c57439_ncsrs.htm -- Converted by SEC Publisher, created by BCL Technologies Inc., for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSRS

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: Donald C. Burke, Chief Executive Officer, BlackRock Corporate High Yield Fund VI, Inc., 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011

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

Date of fiscal year end: 08/31/2009

Date of reporting period: 02/28/2009

 



Item 1 – Report to Stockholders



 

 

 

 

 

 

 

 

 

 

 

EQUITIES

 

FIXED INCOME

 

REAL ESTATE

 

LIQUIDITY

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

 


(BLACKROCK LOGO)

 

Semi-Annual Report

 

 

 

 

 

 

 

 

 

 

 

 

FEBRUARY 28, 2009 | (UNAUDITED)

 

 

 

 

 

 

 


 

BlackRock Core Bond Trust (BHK)

 

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

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

 

BlackRock High Income Shares (HIS)

 

BlackRock High Yield Trust (BHY)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

BlackRock Income Trust, Inc. (BKT)

 

BlackRock Strategic Bond Trust (BHD)

 

NOT FDIC INSURED

MAY LOSE VALUE

NO BANK GUARANTEE




 

 


 

Table of Contents


 

 

 

 

 

Page

A Letter to Shareholders

 

3

Semi-Annual Report:

 

 

Trust Summaries

 

4

The Benefits and Risks of Leveraging

 

12

Derivative Instruments

 

12

Financial Statements:

 

 

Schedules of Investments

 

13

Statements of Assets and Liabilities

 

60

Statements of Operations

 

62

Statements of Changes in Net Assets

 

64

Statements of Cash Flows

 

67

Financial Highlights

 

68

Notes to Financial Statements

 

76

Officers and Directors/Trustees

 

85

Additional Information

 

86


 

 

 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

A Letter to Shareholders

Dear Shareholder

The present time may well be remembered as one of the most tumultuous periods in financial market history. Over the past year, the housing market collapse and the ensuing credit crisis swelled into an all-out global financial market meltdown, featuring the collapse of storied financial firms, volatile swings in the world’s financial markets and monumental government actions, including the recent passage of the nearly $800 billion American Recovery and Reinvestment Act of 2009.

The US economy appeared somewhat resilient through the first few months of 2008 before becoming mired in the worst recession in decades. The economic data was dire across the board, but worse was the intensifying pace of deterioration in consumer spending, employment, manufacturing and other key indicators. US gross domestic product (GDP) contracted at an annual rate of 6.3% in the 2008 fourth quarter—substantially below forecast and the worst reading since 1982. The Federal Reserve Board (the “Fed”) took forceful action to revive the global economy and financial system. In addition to slashing the federal funds target rate from 3% to a record low range of 0% to 0.25%, the central bank provided enormous cash injections and significantly expanded its balance sheet via various lending and acquisition programs.

Against this backdrop, US equities contended with relentless market volatility, and the sentiment turned decisively negative toward period end. Declines were significant and broad based, with little divergence among the returns for large and small cap stocks. Non-US stocks were not spared either, as the credit crisis revealed itself to be global in nature and economic activity slowed dramatically.

Risk aversion remained the dominant theme in fixed income markets, leading the Treasury sector to top all other asset classes. The high yield market was particularly hard hit in this environment, as economic turmoil, combined with frozen credit markets and substantial technical pressures, took a heavy toll. Meanwhile, tax-exempt issues posted positive returns for the period, but the sector was not without significant challenges, including a shortage of market participants, lack of liquidity, difficult funding environment and backlog of new-issue supply.

In all, investors continued to gravitate toward relative safety, as evidenced in the six- and 12-month returns of the major benchmark indexes:

 

 

 

 

 

 

 

 

Total Returns as of February 28, 2009

 

6-month

 

 

12-month

 

 

           

US equities (S&P 500 Index)

 

(41.82

)%

 

(43.32

)%

 

               

Small cap US equities (Russell 2000 Index)

 

(46.91

)

 

(42.38

)

 

               

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

 

(44.58

)

 

(50.22

)

 

               

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

 

8.52

 

 

8.09

 

 

               

Taxable fixed income (Barclays Capital US Aggregate Bond Index*)

 

1.88

 

 

2.06

 

 

               

Tax-exempt fixed income (Barclays Capital Municipal Bond Index*)

 

0.05

 

 

5.18

 

 

               

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

 

(21.50

)

 

(20.92

)

 

               

* Formerly a Lehman Brothers index.

Past performance is no guarantee of future results. Index performance shown for illustrative purposes only.

You cannot invest directly in an index.

Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For our most current views on the economy and financial markets, we invite you to visit www.blackrock.com/funds. We thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the months and years ahead.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

 

 

 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3



 

 


 

Trust Summary as of February 28, 2009

BlackRock Core Bond Trust

 

 

Investment Objective

 


BlackRock Core Bond Trust (BHK) (the “Trust”) seeks to provide high current income with the potential for capital appreciation.

 

 

Performance

 

For the six months ended February 28, 2009, the Trust returned (3.92)% based on market price and (13.99)% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of (7.99)% on a market price basis and (13.71)% on a NAV basis. All returns reflect reinvestment of dividends. The Trust moved from a discount to a premium to NAV, which accounts for the difference between performance based on price and performance based on NAV. The Trust’s 43% allocation to mortgage-backed securities (“MBS”) as of February 28, 2009 helped performance, as MBS outperformed corporate bonds during the period. In addition, at 16% leverage as of February 28, 2009, the Trust used less leverage than many of its Lipper peers, which aided results in a difficult market. Meanwhile, the Trust’s allocations to commercial mortgage-backed securities, high yield and preferred securities underperformed.

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.

 

 

Trust Information

 


 

 

Symbol on New York Stock Exchange

BHK

Initial Offering Date

November 27, 2001

Yield on Closing Market Price as of February 28, 2009 ($10.65)1

6.99%

Current Monthly Distribution per Share2

$0.062

Current Annualized Distribution per Share2

$0.744

Leverage as of February 28, 20093

16%

   

 

 

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 is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

3

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                       

Market Price

 

$10.65

 

$11.51

 

(7.47

)%

$11.78

 

$ 7.66

 

Net Asset Value

 

$10.61

 

$12.81

 

(17.17

)%

$13.08

 

$10.41

 

                       

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

 


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

           

Corporate Bonds

 

41

%

 

47

%

 

U.S. Government Agency Mortgage-Backed Securities

 

21

 

 

18

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

20

 

 

13

 

 

U.S. Government Obligations

 

8

 

 

8

 

 

Asset-Backed Securities

 

6

 

 

9

 

 

U.S. Government Agency Mortgage-Backed Securities-Collateralized Mortgage Obligations

 

2

 

 

2

 

 

Preferred Securities

 

1

 

 

2

 

 

Foreign Government Obligations

 

1

 

 

1

 

 

               

 

 

Credit Quality Allocations4

 


 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

               

AAA/Aaa

 

2

%

 

7

%

 

AA/Aa

 

17

 

 

18

 

 

A/A

 

37

 

 

26

 

 

BBB/Baa

 

26

 

 

26

 

 

BB/Ba

 

5

 

 

5

 

 

B/B

 

9

 

 

13

 

 

CCC/Caa

 

3

 

 

4

 

 

Not Rated

 

1

 

 

1

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 



 

 

Trust Summary as of February 28, 2009

BlackRock Corporate High Yield Fund V, Inc.


 

Investment Objective

BlackRock Corporate High Yield Fund V, Inc. (HYV) (the “Trust”) seeks 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 (Ba or lower by Moody’s or BB or lower by S&P) or are unrated securities of comparable quality.

 

Performance

For the six months ended February 28, 2009, the Trust returned (32.48)% based on market price and (36.32)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)% on a market price basis and (34.87)% on a NAV basis. 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 period from September 15, 2008 to December 12, 2008 was the worst in high yield market history. In this environment, the Trust was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Trust also had lower leverage than the majority of its Lipper peers. This aided relative performance during the first half of the period, but was a detractor amid the significant market recovery in the second half.

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.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

HYV

 

Initial Offering Date

 

November 30, 2001

 

Yield on Closing Market Price as of February 28, 2009 ($6.21)1

 

19.32%

 

Current Monthly Distribution per Share2

 

$0.10

 

Current Annualized Distribution per Share2

 

$1.20

 

Leverage as of February 28, 20093

 

18%

 

       

 

 

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 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 any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

6.21

 

$

10.15

 

(38.82

)%

 

$

10.29

 

$

4.56

 

Net Asset Value

 

$

6.89

 

$

11.94

 

(42.29

)%

 

$

11.94

 

$

6.53

 

                                 

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


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

               

Corporate Bonds

 

82

%

 

83

%

 

Floating Rate Loan Interests

 

16

 

 

14

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

1

 

 

 

 

Common Stocks

 

1

 

 

2

 

 

Preferred Securities

 

 

 

1

 

 

               

 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

               

A/A

 

 

 

1

%

 

BBB/Baa

 

4

%

 

4

 

 

BB/Ba

 

32

 

 

26

 

 

B/B

 

48

 

 

54

 

 

CCC/Caa

 

13

 

 

13

 

 

CC/Ca

 

1

 

 

 

 

Not Rated

 

2

 

 

2

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

5



 

 



 

 

Trust Summary as of February 28, 2009

BlackRock Corporate High Yield Fund VI, Inc.


 

Investment Objective

BlackRock Corporate High Yield Fund VI, Inc. (HYT) (the “Trust”) seeks 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 (Ba or lower by Moody’s or BB or lower by S&P) or are unrated securities of comparable quality.

 

Performance

For the six months ended February 28, 2009, the Trust returned (31.63)% based on market price and (36.23)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)% on a market price basis and (34.87)% on a NAV basis. 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 period from September 15, 2008 to December 12, 2008 was the worst in high yield market history. In this environment, the Trust was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Trust also had lower leverage than the majority of its Lipper peers. This aided relative performance during the first half of the period, but was a detractor amid the significant market recovery in the second half.

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.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

HYT

 

Initial Offering Date

 

May 30, 2003

 

Yield on Closing Market Price as of February 28, 2009 ($6.30)1

 

19.05%

 

Current Monthly Distribution per Share2

 

$0.10

 

Current Annualized Distribution per Share2

 

$1.20

 

Leverage as of February 28, 20093

 

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 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 any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

6.30

 

$

10.14

 

(37.87

)%

 

$

10.28

 

$

4.50

 

Net Asset Value

 

$

6.89

 

$

11.89

 

(42.05

)%

 

$

11.89

 

$

6.48

 

                                 

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


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

               

Corporate Bonds

 

82

%

 

83

%

 

Floating Rate Loan Interests

 

16

 

 

14

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

1

 

 

 

 

Common Stocks

 

1

 

 

2

 

 

Preferred Securities

 

 

 

1

 

 

               

 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

               

BBB/Baa

 

5

%

 

5

%

 

BB/Ba

 

31

 

 

26

 

 

B/B

 

48

 

 

54

 

 

CCC/Caa

 

13

 

 

13

 

 

CC/Ca

 

1

 

 

 

 

Not Rated

 

2

 

 

2

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 


 

 

Trust Summary as of February 28, 2009

BlackRock High Income Shares


 

 

Investment Objective

 

 

 

BlackRock High Income Shares (HIS) (the “Trust”) seeks to provide high current income and to a lesser extent capital appreciation, by investing in a diversified portfolio of below investment grade securities.

 

 

Performance

 

 

 

For the six months ended February 28, 2009, the Trust returned (30.47)% based on market price and (33.50)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)% on a market price basis and (34.87)% on a NAV basis. 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 period from September 15, 2008 to December 12, 2008 was the worst in high yield market history. In this environment, the Trust was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Trust also had lower leverage than the majority of its Lipper peers. This aided relative performance during the first half of the period, but was a detractor amid the significant market recovery in the second half.

 

 

 

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.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

HIS

 

Initial Offering Date

 

August 10, 1988

 

Yield on Closing Market Price as of February 28, 2009 ($1.19)1

 

18.35%

 

Current Monthly Distribution per Share2

 

$0.0182

 

Current Annualized Distribution per Share2

 

$0.2184

 

Leverage as of February 28, 20093

 

20%

 

       

 

 

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 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 any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                       

Market Price

 

$

1.19

 

$

1.88

 

(36.70

)%

$

1.92

 

$

0.83

 

Net Asset Value

 

$

1.35

 

$

2.23

 

(39.46

)%

$

2.24

 

$

1.27

 

                               

 

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

 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

           

Corporate Bonds

 

86

%

 

86

%

 

Floating Rate Loan Interests

 

13

 

 

11

 

 

Preferred Securities

 

1

 

 

3

 

 

               

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

           

BBB/Baa

 

5

%

 

4

%

 

BB/Ba

 

36

 

 

23

 

 

B/B

 

40

 

 

52

 

 

CCC/Caa

 

14

 

 

16

 

 

CC/Ca

 

1

 

 

 

 

D

 

1

 

 

 

 

Not Rated

 

3

 

 

5

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

7



 

 


 

 

Trust Summary as of February 28, 2009

BlackRock High Yield Trust


 

 

Investment Objective

 

 

 

BlackRock High Yield Trust (BHY) (the “Trust”) seeks to provide high current income and to a lesser extent capital appreciation, by investing in a diversified portfolio of below investment grade securities.

 

 

Performance

 

 

 

For the six months ended February 28, 2009, the Trust returned (16.36)% based on market price and (32.57)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)% on a market price basis and (34.87)% on a NAV basis. All returns reflect reinvestment of dividends. The Trust moved from a discount to a premium to NAV, which accounts for the difference between performance based on price and performance based on NAV. The period from September 15, 2008 to December 12, 2008 was the worst in high yield market history. In this environment, the Trust was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Trust also had lower leverage than the majority of its Lipper peers. This aided relative performance during the first half of the period, but was a detractor amid the significant market recovery in the second half.

 

 

 

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.

 

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BHY

 

Initial Offering Date

 

December 23, 1998

 

Yield on Closing Market Price as of February 28, 2009 ($4.68)1

 

13.08%

 

Current Monthly Distribution per Share2

 

$0.051

 

Current Annualized Distribution per Share2

 

$0.612

 

Leverage as of February 28, 20093

 

13%

 

       

 

 

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

A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0435. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net realized gain.

