520

 

 

557,700

 

5.25%, 9/30/22

 

 

203

 

 

200,970

 

Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)

 

 

245

 

 

149,450

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

60

 

 

67,200

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

276

 

 

236,670

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

Series A, 9.25%, 12/15/17

 

 

374

 

 

404,855

 

Series B, 9.25%, 12/15/17

 

 

1,899

 

 

2,062,789

 

DIRECTV Holdings LLC:

 

 

 

 

 

 

 

3.80%, 3/15/22

 

 

250

 

 

258,241

 

6.00%, 8/15/40

 

 

175

 

 

197,832

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

201

 

 

212,306

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)

 

 

184

 

 

198,260

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

440

 

 

462,000

 

11.50%, 2/04/17 (c)

 

 

480

 

 

504,000

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

340

 

 

383,350

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

45

 

 

50,287

 

Kabel Deutschland Vertrieb und Service GmbH &
Co. KG, 6.50%, 6/29/18 (b)

 

EUR

125

 

 

169,410

 

Live Nation Entertainment, Inc., 8.13%,
5/15/18 (b)

 

USD

150

 

 

160,500

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (b)

 

 

243

 

 

270,945

 

NBC Universal Media LLC, 6.40%, 4/30/40

 

 

530

 

 

686,647

 

The New York Times Co., 6.63%, 12/15/16

 

 

500

 

 

542,500

 

News America, Inc., 6.20%, 12/15/34

 

 

825

 

 

993,774

 

Nielsen Finance LLC, 7.75%, 10/15/18

 

 

765

 

 

860,625

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b)

 

GBP

100

 

 

157,594

 

ProQuest LLC, 9.00%, 10/15/18 (b)

 

USD

130

 

 

119,275

 

TCI Communications, Inc., 7.88%, 2/15/26

 

 

1,000

 

 

1,404,726

 

Time Warner Cable, Inc., 5.88%, 11/15/40

 

 

410

 

 

486,462

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

50

 

 

70,673

 

9.63%, 12/01/19 (b)

 

 

190

 

 

268,556

 

9.50%, 3/15/21

 

 

150

 

 

215,320

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

101




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (b)

 

USD

309

 

$

334,492

 

7.50%, 3/15/19

 

EUR

337

 

 

464,147

 

UPC Holding BV, 9.88%, 4/15/18 (b)

 

USD

100

 

 

112,250

 

UPCB Finance II Ltd., 6.38%, 7/01/20 (b)

 

EUR

292

 

 

383,805

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

USD

200

 

 

218,000

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)

 

EUR

165

 

 

227,772

 

Ziggo Finance BV, 6.13%, 11/15/17 (b)

 

 

88

 

 

118,158

 

 

 

 

 

 

 

14,826,416

 

Metals & Mining — 3.4%

 

 

 

 

 

 

 

Barrick Gold Corp., 2.90%, 5/30/16

 

USD

225

 

 

236,794

 

Barrick North America Finance LLC, 5.70%, 5/30/41

 

 

250

 

 

287,564

 

Eco-Bat Finance Plc, 7.75%, 2/15/17

 

EUR

100

 

 

127,038

 

FMG Resources August 2006 Property Ltd. (b):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

15

 

 

14,288

 

6.88%, 4/01/22

 

 

20

 

 

18,400

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

220

 

 

253,550

 

New Gold, Inc., 7.00%, 4/15/20 (b)

 

 

30

 

 

31,575

 

New World Resources NV:

 

 

 

 

 

 

 

7.88%, 5/01/18

 

EUR

65

 

 

81,348

 

7.88%, 5/01/18 (b)

 

 

76

 

 

95,115

 

Newmont Mining Corp.:

 

 

 

 

 

 

 

5.13%, 10/01/19

 

USD

225

 

 

257,375

 

Series A, 1.25%, 7/15/14 (e)

 

 

200

 

 

254,250

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,195

 

 

1,335,412

 

Schmolz + Bickenbach Luxembourg SA, 9.88%,
5/15/19

 

EUR

115

 

 

116,802

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

USD

150

 

 

142,875

 

Vedanta Resources Plc, 8.25%, 6/07/21 (b)

 

 

200

 

 

191,000

 

 

 

 

 

 

 

3,443,386

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Access Midstream Partners LP, 6.13%, 7/15/22

 

 

100

 

 

103,750

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

20

 

 

18,000

 

6.25%, 6/01/21

 

 

30

 

 

26,850

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

365

 

 

422,080

 

6.38%, 9/15/17

 

 

75

 

 

89,676

 

6.95%, 6/15/19

 

 

150

 

 

186,780

 

Berry Petroleum Co., 6.38%, 9/15/22

 

 

90

 

 

95,850

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

7.25%, 12/15/18

 

 

10

 

 

10,475

 

6.63%, 8/15/20

 

 

90

 

 

92,475

 

6.13%, 2/15/21

 

 

95

 

 

94,288

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (b)

 

 

44

 

 

46,860

 

Concho Resources, Inc.:

 

 

 

 

 

 

 

7.00%, 1/15/21

 

 

80

 

 

89,200

 

6.50%, 1/15/22

 

 

50

 

 

54,000

 

CONSOL Energy, Inc., 8.25%, 4/01/20

 

 

710

 

 

765,025

 

Continental Resources, Inc.:

 

 

 

 

 

 

 

7.13%, 4/01/21

 

 

135

 

 

151,200

 

5.00%, 9/15/22

 

 

145

 

 

151,525

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

105

 

 

109,725

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

65

 

 

69,388

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

19

 

 

21,565

 

El Paso Pipeline Partners Operating Co. LLC, 5.00%,
10/01/21

 

 

500

 

 

546,102

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

145

 

 

161,675

 

7.75%, 6/15/19

 

 

320

 

 

340,000

 

Enterprise Products Operating LLC, 3.70%, 6/01/15

 

 

500

 

 

533,777

 

EP Energy LLC/EP Energy Finance, Inc., 6.88%,
5/01/19 (b)

 

 

60

 

 

64,350

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

55

 

 

56,788

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (b)

 

 

195

 

 

214,500

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Kinder Morgan Energy Partners LP, 3.95%, 9/01/22

 

USD

475

 

$

504,122

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)

 

 

100

 

 

106,250

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (b)

 

 

35

 

 

34,825

 

6.25%, 11/01/19 (b)

 

 

497

 

 

490,787

 

7.75%, 2/01/21

 

 

170

 

 

177,225

 

MarkWest Energy Partners LP:

 

 

 

 

 

 

 

6.25%, 6/15/22

 

 

30

 

 

31,875

 

5.50%, 2/15/23

 

 

40

 

 

40,900

 

Newfield Exploration Co., 5.63%, 7/01/24

 

 

85

 

 

92,225

 

Nexen, Inc., 6.40%, 5/15/37

 

 

150

 

 

187,020

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

90

 

 

94,950

 

6.50%, 11/01/21

 

 

110

 

 

112,200

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (b)

 

 

90

 

 

99,450

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (b)

 

 

1,105

 

 

980,687

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,100

 

 

1,154,873

 

5.88%, 3/01/18

 

 

200

 

 

226,336

 

7.88%, 3/15/19

 

 

100

 

 

123,992

 

6.88%, 1/20/40

 

 

25

 

 

31,174

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)

 

 

210

 

 

224,175

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

35

 

 

42,374

 

7.50%, 1/15/20

 

 

55

 

 

68,787

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

45

 

 

49,725

 

5.75%, 6/01/21

 

 

350

 

 

372,313

 

Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16

 

 

235

 

 

251,450

 

Samson Investment Co., 9.75%, 2/15/20 (b)

 

 

7

 

 

7,210

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21 (b)

 

 

65

 

 

65,813

 

7.50%, 3/15/21

 

 

90

 

 

91,125

 

8.13%, 10/15/22 (b)

 

 

45

 

 

47,025

 

7.50%, 2/15/23 (b)

 

 

55

 

 

55,275

 

SM Energy Co., 6.63%, 2/15/19

 

 

45

 

 

47,025

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

325

 

 

360,955

 

The Williams Cos., Inc., 8.75%, 3/15/32

 

 

124

 

 

170,627

 

 

 

 

 

 

 

10,858,674

 

Paper & Forest Products — 1.5%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

45

 

 

49,838

 

8.00%, 4/01/20

 

 

50

 

 

55,250

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

160

 

 

178,800

 

7.13%, 11/01/18

 

 

215

 

 

234,888

 

International Paper Co.:

 

 

 

 

 

 

 

7.95%, 6/15/18

 

 

220

 

 

283,871

 

7.30%, 11/15/39

 

 

5

 

 

6,638

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (b)

 

 

120

 

 

124,200

 

NewPage Corp., 11.38%, 12/31/14 (a)(f)

 

 

845

 

 

572,487

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)

 

 

50

 

 

46,250

 

 

 

 

 

 

 

1,552,222

 


 

 

 

See Notes to Financial Statements.

 

 

 

102

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 1.5%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)

 

EUR

100

 

$

140,559

 

Pharmaceutical Product Development, Inc., 9.50%,
12/01/19 (b)

 

USD

125

 

 

139,375

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (b)

 

 

470

 

 

495,850

 

Wyeth LLC, 6.50%, 2/01/34

 

 

500

 

 

713,472

 

 

 

 

 

 

 

1,489,256

 

Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

265

 

 

282,888

 

Real Estate Investment Trusts (REITs) — 0.8%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

345

 

 

370,012

 

HCP, Inc., 5.38%, 2/01/21

 

 

225

 

 

257,554

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

145

 

 

152,794

 

 

 

 

 

 

 

780,360

 

Real Estate Management & Development — 1.8%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

90

 

 

98,325

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

110

 

 

116,875

 

12.00%, 4/15/17

 

 

35

 

 

36,663

 

7.88%, 2/15/19 (b)

 

 

951

 

 

979,530

 

7.63%, 1/15/20 (b)

 

 

130

 

 

141,700

 

Shea Homes LP, 8.63%, 5/15/19

 

 

445

 

 

495,062

 

 

 

 

 

 

 

1,868,155

 

Road & Rail — 1.4%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

701,980

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

285

 

 

307,444

 

7.38%, 1/15/21

 

 

360

 

 

391,500

 

 

 

 

 

 

 

1,400,924

 

Software — 1.1%

 

 

 

 

 

 

 

Infor US, Inc., 9.38%, 4/01/19 (b)

 

 

630

 

 

681,975

 

Nuance Communications, Inc., 5.38%, 8/15/20 (b)

 

 

210

 

 

214,725

 

Oracle Corp., 5.38%, 7/15/40

 

 

210

 

 

269,223

 

 

 

 

 

 

 

1,165,923

 

Specialty Retail — 1.5%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

130

 

 

143,650

 

Claire’s Stores, Inc., 9.00%, 3/15/19 (b)

 

 

85

 

 

88,188

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18

 

GBP

125

 

 

176,400

 

8.88%, 8/15/18 (b)

 

 

100

 

 

141,120

 

Limited Brands, Inc., 8.50%, 6/15/19

 

USD

320

 

 

384,000

 

Phones4u Finance Plc, 9.50%, 4/01/18 (b)

 

GBP

100

 

 

153,228

 

QVC, Inc. (b):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

80

 

 

84,618

 

7.50%, 10/01/19

 

 

135

 

 

149,582

 

7.38%, 10/15/20

 

 

95

 

 

105,856

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

115

 

 

125,637

 

 

 

 

 

 

 

1,552,279

 

Tobacco — 0.1%

 

 

 

 

 

 

 

Altria Group, Inc., 9.95%, 11/10/38

 

 

50

 

 

85,392

 

Wireless Telecommunication Services — 6.0%

 

 

 

 

 

 

 

America Movil SAB de CV:

 

 

 

 

 

 

 

2.38%, 9/08/16

 

 

200

 

 

207,681

 

5.00%, 3/30/20

 

 

400

 

 

464,893

 

American Tower Corp.:

 

 

 

 

 

 

 

4.50%, 1/15/18

 

 

375

 

 

410,295

 

4.70%, 3/15/22

 

 

380

 

 

411,156

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

480

 

 

506,400

 

Crown Castle Towers LLC, 6.11%, 1/15/20 (b)

 

 

375

 

 

443,509

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

USD

439

 

$

443,390

 

8.25%, 9/01/17

 

 

365

 

 

386,900

 

10.50%, 4/15/18

 

 

90

 

 

97,200

 

SBA Tower Trust, 4.25%, 4/15/40 (b)

 

 

325

 

 

342,614

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

830

 

 

751,150

 

Sprint Nextel Corp. (b):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

880

 

 

1,038,400

 

7.00%, 3/01/20

 

 

560

 

 

613,200

 

 

 

 

 

 

 

6,116,788

 

Total Corporate Bonds — 99.9%

 

 

 

 

 

101,578,311

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17

 

 

163

 

 

163,947

 

Auto Components — 0.1%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

145

 

 

145,423

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

191

 

 

193,416

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

American Capital Holdings, Term Loan, 5.50%,
7/19/16

 

 

298

 

 

299,118

 

Chemicals — 0.5%

 

 

 

 

 

 

 

Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19

 

 

60

 

 

60,563

 

INEOS US Finance LLC, 6 Year Term Loan, 6.50%,
5/04/18

 

 

419

 

 

419,561

 

 

 

 

 

 

 

480,124

 

Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

145

 

 

144,766

 

Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16

 

 

225

 

 

227,250

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

354

 

 

353,700

 

 

 

 

 

 

 

725,716

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19

 

 

755

 

 

766,091

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17

 

 

750

 

 

750,000

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17

 

 

410

 

 

418,885

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 5.50%, 5/10/17

 

 

1,750

 

 

1,690,063

 

Diversified Consumer Services — 0.5%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 6/18/18

 

 

488

 

 

475,578

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.74%, 7/24/14

 

 

3

 

 

3,104

 

Term Loan, 2.75% – 2.97%, 7/24/14

 

 

31

 

 

31,172

 

 

 

 

 

 

 

509,854

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Residential Capital LLC:

 

 

 

 

 

 

 

DIP Term Loan A1, 5.00%, 11/18/13

 

 

455

 

 

456,137

 

DIP Term Loan A2, 6.75%, 11/18/13

 

 

65

 

 

65,759

 

 

 

 

 

 

 

521,896

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

103




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Diversified Telecommunication Services — 0.6%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

2016 Term Loan B, 4.75%, 2/01/16

 

USD

135

 

$

135,270

 

2019 Term Loan B, 5.25%, 8/01/19

 

 

110

 

 

110,161

 

Term Loan B3, 5.75%, 8/31/18

 

 

350

 

 

350,924

 

 

 

 

 

 

 

596,355

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co. Term Loan,
9.25%, 8/04/16

 

 

701

 

 

727,521

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

1,284

 

 

1,343,694

 

 

 

 

 

 

 

2,071,215

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Inc., Term Loan (Second Lien),
11.25%, 9/29/17

 

 

300

 

 

301,800

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19

 

 

135

 

 

135,450

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

279

 

 

280,347

 

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

 

 

105

 

 

105,787

 

 

 

 

 

 

 

521,584

 

Health Care Providers & Services — 0.5%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add on Term Loan A, 7.75%, 3/02/15

 

 

148

 

 

143,051

 

Term Loan A, 8.50%, 3/02/15

 

 

147

 

 

144,003

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

200

 

 

185,701

 

 

 

 

 

 

 

472,755

 

Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6, 5.49%, 1/26/18

 

 

75

 

 

65,930

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

80

 

 

81,161

 

Term Loan B1, 3.24%, 1/28/15

 

 

144

 

 

136,477

 

Term Loan B2, 3.24%, 1/28/15

 

 

159

 

 

151,101

 

Term Loan B3, 3.24% – 3.46%, 1/28/15

 

 

349

 

 

330,496

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.49% – 2.56%, 6/14/13

 

 

4

 

 

3,563

 

Term Loan B, 2.56%, 6/14/14

 

 

36

 

 

35,914

 

Station Casinos, Inc., Term Loan B1, 3.23%,
6/17/16

 

 

310

 

 

294,518

 

 

 

 

 

 

 

1,099,160

 

Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan, 6.25%,
12/03/14

 

 

64

 

 

64,599

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended 2018 Term Loan B,
4.24%, 3/23/18

 

 

285

 

 

269,088

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/19/13

 

 

240

 

 

237,827

 

Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., Term Loan B, 7.00%,
8/17/17

 

 

240

 

 

241,582

 

Rexnord Corp., Term Loan B, 5.00%, 4/02/18

 

 

214

 

 

214,766

 

 

 

 

 

 

 

456,348

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Media — 4.1%

 

 

 

 

 

 

 

Affinion Group, Inc., Term Loan B, 5.00%, 7/15/15

 

USD

20

 

$

16,835

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Non-Extended Term Loan, 2.49%, 7/03/14

 

 

40

 

 

36,633

 

Tranche 1 Incremental, 7.50%, 7/03/14

 

 

480

 

 

462,000

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.88%, 1/28/16

 

 

541

 

 

419,253

 

Term Loan C, 3.88%, 1/28/16

 

 

54

 

 

41,178

 

EMI Music Publishing Ltd., Term Loan B, 5.50%,
6/29/18

 

 

105

 

 

105,709

 

Intelsat Jackson Holdings SA, Tranche B Term Loan,
5.25%, 4/02/18

 

 

2,379

 

 

2,386,709

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

150

 

 

149,840

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

550

 

 

552,981

 

 

 

 

 

 

 

4,171,138

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18

 

 

150

 

 

147,000

 

Oil, Gas & Consumable Fuels — 0.5%

 

 

 

 

 

 

 

Chesapeake Energy Corp., Unsecured Term Loan,
8.50%, 12/01/17

 

 

120

 

 

120,258

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

374

 

 

373,794

 

 

 

 

 

 

 

494,052

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

250

 

 

252,345

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Product Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

109

 

 

110,570

 

Professional Services — 0.1%

 

 

 

 

 

 

 

Truven Health Analytics, Term Loan B, 6.75%,
6/06/19

 

 

135

 

 

135,956

 

Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

289

 

 

289,679

 

Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.50%,
10/10/16

 

 

60

 

 

58,017

 

Extended Term Loan, 4.49%, 10/10/16

 

 

426

 

 

411,008

 

Stockbridge SBE Holdings LLC, Term Loan B, 13.00%,
5/02/17

 

 

65

 

 

64,675

 

 

 

 

 

 

 

533,700

 

Software — 0.4%

 

 

 

 

 

 

 

Infor US, Inc. (FKA Lawson Software, Inc.),
Term Loan B, 6.25%, 4/05/18

 

 

444

 

 

448,451

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%,
5/29/14

 

 

142

 

 

139,792

 

Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Ascend Performance Materials LLC, Term Loan B,
6.75%, 4/10/18

 

 

404

 

 

400,283

 

Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

20

 

 

19,738

 

Vodafone Americas Finance 2, Inc. (c):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

831

 

 

863,872

 

Term Loan B, 6.25%, 7/11/16

 

 

413

 

 

420,750

 

 

 

 

 

 

 

1,304,360

 

Total Floating Rate Loan Interests — 20.8%

 

 

 

 

 

21,182,590

 


 

 

 

See Notes to Financial Statements.

 

 

 

104

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Foreign Agency Obligations — 0.2%

 

Par
(000)

 

Value

 

Qatar Government International Bond, 4.00%,
1/20/15 (b)

 

USD

200

 

$

211,500

 

 

 

 

 

 

 

 

 

 

Other Interests — 0.0% (h)

 

Beneficial
Interest
(000)

 

 

 

 

Adelphia Communications Corp., Class A

 

 

400

 

 

3,200

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.39%, 6/01/67 (g)

 

 

200

 

 

142,865

 

Insurance — 0.5%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (g)

 

 

305

 

 

183,000

 

XL Group Plc, Series E, 6.50% (g)(i)

 

 

338

 

 

308,003

 

 

 

 

 

 

 

491,003

 

Total Capital Trusts — 0.6%

 

 

 

 

 

633,868

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

 

 

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (b)

 

 

1,030

 

 

937,912

 

Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

3,277

 

 

75,305

 

Total Preferred Stocks — 1.0%

 

 

 

 

 

1,013,217

 

 

 

 

 

 

 

 

 

 

Trust Preferreds — 0.2%

 

 

 

 

 

 

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)

 

 

6,840

 

 

169,036

 

Total Preferred Securities — 1.8%

 

 

 

 

 

1,816,121

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds — 0.4%

 

 

 

 

 

 

 

Metropolitan Transportation Authority, RB,
Build America Bonds, Series TR, 6.81%, 11/15/40

 

 

300

 

 

408,474

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency
Securities — 0.2%

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 0.2%

 

 

 

 

 

 

 

Ginnie Mae Mortgage-Backed Securities,
Series 2006-68, Class B, 5.16%, 6/16/31 (g)

 

 

236

 

 

240,216

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

Par
(000)

 

Value

 

US Treasury Bonds, 3.00%, 5/15/42

 

USD

700

 

$

747,578

 

US Treasury Notes:

 

 

 

 

 

 

 

2.00%, 2/15/22

 

 

70

 

 

73,216

 

1.75%, 5/15/22

 

 

200

 

 

204,062

 

Total US Treasury Obligations — 1.0%

 

 

 

 

 

1,024,856

 

 

 

 

 

 

 

 

 

 

Warrants (j)

 

Shares

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

56

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

 

Total Long-Term Investments
(Cost — $120,547,836) — 126.0%

 

 

 

 

 

128,160,786

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs Group, Inc.

 

 

6

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.1%

 

 

 

 

 

 

 

Receive a fixed rate of 2.36% and pay a floating
rate based on 3-month LIBOR, Expires 10/17/12,
Broker Barclays Plc

 

USD

100

 

 

1,503

 

Receive a fixed rate of 2.40% and pay a floating
rate based on 3-month LIBOR, Expires 11/20/12,
Broker Citigroup, Inc.

 

 

1,100

 

 

28,202

 

Receive a fixed rate of 0.71% and pay a floating
rate based on 3-month LIBOR, Expires 7/01/13,
Broker Credit Suisse Group AG

 

 

4,525

 

 

26,998

 

Receive a fixed rate of 1.16% and pay a floating
rate based on 3-month LIBOR, Expires 7/11/13,
Broker Citigroup, Inc.

 

 

1,700

 

 

23,806

 

 

 

 

 

 

 

80,509

 

Over-the-Counter Interest Rate Put
Swaptions — 0.0%

 

 

 

 

 

 

 

Pay a fixed rate of 2.80% and receive a floating
rate based on 3-month LIBOR, Expires 10/17/12,
Broker Barclays Plc

 

 

100

 

 

620

 

Pay a fixed rate of 0.71% and receive a floating
rate based on 3-month LIBOR, Expires 7/01/13,
Broker Credit Suisse Group AG

 

 

4,525

 

 

6,144

 

Pay a fixed rate of 1.16% and receive a floating
rate based on 3-month LIBOR, Expires 7/11/13,
Broker Citigroup, Inc.

 

 

1,700

 

 

15,158

 

Pay a fixed rate of 4.50% and receive a floating
rate based on 6-month EURIBOR, Expires
9/16/13, Broker Credit Suisse Group AG

 

EUR

600

 

 

1,625

 

Pay a fixed rate of 4.50% and receive a floating
rate based on 3-month LIBOR, Expires 2/02/17,
Broker Deutsche Bank AG

 

USD

1,000

 

 

25,174

 

 

 

 

 

 

 

48,721

 

Total Options Purchased (Cost — $150,733) — 0.1%

 

 

 

 

 

129,230

 

Total Investments Before Options Written
(Cost — $120,698,569) — 126.1%

 

 

 

 

 

128,290,016

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

105




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Call
Swaptions — (0.0)%

 

 

 

 

 

 

 

Pay a fixed rate of 1.40% and receive a floating
rate based on 3-month LIBOR, Expires 5/08/14,
Broker Citigroup, Inc.

 

USD

600

 

$

(10,670

)

Pay a fixed rate of 1.00% and receive a floating
rate based on 3-month LIBOR, Expires 7/11/14,
Broker Credit Suisse Group AG

 

 

1,700

 

 

(12,962

)

 

 

 

 

 

 

(23,632

)

Over-the-Counter Interest Rate Put
Swaptions — (0.1)%

 

 

 

 

 

 

 

Receive a fixed rate of 2.40% and pay a floating
rate based on 3-month LIBOR, Expires 5/08/14,
Broker Citigroup, Inc.

 

 

600

 

 

(3,690

)

Receive a fixed rate of 2.00% and pay a floating
rate based on 3-month LIBOR, Expires 7/11/14,
Broker Credit Suisse Group AG

 

 

1,700

 

 

(18,936

)

Receive a fixed rate of 6.00% and pay a floating
rate based on 3-month LIBOR, Expires 2/02/17,
Broker Deutsche Bank AG

 

 

2,000

 

 

(24,372

)

 

 

 

 

 

 

(46,998

)

Total Options Written
(Premiums Received — $87,070) — (0.1)%

 

 

 

 

 

(70,630

)

Total Investments, Net of Options Written — 126.0%

 

 

 

 

 

128,219,386

 

Liabilities in Excess of Other Assets — (26.0)%

 

 

 

 

 

(26,494,899

)

Net Assets — 100.0%

 

 

 

 

$

101,724,487

 


 

 

 

 

(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)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Convertible security.

 

 

(f)

Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

 

(g)

Variable rate security. Rate shown is as of report date.

 

 

(h)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(i)

Security is perpetual in nature and has no stated maturity 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, if any.

 

 

Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
August 31,
2012

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

891,719

 

 

(891,719)

 

 

 

 

$  612

 


 

 

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 purchased as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

66

 

2-Year US
Treasury Note

 

Chicago
Board of Trade

 

December
2012

 

USD

14,558,156

 

$

13,633

 

29

 

5-Year US
Treasury Note

 

Chicago
Board of Trade

 

December
2012

 

USD

3,615,258

 

 

18,563

 

8

 

Ultra Long US
Treasury Bond

 

Chicago
Board of Trade

 

December
2012

 

USD

1,352,000

 

 

15,172

 

Total

 

 

 

 

 

 

 

 

 

 

$

47,368

 


 

 

Financial futures contracts sold as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

29

 

10-Year US
Treasury Note

 

Chicago
Board of Trade

 

December 2012

 

USD

3,877,844

 

$

(30,343

)

30

 

30-Year US
Treasury Bond

 

Chicago
Board of Trade

 

December 2012

 

USD

4,542,187

 

 

(49,788

)

Total

 

 

 

 

 

 

 

 

 

 

$

(80,131

)


 

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

1,294,697

 

 

GBP

 

834,000

 

UBS AG

 

10/17/12

 

$

(29,376

)

USD

 

117,809

 

 

GBP

 

75,000

 

UBS AG

 

10/17/12

 

 

(1,262

)

EUR

 

165,000

 

 

USD

 

204,471

 

Citigroup, Inc.

 

10/22/12

 

 

3,173

 

EUR

 

169,000

 

 

USD

 

206,923

 

Citigroup, Inc.

 

10/22/12

 

 

5,755

 

EUR

 

123,000

 

 

USD

 

151,958

 

UBS AG

 

10/22/12

 

 

2,831

 

USD

 

155,305

 

 

EUR

 

125,000

 

Citigroup, Inc.

 

10/22/12

 

 

(2,001

)

USD

 

5,303,064

 

 

EUR

 

4,320,000

 

UBS AG

 

10/22/12

 

 

(133,434

)

USD

 

246,900

 

 

EUR

 

200,000

 

UBS AG

 

10/22/12

 

 

(4,790

)

USD

 

154,428

 

 

EUR

 

125,000

 

UBS AG

 

10/22/12

 

 

(2,878

)

USD

 

31,960

 

 

EUR

 

26,000

 

UBS AG

 

10/22/12

 

 

(760

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(162,742

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Republic of
Hungary

 

1.00%

 

Deutsche
Bank AG

 

12/20/15

 

USD 110

 

$

2,001

 

The New York
Times Co.

 

1.00%

 

Barclays Plc

 

12/20/16

 

USD 500

 

 

(1,467

)

Total

 

 

 

 

 

 

 

 

 

$

534

 


 

 

 

See Notes to Financial Statements.

 

 

 

106

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

MetLife, Inc.

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

A–

 

USD 150

 

$

7,535

 

MetLife, Inc.

 

1.00%

 

UBS AG

 

9/20/15

 

A–

 

USD 175

 

 

3,686

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs & Co.

 

6/20/16

 

B

 

USD 150

 

 

12,669

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs & Co.

 

6/20/16

 

B

 

USD 150

 

 

13,500

 

ARAMARK Corp.

 

5.00%

 

JPMorgan
Chase & Co.

 

6/20/16

 

B

 

USD 50

 

 

4,391

 

ARAMARK Corp.

 

5.00%

 

JPMorgan
Chase & Co.

 

6/20/16

 

B

 

USD 100

 

 

8,782

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs & Co.

 

9/20/16

 

B

 

USD 150

 

 

13,143

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

63,706

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

Interest rate swaps outstanding as of August 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty/
Exchange

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

0.44%3

 

3-month
LIBOR

 

Chicago
Mercantile

 

8/29/14

 

USD

 

2,900

 

$

(2,261

)

0.44%3

 

3-month
LIBOR

 

Chicago
Mercantile

 

8/30/14

 

USD

 

2,900

 

 

(2,187

)

2.48%3

 

3-month
LIBOR

 

Credit Suisse
Group AG

 

7/05/42

 

USD

 

500

 

 

(469

)

2.26%3

 

3-month
LIBOR

 

Goldman Sachs
Group, Inc.

 

7/26/42

 

USD

 

200

 

 

9,689

 

2.46%3

 

3-month
LIBOR

 

Deutsche
Bank AG

 

8/07/42

 

USD

 

500

 

 

1,532

 

2.51%3

 

3-month
LIBOR

 

Credit Suisse
Group AG

 

8/10/42

 

USD

 

300

 

 

(1,760

)

2.71%3

 

3-month
LIBOR

 

Credit Suisse
Group AG

 

8/21/42

 

USD

 

100

 

 

(4,952

)

2.69%3

 

3-month
LIBOR

 

Citigroup, Inc.

 

8/22/42

 

USD

 

100

 

 

(4,623

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(5,031

)


 

 

 

 

3

Trust pays the fixed rate and receives the floating rate.


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

1,695,517

 

 

 

$

1

 

$

1,695,518

 

Corporate Bonds

 

 

 

$

101,578,311

 

 

 

 

101,578,311

 

Floating Rate
Loan Interests

 

 

 

 

16,969,977

 

 

4,212,613

 

 

21,182,590

 

Foreign Agency
Obligations

 

 

 

 

211,500

 

 

 

 

211,500

 

Other Interest

 

 

 

 

3,200

 

 

 

 

3,200

 

Preferred
Securities

 

 

244,341

 

 

1,571,780

 

 

 

 

1,816,121

 

Taxable Municipal
Bonds

 

 

 

 

408,474

 

 

 

 

408,474

 

US Government
Sponsored Agency
Securities

 

 

 

 

240,216

 

 

 

 

240,216

 

US Treasury
Obligations

 

 

 

 

1,024,856

 

 

 

 

1,024,856

 

Total

 

$

1,939,858

 

$

122,008,314

 

$

4,212,614

 

$

128,160,786

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments4

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

65,707

 

 

 

$

65,707

 

Foreign currency
exchange contracts.

 

 

 

 

11,759

 

 

 

 

11,759

 

Interest rate
contracts

 

$

47,368

 

 

140,451

 

 

 

 

187,819

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(1,467

)

 

 

 

(1,467

)

Foreign currency
exchange contracts

 

 

 

 

(174,501

)

 

 

 

(174,501

)

Interest rate
contracts

 

 

(80,131

)

 

(86,882

)

 

 

 

(167,013

)

Total

 

$

(32,763

)

$

(44,933

)

 

 

$

(77,696

)


 

4

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. 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.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

107




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

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, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency at value

 

$

323,966

 

 

 

 

 

$

323,966

 

Cash

 

 

1,569,975

 

 

 

 

 

 

1,569,975

 

Cash pledged as collateral for financial futures contracts

 

 

98,660

 

 

 

 

 

 

98,660

 

Cash pledged as collateral for swaps

 

 

30,000

 

 

 

 

 

 

30,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

 

$

(30,000,000

)

 

 

 

(30,000,000

)

Total

 

$

2,022,601

 

$

(30,000,000

)

 

 

$

(27,977,399

)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,892,938 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

Unobservable Inputs1

 

Range of
of Unobservable
Inputs

 

Weighted Average
Inputs2

Assets:

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

$

1,037,054

 

Market Comparable Companies

 

Yield

 

9.65%

 

9.65%

 

 

 

 

 

Cost

 

N/A3

 

 

Total4

 

$

1,037,054

 

 

 

 

 

 

 

 


 

 

1

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

 

 

 

Unobservable Input

 

Impact to
Value if Input Increases

 

Impact to
Value if Input Decreases

 

Yield

 

Decrease

 

Increase

 


 

2

Unobservable inputs are weighted based on the value of the investments included in the range.

 

 

 

 

3

The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

 

 

 

4

Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


 

 

 

See Notes to Financial Statements.

 

 

 

108

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Strategic Bond Trust (BHD)

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

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of August 31, 2011

 

 

 

$

38,005

 

$

3,592,743

 

$

95

 

$

79,288

 

$

60,209

 

$

3,770,340

 

Transfers into Level 31

 

$

1

 

 

 

 

341,818

 

 

 

 

 

 

 

 

341,819

 

Transfers out of Level 32

 

 

 

 

 

 

(567,875

)

 

 

 

 

 

 

 

(567,875

)

Accrued discounts/premiums

 

 

 

 

156

 

 

10,379

 

 

 

 

 

 

 

 

10,535

 

Net realized gain

 

 

 

 

13,618

 

 

11,300

 

 

182

 

 

93,280

 

 

 

 

118,380

 

Net change in unrealized appreciation/depreciation3

 

 

 

 

(11,779

)

 

79,045

 

 

(95

)

 

(79,288

)

 

(60,209

)

 

(72,326

)

Purchases

 

 

 

 

 

 

1,226,866

 

 

 

 

 

 

 

 

1,226,866

 

Sales

 

 

 

 

(40,000

)

 

(481,663

)

 

(182

)

 

(93,280

)

 

 

 

(615,125

)

Closing Balance, as of August 31, 2012

 

$

1

 

 

 

$

4,212,613

 

 

 

 

 

 

 

$

4,212,614

 


 

 

 

 

1

As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $341,819 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

 

 

 

2

As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $567,875 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $79,039.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Opening balance, as of August 31, 2011

 

$

(307

)

Transfers into Level 34

 

 

 

Transfers out of Level 34

 

 

 

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation5

 

 

307

 

Purchases

 

 

 

Issues6

 

 

 

Sales

 

 

 

Settlements7

 

 

 

Closing Balance, as of August 31, 2012

 

 

 


 

4

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

 

5

Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

 

 

6

Issues represent upfront cash received on certain derivative financial instruments.