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                       

Market Price

 

$

4.68

 

$

5.96

 

(21.48

)%

$

6.00

 

$

3.11

 

Net Asset Value

 

$

4.33

 

$

6.84

 

(36.70

)%

$

6.86

 

$

4.06

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

           

Corporate Bonds

 

86

%

 

88

%

 

Floating Rate Loan Interests

 

12

 

 

11

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

1

 

 

 

 

Preferred Securities

 

1

 

 

1

 

 

               

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

           

BBB/Baa

 

4

%

 

6

%

 

BB/Ba

 

35

 

 

24

 

 

B

 

43

 

 

52

 

 

CCC/Caa

 

14

 

 

15

 

 

CC/Ca

 

1

 

 

 

 

Not Rated

 

3

 

 

3

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 



 

 

Trust Summary as of February 28, 2009

BlackRock Income Opportunity Trust, Inc.


 

Investment Objective

BlackRock Income Opportunity Trust, Inc. (BNA) (the “Trust”) seeks to provide current income and capital appreciation in a portfolio of primarily U.S. dollar-denominated securities.

 

Performance

For the six months ended February 28, 2009, the Trust returned (7.56)% based on market price and (12.79)% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of (7.99)% on a market price basis and (13.71)% on a NAV basis. All returns reflect reinvestment of dividends. The Trust moved from a discount to a premium to NAV, which accounts for the difference between performance based on price and performance based on NAV. The Trust’s 39% allocation to mortgage-backed securities (“MBS”) as of February 28, 2009 helped performance, as MBS outperformed corporate bonds during the period. In addition, at 12% leverage as of February 28, 2009, the Trust used less leverage than many of its Lipper peers, which aided results in a difficult market. Meanwhile, the Trust’s allocations to commercial mortgage-backed securities, high yield and preferred securities underperformed.

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.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BNA

 

Initial Offering Date

 

December 20, 1991

 

Yield on Closing Market Price as of February 28, 2009 ($8.75)1

 

6.99%

 

Current Monthly Distribution per Share2

 

$0.051

 

Current Annualized Distribution per Share2

 

$0.612

 

Leverage as of February 28, 20093

 

12%

 

       

 

 

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. A portion of the distribution may be deemed a tax return of capital or net realized gain.

3

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

8.75

 

$

9.82

 

(10.90

)%

 

$

10.00

 

$

5.00

 

Net Asset Value

 

$

8.70

 

$

10.35

 

(15.94

)%

 

$

10.57

 

$

8.55

 

                                 

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


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

               

Corporate Bonds

 

42

%

 

42

%

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

20

 

 

14

 

 

U.S. Government Agency Mortgage-Backed Securities

 

16

 

 

15

 

 

U.S. Government Obligations

 

11

 

 

11

 

 

Asset-Backed Securities

 

6

 

 

10

 

 

U.S. Government and Agency Mortgage-Backed Securities-Collateralized Mortgage Obligations

 

3

 

 

3

 

 

Capital Trusts

 

2

 

 

4

 

 

Foreign Government Obligations

 

 

 

1

 

 

               

 

Credit Quality Allocations4


 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

               

AAA/Aaa

 

6

%

 

8

%

 

AA/Aa

 

15

 

 

18

 

 

A/A

 

37

 

 

28

 

 

BBB/Baa

 

27

 

 

26

 

 

BB/Ba

 

4

 

 

5

 

 

B/B

 

9

 

 

12

 

 

CCC/Caa

 

2

 

 

3

 

 

               

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

9



 

 



 

 

Trust Summary as of February 28, 2009

BlackRock Income Trust, Inc.


 

Investment Objective

BlackRock Income Trust, Inc. (BKT) (the “Trust”) seeks to provide high monthly income while preserving capital by investing in a portfolio of mortgage-backed securities.

 

Performance

For the six months ended February 28, 2009, the Trust returned 0.00% based on market price and (1.75)% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of (13.29)% on a market price basis and (12.14)% on a NAV basis. 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. During the six-month period, the Trust’s large allocations to US government agency mortgage-backed securities (MBS) helped performance, while small allocations to non-agency MBS and other structured securities detracted from results. The Trust used less leverage than its Lipper peers, which aided relative performance.

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.

 

Trust Information


 

 

 

 

Symbol on New York Stock Exchange

 

BKT

 

Initial Offering Date

 

July 22, 1988

 

Yield on Closing Market Price as of February 28, 2009 ($5.92)1

 

4.86%

 

Current Monthly Distribution per Share2

 

$0.024

 

Current Annualized Distribution per Share2

 

$0.288

 

       

 

 

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.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                                 

Market Price

 

$

5.92

 

$

6.07

 

(2.47

)%

 

$

6.28

 

$

4.32

 

Net Asset Value

 

$

6.65

 

$

6.94

 

(4.18

)%

 

$

6.99

 

$

6.38

 

                                 

The following chart shows the portfolio composition of the Trust’s long-term investments:

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

               

U.S. Government Agency Mortgage-Backed Securities

 

59

%

 

46

%

 

U.S. Government Agency Mortgage-Backed Securities-Collateralized Mortgage Obligations

 

21

 

 

28

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

12

 

 

18

 

 

U.S. Government and Agency Obligations

 

6

 

 

6

 

 

Asset-Backed Securities

 

2

 

 

2

 

 

               

 

 

 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Trust Summary as of February 28, 2009

BlackRock Strategic Bond Trust


 

Investment Objective

 


BlackRock Strategic Bond Trust (BHD) (the “Trust”) seeks total return through high current income and capital appreciation.

 

Performance

 


For the six months ended February 28, 2009, the Trust returned (10.42)% based on market price and (18.21)% based on NAV. For the same period, the closed-end Lipper General Bond Funds category posted an average return of (11.70)% on a market price basis and (13.41)% on a NAV basis. 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 Trust’s 56% allocation to high yield as of February 28, 2009 hurt relative performance, as the Trust sits in a general bond fund category and high yield underperformed investment-grade bonds. Allocations to preferred issues, convertible securities and bank loans also detracted from performance during the six months.

 

 

 

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.


 

Trust Information

 


 

 

 

 

 

Symbol on New York Stock Exchange

 

 

BHD

 

Initial Offering Date

 

 

February 26, 2002

 

Yield on Closing Market Price as of February 28, 2009 ($9.23)1

 

 

10.01%

 

Current Monthly Distribution per Share2

 

 

$0.077

 

Current Annualized Distribution per Share2

 

 

$0.924

 

         

 

 

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

A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0695. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

 

 

2/28/09

 

8/31/08

 

Change

 

High

 

Low

 

                               

Market Price

 

$

9.23

 

$

10.85

 

(14.93)%

 

$

10.95

 

$

6.25

 

Net Asset Value

 

$

9.91

 

$

12.76

 

(22.34)%

 

$

12.81

 

$

9.38

 

                               

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

 


 

 

 

 

 

 

 

 

 

 

2/28/09

 

8/31/08

 

           

Corporate Bonds

 

88

%

 

88

%

 

Floating Rate Loan Interests

 

8

 

 

5

 

 

Non U.S. Government Agency

 

2

 

 

 

 

U.S. Government Obligations

 

 

 

4

 

 

Preferred Securities

 

2

 

 

3

 

 

               

 

Credit Quality Allocations3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Rating

 

2/28/09

 

8/31/08

 

           

AA/Aa

 

22

%

 

4

%

 

A

 

 

 

18

 

 

BBB/Baa

 

16

 

 

18

 

 

BB/Ba

 

21

 

 

14

 

 

B

 

29

 

 

36

 

 

CCC/Caa

 

10

 

 

8

 

 

Not Rated

 

2

 

 

2

 

 

               

 

 

3

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

11



 


 

The Benefits and Risks of Leveraging

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

The Trusts may utilize leverage through borrowings and the issuance of short-term securities. In general, the concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will 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 Common Shareholders will benefit from the incremental yield.

The interest earned on securities purchased with the proceeds from leverage is paid to Common Shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV of each Trust’s Common Shares. However, in order to benefit Common 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, returns to Common Shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues debt securities 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 interest expense on the $30 million of debt securities based on the lower short-term interest rates. At the same time, the Trust’s total portfolio of $130 million earns the income based on long-term interest rates. In this case, the interest expense of the debt securities is significantly lower than the income earned on the Trust’s long-term investments, and therefore the Common Shareholders are the beneficiaries of the incremental yield.

Conversely, if prevailing short-term interest rates rise above long-term interest rates of 6%, the yield curve has a negative slope. In this case, the Trust pays interest expense on the higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates. If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental yield pickup on the Common Shares will be reduced or eliminated completely.

Furthermore, the value of the Trust’s 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 Trust’s debt securities do not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust’s NAV positively or negatively in addition to the impact on Trust performance from leverage from debt securities.

The use of leverage may enhance opportunities for increased returns to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes to each Trust’s NAV, market price and dividend rate than a comparable portfolio without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s 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. A Trust may be required to sell portfolio securities at inopportune times or below fair market 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 a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by ratings agencies that rate preferred shares issued by a Trust. A Trust will incur expenses in connection with the use of leverage, all of which are borne by the holders of the Common Shares and may reduce returns on the Common Shares.

Under the Investment Company Act of 1940, the Trusts are permitted to borrow through a credit facility and the issuance of short-term debt securities up to 331/3% of total managed assets. As of February 28, 2009, the Trusts had outstanding leverage from reverse repurchase agreements and credit facility borrowings as a percentage of their total managed assets as follows:

 

 

 

 

 

         

 

 

Percent of
Leverage

 

       

BlackRock Core Bond Trust

 

16

%

 

BlackRock Corporate High Yield Fund V, Inc.

 

18

%

 

BlackRock Corporate High Yield Fund VI, Inc.

 

19

%

 

BlackRock High Income Shares

 

20

%

 

BlackRock High Yield Trust

 

13

%

 

BlackRock Income Opportunity Trust

 

12

%

 

         

 

Derivative Instruments

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

 

 

 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments February 28, 2009 (Unaudited)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

Value

 

             

Chase Issuance Trust:

 

 

 

 

 

 

 

Series 2007-A17 Class A, 5.12%, 10/15/14

 

USD

2,300

 

$

2,331,740

 

Series 2008-A9 Class A9, 4.26%, 5/15/13

 

 

1,845

 

 

1,851,727

 

Citibank Omni Master Trust Series 2007-A9A Class A9,
1.573%, 12/23/13 (a)

 

 

2,720

 

 

2,433,780

 

Countrywide Asset Backed Certificates Series 2006-13
Class 3AV2, 0.624%, 1/25/37 (a)

 

 

1,684

 

 

1,083,106

 

Daimler Chrysler Auto Trust Series 2006-A Class A3,
5%, 5/08/10

 

 

214

 

 

213,521

 

Harley-Davidson Motorcycle Trust Series 2005-2 Class A2,
4.07%, 2/15/12

 

 

1,109

 

 

1,078,133

 

Home Equity Asset Trust Series 2007-2 Class 2A1,
0.584%, 7/25/37 (a)

 

 

597

 

 

503,126

 

JPMorgan Mortgage Acquisition Corp. Series 2007-CH5
Class A3, 0.584%, 5/25/37 (a)

 

 

3,635

 

 

2,280,800

 

SLM Student Loan Trust (a):

 

 

 

 

 

 

 

Series 2005-5 Class A1, 1.159%, 1/25/18

 

 

117

 

 

116,928

 

Series 2008-5 Class A2, 2.259%, 10/25/16

 

 

3,200

 

 

3,010,627

 

Series 2008-5 Class A3, 2.459%, 1/25/18

 

 

810

 

 

728,564

 

Series 2008-5 Class A4, 2.859%, 7/25/23

 

 

2,180

 

 

1,974,776

 

Small Business Administration Class 1:

 

 

 

 

 

 

 

Series 2003-P10B, 5.136%, 8/10/13

 

 

755

 

 

775,689

 

Series 2004-P10B, 4.754%, 8/10/14

 

 

456

 

 

465,327

 

Sterling Bank Trust Series 2004-2 Class Note, 2.081%,
3/30/30 (b)

 

 

6,507

 

 

396,487

 

Sterling Coofs Trust Series 1, 2.362%, 4/15/29

 

 

9,156

 

 

852,677

 

USAA Auto Owner Trust Series 2006-1 Class A4, 5.04%,
12/15/11

 

 

2,725

 

 

2,734,947

 

               

Total Asset-Backed Securities—8.0%

 

 

 

 

 

22,831,955

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 

               

Aerospace & Defense—1.4%

 

 

 

 

 

 

 

Honeywell International, Inc., 5.70%, 3/15/37

 

 

975

 

 

931,710

 

Northrop-Grumman Corp., 7.875%, 3/01/26

 

 

960

 

 

1,074,415

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.875%, 5/01/15 (c)

 

 

1,125

 

 

1,152,365

 

6.125%, 7/15/38

 

 

700

 

 

728,426

 

 

 

 

 

 

     

 

 

 

 

 

 

3,886,916

 

               

Air Freight & Logistics—0.6%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

120

 

 

49,200

 

United Parcel Service, Inc., 6.20%, 1/15/38

 

 

1,650

 

 

1,676,634

 

 

 

 

 

 

     

 

 

 

 

 

 

1,725,834

 

               

Airlines—0.0%

 

 

 

 

 

 

 

American Airlines, Inc. Series 99-1, 7.324%, 4/15/11

 

 

115

 

 

108,100

 

               

Auto Components—0.0%

 

 

 

 

 

 

 

Lear Corp., 8.75%, 12/01/16

 

 

120

 

 

20,400

 

               

Automobiles—0.1%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

600

 

 

192,000

 

               

Beverages—0.5%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39 (d)

 

 

1,475

 

 

1,430,096

 

               

Building Products—0.0%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

200

 

 

106,000

 

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

 

 

215

 

 

45,150

 

 

 

 

 

 

     

 

 

 

 

 

 

151,150

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Capital Markets—0.4%

 

 

 

 

 

 

 

Lehman Brothers Holdings, Inc. (e):

 

 

 

 

 

 

 

4.519%, 9/15/22

 

USD

525

 

$

64,313

 

Series MTN, 7%, 9/27/27

 

 

1,250

 

 

162,500

 

Morgan Stanley:

 

 

 

 

 

 

 

1.648%, 1/09/12 (a)

 

 

190

 

 

148,251

 

6.25%, 8/28/17

 

 

875

 

 

791,008

 