 

 

7

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

109




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2012

 

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

 

$

613,875,621

 

$

584,232,874

 

$

608,749,814

 

$

163,218,554

 

Investments at value — affiliated2

 

 

534,025

 

 

 

 

 

 

 

Foreign currency at value3

 

 

1,439,246

 

 

285,748

 

 

550,512

 

 

40,712

 

Cash

 

 

340,000

 

 

1,539,537

 

 

1,867,598

 

 

1,172,455

 

Cash pledged as collateral for financial futures contracts

 

 

459,000

 

 

731,000

 

 

765,000

 

 

208,000

 

Cash pledged as collateral for reverse repurchase agreements

 

 

1,643,000

 

 

 

 

 

 

 

Cash pledged as collateral for swaps

 

 

7,390,000

 

 

400,000

 

 

400,000

 

 

 

Investments sold receivable

 

 

314,519

 

 

1,558,106

 

 

1,481,013

 

 

172,293

 

Interest receivable

 

 

6,028,570

 

 

8,832,788

 

 

9,283,824

 

 

2,553,640

 

Unrealized appreciation on swaps

 

 

1,427,167

 

 

1,271,142

 

 

1,310,916

 

 

 

Swaps receivable

 

 

181,272

 

 

188,897

 

 

193,367

 

 

 

Swap premiums paid

 

 

372,072

 

 

380,380

 

 

389,874

 

 

 

Unrealized appreciation on foreign currency exchange contracts

 

 

17,221

 

 

44,136

 

 

56,409

 

 

5,847

 

Options written receivable

 

 

44,800

 

 

 

 

 

 

 

Dividends receivable

 

 

 

 

8,034

 

 

2,907

 

 

 

Variation margin receivable

 

 

10,830

 

 

 

 

 

 

 

Prepaid expenses

 

 

2,203

 

 

6,691

 

 

7,376

 

 

3,314

 

Total assets

 

 

634,079,546

 

 

599,479,333

 

 

625,058,610

 

 

167,374,815

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

182,678,820

 

 

 

 

 

 

 

Loan payable

 

 

 

 

175,000,000

 

 

181,000,000

 

 

42,000,000

 

Cash received as collateral for swaps

 

 

1,200,000

 

 

600,000

 

 

600,000

 

 

 

Cash received as collateral for reverse repurchase agreements

 

 

590,475

 

 

 

 

 

 

 

Investments purchased payable

 

 

26,166,838

 

 

4,563,945

 

 

4,763,688

 

 

1,230,320

 

Options written at value4

 

 

8,683,021

 

 

 

 

 

 

 

Unrealized depreciation on swaps

 

 

1,866,252

 

 

93,281

 

 

97,701

 

 

 

Unrealized depreciation on foreign currency exchange contracts

 

 

354,755

 

 

1,091,099

 

 

1,148,537

 

 

145,138

 

Swap premiums received

 

 

359,367

 

 

531,355

 

 

561,438

 

 

 

Swaps payable

 

 

257,298

 

 

81,834

 

 

87,264

 

 

 

Investment advisory fees payable

 

 

260,263

 

 

295,294

 

 

358,885

 

 

103,299

 

Variation margin payable

 

 

 

 

69,600

 

 

72,800

 

 

21,600

 

Interest expense payable

 

 

55,630

 

 

55,861

 

 

59,740

 

 

8,087

 

Officer’s and Trustees’ fees payable

 

 

45,304

 

 

90,922

 

 

93,042

 

 

10,956

 

Other liabilities

 

 

240,760

 

 

 

 

 

 

 

Other accrued expenses payable

 

 

184,920

 

 

305,125

 

 

260,492

 

 

110,058

 

Total liabilities

 

 

222,943,703

 

 

182,778,316

 

 

189,103,587

 

 

43,629,458

 

Net Assets

 

$

411,135,843

 

$

416,701,017

 

$

435,955,023

 

$

123,745,357

 

1 Investments at cost — unaffiliated

 

$

574,106,023

 

$

569,171,553

 

$

594,142,867

 

$

160,473,519

 

2 Investments at cost — affiliated

 

$

534,025

 

 

 

 

 

 

 

3 Foreign currency at cost

 

$

1,416,037

 

$

285,309

 

$

549,656

 

$

40,113

 

4 Premiums received

 

$

8,732,899

 

 

 

 

 

 

 


 

 

*

Consolidated Statement of Assets and Liabilities.


 

 

 

See Notes to Financial Statements.

 

 

 

 

110

ANNUAL REPORT

AUGUST 31, 2012




 

 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2012

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)*

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)*

 

BlackRock
High Income
Shares
(HIS)

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

378,738,969

 

$

470,538,334

 

$

506,124,330

 

$

158,451,460

 

Undistributed net investment income

 

 

7,384,327

 

 

7,780,357

 

 

8,725,988

 

 

2,289,115

 

Accumulated net realized loss

 

 

(13,829,793

)

 

(75,970,806

)

 

(92,746,584

)

 

(39,341,657

)

Net unrealized appreciation/depreciation

 

 

38,842,340

 

 

14,353,132

 

 

13,851,289

 

 

2,346,439

 

Net Assets

 

$

411,135,843

 

$

416,701,017

 

$

435,955,023

 

$

123,745,357

 

Net asset value per share

 

$

15.21

 

$

12.63

 

$

12.32

 

$

2.26

 

5 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

6 Shares outstanding

 

 

27,027,431

 

 

33,003,376

 

 

35,379,189

 

 

54,745,077

 

7 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 


 

 

*

Consolidated Statement of Assets and Liabilities.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

111




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2012

 

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

 

$

64,039,715

 

$

616,657,167

 

$

884,548,851

 

$

128,290,016

 

Investments at value — affiliated2

 

 

1,204,968

 

 

1,343,014

 

 

2,187,808

 

 

 

Foreign currency at value3

 

 

24,065

 

 

548,136

 

 

 

 

323,966

 

Cash

 

 

 

 

325,000

 

 

 

 

1,569,975

 

Cash pledged as collateral for financial futures contracts

 

 

71,000

 

 

1,344,000

 

 

2,464,000

 

 

98,660

 

Cash pledged as collateral for reverse repurchase agreements

 

 

 

 

752,000

 

 

50,000

 

 

 

Cash pledged as collateral for swaps

 

 

 

 

7,320,000

 

 

3,300,000

 

 

30,000

 

TBA sale commitments receivable

 

 

 

 

 

 

128,007,914

 

 

 

Investments sold receivable

 

 

128,885

 

 

6,175

 

 

37,890,812

 

 

318,804

 

Interest receivable

 

 

1,004,480

 

 

6,218,544

 

 

2,931,497

 

 

1,859,414

 

Unrealized appreciation on swaps

 

 

109,733

 

 

1,471,012

 

 

10,808,153

 

 

76,928

 

Swaps receivable

 

 

14,767

 

 

191,535

 

 

854,256

 

 

9,446

 

Swap premiums paid

 

 

36,862

 

 

371,913

 

 

 

 

62,233

 

Unrealized appreciation on foreign currency exchange contracts

 

 

1,806

 

 

22,416

 

 

 

 

11,759

 

Options written receivable

 

 

 

 

44,800

 

 

 

 

 

Variation margin receivable

 

 

 

 

 

 

 

 

1,092

 

Prepaid expenses

 

 

983

 

 

17,047

 

 

18,646

 

 

883

 

Total assets

 

 

66,637,264

 

 

636,632,759

 

 

1,073,061,937

 

 

132,653,176

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

 

 

188,055,345

 

 

119,706,079

 

 

 

Loan payable

 

 

19,000,000

 

 

 

 

 

 

30,000,000

 

Cash received as collateral for swaps

 

 

 

 

1,200,000

 

 

4,100,000

 

 

 

Cash received as collateral for reverse repurchase agreements

 

 

 

 

127,000

 

 

 

 

 

Investments purchased payable

 

 

467,845

 

 

26,166,838

 

 

278,873,448

 

 

449,909

 

TBA sale commitments at value4

 

 

 

 

 

 

128,330,057

 

 

 

Borrowed bonds5

 

 

 

 

 

 

19,161,752

 

 

 

Options written at value6

 

 

 

 

8,674,269

 

 

 

 

70,630

 

Unrealized depreciation on swaps

 

 

11,189

 

 

1,881,422

 

 

11,773,298

 

 

17,719

 

Unrealized depreciation on foreign currency exchange contracts

 

 

52,731

 

 

303,654

 

 

 

 

174,501

 

Swap premiums received

 

 

40,060

 

 

362,366

 

 

239,519

 

 

7,731

 

Swaps payable

 

 

20,916

 

 

260,171

 

 

1,158,670

 

 

5,961

 

Investment advisory fees payable

 

 

48,532

 

 

205,038

 

 

279,712

 

 

80,266

 

Variation margin payable

 

 

7,200

 

 

36,766

 

 

1,087,279

 

 

14,398

 

Interest expense payable

 

 

4,984

 

 

55,196

 

 

32,728

 

 

1,090

 

Officer’s and Trustees’ fees payable

 

 

11,753

 

 

89,626

 

 

100,045

 

 

10,227

 

Income dividends payable

 

 

 

 

54,222

 

 

123,245

 

 

 

Administration fees payable

 

 

5,394

 

 

34,185

 

 

64,589

 

 

 

Other liabilities

 

 

 

 

879,346

 

 

 

 

 

Other accrued expenses payable

 

 

90,267

 

 

178,941

 

 

179,696

 

 

96,257

 

Total liabilities

 

 

19,760,871

 

 

228,564,385

 

 

565,210,117

 

 

30,928,689

 

Net Assets

 

$

46,876,393

 

$

408,068,374

 

$

507,851,820

 

$

101,724,487

 

1 Investments at cost — unaffiliated

 

$

61,524,834

 

$

575,150,732

 

$

860,024,524

 

$

120,698,569

 

2 Investments at cost — affiliated

 

$

1,204,968

 

$

1,343,014

 

$

2,187,808

 

 

 

3 Foreign currency at cost

 

$

23,652

 

$

541,509

 

 

 

$

323,690

 

4 Proceeds from TBA sale commitments

 

 

 

 

 

$

128,007,914

 

 

 

5 Proceeds from borrowed bonds — cost

 

 

 

 

 

$

18,489,219

 

 

 

6 Premiums received

 

 

 

$

8,723,514

 

 

 

$

87,070

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

112

ANNUAL REPORT

AUGUST 31, 2012




 

 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2012

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital7,8,9

 

$

58,171,175

 

$

402,924,496

 

$

478,542,248

 

$

98,500,895

 

Cost of shares held in treasury10

 

 

 

 

(17,377,850

)

 

 

 

 

Undistributed net investment income

 

 

177,267

 

 

5,436,734

 

 

8,050,320

 

 

810,526

 

Undistributed net realized gain (accumulated net realized loss)

 

 

(13,948,050

)

 

(23,410,788

)

 

535,070

 

 

(5,057,691

)

Net unrealized appreciation/depreciation

 

 

2,476,001

 

 

40,495,782

 

 

20,724,182

 

 

7,470,757

 

Net Assets

 

$

46,876,393

 

$

408,068,374

 

$

507,851,820

 

$

101,724,487

 

Net asset value per share

 

$

7.29

 

$

11.84

 

$

7.94

 

$

14.40

 

  7 Par value per share

 

$

0.001

 

$

0.01

 

$

0.01

 

$

0.001

 

  8 Shares outstanding

 

 

6,429,525

 

 

34,456,370

 

 

63,942,535

 

 

7,061,947

 

  9 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 

10 Shares held in treasury

 

 

 

 

1,757,400

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

113




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2012

 

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

 

$

27,485,309

 

$

39,987,875

 

$

41,868,358

 

$

12,659,707

 

Dividends — unaffiliated

 

 

32,376

 

 

1,049,825

 

 

1,070,266

 

 

179,155

 

Dividends — affiliated

 

 

6,723

 

 

4,747

 

 

4,892

 

 

994

 

Foreign taxes withheld

 

 

 

 

 

 

 

 

(1,463

)

Total income

 

 

27,524,408

 

 

41,042,447

 

 

42,943,516

 

 

12,838,393

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

2,925,460

 

 

3,211,029

 

 

3,897,072

 

 

1,127,906

 

Professional

 

 

135,343

 

 

265,967

 

 

184,598

 

 

92,659

 

Borrowing costs2

 

 

 

 

370,048

 

 

397,967

 

 

118,126

 

Accounting services

 

 

101,734

 

 

129,713

 

 

130,214

 

 

61,370

 

Custodian

 

 

66,257

 

 

90,349

 

 

80,023

 

 

35,593

 

Transfer agent

 

 

48,629

 

 

63,229

 

 

68,455

 

 

48,261

 

Officer and Trustees

 

 

42,604

 

 

44,348

 

 

46,621

 

 

11,950

 

Printing

 

 

21,960

 

 

48,913

 

 

49,695

 

 

14,233

 

Registration

 

 

9,215

 

 

11,499

 

 

12,124

 

 

18,609

 

Miscellaneous

 

 

54,200

 

 

36,929

 

 

64,012

 

 

18,983

 

Total expenses excluding interest expense

 

 

3,405,402

 

 

4,272,024

 

 

4,930,781

 

 

1,547,690

 

Interest expense

 

 

301,470

 

 

1,326,244

 

 

1,347,964

 

 

291,095

 

Total expenses

 

 

3,706,872

 

 

5,598,268

 

 

6,278,745

 

 

1,838,785

 

Less fees waived by Manager

 

 

(45,192

)

 

(560

)

 

(605

)

 

(358

)

Total expenses after fees waived

 

 

3,661,680

 

 

5,597,708

 

 

6,278,140

 

 

1,838,427

 

Net investment income

 

 

23,862,728

 

 

35,444,739

 

 

36,665,376

 

 

10,999,966

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

5,920,218

 

 

(5,270,906

)

 

(6,310,905

)

 

(2,351,206

)

Financial futures contracts

 

 

2,615,703

 

 

(4,013,355

)

 

(4,139,883

)

 

(351,168

)

Foreign currency transactions

 

 

2,216,632

 

 

5,558,443

 

 

5,140,695

 

 

992,071

 

Option written

 

 

1,817,806

 

 

1,382,809

 

 

1,474,047

 

 

161,669

 

Swaps

 

 

39,402

 

 

174,098

 

 

153,327

 

 

 

Borrowed bonds

 

 

115,785

 

 

 

 

 

 

 

 

 

 

12,725,546

 

 

(2,168,911

)

 

(3,682,719

)

 

(1,548,634

)

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

25,476,224

 

 

29,923,258

 

 

30,681,531

 

 

6,560,115

 

Financial futures contracts

 

 

230,875

 

 

1,527,880

 

 

1,445,117

 

 

(74,201

)

Foreign currency translations

 

 

(302,092

)

 

(862,166

)

 

(943,832

)

 

(104,185

)

Option written

 

 

2,569,518

 

 

429,812

 

 

434,133

 

 

 

Swaps

 

 

(3,576,515

)

 

1,209,400

 

 

1,243,028

 

 

 

 

 

 

24,398,010

 

 

32,228,184

 

 

32,859,977

 

 

6,381,729

 

Total realized and unrealized gain

 

 

37,123,556

 

 

30,059,273

 

 

29,177,258

 

 

4,833,095

 

Net Increase in Net Assets Resulting from Operations

 

$

60,986,284

 

$

65,504,012

 

$

65,842,634

 

$

15,833,061

 


 

 

 

 

1

Consolidated Statement of Operations.

 

 

 

 

2

See Note 6 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

See Notes to Financial Statements.