Series F, 5.55%, 4/27/17

 

 

140

 

 

121,076

 

 

 

 

 

 

     

 

 

 

 

 

 

1,287,148

 

               

Chemicals—0.5%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

250

 

 

210,000

 

Ames True Temper, Inc., 5.094%, 1/15/12 (a)

 

 

650

 

 

422,500

 

Innophos, Inc., 8.875%, 8/15/14

 

 

885

 

 

703,575

 

 

 

 

 

 

     

 

 

 

 

 

 

1,336,075

 

               

Commercial Banks—1.8%

 

 

 

 

 

 

 

DEPFA ACS Bank, 5.125%, 3/16/37 (d)

 

 

3,775

 

 

2,068,047

 

HSBC Bank USA NA, 5.875%, 11/01/34

 

 

775

 

 

654,982

 

HSBC Finance Corp., 6.50%, 5/02/36

 

 

300

 

 

265,375

 

Wachovia Bank NA, 6.60%, 1/15/38

 

 

1,925

 

 

1,695,309

 

Wells Fargo & Co., 4.875%, 1/12/11

 

 

435

 

 

437,623

 

 

 

 

 

 

     

 

 

 

 

 

 

5,121,336

 

               

Commercial Services & Supplies—0.6%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

598

 

 

544,180

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

590

 

 

466,100

 

West Corp., 11%, 10/15/16

 

 

1,100

 

 

704,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,714,280

 

               

Computers & Peripherals—1.6%

 

 

 

 

 

 

 

International Business Machines Corp.:

 

 

 

 

 

 

 

5.70%, 9/14/17 (c)

 

 

3,125

 

 

3,205,503

 

8%, 10/15/38

 

 

1,100

 

 

1,307,277

 

 

 

 

 

 

     

 

 

 

 

 

 

4,512,780

 

               

Consumer Finance—0.5%

 

 

 

 

 

 

 

SLM Corp. (a):

 

 

 

 

 

 

 

1.299%, 7/27/09

 

 

1,150

 

 

1,070,620

 

Series A, 1.459%, 1/27/14

 

 

550

 

 

283,645

 

 

 

 

 

 

     

 

 

 

 

 

 

1,354,265

 

               

Containers & Packaging—0.9%

 

 

 

 

 

 

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

150

 

 

151,125

 

Graphic Packaging International Corp., 9.50%, 8/15/13

 

 

735

 

 

547,575

 

Impress Holdings BV, 4.219%, 9/15/13 (a)(d)

 

 

300

 

 

222,000

 

Owens-Brockway Glass Container, Inc., 8.25%, 5/15/13

 

 

1,500

 

 

1,515,000

 

Pregis Corp., 12.375%, 10/15/13

 

 

545

 

 

242,525

 

 

 

 

 

 

     

 

 

 

 

 

 

2,678,225

 

               

Diversified Consumer Services—0.2%

 

 

 

 

 

 

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

562,074

 

               

Diversified Financial Services—2.8%

 

 

 

 

 

 

 

Bank of America Corp., 6%, 9/01/17 (c)

 

 

1,590

 

 

1,338,421

 

Bank of America NA, 6.10%, 6/15/17 (c)

 

 

1,975

 

 

1,499,890

 

FCE Bank Plc, 7.125%, 1/16/12

 

EUR

250

 

 

193,332

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (a)

 

USD

125

 

 

61,250

 

7.80%, 6/01/12

 

 

340

 

 

184,287

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

13



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37

 

USD

4,620

 

$

3,458,301

 

5.875%, 1/14/38

 

 

177

 

 

125,830

 

6.875%, 1/10/39

 

 

135

 

 

109,248

 

JPMorgan Chase & Co., 6%, 1/15/18

 

 

125

 

 

120,827

 

Structured Asset Repackaged Trust, 1.633%, 1/21/10

 

 

1,028

 

 

873,537

 

 

 

 

 

 

     

 

 

 

 

 

 

7,964,923

 

               

Diversified Telecommunication Services—6.4%

 

 

 

 

 

 

 

AT&T, Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

 

780

 

 

716,033

 

6.30%, 1/15/38

 

 

600

 

 

538,999

 

6.55%, 2/15/39

 

 

3,375

 

 

3,132,003

 

BellSouth Telecommunications, Inc., 7.446%, 12/15/95 (f)

 

 

1,700

 

 

663,895

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

210

 

 

200,550

 

Comcast Cable Holdings LLC, 7.875%, 8/01/13

 

 

10

 

 

10,344

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

120

 

 

101,700

 

Series B, 7.50%, 2/15/14

 

 

60

 

 

50,850

 

Qwest Corp., 5.246%, 6/15/13 (a)

 

 

470

 

 

398,325

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

926,071

 

6%, 9/30/34

 

 

1,550

 

 

1,107,024

 

Telefonica Emisiones SAU, 7.045%, 6/20/36

 

 

1,975

 

 

2,013,378

 

Telefonica Europe BV, 7.75%, 9/15/10

 

 

725

 

 

761,785

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38 (c)

 

 

2,125

 

 

1,993,775

 

8.95%, 3/01/39

 

 

900

 

 

1,061,608

 

Verizon Global Funding Corp., 7.75%, 12/01/30

 

 

70

 

 

71,964

 

Verizon Maryland, Inc. Series B, 5.125%, 6/15/33

 

 

125

 

 

90,554

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.875%, 1/17/12

 

 

335

 

 

336,189

 

7.85%, 11/15/29

 

 

230

 

 

219,042

 

Verizon Virginia, Inc. Series A, 4.625%, 3/15/13 (c)

 

 

3,150

 

 

3,025,581

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (d)

 

 

350

 

 

350,875

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

500

 

 

485,000

 

8.625%, 8/01/16

 

 

230

 

 

220,800

 

 

 

 

 

 

     

 

 

 

 

 

 

18,476,345

 

               

Electric Utilities—5.5%

 

 

 

 

 

 

 

Alabama Power Co., 6%, 3/01/39

 

 

1,275

 

 

1,265,347

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

305,285

 

6%, 1/15/38

 

 

825

 

 

846,159

 

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

 

 

1,525

 

 

1,527,756

 

EDP Finance BV, 6%, 2/02/18 (d)

 

 

1,125

 

 

1,044,710

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

115

 

 

105,513

 

Electricite de France SA, 6.95%, 1/26/39 (d)

 

 

1,400

 

 

1,407,788

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

110

 

 

88,414

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,383,296

 

6.40%, 6/15/38

 

 

875

 

 

919,782

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

950

 

 

848,191

 

Midwest Generation LLC Series B, 8.56%, 1/02/16

 

 

75

 

 

74,193

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

587,739

 

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

 

 

1,200

 

 

1,251,648

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.625%, 2/01/36

 

 

625

 

 

612,238

 

Series 05-E, 5.35%, 7/15/35

 

 

125

 

 

117,842

 

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

 

 

1,075

 

 

1,101,226

 

The Toledo Edison Co., 6.15%, 5/15/37

 

 

350

 

 

267,371

 

Virginia Electric and Power Co. Series A, 6%, 5/15/37

 

 

2,000

 

 

1,924,926

 

 

 

 

 

 

     

 

 

 

 

 

 

15,679,424

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

USD

600

 

$

210,000

 

               

Energy Equipment & Services—0.4%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

55

 

 

43,038

 

7.75%, 5/15/17

 

 

90

 

 

69,750

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

45

 

 

35,438

 

Transocean, Inc., 6.80%, 3/15/38

 

 

1,100

 

 

1,005,194

 

 

 

 

 

 

     

 

 

 

 

 

 

1,153,420

 

               

Food & Staples Retailing—1.6%

 

 

 

 

 

 

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

775

 

 

736,150

 

The Pantry, Inc., 7.75%, 2/15/14

 

 

1,000

 

 

755,000

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

505

 

 

272,700

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

2,034,222

 

6.20%, 4/15/38

 

 

850

 

 

881,573

 

 

 

 

 

 

     

 

 

 

 

 

 

4,679,645

 

               

Food Products—0.5%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7%, 8/11/37

 

 

1,455

 

 

1,465,675

 

               

Gas Utilities—0.2%

 

 

 

 

 

 

 

El Paso Natural Gas Co., 8.625%, 1/15/22

 

 

265

 

 

254,690

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

320

 

 

201,600

 

 

 

 

 

 

     

 

 

 

 

 

 

456,290

 

               

Health Care Equipment & Supplies—0.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

1,380

 

 

1,048,800

 

               

Health Care Providers & Services—0.6%

 

 

 

 

 

 

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

 

1,020

 

 

907,800

 

UnitedHealth Group, Inc., 5.80%, 3/15/36

 

 

870

 

 

697,197

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

85

 

 

68,988

 

 

 

 

 

 

     

 

 

 

 

 

 

1,673,985

 

               

Hotels, Restaurants & Leisure—1.7%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.125%, 6/01/12

 

 

3,165

 

 

2,785,200

 

7.125%, 2/15/13

 

 

320

 

 

263,200

 

Circus and Eldorado Joint Venture, 10.125%, 3/01/12

 

 

1,000

 

 

620,000

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

150

 

 

95,250

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (d)(e)

 

 

315

 

 

28,350

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/18

 

 

650

 

 

39,935

 

10%, 12/15/18 (d)

 

 

151

 

 

42,280

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

825

 

 

821,384

 

Seneca Gaming Corp. Series B, 7.25%, 5/01/12

 

 

260

 

 

192,400

 

 

 

 

 

 

     

 

 

 

 

 

 

4,887,999

 

               

Household Durables—0.6%

 

 

 

 

 

 

 

Belvoir Land LLC Series A-1, 5.27%, 12/15/47

 

 

350

 

 

215,383

 

Irwin Land LLC:

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

525

 

 

384,206

 

Series A-2, 5.40%, 12/15/47

 

 

1,500

 

 

931,095

 

Ohana Military Communities LLC Series 04I,

 

 

 

 

 

 

 

6.193%, 4/01/49

 

 

350

 

 

272,213

 

 

 

 

 

 

     

 

 

 

 

 

 

1,802,897

 

               

Household Products—0.3%

 

 

 

 

 

 

 

Kimberly-Clark, Corp., 6.625%, 8/01/37

 

 

850

 

 

907,422

 

               

IT Services—0.1%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

240

 

 

141,600

 

iPayment Investors LP, 12.75%, 7/15/14 (d)(g)

 

 

962

 

 

240,386

 

 

 

 

 

 

     

 

 

 

 

 

 

381,986

 

               

Independent Power Producers & Energy Traders—0.0%

 

 

 

 

 

 

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

47,125

 

7.375%, 2/01/16

 

 

15

 

 

13,838

 

 

 

 

 

 

     

 

 

 

 

 

 

60,963

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

14

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Industrial Conglomerates—0.1%

 

 

 

 

 

 

 

Sequa Corp. (d):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

690

 

$

110,400

 

13.50%, 12/01/15 (g)

 

 

1,699

 

 

201,998

 

 

 

 

 

 

     

 

 

 

 

 

 

312,398

 

               

Insurance—2.4%

 

 

 

 

 

 

 

Chubb Corp., 6%, 5/11/37

 

 

1,100

 

 

962,897

 

Hartford Life Global Funding Trusts (a):

 

 

 

 

 

 

 

1.49%, 9/15/09

 

 

925

 

 

887,218

 

1.50%, 6/16/14

 

 

425

 

 

302,017

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,525

 

 

1,210,379

 

Metropolitan Life Global Funding I, 4.25%, 7/30/09 (d)

 

 

1,150

 

 

1,146,870

 

Monument Global Funding Ltd., 0.641%, 6/16/10 (a)

 

 

1,810

 

 

1,673,323

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

412,289

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

318,250

 

 

 

 

 

 

     

 

 

 

 

 

 

6,913,243

 

               

Machinery—0.3%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

360

 

 

216,000

 

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

 

 

265

 

 

79,500

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (d)

 

 

950

 

 

522,500

 

 

 

 

 

 

     

 

 

 

 

 

 

818,000

 

               

Marine—0.3%

 

 

 

 

 

 

 

Nakilat, Inc. Series A, 6.067%, 12/31/33 (d)

 

 

1,050

 

 

685,503

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

141

 

 

84,600

 

 

 

 

 

 

     

 

 

 

 

 

 

770,103

 

               

Media—4.8%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

695

 

 

538,624

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

645

 

 

19,350

 

COX Communications, Inc., 8.375%, 3/01/39 (d)

 

 

850

 

 

817,129

 

Cablevision Systems Corp. Series B, 8.334%, 4/01/09 (a)

 

 

180

 

 

180,000

 

Charter Communications Holdings II, LLC (e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

590

 

 

474,950

 

Series B, 10.25%, 9/15/10

 

 

120

 

 

96,000

 

Comcast Cable Holdings LLC 7.125%, 2/15/28

 

 

200

 

 

175,502

 

Comcast Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/17

 

 

1,750

 

 

1,700,346

 

6.50%, 11/15/35

 

 

625

 

 

541,407

 

6.45%, 3/15/37

 

 

790

 

 

678,351

 

6.95%, 8/15/37

 

 

25

 

 

22,887

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

125

 

 

126,250

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

7%, 10/01/13

 

 

43

 

 

40,098

 

7.125%, 2/01/16

 

 

75

 

 

67,688

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

823

 

 

197,520

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

155

 

 

24,025

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

737,968

 

8.45%, 8/01/34

 

 

625

 

 

585,754

 

News America, Inc., 7.625%, 11/30/28

 

 

985

 

 

854,935

 

Nielsen Finance LLC, 10%, 8/01/14

 

 

935

 

 

771,375

 

Rainbow National Services LLC (d):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

200,250

 

10.375%, 9/01/14

 

 

943

 

 

965,396

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

610

 

 

581,282

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (d)

 

 

1,200

 

 

564,000

 

Time Warner Cable, Inc., 7.30%, 7/01/38

 

 

2,525

 

 

2,303,416

 

Time Warner Cos., Inc.:

 

 

 

 

 

 

 

6.95%, 1/15/28

 

 

70

 

 

62,367

 

6.625%, 5/15/29

 

 

90

 

 

77,410

 

Time Warner, Inc.:

 

 

 

 

 

 

 

7.625%, 4/15/31

 

 

205

 

 

192,336

 

7.70%, 5/01/32

 

 

85

 

 

80,316

 

 

 

 

 

 

     