 

 

 

 

114

ANNUAL REPORT

AUGUST 31, 2012




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2012

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

4,238,856

 

$

26,557,003

 

$

29,693,193

 

$

8,316,370

 

Dividends — unaffiliated

 

 

57,375

 

 

34,997

 

 

 

 

85,876

 

Dividends — affiliated

 

 

946

 

 

7,184

 

 

13,271

 

 

985

 

Total income

 

 

4,297,177

 

 

26,599,184

 

 

29,706,464

 

 

8,403,231

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

498,163

 

 

2,321,863

 

 

3,310,770

 

 

897,234

 

Administration

 

 

55,351

 

 

386,977

 

 

764,024

 

 

 

Professional

 

 

79,508

 

 

122,304

 

 

124,247

 

 

59,988

 

Borrowing costs1

 

 

42,678

 

 

 

 

 

 

93,212

 

Accounting services

 

 

44,620

 

 

121,076

 

 

97,824

 

 

69,736

 

Custodian

 

 

25,815

 

 

58,940

 

 

44,478

 

 

24,314

 

Transfer agent

 

 

21,126

 

 

51,941

 

 

109,741

 

 

20,964

 

Officer and Trustees

 

 

5,842

 

 

53,483

 

 

61,662

 

 

10,465

 

Printing

 

 

13,745

 

 

16,229

 

 

27,088

 

 

12,797

 

Registration

 

 

9,152

 

 

11,746

 

 

21,789

 

 

9,162

 

Miscellaneous

 

 

4,086

 

 

39,496

 

 

46,469

 

 

13,380

 

Total expenses excluding interest expense

 

 

800,086

 

 

3,184,055

 

 

4,608,092

 

 

1,211,252

 

Interest expense

 

 

100,150

 

 

304,952

 

 

329,238

 

 

209,087

 

Total expenses

 

 

900,236

 

 

3,489,007

 

 

4,937,330

 

 

1,420,339

 

Less fees waived by Manager

 

 

(274

)

 

(2,194

)

 

(5,174

)

 

(317

)

Total expenses after fees waived

 

 

899,962

 

 

3,486,813

 

 

4,932,156

 

 

1,420,022

 

Net investment income

 

 

3,397,215

 

 

23,112,371

 

 

24,774,308

 

 

6,983,209

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

208,240

 

 

4,559,265

 

 

21,609,950

 

 

607,584

 

Financial futures contracts

 

 

8,944

 

 

2,458,482

 

 

(9,831,831

)

 

(279,204

)

Foreign currency transactions

 

 

137,430

 

 

1,695,796

 

 

 

 

900,102

 

Option written

 

 

2,850

 

 

2,489,977

 

 

(726,486

)

 

10,049

 

Swaps

 

 

435,717

 

 

(414,174

)

 

1,830,628

 

 

90,966

 

Borrowed bonds

 

 

 

 

106,583

 

 

297,676

 

 

 

Interest rate floors

 

 

 

 

 

 

440,833

 

 

 

 

 

 

793,181

 

 

10,895,929

 

 

13,620,770

 

 

1,329,497

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

2,582,364

 

 

26,629,370

 

 

(1,310,586

)

 

6,044,986

 

Financial futures contracts

 

 

(87,001

)

 

(138,050

)

 

(4,582,177

)

 

(39,016

)

Foreign currency translations

 

 

(50,424

)

 

(251,022

)

 

 

 

(137,403

)

Option written

 

 

 

 

2,390,038

 

 

825,854

 

 

16,440

 

Swaps

 

 

(42,673

)

 

(3,486,766

)

 

(3,606,318

)

 

1,971

 

Borrowed bonds

 

 

 

 

 

 

(193,669

)

 

 

Interest rate floors

 

 

 

 

 

 

(132,104

)

 

 

 

 

 

2,402,266

 

 

25,143,570

 

 

(8,999,000

)

 

5,886,978

 

Total realized and unrealized gain

 

 

3,195,447

 

 

36,039,499

 

 

4,621,770

 

 

7,216,475

 

Net Increase in Net Assets Resulting from Operations

 

$

6,592,662

 

$

59,151,870

 

$

29,396,078

 

$

14,199,684

 


 

 

 

 

1

See Note 6 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

115




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

BlackRock Corporate
High Yield Fund V, Inc. (HYV)

 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

Increase (Decrease) in Net Assets:

 

2012

 

2011

 

20121

 

2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

23,862,728

 

$

22,314,162

 

$

35,444,739

 

$

35,857,110

 

Net realized gain (loss)

 

 

12,725,546

 

 

(647,293

)

 

(2,168,911

)

 

14,918,241

 

Net change in unrealized appreciation/depreciation

 

 

24,398,010

 

 

(9,184,462

)

 

32,228,184

 

 

(12,682,377

)

Net increase in net assets resulting from operations

 

 

60,986,284

 

 

12,482,407

 

 

65,504,012

 

 

38,092,974

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(22,212,928

)

 

(23,726,515

)

 

(35,208,709

)

 

(35,008,792

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

67,030

 

 

 

 

718,285

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

38,840,386

 

 

(11,244,108

)

 

31,013,588

 

 

3,084,182

 

Beginning of year

 

 

372,295,457

 

 

383,539,565

 

 

385,687,429

 

 

382,603,247

 

End of year

 

$

411,135,843

 

$

372,295,457

 

$

416,701,017

 

$

385,687,429

 

Undistributed net investment income

 

$

7,384,327

 

$

3,484,685

 

$

7,780,357

 

$

2,797,479

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund VI, Inc. (HYT)

 

BlackRock
High Income Shares (HIS)

 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

Increase (Decrease) in Net Assets:

 

20121

 

2011

 

2012

 

2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

36,665,376

 

$

37,473,827

 

$

10,999,966

 

$

10,833,774

 

Net realized gain (loss)

 

 

(3,682,719

)

 

14,913,681

 

 

(1,548,634

)

 

2,844,466

 

Net change in unrealized appreciation/depreciation

 

 

32,859,977

 

 

(13,209,144

)

 

6,381,729

 

 

(3,103,981

)

Net increase in net assets resulting from operations

 

 

65,842,634

 

 

39,178,364

 

 

15,833,061

 

 

10,574,259

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(36,599,844

)

 

(35,241,068

)

 

(11,172,280

)

 

(11,407,404

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Refund of offering costs previously charged to paid-in capital

 

 

8,495

 

 

 

 

2,126

 

 

 

Reinvestment of dividends

 

 

1,006,632

 

 

 

 

273,904

 

 

 

Net increase in net assets resulting from capital share transactions

 

 

1,015,127

 

 

 

 

276,030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

30,257,917

 

 

3,937,296

 

 

4,936,811

 

 

(833,145

)

Beginning of year

 

 

405,697,106

 

 

401,759,810

 

 

118,808,546

 

 

119,641,691

 

End of year

 

$

435,955,023

 

$

405,697,106

 

$

123,745,357

 

$

118,808,546

 

Undistributed net investment income

 

$

8,725,988

 

$

4,335,509

 

$

2,289,115

 

$

2,031,075

 


 

 

 

 

1

Consolidated Statement of Changes in Net Assets.


 

 

 

See Notes to Financial Statements.

 

 

 

 

116

ANNUAL REPORT

AUGUST 31, 2012




 

 

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:

 

2012

 

2011

 

2012

 

2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

3,397,215

 

$

3,268,780

 

$

23,112,371

 

$

21,766,357

 

Net realized gain (loss)

 

 

793,181

 

 

(862,713

)

 

10,895,929

 

 

2,874,735

 

Net change in unrealized appreciation/depreciation

 

 

2,402,266

 

 

1,613,207

 

 

25,143,570

 

 

(12,557,938

)

Net increase in net assets resulting from operations

 

 

6,592,662

 

 

4,019,274

 

 

59,151,870

 

 

12,083,154

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(3,374,830

)

 

(3,278,764

)

 

(22,258,816

)

 

(22,287,310

)

Tax return of capital

 

 

 

 

(76,404

)

 

 

 

 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(3,374,830

)

 

(3,355,168

)

 

(22,258,816

)

 

(22,287,310

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

14,323

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

3,232,155

 

 

664,106

 

 

36,893,054

 

 

(10,204,156

)

Beginning of year

 

 

43,644,238

 

 

42,980,132

 

 

371,175,320

 

 

381,379,476

 

End of year

 

$

46,876,393

 

$

43,644,238

 

$

408,068,374

 

$

371,175,320

 

Undistributed (distribution in excess of) net investment income

 

$

177,267

 

$

(107,518

)

$

5,436,734

 

$

4,312,166

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

BlackRock
Strategic Bond Trust (BHD)

 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

Increase (Decrease) in Net Assets:

 

 

2012

 

 

2011

 

 

2012

 

 

2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

24,774,308

 

$

22,089,670

 

$

6,983,209

 

$

7,484,893

 

Net realized gain (loss)

 

 

13,620,770

 

 

(866,088

)

 

1,329,497

 

 

1,355,512

 

Net change in unrealized appreciation/depreciation

 

 

(8,999,000

)

 

13,053,505

 

 

5,886,978

 

 

(1,662,468

)

Net increase in net assets resulting from operations

 

 

29,396,078

 

 

34,277,087

 

 

14,199,684

 

 

7,177,937

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(17,586,939

)

 

(21,772,433

)

 

(7,652,086

)

 

(7,845,469

)

Net realized gain

 

 

(12,721,826

)

 

 

 

 

 

 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(30,308,765

)

 

(21,772,433

)

 

(7,652,086

)

 

(7,845,469

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

 

 

 

 

50,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(912,687

)

 

12,504,654

 

 

6,597,848

 

 

(667,532

)

Beginning of year

 

 

508,764,507

 

 

496,259,853

 

 

95,126,639

 

 

95,794,171

 

End of year

 

$

507,851,820

 

$

508,764,507

 

$

101,724,487

 

$

95,126,639

 

Undistributed (distribution in excess of) net investment income

 

$

8,050,320

 

$

(33,473

)

$

810,526

 

$

774,363

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

117




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2012

 

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 Used for Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

60,986,284

 

$

65,504,012

 

$

65,842,634

 

$

15,833,061

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase in interest receivable

 

 

(414,454

)

 

(571,838

)

 

(547,544

)

 

(46,031

)

(Increase) decrease in swaps receivable

 

 

349,048

 

 

(11,335

)

 

(16,169

)

 

 

Decrease in other assets

 

 

43,747

 

 

75,109

 

 

78,540

 

 

8,396

 

Decrease in prepaid expenses

 

 

19,865

 

 

56,143

 

 

57,792

 

 

22,060

 

Decrease in dividends receivable — affiliated

 

 

266

 

 

392

 

 

382

 

 

72

 

Decrease in commitment fees receivable

 

 

3,731

 

 

 

 

 

 

 

Decrease in dividends receivable — unaffiliated

 

 

10,384

 

 

28,061

 

 

14,361

 

 

8,706

 

Increase in variation margin receivable

 

 

(10,830

)

 

 

 

 

 

 

Decrease in cash pledged as collateral for financial futures contracts

 

 

306,000

 

 

2,294,000

 

 

2,245,000

 

 

378,000

 

Decrease in cash pledged as collateral for options written

 

 

 

 

906,360

 

 

952,770

 

 

 

Increase in cash pledged as collateral for swaps

 

 

(5,390,000

)

 

(400,000

)

 

(400,000

)

 

 

Increase in cash pledged as collateral for reverse repurchase agreements

 

 

(1,643,000

)

 

 

 

 

 

 

Increase in cash received as collateral for swaps

 

 

500,000

 

 

600,000

 

 

600,000

 

 

 

Decrease in cash received as collateral for reverse repurchase agreements

 

 

(1,204,525

)

 

 

 

 

 

 

Decrease in deferred income

 

 

 

 

(21,938

)

 

(23,019

)

 

(6,731

)

Increase in investment advisory fees payable

 

 

13,981

 

 

31,395

 

 

38,301

 

 

9,317

 

Decrease in interest expense payable

 

 

(53,208

)

 

(69,841

)

 

(66,811

)

 

(36,856

)

Increase in other liabilities

 

 

148,988

 

 

 

 

 

 

 

Increase (decrease) in other accrued expenses payable

 

 

(72,839

)

 

3,750

 

 

(32,729

)

 

(35,775

)

Decrease in variation margin payable

 

 

(205,363

)

 

(278,768

)

 

(283,578

)

 

(28,768

)

Increase (decrease) in swaps payable

 

 

144,013

 

 

(422,415

)

 

(410,627

)

 

 

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

(1,279

)

 

(136

)

 

22,182

 

 

73

 

Net periodic and termination payments of swaps

 

 

312,785

 

 

985,954

 

 

1,013,858

 

 

 

Net realized and unrealized gain on investments

 

 

(32,510,405

)

 

(26,537,265

)

 

(26,703,560

)

 

(4,158,378

)

Amortization of premium and accretion of discount on investments

 

 

369,974

 

 

(146,033

)

 

(305,966

)

 

(927,038

)

Premiums received from options written

 

 

21,979,476

 

 

1,463,221

 

 

1,583,542

 

 

263,208

 

Proceeds from sales of long-term investments

 

 

1,646,560,835

 

 

330,804,178

 

 

343,603,187

 

 

95,596,182

 

Purchases of long-term investments

 

 

(1,684,133,269

)

 

(384,264,156

)

 

(400,174,317

)

 

(108,486,310

)

Proceeds from borrowed bond transactions

 

 

35,657,057

 

 

 

 

 

 

 

Payments for borrowed bond transactions

 

 

(35,543,921

)

 

 

 

 

 

 

Net proceeds from sales (purchases) of short-term securities

 

 

4,177,662

 

 

1,171,689

 

 

941,235

 

 

822,452

 

Premiums paid on closing options written

 

 

(15,845,814

)

 

(1,042,046

)

 

(1,158,201

)

 

(101,538

)

Cash used for operating activities

 

 

(5,444,811

)

 

(9,841,507

)

 

(13,128,737

)

 

(885,898

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Refund of offering costs

 

 

 

 

 

 

8,495

 

 

2,126

 

Cash receipts from borrowings

 

 

548,354,808

 

 

162,000,000

 

 

174,000,000

 

 

46,000,000

 

Cash payments on borrowings

 

 

(519,285,954

)

 

(116,000,000

)

 

(123,000,000

)

 

(33,000,000

)

Cash dividends paid to shareholders

 

 

(22,196,984

)

 

(34,564,809

)

 

(35,688,224

)

 

(10,924,322

)

Cash provided by financing activities

 

 

6,871,870

 

 

11,435,191

 

 

15,320,271

 

 

2,077,804

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

22,404

 

 

1,129

 

 

2,228

 

 

787

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Foreign Currency

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in cash and foreign currency

 

 

1,449,463

 

 

1,594,813

 

 

2,193,762

 

 

1,192,693

 

Cash and foreign currency at beginning of year

 

 

329,783

 

 

230,472

 

 

224,348

 

 

20,474

 

Cash and foreign currency at end of year

 

$

1,779,246

 

$

1,825,285

 

$

2,418,110

 

$

1,213,167

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest

 

$

354,678

 

$

1,396,085

 

$

1,414,775

 

$

327,951

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-cash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends

 

$

67,030

 

$

718,285

 

$

1,006,632

 

$

273,904

 


 

 

 

 

1

Consolidated Statement of Cash Flows.

 

 

 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the year, based on the average borrowings outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

 

118

ANNUAL REPORT

AUGUST 31, 2012




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2012

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income Trust,
Inc.
(BKT)

 

BlackRock
Strategic
Bond Trust
(BHD)

 

Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

6,592,662

 

$

59,151,870

 

$

29,396,078

 

$

14,199,684

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

(187,251

)

 

(359,327

)

 

1,084,854

 

 

(43,333

)

(Increase) decrease in swaps receivable

 

 

244,192

 

 

389,714

 

 

1,429,363

 

 

(727

)

Decrease in other assets

 

 

9,290

 

 

66,856

 

 

81,876

 

 

7,448

 

Decrease in prepaid expenses

 

 

7,887

 

 

5,390

 

 

7,276

 

 

18,922

 

Decrease in dividends receivable — affiliated

 

 

73

 

 

564

 

 

690

 

 

58

 

Decrease in dividends receivable — unaffiliated

 

 

2,478

 

 

 

 

 

 

 

(Increase) decrease in variation margin receivable

 

 

 

 

 

 

658,258

 

 

(1,092

)

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

(71,000

)

 

(999,000

)

 

881,000

 

 

(75,000

)

Increase in cash pledged as collateral for reverse repurchase agreements

 

 

 

 

(752,000

)

 

(50,000

)

 

 

(Increase) decrease in cash pledged as collateral for swaps

 

 

 

 

(4,220,000

)

 

3,545,000

 

 

(30,000

)

Increase in cash received as collateral for reverse repurchase agreements

 

 

 

 

127,000

 

 

 

 

 

Increase in cash received as collateral for swaps

 

 

 

 

1,200,000

 

 

4,100,000

 

 

 

Increase in investment advisory fees payable

 

 

29,645

 

 

76,374

 

 

125,803

 

 

4,879

 

Decrease in interest expense payable

 

 

(716

)

 

(58,721

)

 

(139,320

)

 

(14,902

)

Decrease in other affiliates payable

 

 

 

 

 

 

 

 

(2,056

)

Increase in other liabilities

 

 

 

 

879,346

 

 

 

 

 

Decrease in administration fees payable

 

 

(16,003

)

 

(58,628

)

 

(126,410

)

 

 

Decrease in other accrued expenses payable

 

 

(9,041

)

 

(351,251

)

 

(184,029

)

 

(60,081

)

Increase (decrease) in variation margin payable

 

 

7,200

 

 

(164,395

)

 

1,087,279

 

 

8,210

 

Increase (decrease) in swaps payable

 

 

18,888

 

 

116,676

 

 

(2,095,682

)

 

(5,829

)

Increase in Officer’s and Trustees’ fees payable

 

 

1,284

 

 

17,379

 

 

15,904

 

 

1,985

 

Net periodic and termination payments of swaps

 

 

241,433

 

 

(312,279

)

 

835,969

 

 

127,964

 

Net realized and unrealized gain on investments

 

 

(3,136,074

)

 

(33,285,480

)

 

(17,086,909

)

 

(6,574,406

)

Amortization of premium and accretion of discount on investments

 

 

11,888

 

 

1,140,718

 

 

8,334,140

 

 

40,296

 

Premiums received from options written

 

 

2,850

 

 

21,989,997

 

 

626,784

 

 

98,230

 

Proceeds from sales of long-term investments

 

 

32,860,351

 

 

1,637,113,266

 

 

3,862,317,810

 

 

56,325,369

 

Purchases of long-term investments

 

 

(45,440,411

)

 

(1,679,555,230

)

 

(3,750,248,299

)

 

(61,425,243

)

Proceeds from borrowed bond transactions

 

 

 

 

50,346,459

 

 

34,419,626

 

 

 

Payments for borrowed bond transactions

 

 

 

 

(50,242,735

)

 

(23,352,669

)

 

 

Net proceeds from sales (purchases) of short-term securities

 

 

(783,623

)

 

2,363,279

 

 

(9,338,958

)

 

891,719

 

Premiums paid on closing options written

 

 

 

 

(14,775,630

)

 

(2,155,182

)

 

(1,110

)

Cash provided by (used for) operating activities

 

 

(9,613,998

)

 

(10,149,788

)

 

144,170,252

 

 

3,490,985

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

21,000,000

 

 

549,257,071

 

 

1,111,266,559

 

 

30,494,188

 

Cash payments on borrowings

 

 

(8,000,000

)

 

(516,082,969

)

 

(1,225,222,835

)

 

(24,493,169

)

Cash dividends paid to shareholders

 

 

(3,362,350

)

 

(22,256,005

)

 

(30,273,756

)

 

(7,612,303

)

Decrease in bank overdraft

 

 

 

 

(3,771

)

 

 

 

 

Cash provided by (used for) financing activities

 

 

9,637,650

 

 

10,914,326

 

 

(144,230,032

)

 

(1,611,284

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

413

 

 

4,159

 

 

 

 

299

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Foreign Currency

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash and foreign currency

 

 

24,065

 

 

768,697

 

 

(59,780

)

 

1,880,000

 

Cash and foreign currency at beginning of year

 

 

 

 

104,439

 

 

59,780

 

 

13,941

 

Cash and foreign currency at end of year

 

$

24,065

 

$

873,136

 

 

 

$

1,893,941

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest

 

$

100,866

 

$

363,673

 

$

468,558

 

$

223,989

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-cash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends

 

$

14,323

 

 

 

 

 

$

50,250

 


 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the year, based on the average borrowings outstanding in relation to average total assets.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

119




 

 

 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

 

2012

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.78

 

$

14.19

 

$

12.56

 

$

12.81

 

 

$

13.63

 

 

 

$

13.82

 

 

Net investment income

 

 

0.88

1

 

0.83

1

 

0.87

1

 

0.80

1

 

 

0.50

1

 

 

 

0.74

 

 

Net realized and unrealized gain (loss)

 

 

1.37

 

 

(0.36

)

 

1.76

 

 

(0.28

)

 

 

(0.69

)

 

 

 

(0.13

)

 

Net increase (decrease) from investment operations

 

 

2.25

 

 

0.47

 

 

2.63

 

 

0.52

 

 

 

(0.19

)

 

 

 

0.61

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.82

)

 

(0.88

)

 

(1.00

)

 

(0.77

)

 

 

(0.61

)

 

 

 

(0.61

)

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

 

 

(0.19

)

 

Total dividends and distributions

 

 

(0.82

)

 

(0.88

)

 

(1.00

)

 

(0.77

)

 

 

(0.63

)

 

 

 

(0.80

)

 

Net asset value, end of period

 

$

15.21

 

$

13.78

 

$

14.19

 

$

12.56

 

 

$

12.81

 

 

 

$

13.63

 

 

Market price, end of period

 

$

15.41

 

$

12.69

 

$

13.92

 

$

11.98

 

 

$

11.51

 

 

 

$

12.23

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

17.06

%

 

4.02

%

 

22.44

%

 

5.28

%

 

 

(1.00

)%3

 

 

 

5.04

%

 

Based on market price

 

 

28.78

%

 

(2.35

)%

 

25.93

%

 

11.76

%

 

 

(0.87

)%3

 

 

 

1.29

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

0.95

%

 

1.02

%

 

1.18

%

 

1.06

%

 

 

2.29

%4

 

 

 

1.60

%

 

Total expenses after fees waived and paid indirectly

 

 

0.94

%

 

1.02

%

 

1.18

%

 

1.06

%

 

 

2.29

%4

 

 

 

1.60

%

 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.86

%

 

0.93

%

 

0.95

%

 

0.83

%

 

 

0.89

%4

 

 

 

0.78

%

 

Net investment income

 

 

6.13

%

 

6.05

%

 

6.62

%

 

7.09

%

 

 

4.55

%4

 

 

 

5.36

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

411,136

 

$

372,295

 

$

383,540

 

$

339,524

 

 

$

346,177

 

 

 

$

368,335

 

 

Borrowings outstanding, end of period (000)

 

$

182,679

 

$

152,301

 

$

168,938

 

$

74,572

 

 

$

107,690

 

 

 

$

103,354

 

 

Average borrowings outstanding, during the period (000)

 

$

143,234

 

$

151,080

 

$

162,760

 

$

73,467

 

 

$

134,784

 

 

 

$

44,786

 

 

Portfolio turnover

 

 

290

%5

 

824

%6

 

641

%7

 

315

%8

 

 

598

%9

 

 

 

122

%

 

Asset coverage, end of period per $1,000

 

$

3,251

 

$

3,444

 

$

3,270

 

$

5,553

 

 

$

4,215

 

 

 

$

4,564

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

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%.

 

 

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


 

 

 

See Notes to Financial Statements.

 

 

 

120

ANNUAL REPORT

AUGUST 31, 2012




 

 

 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund V, Inc. (HYV)

 

 

BlackRock Corporate
High Yield Fund VI, Inc. (HYT)

 

 

 

Year Ended August 31,

 

 

Year Ended August 31,

 

 

 

20121

 

2011

 

2010

 

2009

 

2008

 

 

20121

 

2011

 

2010

 

2009

 

2008

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

11.71

 

$

11.61

 

$

9.71

 

$

11.94

 

$

13.83

 

 

$

11.49

 

$

11.38

 

$

9.68

 

$

11.89

 

$

13.81

 

Net investment income2

 

 

1.08

 

 

1.09

 

 

1.06

 

 

1.07

 

 

1.18

 

 

 

1.04

 

 

1.06

 

 

1.05

 

 

1.05

 

 

1.16

 

Net realized and unrealized gain (loss)

 

 

0.91

 

 

0.07

 

 

1.86

 

 

(2.10

)

 

(1.85

)

 

 

0.83

 

 

0.05

 

 

1.67

 

 

(2.07

)

 

(1.87

)

Net increase (decrease) from investment operations

 

 

1.99

 

 

1.16

 

 

2.92

 

 

(1.03

)

 

(0.67

)

 

 

1.87

 

 

1.11

 

 

2.72

 

 

(1.02

)

 

(0.71

)

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.07

)

 

(1.06

)

 

(1.02

)

 

(1.20

)

 

(1.17

)

 

 

(1.04

)

 

(1.00

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.05

)

 

 

 

 

 

 

 

 

 

 

 

Total dividends and distributions

 

 

(1.07

)

 

(1.06

)

 

(1.02

)

 

(1.20

)

 

(1.22

)

 

 

(1.04

)

 

(1.00

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

Net asset value, end of year

 

$

12.63

 

$

11.71

 

$

11.61

 

$

9.71

 

$

11.94

 

 

$

12.32

 

$

11.49

 

$

11.38

 

$

9.68

 

$

11.89

 

Market price, end of year

 

$

13.51

 

$

11.55

 

$

11.40

 

$

9.32

 

$

10.15

 

 

$

12.96

 

$

11.21

 

$

11.19

 

$

9.47

 

$

10.14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

17.92

%

 

10.29

%

 

31.40

%

 

(3.83

)%

 

(3.99

)%

 

 

17.14

%

 

9.95

%

 

29.26

%

 

(4.03

)%

 

(4.30

)%

Based on market price

 

 

27.88

%

 

10.79

%

 

34.42

%

 

8.59

%

 

(7.78

)%

 

 

26.30

%

 

9.09

%

 

29.92

%

 

10.09

%

 

(7.24

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.42

%

 

1.34

%

 

1.26

%

 

1.84

%

 

2.11

%

 

 

1.51

%

 

1.41

%

 

1.34

%

 

2.01

%

 

2.24

%

Total expenses after fees waived and paid indirectly

 

 

1.42

%

 

1.34

%

 

1.26

%

 

1.84

%

 

2.11

%

 

 

1.51

%

 

1.41

%

 

1.34

%

 

2.01

%

 

2.24

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.08

%4

 

1.02

%

 

0.99

%

 

1.16

%

 

0.97

%

 

 

1.19

%5

 

1.12

%

 

1.09

%

 

1.28

%

 

1.10

%

Net investment income

 

 

8.96

%

 

8.82

%

 

9.52

%

 

13.00

%

 

9.16

%

 

 

8.84

%

 

8.80

%

 

9.52

%

 

12.82

%

 

9.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of year (000)

 

$

416,701

 

$

385,687

 

$

382,603

 

$

320,045

 

$

393,389

 

 

$

435,955

 

$

405,697

 

$

401,760

 

$

341,415

 

$

419,502

 

Borrowings outstanding, end of year (000)

 

$

175,000

 

$

129,000

 

$

92,000

 

$

54,000

 

$

94,700

 

 

$

181,000

 

$

130,000

 

$

89,000

 

$

58,000

 

$

110,900

 

Average borrowings outstanding, during the year (000)

 

$

140,036

 

$

119,652

 

$

79,427

 

$

65,403

 

$

106,140

 

 

$

142,342

 

$

115,512

 

$

76,356

 

$

73,784

 

$

113,996

 

Portfolio turnover

 

 

61

%

 

87

%

 

90

%

 

65

%

 

46

%

 

 

61

%

 

87

%

 

85

%

 

60

%

 

45

%

Asset coverage, end of year per $1,000

 

$

3,381

 

$

3,990

 

$

5,159

 

$

6,927

 

$

5,154

 

 

$

3,409

 

$

4,121

 

$

5,514

 

$

6,886

 

$

4,783

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

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%.

 

 

 

 

5

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.

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

121




 

 

 

 

Financial Highlights

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
January 1,
2008 to
August 31,

 

Year Ended
December 31,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

 

2012

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

2.18

 

$

2.19

 

$

1.85

 

$

2.23

 

 

$

2.47

 

 

 

$

2.68

 

 

Net investment income

 

 

0.20

1

 

0.20

1

 

0.20

1

 

0.19

1

 

 

0.15

1

 

 

 

0.24

 

 

Net realized and unrealized gain (loss)

 

 

0.08

 

 

 

 

0.31

 

 

(0.36

)

 

 

(0.26

)

 

 

 

(0.21

)

 

Net increase (decrease) from investment operations

 

 

0.28

 

 

0.20

 

 

0.51

 

 

(0.17

)

 

 

(0.11

)

 

 

 

0.03

 

 

Dividends from net investment income

 

 

(0.20

)

 

(0.21

)

 

(0.17

)

 

(0.21

)

 

 

(0.13

)

 

 

 

(0.24

)

 

Net asset value, end of period

 

$

2.26

 

$

2.18

 

$

2.19

 

$

1.85

 

 

$

2.23

 

 

 

$

2.47

 

 

Market price, end of period

 

$

2.40

 

$

2.10

 

$

2.09

 

$

1.68

 

 

$

1.88

 

 

 

$

2.14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.91

%

 

9.56

%

 

28.95

%

 

(3.01

)%

 

 

(4.00

)%3

 

 

 

1.58

%

 

Based on market price

 

 

25.58

%

 

10.59

%

 

35.52

%

 

4.47

%

 

 

(6.59

)%3

 

 

 

(7.51

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.54

%

 

1.49

%

 

1.49

%

 

2.01

%

 

 

1.98

%4

 

 

 

3.56

%

 

Total expenses after fees waived and paid indirectly

 

 

1.54

%

 

1.49

%

 

1.49

%

 

2.01

%

 

 

1.98

%4

 

 

 

3.55

%

 

Total expenses after fees waived and paid indirectly and excluding interest expense5

 

 

1.29

%

 

1.25

%

 

1.27

%

 

1.41

%

 

 

1.05

%4

 

 

 

1.27

%

 

Net investment income

 

 

9.19

%

 

8.66

%

 

9.34

%

 

12.06

%

 

 

9.52

%4

 

 

 

8.89

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

123,745

 

$

118,809

 

$

119,642

 

$

100,921

 

 

$

121,808

 

 

 

$

135,098

 

 

Borrowings outstanding, end of period (000)

 

$

42,000

 

$

29,000

 

$

25,000

 

$

18,000

 

 

$

27,000

 

 

 

$

46,000

 

 

Average borrowings outstanding, during the period (000)

 

$

30,746

 

$

26,729

 

$

21,027

 

$

21,220

 

 

$

27,069

 

 

 

$

55,868

 

 

Portfolio turnover

 

 

63

%

 

90

%

 

85

%

 

55

%

 

 

25

%

 

 

 

69

%

 

Asset coverage, end of period per $1,000

 

$

3,946

 

$

5,097

 

$

5,786

 

$

6,607

 

 

$

5,512

 

 

 

$

3,937

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

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 1.19%.


 

 

 

See Notes to Financial Statements.

 

 

 

122

ANNUAL REPORT

AUGUST 31, 2012



 

 

 

 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

Period
November 1,
2007 to
August 31,

 

Year Ended
October 31,

 

 

 

2012

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.79

 

$

6.69

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

Net investment income

 

 

0.53

1

 

0.51

1

 

0.51

1

 

0.51

1

 

0.50

1

 

0.63

 

Net realized and unrealized gain (loss)

 

 

0.50

 

 

0.11

 

 

0.92

 

 

(1.00

)

 

(1.06

)

 

0.04

 

Net increase (decrease) from investment operations

 

 

1.03

 

 

0.62

 

 

1.43

 

 

(0.49

)

 

(0.56

)

 

0.67

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.53

)

 

(0.51

)

 

(0.50

)

 

(0.55

)

 

(0.51

)

 

(0.61

)

Tax return of capital

 

 

 

 

(0.01

)

 

(0.02

)

 

(0.02

)

 

 

 

 

Total dividends and distributions

 

 

(0.53

)

 

(0.52

)

 

(0.52

)

 

(0.57

)

 

(0.51

)

 

(0.61

)

Net asset value, end of period

 

$

7.29

 

$

6.79

 

$

6.69

 

$

5.78

 

$

6.84

 

$

7.91

 

Market price, end of period

 

$

8.04

 

$

6.60

 

$

6.44

 

$

5.84

 

$

5.96

 

$

6.92

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

15.70

%

 

9.66

%

 

25.70

%

 

(5.30

)%

 

(6.47

)%3

 

9.03

%

Based on market price

 

 

31.27

%

 

10.73

%

 

19.76

%

 

9.81

%

 

(6.85

)%3

 

(3.63

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.01

%

 

2.04

%

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.16

%

Total expenses after fees waived and paid indirectly

 

 

2.01

%

 

2.04

%

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.14

%

Total expenses after fees waived and paid indirectly and excluding interest expense5

 

 

1.79

%

 

1.85

%

 

1.91

%

 

2.16

%

 

1.77

%4

 

2.10

%

Net investment income

 

 

7.59

%

 

7.18

%

 

7.89

%

 

10.22

%

 

8.34

%4

 

7.84

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

46,876

 

$

43,644

 

$

42,980

 

$

37,137

 

$

43,897

 

$

50,782

 

Borrowings outstanding, end of period (000)

 

$

19,000

 

$

6,000

 

$

8,000

 

$

4,000

 

$

6,250

 

$

9,250

 

Average borrowings outstanding, during the period (000)

 

$

10,615

 

$

7,427

 

$

6,427

 

$

5,223

 

$

7,443

 

$

17,710

 

Portfolio turnover

 

 

59

%

 

81

%

 

80

%

 

54

%

 

34

%

 

69

%

Asset coverage, end of period per $1,000

 

$

3,467

 

$

8,274

 

$

6,373

 

$

10,284

 

$

8,023

 

$

6,490

 


 

 

 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.

 

 

5

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 1.69%.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

123




 

 

 

 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

Period
November 1,
2007 to
August 31,

 

Year Ended
October 31,

 

 

 

2012

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

10.77

 

$

11.07

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

Net investment income

 

 

0.67

1

 

0.63

1

 

0.59

1

 

0.59

1

 

0.53

1

 

0.62

 

Net realized and unrealized gain (loss)

 

 

1.05

 

 

(0.28

)

 

1.25

 

 

(0.31

)

 

(0.69

)

 

(0.11

)

Net increase (decrease) from investment operations

 

 

1.72

 

 

0.35

 

 

1.84

 

 

0.28

 

 

(0.16

)

 

0.51

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.65

)

 

(0.65

)

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.61

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(0.05

)

Total dividends and distributions

 

 

(0.65

)

 

(0.65

)

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.66

)

Net asset value, end of period

 

$

11.84

 

$

10.77

 

$

11.07

 

$

10.02

 

$

10.35

 

$

11.02

 

Market price, end of period

 

$

11.58

 

$

9.85

 

$

10.56

 

$

9.65

 

$

9.82

 

$

10.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

16.81

%

 

3.91

%

 

19.83

%

 

3.90

%

 

(1.07

)%3

 

5.11

%

Based on market price

 

 

24.92

%

 

(0.37

)%

 

18.69

%

 

5.46

%

 

1.51

%3

 

2.62

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

0.90

%

 

0.95

%

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.01

%

Total expenses after fees waived and paid indirectly

 

 

0.90

%

 

0.95

%

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.00

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.82

%

 

0.85

%

 

0.86

%

 

0.85

%

 

0.83

%4

 

0.87

%

Net investment income

 

 

5.97

%

 

5.94

%

 

5.81

%

 

6.45

%

 

5.89

%4

 

5.68

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

408,068

 

$

371,175

 

$

381,379

 

$

345,101

 

$

356,456

 

$

379,605

 

Borrowings outstanding, end of period (000)

 

$

188,055

 

$

154,883

 

$

157,776

 

$

77,474

 

$

100,740

 

$

105,262

 

Average borrowings outstanding, during the period (000)

 

$

151,411

 

$

148,617

 

$

151,700

 

$

49,573

 

$

131,462

 

$

68,241

 

Portfolio turnover

 

 

285

%5

 

774

%6

 

720

%7

 

270

%8

 

441

%9

 

196

%

Asset coverage, end of period per $1,000

 

$

3,170

 

$

3,396

 

$

3,417

 

$

5,454

 

$

4,538

 

$

4,606

 


 

 

 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%.