 

 

 

 

 

 

13,676,932

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Metals & Mining—0.9%

 

 

 

 

 

 

 

AK Steel Corp., 7.75%, 6/15/12

 

USD

515

 

$

442,900

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6%, 10/15/15

 

 

825

 

 

602,824

 

6.20%, 6/15/35

 

 

1,250

 

 

751,955

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (a)

 

 

490

 

 

366,275

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

80

 

 

69,200

 

Teck Cominco Ltd., 6.125%, 10/01/35

 

 

610

 

 

292,800

 

 

 

 

 

 

     

 

 

 

 

 

 

2,525,954

 

               

Multi-Utilities—0.4%

 

 

 

 

 

 

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,500

 

 

1,101,498

 

               

Oil, Gas & Consumable Fuels—6.1%

 

 

 

 

 

 

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,350

 

 

1,794,551

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

140

 

 

71,400

 

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

 

 

875

 

 

921,601

 

Canadian Natural Resources Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

410

 

 

317,799

 

6.25%, 3/15/38

 

 

375

 

 

279,999

 

6.75%, 2/01/39

 

 

1,025

 

 

817,182

 

Chesapeake Energy Corp., 6.375%, 6/15/15

 

 

150

 

 

122,625

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

115

 

 

38,525

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

125

 

 

130,990

 

ConocoPhillips Canada Funding Co., 5.95%, 10/15/36

 

 

535

 

 

496,780

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

650

 

 

660,536

 

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

 

 

625

 

 

656,998

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

130

 

 

103,838

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

537,963

 

6.625%, 8/15/37

 

 

700

 

 

583,470

 

6.50%, 2/01/38

 

 

325

 

 

271,128

 

Encore Acquisition Co., 6%, 7/15/15

 

 

40

 

 

31,000

 

Marathon Oil Corp., 7.50%, 2/15/19

 

 

1,050

 

 

1,019,975

 

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

 

 

700

 

 

642,884

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

716,454

 

6.50%, 9/15/37

 

 

1,900

 

 

1,832,026

 

Nexen, Inc., 6.40%, 5/15/37

 

 

550

 

 

388,145

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

450

 

 

153,000

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

330

 

 

221,925

 

Shell International Finance B.V., 6.375%, 12/15/38

 

 

1,425

 

 

1,483,362

 

Valero Energy Corp., 6.625%, 6/15/37

 

 

495

 

 

377,943

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

20

 

 

16,800

 

7.25%, 5/01/13

 

 

335

 

 

273,025

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

1,925

 

 

1,717,096

 

6.375%, 6/15/38

 

 

900

 

 

761,038

 

 

 

 

 

 

     

 

 

 

 

 

 

17,440,058

 

               

Paper & Forest Products—0.2%

 

 

 

 

 

 

 

Bowater, Inc., 4.32%, 3/15/10 (a)

 

 

80

 

 

14,400

 

NewPage Corp., 10%, 5/01/12

 

 

1,625

 

 

491,563

 

 

 

 

 

 

     

 

 

 

 

 

 

505,963

 

               

Pharmaceuticals—2.7%

 

 

 

 

 

 

 

Abbott Laboratories, 5.125%, 4/01/19

 

 

690

 

 

687,011

 

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,275

 

 

2,160,340

 

Roche Holdings, Inc., 7%, 3/01/39 (d)

 

 

850

 

 

890,690

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,125

 

 

1,112,792

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,445

 

 

1,317,224

 

Wyeth:

 

 

 

 

 

 

 

6%, 2/15/36

 

 

675

 

 

691,400

 

5.95%, 4/01/37

 

 

925

 

 

940,196

 

 

 

 

 

 

     

 

 

 

 

 

 

7,799,653

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

15



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Professional Services—0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

USD

100

 

$

98,750

 

               

Road & Rail—0.1%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.25%, 8/01/34

 

 

350

 

 

344,072

 

               

Software—0.8%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(d)(g)

 

 

113

 

 

27,076

 

Oracle Corp., 5.75%, 4/15/18 (c)

 

 

2,225

 

 

2,249,998

 

 

 

 

 

 

     

 

 

 

 

 

 

2,277,074

 

               

Specialty Retail—0.5%

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.404%, 3/15/14 (a)(g)

 

 

500

 

 

295,000

 

10.75%, 3/15/15

 

 

360

 

 

252,000

 

Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (e)

 

 

310

 

 

24,800

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

380

 

 

129,675

 

11.375%, 11/01/16

 

 

110

 

 

25,988

 

Sonic Automotive, Inc. Series B, 8.625%, 8/15/13

 

 

2,100

 

 

651,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,378,463

 

               

Textiles, Apparel & Luxury Goods—0.0%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

175

 

 

87,500

 

               

Wireless Telecommunication Services—1.1%

 

 

 

 

 

 

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

100

 

 

91,250

 

Digicel Group Ltd. (d):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

240

 

 

178,800

 

9.125%, 1/15/15 (g)

 

 

560

 

 

392,000

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

80

 

 

75,600

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (d)

 

 

770

 

 

700,700

 

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

 

 

1,150

 

 

1,158,808

 

Sprint Capital Corp., 6.875%, 11/15/28

 

 

915

 

 

505,538

 

 

 

 

 

 

     

 

 

 

 

 

 

3,102,696

 

               

Total Corporate Bonds—51.0%

 

 

 

 

 

146,082,810

 

               

 

 

 

 

 

 

 

 

 


 

Foreign Government Obligations

 

 

 

 

 

 

 

               

Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

 

825

 

 

894,671

 

5.50%, 9/18/33

 

 

845

 

 

983,207

 

Italy Government International Bond, 5.375%, 6/15/33

 

 

455

 

 

445,300

 

               

Total Foreign Government Obligations—0.8%

 

 

 

 

 

2,323,178

 

               

 

 

 

 

 

 

 

 


 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

4.50%, 3/15/39 (i)

 

 

7,300

 

 

7,313,688

 

5.00%, 3/01/21—3/15/39 (c)(h)(i)

 

 

14,085

 

 

14,344,825

 

5.50%, 3/15/24—4/01/36 (h)(j)

 

 

39,297

 

 

40,347,909

 

6.00%, 8/01/29—3/15/39

 

 

4,965

 

 

5,128,587

 

6.50%, 3/15/39

 

 

200

 

 

209,125

 

7.00%, 1/01/31—7/01/32

 

 

190

 

 

203,609

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

5.00%, 8/01/33

 

 

67

 

 

68,148

 

5.50%, 11/01/34—3/15/39 (h)

 

 

3,940

 

 

4,042,260

 

6.00%, 2/01/13—3/15/39 (h)

 

 

2,514

 

 

2,626,107

 

7.00%, 9/01/31

 

 

18

 

 

19,251

 

Ginnie Mae MBS Certificates, 5.50%, 8/15/33

 

 

188

 

 

194,253

 

               

Total U.S. Government Agency Mortgage-Backed Securities—26.0%

 

 

 

 

 

74,497,762

 

               

 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations

 

Par
(000)

 

Value

 

           

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 378 Class 5, 5%, 7/01/36 (b)

 

USD

3,785

 

$

442,327

 

Series 2004-90 Class JH, 6.226%, 11/25/34 (a)(b)

 

 

19,231

 

 

1,554,979

 

Series 2005-5 Class PK, 5%, 12/25/34

 

 

2,063

 

 

2,132,206

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 2579 Class HI, 5%, 8/15/17 (b)

 

 

1,553

 

 

130,553

 

Series 2611 Class QI, 5.50%, 9/15/32 (b)

 

 

4,818

 

 

443,820

 

Series 2825 Class VP, 5.50%, 6/15/15

 

 

1,116

 

 

1,170,524

 

               

Total U.S. Government Agency Mortgage-Backed Securities—
Collateralized Mortgage Obligations—2.0%

 

 

 

 

 

5,874,409

 

               

 

 

 

 

 

 

 

 


 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Collateralized Mortgage Obligations—7.7%

 

 

 

 

 

 

 

Banc of America Funding Corp. Series 2007-2 Class 1A2,
6%, 3/25/37

 

 

1,100

 

 

312,300

 

Bear Stearns Adjustable Rate Mortgage Series 2004-8
Class 14A1, 5.476%, 11/25/34 (a)

 

 

745

 

 

651,739

 

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

 

 

1,187

 

 

632,608

 

Citicorp Mortgage Securities, Inc. Series 2006-5 Class 1A3,
6%, 10/25/36

 

 

1,100

 

 

717,417

 

Citigroup Mortgage Loan Trust, Inc. Series 2005-4 Class A,
5.344%, 8/25/35 (a)

 

 

698

 

 

520,087

 

Citigroup Mortgage Securities, Inc. Series 2006-5 Class 1A2,
6%, 10/25/36

 

 

1,281

 

 

1,187,811

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,600

 

 

518,279

 

Series 2006-0A19 Class A1, 0.65%, 2/20/47 (a)

 

 

518

 

 

209,265

 

Series 2006-0A21 Class A1, 0.66%, 3/20/47 (a)

 

 

958

 

 

387,704

 

Series 2007-HY4 Class 4A1, 5.924%, 6/25/47 (a)

 

 

1,177

 

 

500,506

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5 Class 2A1, 0.674%, 4/25/46 (a)

 

 

423

 

 

173,570

 

Series 2007-10 Class A22, 6%, 7/25/37

 

 

1,204

 

 

541,983

 

Credit Suisse Mortgage Capital Certificates Series 2007-1
Class 5A14, 6%, 2/25/37

 

 

895

 

 

610,412

 

Deutsche Alt-A Securities, Inc. Alternate Loan Trust:

 

 

 

 

 

 

 

Series 2003-3 Class 2A1, 5.50%, 10/25/33

 

 

1,294

 

 

1,106,159

 

Series 2006-0A1 Class A1, 0.674%, 2/25/47 (a)

 

 

338

 

 

137,969

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2005-AR4 Class 6A1, 5.25%, 7/25/35 (a)

 

 

699

 

 

480,517

 

Series 2006-0A1 Class 2A1, 0.664%, 8/25/46 (a)

 

 

990

 

 

547,873

 

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

 

 

1,088

 

 

616,983

 

Series 2006-AR1 Class 2A1, 5.18%, 1/25/36 (a)

 

 

1,017

 

 

641,514

 

Series 2007-4F Class 3A1, 6%, 7/25/37

 

 

1,297

 

 

927,465

 

Homebanc Mortgage Trust Series 2006-2 Class A1,
0.654%, 12/25/36 (a)

 

 

1,025

 

 

459,097

 

Indymac IMJA Mortgage Loan Trust Series 2007-A1 Class A4,
6%, 8/25/37

 

 

1,100

 

 

506,000

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

1,311

 

 

965,131

 

Series 2007-S1 Class 2A22, 5.75%, 3/25/37

 

 

1,045

 

 

686,379

 

Series 2007-S2 Class 1A15, 6.75%, 6/25/37

 

 

1,191

 

 

753,638

 

Maryland Insurance Backed Securities Trust Series 2006-1A
Class, 5.55%, 12/10/65

 

 

2,500

 

 

1,125,000

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3
Class 3A1, 5.823%, 5/25/36 (a)(k)

 

 

998

 

 

497,465

 

Residential Funding Mortgage Securities I Series 2007-S6
Class 1A16, 6%, 6/25/37

 

 

857

 

 

711,873

 

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

 

 

2,008

 

 

1,277,675

 

WaMu Mortgage Pass-Through Certificates (a):

 

 

 

 

 

 

 

Series 2005-AR10 Class 1A3, 4.831%, 9/25/35

 

 

1,800

 

 

867,633

 

Series 2007-0A4 Class 1A, 2.593%, 5/25/47

 

 

487

 

 

190,877

 

Series 2007-0A5 Class 1A, 3.005%, 6/25/47

 

 

423

 

 

175,897

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

16

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

Series 2006- Class 1A29, 6%, 8/25/36

USD

 

858

 

$

708,278

 

Series 2006-3 Class A9, 5.50%, 3/25/36

 

 

810

 

 

657,741

 

Series 2007-8 Class 2A9, 6%, 7/25/37

 

 

861

 

 

694,049

 

Series 2007-10 Class 1A21, 6%, 7/25/37

 

 

1,046

 

 

538,806

 

 

 

 

 

 

     

 

 

 

 

 

 

22,237,700

 

 

Commercial Mortgage-Backed Securities—17.3%

 

 

 

 

 

 

 

Bank of America Commercial Mortgage, Inc.
Series 2005-1 Class 4A, 4.988%, 11/10/42 (a)

 

 

2,180

 

 

1,810,323

 

Bear Stearns Commercial Mortgage Securities
Series 2005-PWR9 Class A2, 4.735%, 9/11/42

 

 

4,895

 

 

4,478,399

 

CS First Boston Mortgage Securities Corp.,
Series 2002-CP5 Class A2, 4.94%, 12/15/35

 

 

2,720

 

 

2,473,870

 

Citigroup Commercial Mortgage Trust Series 2008-C7
Class A4, 6.096%, 12/10/49 (a)

 

 

1,370

 

 

882,833

 

Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2007-CD5 Class A4, 5.886%, 11/15/44 (a)

 

 

2,500

 

 

1,617,263

 

Commercial Mortgage Pass-Through Certificates Series
2004-LB3A Class A3, 5.09%, 7/10/37 (a)

 

 

960

 

 

860,203

 

Crown Castle Towers LLC Series 2005-1A:

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (a)

 

 

3,075

 

 

2,798,250

 

Class AFX, 4.643%, 6/15/35

 

 

855

 

 

816,525

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

Series 2001-C3 Class A3, 6.423%, 8/15/33

 

 

2,845

 

 

2,779,705

 

Series 2001-C4 Class A2, 6.223%, 12/12/33

 

 

2,265

 

 

2,193,089

 

GMAC Commercial Mortgage Securities, Inc., Class A2:

 

 

 

 

 

 

 

Series 1999-C3, 7.179%, 8/15/36 (a)

 

 

1,134

 

 

1,131,369

 

Series 2002-C3, 4.93%, 7/10/39

 

 

2,350

 

 

2,137,490

 

Global Signal Trust Series 2006-1 Class A2, 5.45%,
2/15/36

 

 

480

 

 

448,800

 

Heller Financial Commercial Mortgage Asset Series 1999-PH1
Class A2, 6.847%, 5/15/31 (a)

 

 

18

 

 

17,832

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1 Class A3, 5.857%, 10/12/35

 

 

2,140

 

 

2,054,601

 

Series 2004-CB8 Class A1A, 4.158%, 1/12/39

 

 

858

 

 

674,718

 

Series 2004-CBX Class A4, 4.529%, 1/12/37

 

 

2,180

 

 

1,792,885

 

JPMorgan Commercial Mortgage Finance Corp. Series
2000-C10 Class A2, 7.371%, 8/15/32 (a)

 

 

1,556

 

 

1,554,750

 

LB-UBS Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C5 Class A4, 4.954%, 9/15/30

 

 

4,375

 

 

3,289,397

 

Series 2007-C6 Class A4, 5.858%, 7/15/40 (a)

 

 

931

 

 

549,241

 

Series 2007-C7 Class A3, 5.866%, 9/15/45 (a)

 

 

5,000

 

 

2,929,958

 

Merrill Lynch Mortgage Trust (a)(k):

 

 

 

 

 

 

 

Series 2004BPC1 Class A3, 4.467%, 10/12/41

 

 

4,200

 

 

3,433,476

 

Series 2007-C1 Class AM, 5.829%, 6/12/50

 

 

925

 

 

350,078

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 2005-HQ6 Class A4A, 4.989%, 8/13/42

 

 

1,475

 

 

1,111,257

 

Series 2005-T17 Class A4, 4.52%, 12/13/41

 

 

2,555

 

 

2,271,908

 

Salomon Brothers Mortgage Securities VII, Inc. Series

 

 

 

 

 

 

 

2000-C1 Class A2, 7.52%, 12/18/09 (a)

 

 

2,959

 

 

2,955,895

 

Wachovia Bank Commercial Mortgage Trust (a):

 

 

 

 

 

 

 

Series 2005-C21 Class A3, 5.209%, 10/15/44

 

 

910

 

 

832,090

 

Series 2006-C25 Class A4, 5.74%, 5/15/43

 

 

1,190

 

 

817,450

 

Series 2007-C33 Class A4, 5.902%, 2/15/51

 

 

995

 

 

502,804

 

 

 

 

 

 

     

 

 

 

 

 

 

49,566,459

 

 

Total Non-U.S. Government Agency Mortgage-Backed Securities—25.0%

 

 

 

 

 

71,804,159

 

 

 

 

 

 

 

 

 

 


 

U.S. Government Obligations

 

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.348%, 10/09/19 (l)

 

 

5,875

 

 

3,093,117

 

7.125%, 1/15/30 (j)

 

 

2,775

 

 

3,777,691

 

5.625%, 7/15/37 (i)

 

 

775

 

 

872,979

 


 

 

 

 

 

 

 

 

U.S. Government Obligations

 

Par
(000)

 

Value

 

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.375%, 9/30/22 (j)

USD

 

5,400

 

$

5,804,282

 

5.25%, 12/09/22 (i)

 

 

675

 

 

731,713

 

5.365%, 9/09/24 (j)

 

 

1,075

 

 

1,184,981

 

Federal Housing Administration, Hebre Home Hospital,
6.25%, 9/01/28

 

 

995

 

 

985,291

 

Federal National Mortgage Association, 1.75%, 3/23/11 (k)

 

 

4,375

 

 

4,381,380

 

Freddie Mac, 5.50%, 8/23/17 (j)

 

 

2,425

 

 

2,748,577

 

Resolution Funding Corp. (l):

 

 

 

 

 

 

 

6.288%, 7/15/18

 

 

525

 

 

352,587

 

6.296%, 10/15/18

 

 

525

 

 

349,289

 

U.S. Treasury Bonds, 6.125%, 11/15/27 (j)

 

 

1,440

 

 

1,842,075

 

U.S. Treasury Inflation Indexed Bonds:

 

 

 

 

 

 

 

2.375%, 1/15/25

 

 

324

 

 

310,323

 

2.375%, 1/15/27 (j)

 

 

1,601

 

 

1,538,821

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

3.75%, 11/15/18

 

 

655

 

 

694,045

 

4.50%, 5/15/38

 

 

660

 

 

749,306

 

3.50%, 2/15/39

 

 

500

 

 

480,080

 

 

Total U.S. Government Obligations—10.4%

 

 

 

 

 

29,896,537

 

 

 

 

 

 

 

 

 

 


 

Preferred Securities

 

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

 

Capital Markets—0.1%

 

 

 

 

 

 

 

Credit Suisse Guernsey Ltd., 5.86% (a)(m)

 

 

494

 

 

161,326

 

 

Commercial Banks—0.7%

 

 

 

 

 

 

 

BAC Capital Trust XI, 6.625%, 5/23/36 (i)

 

 

545

 

 

260,777

 

Barclays Bank Plc, 7.434% (a)(d)(m)

 

 

1,500

 

 

565,407

 

RBS Capital Trust IV, 2.259% (a)(m)

 

 

475

 

 

67,837

 

Royal Bank of Scotland Group Plc Series MTN, 7.64% (a)(m)

 

 

2,200

 

 

286,000

 

Wells Fargo & Co. Series K, 7.98% (a)(m)

 

 

1,570

 

 

785,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,965,021

 

 

Electric Utilities—0.2%

 

 

 

 

 

 

 

PECO Energy Capital Trust IV, 5.75%, 6/15/33

 

 

790

 

 

575,413

 

 

Insurance—0.8%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/57 (a)

 

 

1,950

 

 

1,111,500

 

American International Group, Inc., 8.175%, 5/15/58 (a)(d)

 

 

325

 

 

51,927

 

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

 

 

675

 

 

256,500

 

Progressive Corp., 6.70%, 6/15/37 (a)

 

 

605

 

 

328,739

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (a)

 

 

675

 

 

407,491

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(d)

 

 

675

 

 

266,625

 

 

 

 

 

 

     

 

 

 

 

 

 

2,422,782

 

 

Total Capital Trusts—1.8%

 

 

 

 

 

5,124,542

 

 

 

 

 

 

 

 

 

 


 

Other Interests (n)

 

Beneficial
Interest
(000
)

 

 

 

 

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

USD

 

1,895

 

 

381

 

 

Total Other Interests—0.0%

 

 

 

 

 

381

 

 

Total Long-Term Investments
(Cost—$415,003,470)—125.0%

 

 

 

 

 

358,435,733

 

 

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

17



 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (o)

 

Value

 

 

Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, expiring May 2012, Broker
Bank of America, NA

 

 

11

 

$

1,563,318

 

Receive a fixed rate of 4.88% and pay a floating rate
based on 3-month LIBOR, expiring September 2013,
Broker Goldman Sachs Bank USA

 

 

25

 

 

1,474,408

 

Pay a fixed rate of 4.705% and receive a floating rate
based on the 3-month LIBOR, expiring November 2013,
Broker JPMorgan Chase Bank, NA

 

 

12

 

 

653,042

 

 

 

 

 

 

     

 

 

 

 

 

 

3,690,768

 

 

Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 5.50% and receive a floating rate
based 3-month LIBOR, expiring December 2009,
Broker Bank of America, NA

 

 

3

 

 

58,191

 

Pay a fixed rate of 5.47% and receive a floating rate
based 3-month LIBOR, expiring May 2012, Broker Bank
of America, NA

 

 

11

 

 

342,306

 

Pay a fixed rate of 4.88% and receive a floating rate
based on 3-month LIBOR, expiring September 2013,
Broker Goldman Sachs Bank USA

 

 

25

 

 

709,032

 

Pay a fixed rate of 4.705% and receive a floating rate
based on the 3-month LIBOR, expiring November 2013,
Broker JPMorgan Chase Bank, NA

 

 

12

 

 

379,237

 

 

 

 

 

 

     

 

 

 

 

 

 

1,488,766

 

 

Total Options Purchased
(Cost—$3,645,960)—1.8%

 

 

 

 

 

5,179,534

 

 

Total Investments Before TBA Sale Commitments and
Options Written (Cost—$418,649,430*)—126.8%

 

 

 

 

 

363,615,267

 

 

 

 

 

 

 

 

 

 


 

TBA Sale Commitments (h)

 

Par
(000
)

 

 

 

 

 

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

5%, 3/15/39

USD

 

(8,137

)

 

(8,276,866

)

5.50%, 3/01/21—3/15/39

 

 

(19,800

)

 

(20,282,625

)

Freddie Mac Mortgage Participation Certificates,

 

 

 

 

 

 

 

5.50%, 8/01/33

 

 

(3,900

)

 

(3,993,842

)

Ginnie Mae MBS Certificates, 5.50%, 8/15/33

 

 

(100

)

 

(102,531

)

 

Total TBA Sale Commitments
(Proceeds—$32,650,277)—(11.4)%

 

 

 

 

 

(32,655,864

)

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts (o)

 

Value

 

 

Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rated of 5.485% and receive a floating rate
based on 3-month LIBOR, expiring October 2009,
Broker JPMorgan Chase Bank, NA

 

 

5

 

$

(758,669

)

Pay a fixed rated of 2.45% and receive a floating rate
based on 3-month LIBOR, expiring December 2009,
Broker Barclays Bank, PLC

 

 

11

 

 

(119,837

)

Pay a fixed rated of 1.99% and receive a floating rate
based on 3-month LIBOR, expiring December 2009,
Broker Citibank, NA

 

 

8

 

 

(101,590

)

Pay a fixed rated of 5.67% and receive a floating rate
based on 3-month LIBOR, expiring January 2010,
Broker Citibank, NA

 

 

11

 

 

(2,060,305

)

Pay a fixed rate of 4.915% and receive a floating rate
based on 3-month LIBOR, expiring November 2010,
Broker Barclays Bank, PLC

 

 

15

 

 

(1,740,885

)

Pay a fixed rate of 5.05% and receive a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker Citibank, NA

 

 

10

 

 

(1,201,720

)

Pay a fixed rate of 5.08% and receive a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker Goldman Sachs Bank USA

 

 

6

 

 

(744,645

)

Pay a fixed rate of 5.325% and receive a floating rate
based on 3-month LIBOR, expiring July 2013, Broker
JPMorgan Chase Bank, NA

 

 

9

 

 

(629,951

)

 

 

 

 

 

     

 

 

 

 

 

 

(7,357,602

)

 

Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

Receive a fixed rate of 5.485% and pay a floating rate
based on 3-month LIBOR, expiring October 2009,
Broker JPMorgan Chase Bank, NA

 

 

5

 

 

(26,185

)

Receive a fixed rated of 2.45% and pay a floating rate
based on 3-month LIBOR, expiring December 2009,
Broker Barclays Bank, PLC

 

 

11

 

 

(1,129,884

)

Receive a fixed rate of 5.67% and pay a floating rate
based on 3-month LIBOR, expiring January 2010,
Broker Citibank, NA

 

 

11

 

 

(76,590

)

Receive a fixed rate of 4.915% and pay a floating rate
based on 3-month LIBOR, expiring November 2010,
Broker Barclays Bank, PLC

 

 

15

 

 

(417,345

)

Receive a fixed rate of 5.05% and pay a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker Citibank, NA

 

 

10

 

 

(310,900

)

Receive a fixed rate of 5.08% and pay a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker Goldman Sachs Bank USA

 

 

6

 

 

(184,037

)

 

 

 

 

 

     

 

 

 

 

 

 

(2,144,941

)

 

Total Options Written
(Premiums Received—$6,422,598)—(3.3)%

 

 

 

 

 

(9,502,543

)

 

Total Investments, Net of TBA Sale Commitments and
Options Written—112.1%

 

 

 

 

 

321,456,860

 

Liabilities in Excess of Other Assets—(12.1)%

 

 

 

 

 

(34,762,941

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

286,693,919

 

 

 

 

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

18

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

418,779,460

 

 

 

     

Gross unrealized appreciation

 

$

6,965,523

 

Gross unrealized depreciation

 

 

(62,129,716

)

 

 

     

Net unrealized depreciation

 

$

(55,164,193

)

 

 

     

 

 

(a)

Variable rate security. Rate shown is as of report date.

(b)

Represents the interest only portion of mortgage-backed security and has either a nominal or notional amount of principal.

(c)

All or a portion of the security has been pledged as collateral for swaps.

(d)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(e)

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

(f)

Represents a step-up bond. Rate shown is as of report date.

(g)

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

(h)

Represents or includes a to-be-announced transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 

Counterparty

 

Market Value

 

Unrealized
Appreciation
(Depreciation)

 

 

Barclays Capital Plc

 

$

4,600,000

 

$

3,811

 

Citigroup NA

 

$

(5,426,844

)

$

(19,097

)

Credit Suisse International

 

$

302,406

 

$

2,031

 

Deutsche Bank AG

 

$

(4,696,499

)

$

8,232

 

JPMorgan Chase Bank

 

$

(12,603,740

)

$

23,654

 

Morgan Stanley Capital Services, Inc.

 

$

7,300,000

 

$

(49,902

)

 

 

 

(i)

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

(j)

All or a portion of the security has been pledged as collateral for reverse repurchase agreements.

(k)

Investments in companies considered to be an affiliate of the Trust during the period September 1, 2008 to December 31, 2008 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Purchase
Cost

 

Sale
Cost

 

Realized
Gain

 

Income

 

 

BlackRock Liquidity Funds,
Temp Fund

 

$

32,540,000

 

$

32,540,000

 

 

 

$

6,482

 

Merrill Lynch Mortgage
Investors, Inc. Series
2006-A3 Class 3A1,
5.823%, 5/25/36

 

 

 

$

25,089

 

$

11,657

 

$

19,752

 

Merrill Lynch Mortgage
Trust Series 2004BPC1
Class A3, 4.467%,
10/12/41

 

$

3,067,116

 

 

 

 

 

$

18,745

 

Merrill Lynch Mortgage
Trust Series 2007-C1
Class AM, 5.829%,
6/12/50

 

 

 

 

 

 

 

$

18,266

 

 

 

 

(l)

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

(m)

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

(n)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(o)

One contract represents a notional amount of $1,000,000.

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

Reverse repurchase agreements outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

 

Net Closing
Amount

 

 

Face
Amount

 

 

Credit Suisse Securities (USA), Inc.

 

0.65%

 

2/12/09

 

3/12/09

 

$

36,190,287

 

$

36,172,000

 

Barclays Capital, Inc.