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 492%.

 

 

7

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 608%.

 

 

8

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 165%.

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

124

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,
2007

 

 

 

Year Ended August 31,

 

 

 

 

 

2012

 

2011

 

2010

 

2009

 

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

7.96

 

$

7.76

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

Net investment income

 

 

0.39

1

 

0.35

1

 

0.20

1

 

0.28

1

 

0.26

1

 

0.30

 

Net realized and unrealized gain

 

 

0.06

 

 

0.19

 

 

0.73

 

 

0.19

 

 

0.40

 

 

0.12

 

Net increase (decrease) from investment operations

 

 

0.45

 

 

0.54

 

 

0.93

 

 

0.47

 

 

0.66

 

 

0.42

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.27

)

 

(0.34

)

 

(0.26

)

 

(0.29

)

 

(0.25

)

 

(0.29

)

Net realized gain

 

 

(0.20

)

 

 

 

(0.03

)

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(0.08

)

Total dividends and distributions

 

 

(0.47

)

 

(0.34

)

 

(0.29

)

 

(0.29

)

 

(0.25

)

 

(0.37

)

Net asset value, end of period

 

$

7.94

 

$

7.96

 

$

7.76

 

$

7.12

 

$

6.94

 

$

6.53

 

Market price, end of period

 

$

7.63

 

$

7.18

 

$

6.95

 

$

6.53

 

$

6.07

 

$

5.81

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

6.24

%

 

7.70

%

 

13.86

%

 

7.64

%

 

10.82

%3

 

7.06

%

Based on market price

 

 

13.19

%

 

8.47

%

 

11.19

%

 

12.87

%

 

8.94

%3

 

1.69

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

0.97

%

 

1.06

%

 

1.05

%

 

1.09

%

 

1.63

%4

 

2.77

%

Total expenses after fees waived and before fees paid indirectly

 

 

0.97

%

 

1.05

%

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.77

%

Total expenses after fees waived and paid indirectly

 

 

0.97

%

 

1.05

%

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.76

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.90

%

 

0.94

%

 

0.92

%

 

0.93

%

 

0.91

%4

 

0.98

%

Net investment income

 

 

4.86

%

 

4.43

%

 

2.72

%

 

4.09

%

 

4.67

%4

 

4.60

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

507,852

 

$

508,765

 

$

496,260

 

$

455,529

 

$

444,054

 

$

417,651

 

Borrowings outstanding, end of period (000)

 

$

119,706

 

$

233,676

 

$

106,985

 

$

11,815

 

 

 

$

33,895

 

Average borrowings outstanding, during the period (000)

 

$

183,890

 

$

116,771

 

$

23,316

 

$

537

 

$

61,777

 

$

93,325

 

Portfolio turnover

 

 

487

%5

 

899

%6

 

883

%7

 

700

%8

 

263

%9

 

250

%

Asset coverage, end of period per $1,000

 

$

5,242

 

$

3,177

 

$

5,639

 

$

39,555

 

 

 

$

13,322

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 230%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 387%.

 

 

 

 

7

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 207%.

 

 

 

 

8

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

125




 

 

 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,
2007

 

 

 

Year Ended August 31,

 

 

 

 

 

2012

 

2011

 

2010

 

2009

 

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.48

 

$

13.57

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

Net investment income

 

 

0.99

1

 

1.06

1

 

1.01

1

 

0.93

1

 

0.76

1

 

0.95

 

Net realized and unrealized gain (loss)

 

 

1.01

 

 

(0.04

)

 

1.35

 

 

(0.69

)

 

(1.03

)

 

(0.06

)

Net increase (decrease) from investment operations

 

 

2.00

 

 

1.02

 

 

2.36

 

 

0.24

 

 

(0.27

)

 

0.89

 

Dividends and distributions from net investment income

 

 

(1.08

)

 

(1.11

)

 

(0.91

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

Net asset value, end of period

 

$

14.40

 

$

13.48

 

$

13.57

 

$

12.12

 

$

12.76

 

$

13.80

 

Market price, end of period

 

$

14.52

 

$

12.93

 

$

13.17

 

$

11.43

 

$

10.85

 

$

11.88

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

15.66

%

 

8.09

%

 

20.38

%

 

3.99

%

 

(1.19

)%3

 

7.26

%

Based on market price

 

 

21.58

%

 

6.83

%

 

23.88

%

 

15.34

%

 

(2.40

)%3

 

(0.62

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.45

%

 

1.52

%

 

1.13

%

 

1.00

%

 

0.93

%4

 

1.45

%

Total expenses after fees waived and before fees paid indirectly

 

 

1.45

%

 

1.51

%

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

Total expenses after fees waived and paid indirectly

 

 

1.45

%

 

1.51

%

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

Total expenses after fees waived and paid indirectly and excluding interest expense5

 

 

1.24

%

 

1.26

%

 

1.04

%

 

0.92

%

 

0.81

%4

 

0.87

%

Net investment income

 

 

7.15

%

 

7.59

%

 

7.77

%

 

8.67

%

 

6.85

%4

 

6.86

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

101,724

 

$

95,127

 

$

95,794

 

$

85,581

 

$

90,092

 

$

97,410

 

Borrowings outstanding, end of period (000)

 

$

30,000

 

$

24,000

 

$

12,000

 

 

 

$

1,571

 

$

413

 

Average borrowings outstanding during the period (000)

 

$

22,089

 

$

22,696

 

$

5,701

 

$

303

 

$

391

 

$

7,240

 

Portfolio turnover

 

 

47

%

 

72

%

 

83

%

 

61

%

 

27

%

 

34

%

Asset coverage, end of period per $1,000

 

$

4,391

 

$

4,964

 

$

8,983

 

 

 

$

58,347

 

$

236,789

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

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 1.14%.


 

 

 

See Notes to Financial Statements.

 

 

 

 

126

ANNUAL REPORT

AUGUST 31, 2012




 

 

Notes to Financial Statements

1. Organization and Significant Accounting Policies:

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 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 Boards of Directors and 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.

The following is a summary of significant accounting policies followed by the Trusts:

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 “Taxable Subsidiaries”), a wholly owned taxable subsidiary of each Trust which holds shares of private Canadian companies. Such shares are held in the Taxable 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 Taxable Subsidiary may be taxable to such subsidiaries in Luxembourg. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as a component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. Intercom-pany accounts and transactions have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to 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 fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

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.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“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 (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 such prior day’s price no longer reflects the fair value of the security.

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.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

127




 

 

Notes to Financial Statements (continued)

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 investment advisor and/or sub-advisor deems relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and 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, a regular review 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 the Trusts’ 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 on 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.

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. 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.

Certain Trusts may purchase certain mortgage pass-through securities (the “Mortgage Assets”). 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,

 

 

 

 

 

 

 

 

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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 a bankruptcy remote 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 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 Trusts may not fully recoup their 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: Certain Trusts may invest in capital trusts. 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. 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.

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

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

 

 

 

 

 

 

 

 

 

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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 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 a general creditor 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.

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 Trust 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.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security it does not hold in anticipation of a decline in the market price of that security. When the Trusts make a short sale, it will borrow the security sold short (borrowed bond) and deliver it to the counterparty to which it 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 any interest received on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statements of Operations. The Trusts maintain a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. The Trusts may receive interest on their cash collateral deposited with the broker-dealer. 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 greater or less 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.

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.

 

 

 

 

 

 

 

 

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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 realize gains and losses on these transactions. These transactions may increase the Trusts’ portfolio 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.

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.

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 agrees to repurchase the same securities at a mutually agreed upon date and price. Securities sold under reverse repurchase agreements are 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. During the term of the reverse repurchase agreement, the Trusts continue to receive the principal and interest payments on these securities. 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. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts 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), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its 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, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

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. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

 

 

 

 

 

 

 

 

 

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Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. 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 portion of dividends and distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, may be treated as a tax return of capital. 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.

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 the Trusts’ US federal tax returns remain open for each of the four years ended August 31, 2012. The statutes of limitations on the Trusts’ 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 Standard: In December 2011, the Financial Accounting Standards Board 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. 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 of this guidance on the Trusts’ financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, 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 approximately 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 deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Prior to March 31, 2012, each Trust elected to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations, and dividends and distributions received from the BlackRock Closed-End Fund investments through March 31, 2012 are included in income — affiliated in the Statements of Operations.

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.

2. 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, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Trusts’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts, options and centrally cleared swaps is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Trust and each of its respective counterparties. An ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, contractually or otherwise, the Trusts bear the risk of loss from coun-terparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

 

 

 

 

 

 

 

 

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Financial Futures Contracts: The Trusts purchase 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 foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

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 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 and the risk that the counter-party to the contract does not perform its obligations under the agreement.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, foreign currency exchange rate risk and/or 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 hold 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 or credit default 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. 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 at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which the Trust and a counterparty agree to either 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 executed on a registered financial and commodities exchange (“centrally cleared swaps”). In a centrally cleared swap, the Trusts typically enter into an agreement with a counterparty; however, performance is guaranteed by the central clearing-house reducing or eliminating the Trusts’ exposure to the credit risk of the counterparty. These payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

133




 

 

Notes to Financial Statements (continued)

are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swaps, if any, is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. When the 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. 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 man-age 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 enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). 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 buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

 

 

Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.


 

 

 

 

 

 

 

 

134

ANNUAL REPORT

AUGUST 31, 2012

 




 

 

Notes to Financial Statements (continued)


Derivative Financial Instruments Categorized by Risk Exposure:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Values of Derivative Financial Instruments as of August 31, 2012

 

 

 

Asset Derivatives

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 

Statements of Assets and
Liabilities Location

 

Value

 

Interest rate
contracts

 

Net unrealized appreciation/
depreciation1; Unrealized
appreciation on swaps; Investments
at value — unaffiliated2

 

$

2,270,494

 

 

 

 

 

 

 

 

 

$

2,299,895

 

$

11,020,466

 

$

187,819

 

Foreign currency
exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

 

17,221

 

$

44,136

 

$

56,409

 

$

5,847

 

$

1,806

 

 

22,416

 

 

 

 

11,759

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

391,495

 

 

1,271,142

 

 

1,310,916

 

 

 

 

109,733

 

 

393,022

 

 

 

 

65,707

 

Equity contracts

 

Investments at value — unaffiliated2

 

 

271,612

 

 

 

 

 

 

 

 

 

 

271,612

 

 

 

 

 

Total

 

 

 

$

2,950,822

 

$

1,315,278

 

$

1,367,325

 

$

5,847

 

$

111,539

 

$

2,986,945

 

$

11,020,466

 

$

265,285

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liability Derivatives

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 

Statements of Assets and
Liabilities Location

 

Value

 

Interest rate
contracts

 

Net unrealized appreciation/
depreciation1; Unrealized
depreciation on swaps1;
Options written at value

 

$

11,103,297

 

 

 

 

 

 

 

 

 

$

11,246,067

 

$

13,825,936

 

$

167,013

 

Foreign currency
exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

 

354,755

 

$

1,091,099

 

$

1,148,537

 

$

145,138

 

$

52,731

 

 

303,654

 

 

 

 

174,501

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

63,087

 

 

93,281

 

 

97,701

 

 

 

 

11,189

 

 

63,173

 

 

 

 

1,467

 

Equity contracts

 

Net unrealized appreciation/
depreciation1; Options written at value

 

 

114,598

 

 

840,806

 

 

879,524

 

 

260,417

 

 

87,001

 

 

114,598

 

 

 

 

 

Other contracts

 

Unrealized depreciation on swaps

 

 

43,272

 

 

 

 

 

 

 

 

 

 

43,387

 

 

 

 

 

Total

 

 

 

$

11,679,009

 

$

2,025,186

 

$

2,125,762

 

$

405,555

 

$

150,921

 

$

11,770,879

 

$

13,825,936

 

$

342,981

 


 

 

 

 

1

Includes cumulative appreciation/depreciation of financial futures contracts and centrally cleared swaps as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

 

 

 

2

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

135




 

 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Year Ended August 31, 2012

 

 

 

Net Realized Gain (Loss) From

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

2,535,026

 

 

 

 

 

 

 

 

 

$

2,514,467

 

$

(9,830,042

)

$

(279,204

)

Swaps

 

 

(1,008,999

)

 

 

 

 

 

 

 

 

 

(1,462,817

)

 

1,830,628

 

 

(9,438

)

Options1

 

 

406,239

 

$

567,960

 

$

635,830

 

 

 

$

2,850

 

 

1,022,589

 

 

(42,580

)

 

(7,437

)

Floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

440,833

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency transactions

 

 

1,654,821

 

 

4,312,322

 

 

3,943,730

 

$

776,629

 

 

127,931

 

 

1,319,141

 

 

 

 

651,449

 

Financial futures contracts

 

 

80,677

 

 

 

 

 

 

 

 

 

 

(55,985

)

 

(1,789

)

 

 

Options1

 

 

(284,070

)

 

 

 

 

 

 

 

 

 

(286,514

)

 

 

 

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

1,069,344

 

 

26,485

 

 

(1,690

)

 

 

 

418,010

 

 

1,069,799

 

 

 

 

100,404

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

(4,013,355

)

 

(4,139,883

)

 

(351,168

)

 

8,944

 

 

 

 

 

 

 

Options1

 

 

 

 

(299,690

)

 

(305,960

)

 

(63,085

)

 

 

 

 

 

 

 

 

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(20,943

)

 

147,613

 

 

155,017

 

 

 

 

17,707

 

 

(21,156

)

 

 

 

 

Total

 

$

4,432,095

 

$

741,335

 

$

287,044

 

$

362,376

 

$

575,442

 

$

4,099,524

 

$

(7,602,950

)

$

455,774

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

230,875

 

 

 

 

 

 

 

 

 

$

(138,050

)

$

(4,582,177

)

$

(39,016

)

Swaps

 

 

(2,067,599

)

 

 

 

 

 

 

 

 

 

(1,981,571

)

 

(3,606,318

)

 

(5,031

)

Options1

 

 

1,186,691

 

 

 

 

 

 

 

 

 

 

996,263

 

 

(45,921

)

 

804

 

Floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(132,104

)

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency translations

 

 

(323,912

)

$

(907,433

)

$

(945,166

)

$

(106,696

)

$

(50,925

)

 

(256,118

)

 

 

 

(136,448

)

Options1

 

 

135,731

 

 

 

 

 

 

 

 

 

 

135,962

 

 

 

 

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(1,465,644

)

 

1,285,245

 

 

1,322,677

 

 

 

 

(33,661

)

 

(1,461,808

)

 

 

 

7,002

 

Options1

 

 

 

 

442,786

 

 

441,347

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

1,527,880

 

 

1,445,117

 

 

(74,201

)

 

(87,001

)

 

 

 

 

 

 

Options1

 

 

1,964

 

 

138,691

 

 

145,791

 

 

 

 

 

 

1,964

 

 

 

 

 

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(43,272

)

 

(75,845

)

 

(79,649

)

 

 

 

(9,012

)

 

(43,387

)

 

 

 

 

Total

 

$

(2,345,166

)

$

2,411,324

 

$

2,330,117

 

$

(180,897

)

$

(180,599

)

$

(2,746,745

)

$

(8,366,520

)

$

(172,689

)


 

 

 

 

1

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.


 

 

 

 

 

 

136

ANNUAL REPORT

AUGUST 31, 2012




 

 

Notes to Financial Statements (continued)

For the year ended August 31, 2012, 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

 

 

473

 

 

 

 

 

 

 

 

 

 

417

 

 

701

 

 

104

 

Average number of contracts sold

 

 

985

 

 

251

 

 

268

 

 

47

 

 

105

 

 

1,098

 

 

2,456

 

 

71

 

Average notional value of contracts purchased

 

$

82,301,499

 

 

 

 

 

 

 

 

 

$

75,561,028

 

$

167,816,530

 

$

17,324,354

 

Average notional value of contracts sold

 

$

173,289,403

 

$

16,326,923

 

$

17,458,743

 

$

3,117,803

 

$

447,068

 

$

190,259,132

 

$

345,297,583

 

$

11,084,828

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

17

 

 

12

 

 

12

 

 

3

 

 

2

 

 

17

 

 

 

 

5

 

Average number of contracts — US dollars sold

 

 

13

 

 

5

 

 

5

 

 

2

 

 

1

 

 

13

 

 

 

 

2

 

Average US dollar amounts purchased

 

$

26,325,319

 

$

42,189,090

 

$

44,556,322

 

$

7,453,583

 

$

1,654,551

 

$

23,975,916

 

 

 

$

7,374,380

 

Average US dollar amounts sold

 

$

11,264,688

 

$

2,508,355

 

$

2,424,661

 

$

438,070

 

$

97,708

 

$

9,844,045

 

 

 

$

42,529

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of option contracts purchased

 

 

11,327,182

 

 

873

 

 

903

 

 

256

 

 

3

 

 

11,344,048

 

 

184

 

 

10

 

Average number of option contracts written

 

 

7,377,659

 

 

723

 

 

748

 

 

214

 

 

 

 

7,383,241

 

 

 

 

 

Average notional value of option contracts purchased

 

$

18,577,180

 

$

11,372,000

 

$

11,764,500

 

$

3,424,500

 

$

2,829

 

$

18,596,841

 

$

460,625

 

$

9,157

 

Average notional value of option contracts written

 

$

12,602,655

 

$

8,943,875

 

$

9,253,750

 

$

2,645,250

 

 

 

$

12,608,246

 

 

 

 

 

Average number of swaption contracts purchased

 

 

7

 

 

1

 

 

1

 

 

 

 

 

 

7

 

 

1

 

 

4

 

Average number of swaption contracts written

 

 

20

 

 

1

 

 

1

 

 

 

 

1

 

 

21

 

 

1

 

 

3

 

Average notional value of swaption contracts purchased

 

$

78,870,299

 

$

3,750,000

 

$

3,750,000

 

 

 

 

 

$

78,995,299

 

$

6,200,000

 

$

5,413,045

 

Average notional value of swaption contracts written

 

$

322,850,000

 

$

7,668,750

 

$

8,188,750

 

 

 

$

47,500

 

$

324,525,000

 

$

11,100,000

 

$

3,550,000

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

8

 

 

10

 

 

10

 

 

 

 

8

 

 

8

 

 

 

 

4

 

Average number of contracts — sell protection

 

 

12

 

 

14

 

 

14

 

 

 

 

10

 

 

12

 

 

 

 

8

 

Average notional value — buy protection

 

$

9,598,710

 

$

8,895,674

 

$

9,287,633

 

 

 

$

609,250

 

$

9,608,791

 

 

 

$

1,053,750

 

Average notional value — sell protection

 

$

5,768,332

 

$

14,707,500

 

$

15,087,500

 

 

 

$

1,876,250

 

$

5,803,333

 

 

 

$

1,170,680

 

Interest rate swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — pays fixed rate

 

 

11

 

 

 

 

 

 

 

 

 

 

10

 

 

7

 

 

3

 

Average number of contracts — receives fixed rate

 

 

9

 

 

 

 

 

 

 

 

 

 

9

 

 

9

 

 

1

 

Average notional value — pays fixed rate

 

$

49,032,507

 

 

 

 

 

 

 

 

 

$

50,088,970

 

$

169,215,000

 

$

3,825,000

 

Average notional value — receives fixed rate

 

$

73,008,156

 

 

 

 

 

 

 

 

 

$

74,953,401

 

$

160,538,300

 

$

4,700,000

 

Total return swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts

 

 

1

 

 

 

 

 

 

 

 

 

 

1

 

 

 

 

 

Average notional value

 

$

1,880,000

 

 

 

 

 

 

 

 

 

$

1,885,000

 

 

 

 

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) 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.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

137




 

 

Notes to Financial Statements (continued)

Effective June 1, 2012, 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, 2012, the Manager waived the following amount, which is included in fees waived by Manager in the Statements of Operations:

 

 

 

 

 

BHK

 

$

43,292

 

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, 2012, the amounts waived were as follows:

 

 

 

 

 

BHK

 

$

1,900

 

HYV

 

$

560

 

HYT

 

$

605

 

HIS

 

$

358

 

BHY

 

$

274

 

BNA

 

$

2,194

 

BKT

 

$

5,174

 

BHD

 

$

317

 

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

The Manager entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager with respect to BHK, HYV, HYT, HIS, and BHD. 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.

4. Investments:

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, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

800,256,616

 

$

728,545,394

 

HYV

 

$

380,608,670

 

$

326,326,484

 

HYT

 

$

396,858,097

 

$

338,721,092

 

HIS

 

$

106,749,661

 

$

93,979,209

 

BHY

 

$

45,550,402

 

$

32,712,501

 

BNA

 

$

812,428,173

 

$

765,326,104

 

BKT

 

$

2,796,139,329

 

$

2,896,610,840

 

BHD

 

$

57,116,026

 

$

53,543,361

 

Purchases and sales of US government securities, for the year ended August 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

821,284,505

 

$

853,663,620

 

BNA

 

$

803,189,252

 

$

806,472,859

 

BKT

 

$

1,083,252,576

 

$

1,103,958,530

 

BHD

 

$

3,455,391

 

$

2,438,248

 

For the year ended August 31, 2012, purchases and sales of mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

289,098,633

 

$

289,445,908

 

BNA

 

$

295,719,125

 

$

296,083,283

 

BKT

 

$

2,045,020,139

 

$

2,047,518,910

 


 

 

 

 

 

 

138

ANNUAL REPORT

AUGUST 31, 2012




 

 

Notes to Financial Statements (continued)

Transactions in options written for the year ended August 31, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

BHK

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

$

63,300

 

$

2,441,442

 

 

538

 

$

86,985

 

$

2,818,041

 

Options written

 

 

732

 

 

324,957

 

 

8,484,362

 

 

10,063

 

 

1,141,177

 

 

13,495,114

 

Options expired

 

 

(256

)

 

(35,376

)

 

(519,405

)

 

(751

)

 

(89,966

)

 

(1,286,801

)

Options exercised

 

 

(210

)

 

(19,981

)

 

(340,414

)

 

 

 

(26,566

)

 

(1,075,649

)

Options closed

 

 

(266

)

 

(158,600

)

 

(6,307,501

)

 

(350

)

 

(877,530

)

 

(8,976,290

)

Outstanding options, end of year

 

 

 

$

174,300

 

$

3,758,484

 

 

9,500

 

$

234,100

 

$

4,974,415

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HYV

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

$

24,175

 

$

296,835

 

 

664

 

$

26,475

 

$

688,420

 

Options written

 

 

1,350

 

 

7,000

 

 

422,017

 

 

10,665

 

 

8,675

 

 

1,041,204

 

Options expired

 

 

 

 

(17,175

)

 

(72,135

)

 

(2,625

)

 

(21,150

)

 

(546,704

)

Options exercised

 

 

 

 

 

 

 

 

(664

)

 

 

 

(23,620

)

Options closed

 

 

(1,350

)

 

(14,000

)

 

(646,717

)

 

(8,040

)

 

(14,000

)

 

(1,159,300

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HYT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

$

26,025

 

$

332,505

 

 

698

 

$

27,700

 

$

741,030

 

Options written

 

 

1,433

 

 

8,000

 

 

469,894

 

 

11,056

 

 

9,755

 

 

1,113,648

 

Options expired

 

 

 

 

(18,025

)

 

(75,705

)

 

(2,733

)

 

(21,455

)

 

(559,824

)

Options exercised

 

 

 

 

 

 

 

 

(698

)

 

 

 

(24,830

)

Options closed

 

 

(1,433

)

 

(16,000

)

 

(726,694

)

 

(8,323

)

 

(16,000

)

 

(1,270,024

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HIS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

417

 

 

 

$

47,111

 

 

3,144

 

 

 

$

216,097

 

Options expired

 

 

 

 

 

 

 

 

(772

)

 

 

 

(60,723

)

Options closed

 

 

(417

)

 

 

 

(47,111

)

 

(2,372

)

 

 

 

(155,374

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

$

61,300

 

$

2,208,194

 

 

539

 

$

85,015

 

$

2,585,615

 

Options written

 

 

732

 

 

324,839

 

 

8,489,189

 

 

10,062

 

 

1,141,787

 

 

13,500,808

 

Options expired

 

 

(257

)

 

(35,457

)

 

(521,077

)

 

(752

)

 

(93,376

)

 

(1,417,561

)

Options exercised

 

 

(209

)

 

(23,282

)

 

(469,163

)

 

 

 

(26,586

)

 

(1,076,634

)

Options closed

 

 

(266

)

 

(153,500

)

 

(5,952,916

)

 

(349

)

 

(873,140

)

 

(8,622,941

)

Outstanding options, end of year

 

 

 

$

173,900

 

$

3,754,227

 

 

9,500

 

$

233,700

 

$

4,969,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BKT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

$

11,100

 

$

353,258

 

 

247

 

$

11,100

 

$

448,653

 

Options written

 

 

817

 

 

 

 

310,819

 

 

995

 

 

 

 

315,965

 

Options expired

 

 

(545

)

 

 

 

(165,290

)

 

(333

)

 

 

 

(128,259

)

Options exercised

 

 

(20

)

 

 

 

(3,050

)

 

 

 

 

 

 

Options closed

 

 

(252

)

 

(11,100

)

 

(495,737

)

 

(909

)

 

(11,100

)

 

(636,359

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

 

$

2,300

 

$

17,900

 

 

 

$

6,700

 

$

80,330

 

Options expired

 

 

 

 

 

 

 

 

 

 

 

 

 

Options exercised

 

 

 

 

 

 

 

 

 

 

 

 

 

Options closed

 

 

 

 

 

 

 

 

 

 

(2,400

)

 

(11,160

)

Outstanding options, end of year

 

 

 

$

2,300

 

$

17,900

 

 

 

$

4,300

 

$

69,170

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

139




 

 

Notes to Financial Statements (continued)

5. 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, 2012 attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, the expiration of capital loss carryforwards, the classification of settlement proceeds and income recognized from pass-through entities were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Paid-in capital

 

 

 

 

 

$

21

 

$

(2,339,285

)

$

(359,355

)

 

 

 

 

$

(7

)

Undistributed net investment income

 

$

2,249,842

 

$

4,746,848

 

$

4,324,947

 

$

430,354

 

$

262,400

 

$

271,013

 

$

896,424

 

$

705,040

 

Undistributed net realized gain
(accumulated net realized loss)

 

$

(2,249,842

)

$

(4,746,848

)

$

(4,324,968

)

$

1,908,931

 

$

96,955

 

$

(271,013

)

$

(896,424

)

$

(705,033

)

The tax character of distributions paid during the fiscal years ended August 31, 2012 and August 31, 2011 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Ordinary income

 

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

 

 

 

8/31/11

 

 

23,726,515

 

 

35,008,792

 

 

35,241,068

 

 

11,407,404

 

 

3,278,764

 

 

22,287,310

 

 

21,772,433

 

 

7,845,469

 

Tax return of capital

 

8/31/12

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

 

 

 

 

 

 

 

 

 

76,404

 

 

 

 

 

 

 

Total

 

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

 

 

 

8/31/11

 

$

23,726,515

 

$

35,008,792

 

$

35,241,068

 

$

11,407,404

 

$

3,355,168

 

$

22,287,310

 

$

21,772,433

 

$

7,845,469

 

As of August 31, 2012, the tax components of accumulated earnings (losses) were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Undistributed ordinary income

 

$

7,179,584

 

$

8,278,405

 

$

8,986,591

 

$

2,167,616

 

$

276,258

 

$

5,282,247

 

$

8,501,259

 

$

915,305

 

Capital loss carryforwards

 

 

(13,142,723

)

 

(77,179,413

)

 

(92,270,895

)

 

(38,740,870

)

 

(14,071,529

)

 

(22,808,791

)

 

 

 

(4,815,182

)

Net unrealized gains1

 

 

38,360,013

 

 

15,063,691

 

 

14,813,038

 

 

2,604,619

 

 

2,500,489

 

 

40,048,272

 

 

22,408,942

 

 

7,270,283

 

Qualified late-year losses2

 

 

 

 

 

 

(1,698,041

)

 

(737,468

)

 

 

 

 

 

(1,600,629

)

 

(146,814

)

Total

 

$

32,396,874

 

$

(53,837,317

)

$

(70,169,307

)

$

(34,706,103

)

$

(11,294,782

)

$

22,521,728

 

$

29,309,572

 

$

3,223,592

 


 

 

 

 

1

The differences between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales, amortization methods for 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 realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the deferral of compensation to trustees, the classification of settlement proceeds and the accounting for swap agreements.

 

 

 

 

2

The Trusts have elected to defer certain qualified late-year losses and recognize such losses in the year ending August 31, 2013.

As of August 31, 2012, 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

 

BHD

 

2014

 

 

 

 

 

 

 

$

7,043,976

 

$

2,060,533

 

 

 

 

 

2015

 

 

 

 

 

 

 

 

 

 

2,467,772

 

 

 

 

 

2016

 

$

5,726,723

 

 

 

 

 

 

10,829,322

 

 

2,039,760

 

$

4,475,065

 

$

49,487

 

2017

 

 

7,416,000

 

$

25,473,528

 

$

31,939,528

 

 

3,140,056

 

 

916,541

 

 

7,369,088

 

 

930,008

 

2018

 

 

 

 

45,786,653

 

 

54,927,764

 

 

15,169,557

 

 

5,191,260

 

 

10,964,638

 

 

3,835,687

 

2019

 

 

 

 

 

 

 

 

 

 

737,843

 

 

 

 

 

No expiration date3

 

 

 

 

5,919,232

 

 

5,403,603

 

 

2,557,959

 

 

657,820

 

 

 

 

 

Total

 

$

13,142,723

 

$

77,179,413

 

$

92,270,895

 

$

38,740,870

 

$

14,071,529

 

$

22,808,791

 

$

4,815,182

 


 

 

 

 

3

Must be utilized prior to losses subject to expiration.

During the year ended August 31, 2012, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

 

 

 

 

BHK

 

$

11,081,061

 

BNA

 

$

8,754,212

 

BHD

 

$

579,124

 


 

 

 

 

 

 

140

ANNUAL REPORT

AUGUST 31, 2012




 

 

Notes to Financial Statements (continued)

As of August 31, 2012 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

 

$

575,452,071

 

$

570,814,818

 

$

595,622,184

 

$

160,555,430

 

$

62,860,208

 

$

577,303,603

 

$

862,264,138

 

$

120,940,890

 

Gross unrealized appreciation

 

$

46,321,109

 

$

33,725,351

 

$

34,004,904

 

$

7,408,411

 

$

3,510,792

 

$

48,090,293

 

$

45,427,525

 

$

9,062,332

 

Gross unrealized depreciation

 

 

(7,363,534

)

 

(20,307,295

)

 

(20,877,274

)

 

(4,745,287

)

 

(1,126,317

)

 

(7,393,715

)

 

(20,955,004

)

 

(1,713,206

)

Net unrealized appreciation

 

$

38,957,575

 

$

13,418,056

 

$

13,127,630

 

$

2,663,124

 

$

2,384,475

 

$

40,696,578

 

$

24,472,521

 

$

7,349,126

 

6. Borrowings:

HYV, HYT, HIS, BHY and BHD entered into 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 allowed for the following maximum commitment amounts:

 

 

 

 

 

 

 

Commitment
Amounts

 

HYV

 

$

204,500,000

 

HYT

 

$

213,800,000

 

HIS

 

$

63,600,000

 

BHY

 

$

23,000,000

 

BHD

 

$

50,200,000

 

Prior to March 2, 2012, advances were 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 the 7-day, 30-day, 60-day or 90-day LIBOR.

Effective March 2, 2012, 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 the 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and a commitment fee based upon SSB’s total commitment to the Trusts. 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, 2012 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 amount 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, 2012, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

 

 

 

 

 

 

 

Daily Weighted
Average
Interest Rate

 

HYV

 

 

0.94

%

HYT

 

 

0.94

%

HIS

 

 

0.94

%

BHY

 

 

0.94

%

BHD1

 

 

0.94

%


 

 

 

 

1

Includes treasury roll transactions.

For the year ended August 31, 2012, the daily weighted average interest rates for Trusts with borrowings from reverse repurchase agreements and treasury roll transactions were as follows:

 

 

 

 

 

 

 

Daily Weighted
Average
Interest Rate

 

BHK

 

 

0.21

%

BNA

 

 

0.20

%

BKT

 

 

0.18

%

7. Commitments:

Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into bridge loan commitments (“commitments”). Bridge loan commitments may obligate the Trusts to furnish temporary financing to a borrower until permanent financing can be arranged. As of August 31, 2012, the Trusts had outstanding bridge loan commitments as follows:

 

 

 

 

 

 

 

Commitment
Amounts

 

HYV

 

$

970,000

 

HYT

 

$

1,015,000

 

HIS

 

$

285,000

 

BHY

 

$

110,000

 

BHD

 

$

235,000

 

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. Commitment fees received in advance and unrecognized are recorded on the Statements of Assets and Liabilities as deferred income.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

141




 

 

Notes to Financial Statements (concluded)

8. 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 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.

9. 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 approve 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,
2012

 

Year Ended
August 31,
2011

 

BHK

 

 

4,404

 

 

 

HYV

 

 

59,289

 

 

 

HYT

 

 

85,180

 

 

 

HIS

 

 

124,205

 

 

 

BHY

 

 

2,000

 

 

 

BHD

 

 

3,546

 

 

 

Shares issued and outstanding remained constant during the year ended August 31, 2012 and the year ended August 31, 2011 for BNA and BKT.