 

0.20%

 

12/11/08

 

Open

 

 

5,954,323

 

 

5,951,678

 

Barclays Capital, Inc.

 

0.12%

 

1/06/09

 

Open

 

 

1,994,766

 

 

1,994,400

 

Barclays Capital, Inc.

 

0.28%

 

1/23/09

 

Open

 

 

1,472,082

 

 

1,471,681

 

Barclays Capital, Inc.

 

0.30%

 

1/23/09

 

Open

 

 

3,793,109

 

 

3,792,003

 

Barclays Capital, Inc.

 

0.35%

 

2/27/09

 

3/02/09

 

 

1,940,057

 

 

1,940,000

 

JPMorgan Securities, Inc.

 

0.38%

 

2/02/09

 

Open

 

 

1,176,036

 

 

1,175,701

 

JPMorgan Securities, Inc.

 

0.31%

 

2/09/09

 

Open

 

 

2,714,375

 

 

2,713,908

 

 

Total

 

 

 

 

 

 

 

$

55,235,035

 

$

55,211,371

 

 

 

 

 

 

 

 

 

           

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 

 

USD

256,960

 

EUR

196,000

 

 

Deutsche Bank AG

 

 

3/18/09

 

$

8,521

 

USD

833,974

 

GBP

570,000

 

 

UBS AG

 

 

3/18/09

 

 

18,034

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

26,555

 

 

 

 

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts purchased as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

 

102

 

10-Year U.S.
Treasury Bond

 

Chicago

 

June 2009

 

$

12,234,445

 

$

8,743

 

1,060

 

30-Year U.S.
Treasury Bond

 

Chicago

 

June 2009

 

$

134,323,147

 

 

(3,578,772

)

39

 

Long Gilt

 

London

 

June 2009

 

$

6,774,094

 

 

(118,322

)

 

Total

 

 

 

 

 

 

 

 

 

 

$

(3,688,351

)

 

 

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts sold as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

 

679

 

2-Year U.S.
Treasury Bond

 

Chicago

 

June 2009

 

$

147,248,397

 

$

170,631

 

1,436

 

2-Year U.S.
Treasury Bond

 

Chicago

 

June 2009

 

$

166,876,178

 

 

(541,229

)

 

Total

 

 

 

 

 

 

 

 

 

 

$

(370,598

)

 

 

 

 

 

 

 

 

 

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

19



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Interest rate swaps outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

           

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

           

Receive a fixed rate of 4.62377% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse International
Expires September 2009

 

USD

50,000

 

$

906,099

 

Receive a fixed rate of 2.895% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclays Bank, PLC
Expires September 2010

 

USD

30,600

 

 

628,175

 

Pay a fixed rate of 2.898% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2010

 

USD

19,600

 

 

(403,250

)

Receive a fixed rate of 2.7425% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2010

 

USD

50,700

 

 

982,486

 

Receive a fixed rate of 2.745% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse International
Expires October 2010

 

USD

40,500

 

 

786,468

 

Receive a fixed rate of 5% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires November 2010

 

USD

4,600

 

 

262,490

 

Receive a fixed rate of 2.14% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires December 2010

 

USD

40,000

 

 

375,232

 

Receive a fixed rate of 2.8225% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires December 2010

 

GBP

31,491

 

 

262,566

 

Receive a fixed rate of 1.595% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires February 2011

 

USD

8,700

 

 

(9,636

)

Receive a fixed rate of 5.496% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America, NA
Expires July 2011

 

USD

25,100

 

 

2,173,521

 

Receive a fixed rate of 4.856% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2012

 

USD

9,400

 

 

841,868

 

Receive a fixed rate of 4.32% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires October 2012

 

USD

10,500

 

 

751,957

 

Receive a fixed rate of 3.66375% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires April 2013

 

USD

7,300

 

 

351,911

 

Receive a fixed rate of 4.2825% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse International
Expires July 2013

 

USD

82,500

 

 

6,042,728

 

 

 

 

 

 

 

 

 

Interest rate swaps (continued)

 

 

 

 

 

 

 

 

               

 

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

             

Receive a fixed rate of 3.78% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services Inc.
Expires November 2013

 

USD

17,600

 

$

917,748

 

Pay a fixed rate of 2.4625% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires February 2014

 

USD

17,000

 

 

169,065

 

Pay a fixed rate of 4.50% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank, NA
Expires May 2015

 

USD

2,800

 

 

(252,551

)

Receive a fixed rate of 2.215% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires January 2016

 

USD

12,500

 

 

(642,508

)

Pay a fixed rate of 5.04015% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2017

 

USD

12,500

 

 

(1,703,116

)

Receive a fixed rate of 4.564% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2018

 

USD

10,000

 

 

1,037,287

 

Receive a fixed rate of 4.0975% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2018

 

USD

8,000

 

 

515,256

 

Pay a fixed rate of 5.01% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires November 2018

 

USD

4,112

 

 

(453,289

)

Pay a fixed rate of 4.94% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires December 2018

 

USD

14,371

 

 

(1,533,283

)

Pay a fixed rate of 3.272% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires February 2019

 

USD

2,500

 

 

16,247

 

Receive a fixed rate of 5.411% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires August 2022

 

USD

8,545

 

 

1,779,263

 

Pay a fixed rate of 5.365% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2027

 

USD

8,000

 

 

(2,026,510

)

Pay a fixed rate of 5.0605% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires November 2037

 

USD

6,200

 

 

(1,792,148

)

Pay a fixed rate of 5.06276% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires December 2037

 

USD

1,300

 

 

(375,839

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

20

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

Interest rate swaps (concluded)

 

 

 

 

 

 

           

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

           

Pay a fixed rate of 4.8375% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services Inc.
Expires January 2038

 

USD

6,000

 

$

(1,496,103

)

Receive a fixed rate of 5.29750% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires February 2038

 

USD

700

 

 

233,867

 

Receive a fixed rate of 5.1575% and pay a
floating rate based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank, NA
Expires June 2038

 

USD

1,000

 

 

309,433

 

Pay a fixed rate of 4.57% and receive a
floating based 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2038

 

USD

5,600

 

 

(1,133,622

)

               

Total

 

 

 

 

$

7,521,812

 

 

 

 

 

 

     

 

 

 

Currency Abbreviations:

 

 

EUR

Euro

 

GBP

British Pound

 

USD

US Dollar


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 – price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 – other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

Valuation
Inputs

 

Investments in
Securities

 

Other Financial
Instruments*

 

           

 

 

Assets

 

Liabilities

 

Assets

 

Liabilities

 

 

 

               

Level 1

 

 

 

 

 

$

179,374

 

$

(4,238,323

)

Level 2

 

$

351,987,103

 

$

(87,867,235

)

 

24,549,756

 

 

(21,324,398

)

Level 3

 

 

6,448,630

 

 

 

 

 

 

 

                           

Total

 

$

358,435,733

 

$

(87,867,235

)

$

24,729,130

 

$

(25,562,721

)

 

 

                       

* Other financial instruments are futures, swaps, foreign currency exchange contracts and options. Futures, swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at market value.

The following is a reconciliation of investments for unobservable inputs (Level 3) were used in determining fair value:

 

 

 

 

 

       

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

   

Balance as of August 31, 2008

 

$

637

 

Accrued discounts/premiums

 

 

332

 

Realized gain

 

 

37

 

Change in unrealized appreciation/depreciation1

 

 

(4,796,976

)

Net sales

 

 

(209,962

)

Net transfers in Level 3

 

 

11,454,562

 

 

 

     

Balance as of February 28, 2009

 

$

6,448,630

 

 

 

     

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

21



 

 

 


 

Schedule of Investments February 28, 2009 (Unaudited)

 

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Aerospace & Defense—0.0%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC, 8.875%,
4/01/15 (a)

 

USD

255

 

$

20,400

 

               

Airlines—0.3%

 

 

 

 

 

 

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

125

 

 

90,555

 

Series 2001-1-C, 7.033%, 12/15/12

 

 

456

 

 

328,006

 

UAL Corp., 4.50%, 6/30/21 (b)

 

 

535

 

 

244,121

 

 

 

 

 

 

     

 

 

 

 

 

 

662,682

 

               

Auto Components—1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. (c):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

1,160

 

 

562,600

 

11.25%, 11/01/15 (a)

 

 

1,725

 

 

664,125

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

2,150

 

 

1,720,000

 

8.625%, 12/01/11

 

 

197

 

 

157,600

 

Lear Corp., 8.75%, 12/01/16

 

 

645

 

 

109,650

 

 

 

 

 

 

     

 

 

 

 

 

 

3,213,975

 

               

Automobiles—0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,095

 

 

350,400

 

Ford Motor Co., 8.90%, 1/15/32

 

 

1,100

 

 

187,000

 

 

 

 

 

 

     

 

 

 

 

 

 

537,400

 

               

Building Products—0.8%

 

 

 

 

 

 

 

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

 

 

2,430

 

 

510,300

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

2,905

 

 

1,336,300

 

 

 

 

 

 

     

 

 

 

 

 

 

1,846,600

 

               

Capital Markets—0.5%

 

 

 

 

 

 

 

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

 

 

2,380

 

 

1,094,800

 

               

Chemicals—2.2%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

1,300

 

 

1,092,000

 

Innophos, Inc., 8.875%, 8/15/14

 

 

1,185

 

 

942,075

 

MacDermid, Inc., 9.50%, 4/15/17 (c)

 

 

2,500

 

 

987,500

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

320

 

 

291,200

 

Wellman Holdings, Inc. (b):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%, 1/29/19 (c)

 

 

1,385

 

 

1,385,000

 

Third Lien Subordinate Note, 5%, 1/29/19

 

 

421

 

 

294,700

 

 

 

 

 

 

     

 

 

 

 

 

 

4,992,475

 

               

Commercial Services & Supplies—3.5%

 

 

 

 

 

 

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

315

 

 

300,038

 

US Investigations Services, Inc., 10.50%,
11/01/15 (c)

 

 

1,000

 

 

795,000

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

4,425

 

 

3,495,750

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

1,000

 

 

700,000

 

11%, 10/15/16

 

 

4,220

 

 

2,700,800

 

 

 

 

 

 

     

 

 

 

 

 

 

7,991,588

 

               

Construction & Engineering—0.8%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.125%, 10/15/15

 

 

2,625

 

 

1,876,875

 

               

Construction Materials—1.0%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

3,520

 

 

1,408,000

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

1,160

 

 

823,600

 

 

 

 

 

 

     

 

 

 

 

 

 

2,231,600

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Containers & Packaging—6.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (d)

 

USD

2,530

 

$

1,176,450

 

Crown European Holdings SA, 6.25%, 9/01/11

 

EUR

1,890

 

 

2,324,163

 

Graphic Packaging International Corp.:

 

 

 

 

 

 

 

8.50%, 8/15/11

 

USD

1,825

 

 

1,606,000

 

9.50%, 8/15/13

 

 

1,525

 

 

1,136,125

 

Impress Holdings BV, 4.219%, 9/15/13 (c)(d)

 

 

620

 

 

458,800

 

Owens-Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

1,500

 

 

1,515,000

 

6.75%, 12/01/14

 

EUR

610

 

 

688,261

 

Packaging Dynamics Finance Corp., 10%,
5/01/16 (c)

 

USD

2,020

 

 

868,600

 

Pregis Corp., 12.375%, 10/15/13

 

 

1,765

 

 

785,425

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

2,950

 

 

2,950,000

 

Smurfit-Stone Container Enterprises, Inc., 8%,
3/15/17 (e)

 

 

2,080

 

 

182,000

 

 

 

 

 

 

     

 

 

 

 

 

 

13,690,824

 

               

Diversified Consumer Services—1.8%

 

 

 

 

 

 

 

Service Corp. International, 7%, 6/15/17

 

 

4,425

 

 

4,026,750

 

               

Diversified Financial Services—3.1%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16

 

 

770

 

 

702,625

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.125%, 1/16/12

 

EUR

3,900

 

 

3,015,974

 

Series JD, 3.991%, 9/30/09 (d)

 

 

400

 

 

425,963

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (d)

 

USD

310

 

 

151,900

 

7.80%, 6/01/12

 

 

300

 

 

162,607

 

GMAC LLC (c):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

 

569

 

 

393,025

 

3.461%, 12/01/14 (d)

 

 

1,322

 

 

581,680

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

2,000

 

 

1,660,000

 

 

 

 

 

 

     

 

 

 

 

 

 

7,093,774

 

               

Diversified Telecommunication Services—5.9%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

1,530

 

 

795,600

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

385

 

 

367,675

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,990

 

 

2,534,025

 

3.50%, 11/15/25 (b)

 

 

480

 

 

429,000

 

Series B, 7.50%, 2/15/14

 

 

2,715

 

 

2,300,962

 

Qwest Corp.:

 

 

 

 

 

 

 

5.246%, 6/15/13 (d)

 

 

2,150

 

 

1,822,125

 

7.625%, 6/15/15

 

 

850

 

 

758,625

 

Windstream Corp., 8.125%, 8/01/13

 

 

4,400

 

 

4,268,000

 

 

 

 

 

 

     

 

 

 

 

 

 

13,276,012

 

               

Electric Utilities—2.6%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

2,750

 

 

2,523,125

 

NSG Holdings LLC, 7.75%, 12/15/25 (c)

 

 

1,530

 

 

1,224,000

 

Tenaska Alabama Partners LP, 7%, 6/30/21 (c)

 

 

2,842

 

 

2,147,241

 

 

 

 

 

 

     

 

 

 

 

 

 

5,894,366

 

               

Electrical Equipment—0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

 

92

 

 

82,800

 

               

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

835

 

 

292,250

 

               

Energy Equipment & Services—0.6%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

305

 

 

238,663

 

7.75%, 5/15/17

 

 

470

 

 

364,250

 

North American Energy Partners, Inc., 8.75%,

 

 

 

 

 

 

 

12/01/11

 

 

550

 

 

433,125

 

Transocean, Inc. Series A, 1.625%, 12/15/37 (b)

 

 

490

 

 

436,713

 

 

 

 

 

 

     

 

 

 

 

 

 

1,472,751

 

               

Food & Staples Retailing—0.7%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (c)

 

 

1,225

 

 

735,000

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

1,450

 

 

783,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,518,000

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

22

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Food Products—0.5%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (c)

 

USD

1,250

 

$

1,178,125

 

               

Health Care Equipment & Supplies—3.1%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%,
4/15/15 (a)

 

 

1,500

 

 

510,000

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.875%, 11/15/14

 

 

7,500

 

 

5,700,000

 

11.75%, 11/15/14

 

 

130

 

 

85,150

 

Hologic, Inc., 2%, 12/15/37 (b)(g)

 

 

1,285

 

 

835,250

 

 

 

 

 

 

     

 

 

 

 

 

 

7,130,400

 

               

Health Care Providers & Services—1.7%

 

 

 

 

 

 

 

Community Health Systems, Inc., 8.875%, 7/15/15

 

 

355

 

 

335,919

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

515

 

 

458,350

 

6.50%, 6/01/12

 

 

3,410

 

 

3,034,900

 

 

 

 

 

 

     

 

 

 

 

 

 

3,829,169

 

               

Hotels, Restaurants & Leisure—5.8%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

4,430

 

 

3,643,675

 

Galaxy Entertainment Finance Co. Ltd. (c):

 

 

 

 

 

 

 

7.323%, 12/15/10 (d)

 

 

425

 

 

318,750

 

9.875%, 12/15/12

 

 

850

 

 

459,000

 

Gaylord Entertainment Co., 8%, 11/15/13

 

 

945

 

 

626,062

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (c)

 

 

2,970

 

 

2,079,000

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (c)(e)(f)

 

 

832

 

 

74,880

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/18 (a)

 

 

3,553

 

 

218,008

 

10%, 12/15/18 (c)

 

 

830

 

 

232,400

 

Inn of the Mountain Gods Resort & Casino, 12%,
11/15/10

 

 

2,450

 

 

294,000

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (c)

 

 

1,855

 

 

853,300

 

Penn National Gaming, Inc., 6.875%, 12/01/11

 

 

2,950

 

 

2,832,000

 

San Pasqual Casino, 8%, 9/15/13 (c)

 

 

1,525

 

 

1,136,125

 

Shingle Springs Tribal Gaming Authority, 9.375%,
6/15/15 (c)

 

 

490

 

 

286,650

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

210

 

 

67,200

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (e)(f)

 

 

475

 

 

4,750

 

Virgin River Casino Corp., 9%, 1/15/12 (e)

 

 

1,435

 

 

143,500

 

 

 

 

 

 

     

 

 

 

 

 

 

13,269,300

 

               

Household Durables—0.8%

 

 

 

 

 

 

 

American Greetings Corp., 7.375%, 6/01/16

 

 

1,525

 

 

785,375

 

Jarden Corp., 7.50%, 5/01/17

 

 

1,180

 

 

920,400

 

 

 

 

 

 

     

 

 

 

 

 

 

1,705,775

 

               

IT Services—1.2%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%,

 

 

 

 

 

 

 

8/01/13 (b)(c)

 

 

1,800

 

 

1,201,500

 

First Data Corp., 9.875%, 9/24/15

 

 

1,320

 

 

726,000

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (c)

 

 

850

 

 

718,250

 

 

 

 

 

 

     

 

 

 

 

 

 

2,645,750

 

               

Independent Power Producers & Energy Traders—3.6%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (c)

 

 

1,210

 

 

1,173,700

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (a)

 

 

5,200

 

 

2,288,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,325

 

 

2,191,312

 

7.375%, 2/01/16

 

 

1,970

 

 

1,817,325

 

Texas Competitive Electric Holdings Co. LLC, 10.50%,
11/01/16 (a)

 

 

1,500

 

 

720,000

 

 

 

 

 

 

     

 

 

 

 

 

 

8,190,337

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

             

Industrial Conglomerates—0.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

3,750

 

$

600,000

 

13.50%, 12/01/15 (a)

 

 

5,247

 

 

624,013

 

 

 

 

 

 

     

 

 

 

 

 

 

1,224,013

 

               

Insurance—0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (c)

 

 

2,500

 

 

1,612,500

 

USI Holdings Corp., 5.113%, 11/15/14 (c)(d)

 

 

1,000

 

 

475,000

 

 

 

 

 

 

     

 

 

 

 

 

 

2,087,500

 

               

Machinery—0.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

1,890

 

 

1,134,000

 

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

 

 

820

 

 

246,000

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

725

 

 

545,562

 

 

 

 

 

 

     

 

 

 

 

 

 

1,925,562

 

               

Marine—0.8%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (b)

 

 

900

 

 

434,250

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

691

 

 

414,600

 

Teekay Shipping Corp., 8.875%, 7/15/11

 

 

1,000

 

 

950,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,798,850

 

               

Media—11.4%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

2,065

 

 

1,600,375

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

1,150

 

 

517,500

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

300

 

 

234,000

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

2,950

 

 

88,500

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (c)

 

 

580

 

 

556,800

 

Series B, 7.625%, 4/01/11

 

 

340

 

 

336,600

 

Cablevision Systems Corp. Series B:

 

 

 

 

 

 

 

8.334%, 4/01/09 (d)

 

 

100

 

 

100,000

 

8%, 4/15/12

 

 

700

 

 

677,250

 

Catalina Marketing Corp., 10.50%,
10/01/15 (a)(c)(g)

 

 

4,000

 

 

2,680,000

 

Charter Communications Holdings II, LLC, 10.25%,
9/15/10 (e)

 

 

735

 

 

591,675

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

400

 

 

404,000

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

6.375%, 10/01/11

 

 

400

 

 

382,000

 

7%, 10/01/13

 

 

140

 

 

130,550

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

5.984%, 5/15/15 (d)

 

 

510

 

 

177,225

 

9.50%, 5/15/15

 

 

620

 

 

279,000

 

Intelsat Corp., 9.25%, 6/15/16 (c)

 

 

1,640

 

 

1,496,500

 

Intelsat Subsidiary Holding Co. Ltd., 8.875%, 1/15/15 (c)

 

 

390

 

 

368,550

 

Liberty Media Corp., 3.125%, 3/30/23 (b)

 

 

1,616

 

 

1,141,300

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

1,052

 

 

252,480

 

Mediacom LLC, 9.50%, 1/15/13

 

 

3,675

 

 

3,197,250

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

35

 

 

5,425

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.625%, 2/01/14 (c)

 

 

140

 

 

121,100

 

10%, 8/01/14

 

 

2,685

 

 

2,215,125

 

Rainbow National Services LLC, 10.375%,
9/01/14 (c)

 

 

2,432

 

 

2,489,760

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

3,825

 

 

1,893,375

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (c)

 

 

6,400

 

 

3,008,000

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(c)

 

 

1,770

 

 

924,825

 

 

 

 

 

 

     

 

 

 

 

 

 

25,869,165

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

23



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Metals & Mining—4.3%

 

 

 

 

 

 

 

Aleris International, Inc. (e):

 

 

 

 

 

 

 

9%, 12/15/14 (a)

 

USD

1,495

 

$

149

 

10%, 12/15/16

 

 

1,300

 

 

1,625

 

FMG Finance Property Ltd. (c):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

790

 

 

671,500

 

10.625%, 9/01/16

 

 

1,910

 

 

1,623,500

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

2,925

 

 

2,639,812

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%,
4/01/15 (d)

 

 

1,740

 

 

1,300,650

 

Newmont Mining Corp., 1.625%, 7/15/17 (b)

 

 

875

 

 

943,906

 

Novelis, Inc., 7.25%, 2/15/15

 

 

2,975

 

 

929,687

 

Ryerson, Inc. (c):

 

 

 

 

 

 

 

8.545%, 11/01/14 (d)

 

 

600

 

 

306,000

 

12%, 11/01/15

 

 

400

 

 

236,000

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

680

 

 

588,200

 

Vedanta Resources Plc, 9.50%, 7/18/18 (c)

 

 

950

 

 

541,500

 

 

 

 

 

 

     

 

 

 

 

 

 

9,782,529

 

               

Oil, Gas & Consumable Fuels—9.9%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (c)

 

 

1,880

 

 

1,522,800

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

750

 

 

382,500

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

2,455

 

 

2,283,150

 

7.25%, 12/15/18

 

 

2,370

 

 

1,925,625

 

2.25%, 12/15/38 (b)

 

 

1,200

 

 

637,500

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

2,390

 

 

800,650

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (c)

 

 

1,965

 

 

746,700

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

4,150

 

 

3,314,812

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

3,000

 

 

2,370,000

 

Forest Oil Corp., 7.25%, 6/15/19 (c)

 

 

3,370

 

 

2,696,000

 

Massey Energy Co., 3.25%, 8/01/15 (b)

 

 

1,875

 

 

1,190,625

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

2,530

 

 

860,200

 

PetroHawk Energy Corp. (c):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

835

 

 

822,475

 

7.875%, 6/01/15

 

 

695

 

 

597,700

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

555

 

 

373,237

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.625%, 4/01/15 (a)

 

 

1,100

 

 

759,000

 

8%, 6/01/18 (c)

 

 

1,475

 

 

1,150,500

 

 

 

 

 

 

     

 

 

 

 

 

 

22,433,474

 

               

Paper & Forest Products—2.1%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (d)

 

 

1,205

 

 

108,450

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (c)

 

 

1,566

 

 

706,503

 

Bowater, Inc., 4.996%, 3/15/10 (d)

 

 

4,075

 

 

733,500

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

225

 

 

218,250

 

NewPage Corp., 10%, 5/01/12

 

 

4,120

 

 

1,246,300

 

Norske Skog Canada Ltd. Series D, 8.625%, 6/15/11

 

 

1,315

 

 

604,900

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

4.92%, 8/01/14 (d)

 

 

420

 

 

109,200

 

9.125%, 8/01/14

 

 

2,710

 

 

1,016,250

 

 

 

 

 

 

     

 

 

 

 

 

 

4,743,353

 

               

Personal Products—0.5%

 

 

 

 

 

 

 

Chattem, Inc., 7%, 3/01/14

 

 

1,285

 

 

1,182,200

 

               

Pharmaceuticals—0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%,
12/01/13 (d)

 

 

2,105

 

 

1,289,312

 

Elan Finance Plc, 8.875%, 12/01/13

 

 

140

 

 

112,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,401,312

 

               

Real Estate Investment Trusts (REITs)—0.0%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

190

 

 

102,600

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Real Estate Management & Development—1.3%

 

 

 

 

 

 

 

Forest City Enterprises, Inc., 7.625%, 6/01/15

 

USD

4,400

 

$

1,936,000

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

2,825

 

 

593,250

 

12.375%, 4/15/15

 

 

3,254

 

 

390,480

 

 

 

 

 

 

     

 

 

 

 

 

 

2,919,730

 

               

Semiconductors & Semiconductor Equipment—0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (c)

 

 

1,800

 

 

420,750

 

               

Software—0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(c)(d)

 

 

612

 

 

147,376

 

               

Specialty Retail—2.3%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

520

 

 

234,000

 

Buffets, Inc., 12.50%, 11/01/14 (e)(f)

 

 

970

 

 

97

 

General Nutrition Centers Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (d)

 

 

2,610

 

 

1,539,900

 

10.75%, 3/15/15

 

 

1,900

 

 

1,330,000

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (b)(g)

 

 

1,570

 

 

702,575

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

790

 

 

269,587

 

11.375%, 11/01/16

 

 

1,235

 

 

291,769

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

1,675

 

 

804,000

 

 

 

 

 

 

     

 

 

 

 

 

 

5,171,928

 

               

Textiles, Apparel & Luxury Goods—1.6%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.875%, 4/01/16

 

 

2,925

 

 

2,237,625

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

2,600

 

 

1,300,000

 

 

 

 

 

 

     

 

 

 

 

 

 

3,537,625

 

               

Thrifts & Mortgage Finance—0.4%

 

 

 

 

 

 

 

Residential Capital LLC, 8.50%, 5/15/10 (c)

 

 

1,195

 

 

824,550

 

               

Wireless Telecommunication Services—8.5%

 

 

 

 

 

 

 

Centennial Communications Corp., 7.185%,
1/01/13 (d)

 

 

2,030

 

 

2,019,850

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

1,850

 

 

1,688,125

 

10%, 7/15/15 (c)

 

 

1,320

 

 

1,217,700

 

Crown Castle International Corp., 9%, 1/15/15

 

 

725

 

 

706,875

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

2,020

 

 

1,504,900

 

9.125%, 1/15/15 (a)

 

 

2,987

 

 

2,090,900

 

FiberTower Corp., 9%, 11/15/12 (b)

 

 

1,000

 

 

285,000

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

1,200

 

 

864,000

 

Leap Wireless International, Inc., 4.50%, 7/15/14 (b)(c)

 

 

350

 

 

236,250

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

3,285

 

 

3,104,325

 

Nordic Telephone Co. Holdings ApS, 8.875%,
5/01/16 (c)

 

 

2,120

 

 

1,929,200

 

Orascom Telecom Finance SCA, 7.875%,
2/08/14 (c)

 

 

365

 

 

219,000

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

3,875

 

 

3,361,563

 

 

 

 

 

 

     

 

 

 

 

 

 

19,227,688

 

               

Total Corporate Bonds—94.5%

 

 

 

 

 

214,564,983

 

               

 

 

 

 

 

 

 

 


 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Commercial Mortgage-Backed Securities—1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A:

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (d)

 

 

2,435

 

 

2,215,850

 

Class AFX, 4.643%, 6/15/35 (c)

 

 

675

 

 

644,625

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36

 

 

390

 

 

364,650

 

               

Total Non-U.S. Government Agency Mortgage-Backed Securities—1.4%

 

 

 

 

 

3,225,125

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

24

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Auto Components—1.1%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

USD

 

2,136

 

$

1,415,256

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

2,904

 

 

883,585

 

Delphi Corp.:

 

 

 

 

 

 

 

Initial Tranche Term Loan C,
7.50%—10.50%, 6/30/09

 

 

1,654

 

 

258,700

 

Subsequent Tranche Term Loan C,
7.50%—10.50%, 6/30/09

 

 

176

 

 

27,565

 

 

 

 

 

 

     

 

 

 

 

 

 

2,585,106

 

               

Automobiles—0.4%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

1,491

 

 

476,579

 

General Motors Corp. Secured Term Loan, 2.784%,
11/29/13

 

 

1,191

 

 

426,592

 

 

 

 

 

 

     

 

 

 

 

 

 

903,171

 

               

Building Products—2.1%

 