10. 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 item was noted:

The Trusts paid a net investment income dividend in the following amounts per share on September 28, 2012 to shareholders of record on September 14, 2012:

 

 

 

 

 

 

 

Common Dividend
Per Share

 

BHK

 

$

0.0730

 

HYV

 

$

0.0900

 

HYT

 

$

0.0875

 

HIS

 

$

0.0152

 

BHY

 

$

0.0445

 

BNA

 

$

0.0570

 

BKT

 

$

0.0405

 

BHD

 

$

0.0845

 

Additionally, the Trusts declared a net investment income dividend on October 1, 2012 payable to shareholders of record on October 15, 2012 for the same amounts noted above.

 

 

 

 

 

 

142

ANNUAL REPORT

AUGUST 31, 2012




 

 

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 “Trusts”) as of August 31, 2012, and the related statements of operations and cash flows for the year then ended, 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 periods presented. 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, the “Trusts”) as of August 31, 2012, and the related consolidated statements of operations and consolidated 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 periods presented. 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, 2012, 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 of the periods presented, 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, 2012, 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 periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
October 26, 2012

 

 

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the fiscal year ended August 31, 2012.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Payable Dates

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Interest-Related Dividends and
Qualified Short-Term Capital
Gains for Non-US Residents1

 

September 2011 – January 2012

 

 

92.27

%

 

98.58

%

 

100.00

%

 

94.41

%

 

92.40

%

 

94.79

%

 

100.00

%

 

69.80

%

 

 

February 2012 – August 2012

 

 

66.03

%

 

61.01

%

 

66.09

%

 

70.48

%

 

73.65

%

 

73.86

%

 

91.88

%

 

77.85

%

Federal Obligation Interest2

 

September 2011 – August 2012

 

 

9.59

%

 

 

 

 

 

 

 

 

 

9.91

%

 

8.95

%

 

 


 

 

 

 

1

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

 

 

 

 

2

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.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

143




 

 

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 on April 26, 2012 and May 22–23, 2012 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 of HYV, HYT, HIS and BHD 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 the 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 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-, three- and five-year 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 ratios 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, to the extent reasonably possible, an analysis of the risk and return relative to selected funds in peer groups. BlackRock provides information to the Boards in response to specific questions. These questions covered issues such as profitability, including the impact of BlackRock’s upfront costs in sponsoring closed-end funds and the relative profitability of closed-end and open end funds, investment performance and management fee levels. The Boards considered the importance of: (i) managing fixed income assets with a view toward preservation of capital; (ii) portfolio managers’ investments in the funds they manage; (iii) BlackRock’s controls surrounding the coding of quantitative investment models; and (iv) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 26, 2012 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 periodically 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 and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper (collectively, “Peers”), as well as the gross investment performance of each of BHK, BNA, BKT and BHD as compared with its respective custom benchmark; (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) the existence, impact and sharing of potential economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock

 

 

 

 

 

 

144

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AUGUST 31, 2012




 

 

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

and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At an in-person meeting held on April 26, 2012, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 26, 2012 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 May 22–23, 2012 Board meeting.

At an in-person meeting held on May 22–23, 2012, each Board, including all the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund, and the Board of each of HYV, HYT, HIS and BHD, including all the Independent Board Members, unanimously approved the continuation of the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund, each for a one-year term ending June 30, 2013. 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) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) 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 controlling, 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 Fund performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and their Funds’ portfolio management teams, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis and oversight capabilities and BlackRock’s 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 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 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; and (viii) 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, accounting, 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: The Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation for the April 26, 2012 meeting, the Boards worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was 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 funds in that Fund’s applicable Lipper category, and with respect to BHK, BNA, BKT and BHD, the gross investment performance of each such 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 BHK noted that BHK’s gross performance exceeded its customized benchmark during the three- and five-year periods reported, although performance for the one-year period reported underperformed the customized benchmark. The Board of BHK and BlackRock reviewed and discussed the reasons for BHK’s underperformance during the one-year period and will monitor closely BHK’s performance in the coming year. Based on its

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

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145




 

 

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

discussions with BlackRock and the Board’s review of BHK’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, BHK’s Board noted that BHK’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of BHK’s relative performance.

The Board of each of HYV and HIS noted that, in general, its respective Fund performed better than its Peers in that the Fund’s performance was at or above the median of its Lipper Performance Universe in the three- and five-year periods reported, although performance for the one-year period reported was below the median. The Boards of HYV and HIS and BlackRock reviewed and discussed the reasons for the Funds’ underperformance during the one-year period and will monitor closely the Funds’ performance in the coming year.

The Board of BHY noted that, in general, BHY performed better than its Peers in that BHY’s performance was at or above the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported.

The Board of each of BKT and BHD noted that its respective Fund’s gross performance exceeded its customized benchmark during each of the one-, three- and five-year periods reported. Based on its discussions with BlackRock and the Board’s review of the Fund’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, the Board of each of BKT and BHD noted that its respective Fund’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of the Fund’s relative performance.

The Board of HYT noted that HYT performed below the median of its Lipper Performance Universe in the one- and five-year periods reported, but that HYT performed at or above the median of its Lipper Performance Universe in the three-year period reported. The Board of HYT and BlackRock reviewed and discussed the reasons for HYT’s underperformance during the one- and five-year periods compared with its Peers. HYT’s Board was informed that, among other things, over the one-year period, most of the underperformance came in the fourth quarter as risk markets rebounded from deeply oversold conditions reached in August and September. HYT’s five-year period performance was largely led by holding a significant cash position as the market had a significant bounce in December of 2008.

The Board of BNA noted that BNA’s gross performance underperformed its customized benchmark in the one- and five-year periods reported, but that BNA’s gross performance exceeded its customized benchmark in the three-year period reported. Based on its discussions with BlackRock and the Board’s review of BNA’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, the Board of BNA noted that BNA’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of BNA’s relative performance. The Board of BNA and BlackRock reviewed and discussed the reasons for BNA’s underperformance during the one- and five-year periods compared with its customized benchmark. BNA’s Board was informed that, among other things, BNA’s performance continues to be impacted by the significant negative performance experienced in 2008 when BNA’s overweight in spread assets, including asset-backed securities (ABS), mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS) proved to be detrimental. Detracting from performance in the one-year period was an underweight to U.S. Treasuries as they continued to be well bid, even in the face of strong returns in non-government debt securities.

The Boards of HYT and BNA and BlackRock 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.

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. It also compared the Fund’s total expense ratio, as well as actual management fee rate, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided the Funds. 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, 2011 compared to available aggregate profitability data provided for the years ended December 31, 2010, and Decem-ber 31, 2009. The Boards reviewed BlackRock’s profitability with respect to 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, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRock’s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. In addition, the Boards considered, among other things, certain third party data comparing BlackRock’s operating margin with that of 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

 

 

 

 

 

 

146

ANNUAL REPORT

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

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 each of BHK, HYV, HYT, BKT and BHD noted that its respective Fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers.

The Board of BHK noted that after discussions between the Board, including the Independent Board Members, and BlackRock, BHK’s Board and BlackRock agreed to a voluntary advisory fee reduction effective June 1, 2012.

The Board of HIS noted that the Fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers. 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 ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by BHY’s Peers, in each case before taking into account any expense reimbursements or fee waivers. BHY’s Board also noted, however, that although BHY’s contractual management fee ratio, after giving effect to any expense reimbursement or fee waivers by BlackRock, was above the median contractual management fee ratio of its Peers, the contractual management fee ratio was in the third quartile.

The Board of BNA noted that BNA’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by BNA’s Peers, in each case before taking into account any expense reimbursements or fee waivers. BNA’s Board also noted, however, that BNA’s actual total expense ratio, after giving effect to any expense reimbursement or fee waivers by BlackRock, was reasonable relative to the median actual total expense ratio paid by BNA’s Peers, after giving effect to any expense reimbursement or fee waivers.

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 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.

Conclusion

Each Board, including all 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, 2013. The Board of each of HYV, HYT, HIS and BHD, including all the Independent Board Members, unanimously approved the continuation of the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund for a one-year term ending June 30, 2013. 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.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

147




 

 

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 www.computershare.com/investor, 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.

 

 

 

 

 

 

148

ANNUAL REPORT

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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; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

98 RICs consisting of
94 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 Develop- ment (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.

 

98 RICs consisting of
94 Portfolios

 

AtriCure, Inc.
(medical devices)

 

Michael J. Castellano
55 East 52nd Street
New York, NY 10055
1946

 

Trustee and Member of the Audit Committee

 

Since
2011

 

Managing Director and 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.

 

98 RICs consisting of
94 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 1986; 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.

 

98 RICs consisting of
94 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.

 

98 RICs consisting of
94 Portfolios

 

The McClatchy
Company
(publishing);
BellSouth
(telecommunications);
Knight Ridder
(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.

 

98 RICs consisting of
94 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 since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.

 

98 RICs consisting of
94 Portfolios

 

BlackRock Kelso Capital Corp. (business development company)

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

149




 

 

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)

 

R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958

 

Trustee

 

Since
2004

 

Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Chairman, U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003.

 

98 RICs consisting of 94 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)

 

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; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Department, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.

 

98 RICs consisting of 94 Portfolios

 

None

 

 

 

 

1

Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof. In 2011, the Board of Trustees unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders.

 

 

 

 

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, each Trustee first became a member of the board 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.

 

160 RICs consisting of 278 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.

 

160 RICs consisting of 278 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. 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 Trustees of the BlackRock registered open-end funds. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof.

 


 

 

 

 

 

 

150

ANNUAL REPORT

AUGUST 31, 2012




 

 

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

 

Trusts 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 Administration 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
1963

 

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 Board.

 

 

 

 

2

Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011.

 

 


 

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor3

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

3 For BHK, HYV, HYT, HIS and BHD.

 

Effective May 22, 2012, Robert W. Crothers became Vice President of the Trusts.

 

Effective May 22, 2012, Ira P. Shapiro resigned as Secretary of the Trusts and Janey Ahn became Secretary of the Trusts.


 

The Funds are managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno became a co-portfolio manager of BHK, BNA and BKT. Mr. Musmanno joins James Keenan as responsible for the day-to-day management of BHK and BNA, and joins Eric Pellicciaro and Akiva Dickstein as responsible for the day-to-day management of BKT.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

151




 

 

Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 27, 2012 for shareholders of record on May 31, 2012 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class II Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Frank J. Fabozzi

 

James T. Flynn

 

Karen P. Robards

 

 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

BHK

 

 

24,116,290

 

 

512,963

 

 

0

 

 

24,093,367

 

 

535,886

 

 

0

 

 

24,101,393

 

 

527,860

 

 

0

 

HIS

 

 

47,743,714

 

 

1,652,839

 

 

0

 

 

47,751,621

 

 

1,644,932

 

 

0

 

 

47,713,447

 

 

1,683,106

 

 

0

 

BHY

 

 

5,660,217

 

 

155,795

 

 

0

 

 

5,658,360

 

 

157,652

 

 

0

 

 

5,663,108

 

 

152,904

 

 

0

 

BNA

 

 

31,143,773

 

 

656,807

 

 

0

 

 

31,111,055

 

 

689,526

 

 

0

 

 

31,151,127

 

 

649,453

 

 

0

 

BKT

 

 

55,197,410

 

 

3,647,320

 

 

0

 

 

55,176,579

 

 

3,668,151

 

 

0

 

 

55,196,529

 

 

3,648,201

 

 

0

 

BHD

 

 

6,167,499

 

 

135,726

 

 

0

 

 

6,149,846

 

 

153,379

 

 

0

 

 

6,163,447

 

 

139,778

 

 

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, Richard E. Cavanagh, Kathleen F. Feldstein, Henry Gabbay, Jerrold B. Harris, R. Glenn Hubbard and W. Carl Kester.

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

 

 

30,742,612

 

 

614,381

 

 

0

 

 

30,733,249

 

 

623,744

 

 

0

 

 

30,737,746

 

 

619,247

 

 

0

 

HYT

 

 

32,683,476

 

 

419,623

 

 

0

 

 

32,684,032

 

 

419,067

 

 

0

 

 

32,669,195

 

 

433,904

 

 

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

 

 

30,730,439

 

 

626,554

 

 

0

 

 

30,732,082

 

 

624,911

 

 

0

 

 

30,718,336

 

 

638,657

 

 

0

 

HYT

 

 

32,656,438

 

 

446,661

 

 

0

 

 

32,689,502

 

 

413,597

 

 

0

 

 

32,669,306

 

 

433,793

 

 

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

 

 

30,739,016

 

 

617,977

 

 

0

 

 

30,733,534

 

 

623,459

 

 

0

 

 

30,727,308

 

 

629,685

 

 

0

 

HYT

 

 

32,684,165

 

 

418,934

 

 

0

 

 

32,674,069

 

 

429,030

 

 

0

 

 

32,652,552

 

 

450,547

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

W. Carl Kester

 

Karen P. Robards

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

 

 

 

 

 

 

 

 

 

HYV

 

 

30,742,222

 

 

614,771

 

 

0

 

 

30,743,584

 

 

613,409

 

 

0

 

 

 

 

 

 

 

 

 

 

HYT

 

 

32,651,612

 

 

451,487

 

 

0

 

 

32,685,823

 

 

417,276

 

 

0

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

152

ANNUAL REPORT

AUGUST 31, 2012




 

 

Additional Information (continued)

 

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.

 

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 Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, 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 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.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2012

153




 

 

Additional Information (continued)

 

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. Other than as disclosed on page 151, 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 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) 441-7762.

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) 441-7762.

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) 441-7762; (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) 441-7762 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. 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.

 

 

 

 

 

 

154

ANNUAL REPORT

AUGUST 31, 2012




 

 

Additional Information (concluded)

 

Section 19(a) Notices

These reported amounts and sources of distributions are estimates 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 explain the character of these dividends and distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2012

 

 

 

Total Fiscal Year-to-Date
Cumulative Distributions by Character

 

Percent of Fiscal Year-to-Date
Cumulative Distributions by Character

 

 

 

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

 

BHY

 

$

0.525000

 

 

 

 

 

$

0.525000

 

 

100

%

 

0

%

 

0

%

 

100

%


 

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, 2012

155



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.

 

 

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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:

 

 

 

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 Corporate High Yield Fund VI, Inc.

$45,600

$45,400

$0

$0

$24,300

$32,000

$0

$0

 

 

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

 

Current Fiscal Year End

Previous Fiscal Year End

(b) Audit-Related Fees1

$0

$0

(c) Tax Fees2

$0

$0

(d) All Other Fees3

$2,970,000

$3,030,000

 

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 Corporate High Yield Fund VI, Inc.

$24,300

$32,000

 

 

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,970,000 and $3,030,000, 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, 2012.

 

 

(a)(1)

The registrant is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock and Derek Schoenhofen, Director at BlackRock. Messrs. Keenan, Garfin and Schoenhofen are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s portfolio management team since 2006. Messrs. Garfin and Schoenhofen have been members of the Fund’s portfolio management team since 2009.

 

Portfolio Manager

Biography

James E. Keenan

Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.

Mitchell Garfin

Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008.

Derek Schoenhofen  

Director of BlackRock since 2006; Vice President of BlackRock from 2000 to 2005.

 


 

(a)(2)

As of August 31, 2012:

 

 

(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

16

12

29

0

8

4

 

$13.07 Billion

$8.2 Billion

$7.12 Billion

$0

$2.14 Billion

$571.2 Million

Mitchell Garfin

16

2

25

0

0

4

 

$13.18 Billion

$5.34 Billion

$7.12 Billion

$0

$0

$571.2 Million

Derek Schoenhofen

10

4

30

0

1

4

 

$11.1 Billion

$5.97 Billion

$7.76 Billion

$0

$417.8 Million

$571.2 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, 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, 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’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock 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 Schoenhofen may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan and Schoenhofen may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 


 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock 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, 2012:

 

 

Portfolio Manager Compensation Overview

 

 

 

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, 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, 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’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock 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 Schoenhofen may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan and Schoenhofen may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 

 

 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock 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, 2012:

 

 

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 the firm.

 

 

 

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

 

 

 

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, Garfin and Schoenhofen have each received long-term incentive awards.

 

 

 

Deferred Compensation Program — A portion of the compensation paid to eligible 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. All of the eligible portfolio managers have participated 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 IRS limit ($250,000 for 2012).  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 an index 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. Messrs. Keenan, Garfin and Schoenhofen are each eligible to participate in these plans.

 

 

(a)(4)

Beneficial Ownership of Securities – As of August 31, 2012.

 

Portfolio Manager

Dollar Range of Equity Securities
of the Fund Beneficially Owned

James E. Keenan

None

Mitchell Garfin

None

Derek Schoenhofen  

None

 

 

(b) Not Applicable

 

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 


Item 11 –

Controls and Procedures

 

 

 

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

 

 

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 12 –

Exhibits attached hereto

 

 

 

(a)(1) – Code of Ethics – See Item 2

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – Certifications – Attached hereto

 


 

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 Corporate High Yield Fund VI, Inc.

 

 

 

By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

 

Date: November 5, 2012

 

 

 

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 Corporate High Yield Fund VI, Inc.

 

 

 

Date: November 5, 2012

 

 

 

By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

 

 

Date: November 5, 2012