 

 

 

 

 

 

Building Materials Corp. of America Term
Loan Advance, 3.625%—3.875%, 2/22/14

 

 

744

 

 

507,425

 

CPG International, I Inc. Term Loan B, 6.26%,
2/28/11

 

 

4,577

 

 

3,203,819

 

Stile Acquisition Corp. (aka Masonite):

 

 

 

 

 

 

 

Canadian Term Loan, 4.63%—5.046%, 4/06/13

 

 

1,424

 

 

581,616

 

US Term Loan, 4.63%—6.25%, 4/06/13

 

 

1,443

 

 

589,693

 

 

 

 

 

 

     

 

 

 

 

 

 

4,882,553

 

               

Capital Markets—0.2%

 

 

 

 

 

 

 

Marsico Parent Co., LLC Term Loan, 4.50%—6.25%,
12/15/14

 

 

949

 

 

450,785

 

               

Chemicals—1.3%

 

 

 

 

 

 

 

PQ Corp. (aka Niagara Acquisition, Inc.):

 

 

 

 

 

 

 

Loan (Second Lien), 7.68%, 7/30/15

 

 

5,500

 

 

1,925,000

 

Term Loan (First Lien), 4.43%—4.71%, 7/31/14

 

 

995

 

 

594,513

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

638

 

 

409,594

 

 

 

 

 

 

     

 

 

 

 

 

 

2,929,107

 

               

Containers & Packaging—0.1%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 (a)

 

 

1,462

 

 

292,369

 

               

Diversified Telecommunication Services—2.1%

 

 

 

 

 

 

 

Wind Finance SL S.A. Euro Facility (Second Lien),
11.473%, 12/17/14

EUR

 

4,420

 

 

4,852,822

 

               

Health Care Providers & Services—1.9%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.72%—3.404%,
7/25/2014

USD

 

122

 

 

102,991

 

Funded Term Loan, 4.439%—4.446%, 7/25/2014

 

 

2,378

 

 

2,013,772

 

HCA Inc. Tranche A-1 Term Loan, 3.459%, 11/17/12

 

 

863

 

 

750,591

 

Rotech Healthcare, Inc. Term Loan B, 6.479%,
9/26/11 (a)

 

 

2,563

 

 

1,409,409

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,276,763

 

               

Hotels, Restaurants & Leisure—0.4%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.) Loan,
7.979%, 3/27/12 (a)

 

 

4,394

 

 

900,683

 

               

Independent Power Producers & Energy Traders—2.4%

 

 

 

 

 

 

 

Calpine Generating Co., LLC Second Priority Term Loan,
4.335%, 3/29/14

 

 

997

 

 

723,535

 

Texas Competitive Electric Holdings Co., LLC

 

 

 

 

 

 

 

(TXU) Initial Tranche:

 

 

 

 

 

 

 

B-1 Term Loan, 3.909%—4.451%, 10/10/14

 

 

328

 

 

204,163

 

B-2 Term Loan, 3.909%—4.451%, 10/10/14

 

 

1,885

 

 

1,175,879

 

B-3 Term Loan, 3.909%—4.451%, 10/10/14

 

 

5,431

 

 

3,387,742

 

 

 

 

 

 

     

 

 

 

 

 

 

5,491,319

 

               

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Machinery—1.0%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit,
3.649%—3.659%, 1/19/12

USD

 

795

 

$

569,087

 

Term Advance, 3.659%, 1/19/12

 

 

2,185

 

 

1,564,095

 

Rexnord Holdings, Inc. Loan, 9.181%, 3/01/13 (a)

 

 

634

 

 

158,441

 

 

 

 

 

 

     

 

 

 

 

 

 

2,291,623

 

               

Media—3.3%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 8.523%, 3/01/12

 

 

650

 

 

292,500

 

Cengage Learning Acquisitions, Inc. (Thomson Learning)

 

 

 

 

 

 

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

2,487

 

 

1,741,250

 

HMH Publishing Co. Ltd. (aka Education Media):

 

 

 

 

 

 

 

Mezzanine, 10.756%, 11/14/14

 

 

9,060

 

 

2,718,109

 

Tranche A Term Loan, 5.256%, 6/12/14

 

 

3,726

 

 

2,095,600

 

NV Broadcasting, LLC Second Lien, 8.72%, 11/03/14

 

 

1,750

 

 

350,000

 

Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

275

 

 

248,188

 

 

 

 

 

 

     

 

 

 

 

 

 

7,445,647

 

               

Multiline Retail—0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-1 Term Loan,
3.159%—3.924%, 7/07/14

 

 

950

 

 

820,239

 

               

Oil, Gas & Consumable Fuels—1.2%

 

 

 

 

 

 

 

Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18

 

 

3,332

 

 

2,665,916

 

               

Paper & Forest Products—0.5%

 

 

 

 

 

 

 

Georgia-Pacific LLC Term B Loan, 2.409%—3.689%,
12/20/12

 

 

464

 

 

400,528

 

NewPage Corp. Term Loan, 5.313%, 12/22/14

 

 

495

 

 

301,500

 

Verso Paper Finance Holdings LLC Loan, 7.685%—
8.435%, 2/01/13

 

 

1,749

 

 

349,841

 

 

 

 

 

 

     

 

 

 

 

 

 

1,051,869

 

               

Real Estate Management & Development—0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term B Loan, 3.438%, 10/10/13

 

 

598

 

 

338,475

 

Synthetic Letter of Credit, 3.449%, 10/10/13

 

 

189

 

 

107,184

 

 

 

 

 

 

     

 

 

 

 

 

 

445,659

 

               

Total Floating Rate Loan Interests—18.6%

 

 

 

 

 

42,285,631

 

               

 

 

 

 

 

 

 

 









 

Common Stocks

 

 

Shares

 

 

 

 

               

Capital Markets—0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (f)

 

 

108,426

 

 

86,741

 

               

Chemicals—0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc.

 

 

2,499

 

 

625

 

               

Communications Equipment—0.7%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (f)

 

 

123,724

 

 

1,473,553

 

               

Electrical Equipment—0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (f)

 

 

109,685

 

 

62,520

 

SunPower Corp. Class B (f)

 

 

573

 

 

14,187

 

 

 

 

 

 

     

 

 

 

 

 

 

76,707

 

               

Oil, Gas & Consumable Fuels—0.2%

 

 

 

 

 

 

 

EXCO Resources, Inc.

 

 

50,649

 

 

461,412

 

               

Paper & Forest Products—0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

186,000

 

 

105,266

 

Ainsworth Lumber Co. Ltd. (c)

 

 

208,741

 

 

118,449

 

Western Forest Products, Inc. (f)

 

 

74,889

 

 

8,830

 

Western Forest Products, Inc. Restricted Shares (f)

 

 

74,936

 

 

8,835

 

 

 

 

 

 

     

 

 

 

 

 

 

241,380

 

               

Total Common Stocks—1.1%

 

 

 

 

 

2,340,418

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

25




 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

Value

 

           

Diversified Financial Services—0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (d)(h)

USD

 

2,585

 

$

905,009

 

               

Total Capital Trusts—0.4%

 

 

 

 

 

905,009

 

               

 

 

 

 

 

 

 

 








 

Warrants (i)

 

Shares

 

 

 

 

             

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

52,465

 

 

1

 

             

Paper & Forest Products—0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (expires 10/01/13)

 

 

1,100

 

 

9,789

 

             

Total Warrants—0.0%

 

 

 

 

 

9,790

 

             

 

 

 

 

 

 

 

 








 

Other Interests (j)

 

Beneficial
Interest
(000
)

 

 

 

 

             

Media—0.0%

 

 

 

 

 

 

 

Adelphia Escrow

USD

 

1,250

 

 

125

 

Adelphia Recovery Trust

 

 

1,568

 

 

6,271

 

             

Total Other Interests—0.0%

 

 

 

 

 

6,396

 

             

Total Long-Term Investments
(Cost—$431,707,590)—116.0%

 

 

 

 

 

263,337,352

 

             

 

 

 

 

 

 

 

 








 

Short-Term Securities

 

 

 

 

 

 

 

               

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (k)(l)

 

 

11,058

 

 

11,058,272

 

             

Total Short-Term Securities
(Cost—$11,058,272)—4.9%

 

 

 

 

 

11,058,272

 

             

Total Investments
(Cost—$442,765,862*)—120.9%

 

 

 

 

 

274,395,624

 

Liabilities in Excess of Other Assets—(20.9)%

 

 

 

 

 

(47,346,122

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

227,049,502

 

 

 

 

 

 

     

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

Aggregate cost

 

$

443,613,284

 

 

 

 

     

 

Gross unrealized appreciation

 

$

1,034,718

 

 

Gross unrealized depreciation

 

 

(170,252,378

)

 

 

 

     

 

Net unrealized depreciation

 

$

(169,217,660

)

 

 

 

     

 

 

(a)

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

(b)

Convertible security.

(c)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d)

Variable rate security. Rate is as of report date.

(e)

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

(f)

Non-income producing security.

(g)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

(h)

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

(i)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(k)

Represents the current yield as of report date.

(l)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

               

Affiliate

 

 

Net Activity

 

 

Income

 

               

BlackRock Liquidity Series, LLC Cash Sweep Series

USD

 

4,710,831

 

$

23,928

 

               

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.

 

 

Credit default swaps on single name issues—buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

                     

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

                     

Masco Corp.

 

5.85%

 

Goldman Sachs Bank USA

 

March 2014

 

USD 1,200

 

$

9,854

Mohawk Industries, Inc.

 

4.70%

 

Goldman Sachs Bank USA

 

March 2014

 

USD 1,200

 

 

1,416

                       

Total

 

 

 

 

 

 

 

 

 

$

11,270

 

 

 

 

 

 

 

 

 

 

   

 

 

Credit default swaps on single name issues—sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

                         

Issuer1

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

                         

Ford Motor Co.

 

3.80%

 

UBS AG

 

March 2010

 

USD 1,480

 

$

(1,037,148

)

Ford Motor Co.

 

5.00%

 

Goldman Sachs Bank USA

 

June 2010

 

USD 5,920

 

 

(4,191,141

)

                         

Total

 

 

 

 

 

 

 

 

 

$

(5,228,289

)

 

 

 

 

 

 

 

 

 

 

     

 

 

 

1 Credit rating is C using Standard and Poor’s ratings.

 

 

 

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

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                         

Currency
Purchased

 

Currency
Sold

 

 

Counterparty

 

 

Settlement
Date

 

 

Unrealized
Appreciation

 

                         

USD

333,523

 

CAD

410,000

 

 

UBS AG

 

 

3/18/09

 

$

11,266

 

USD

11,791,969

 

EUR

8,994,500

 

 

Deutsche Bank AG

 

 

3/18/09

 

 

391,034

 

USD

450,818

 

EUR

350,000

 

 

UBS AG

 

 

3/18/09

 

 

7,177

 

USD

272,002

 

EUR

210,000

 

 

Citibank, NA

 

 

3/18/09

 

 

5,818

 

                             

Total

 

 

 

 

 

 

 

 

 

 

 

$

415,295

 

 

 

 

 

 

 

 

 

 

 

 

 

     

 

 

 

 

 

Currency Abbreviations:

 

 

 

CAD

Canadian Dollar

 

 

EUR

Euro

 

 

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

26

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 



 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

             

Valuation
Inputs

 

 

Investments in
Securities

 

Other Financial
Instruments*

 

             

 

 

 

Assets

 

Assets

 

Liabilities

 

 

 

 

 

 

     

Level 1

 

 

$

2,221,346

 

 

 

 

 

Level 2

 

 

 

246,764,700

 

$

426,565

 

$

(5,228,289

)

Level 3

 

 

 

25,409,578

 

 

 

 

 

                       

Total

 

 

$

274,395,624

 

$

426,565

 

$

(5,228,289

)

 

 

 

                 

* Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

       

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

 

 

Balance as of August 31, 2008

 

$

6,058,493

 

Accrued discounts/premiums

 

 

283,875

 

Realized gain

 

 

580

 

Change in unrealized appreciation/depreciation1

 

 

(31,824,940

)

Net sales

 

 

167,322

 

Net transfers in Level 3

 

 

50,724,248

 

 

 

     

Balance as of February 28, 2009

 

$

25,409,578

 

 

 

     

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

27



 

 


 

Schedule of Investments February 28, 2009 (Unaudited)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Airlines—0.8%

 

 

 

 

 

 

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

USD

 

1,999

 

$

1,448,879

 

Series 2001-1-C, 7.033%, 12/15/12

 

 

482

 

 

346,643

 

UAL Corp., 4.50%, 6/30/21 (a)

 

 

580

 

 

264,654

 

 

 

 

 

 

     

 

 

 

 

 

 

2,060,176

 

               

Auto Components—1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

1,235

 

 

598,975

 

11.25%, 11/01/15 (c)

 

 

1,845

 

 

710,325

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

2,295

 

 

1,836,000

 

8.625%, 12/01/11

 

 

235

 

 

188,000

 

Lear Corp., 8.75%, 12/01/16

 

 

700

 

 

119,000

 

 

 

 

 

 

     

 

 

 

 

 

 

3,452,300

 

               

Automobiles—0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,192

 

 

381,440

 

Ford Motor Co., 8.90%, 1/15/32

 

 

1,100

 

 

187,000

 

 

 

 

 

 

     

 

 

 

 

 

 

568,440

 

               

Building Products—0.8%

 

 

 

 

 

 

 

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

 

 

2,595

 

 

544,950

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

3,110

 

 

1,430,600

 

 

 

 

 

 

     

 

 

 

 

 

 

1,975,550

 

               

Capital Markets—0.5%

 

 

 

 

 

 

 

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

 

 

2,550

 

 

1,173,000

 

               

Chemicals—2.1%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

1,400

 

 

1,176,000

 

Innophos, Inc., 8.875%, 8/15/14

 

 

1,250

 

 

993,750

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

2,680

 

 

1,058,600

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

265

 

 

241,150

 

Wellman Holdings, Inc. (a):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%, 1/29/19 (b)

 

 

1,450

 

 

1,450,000

 

Third Lien Subordinate Note, 5%, 1/29/2019

 

 

441

 

 

308,700

 

 

 

 

 

 

     

 

 

 

 

 

 

5,228,200

 

               

Commercial Services & Supplies—3.6%

 

 

 

 

 

 

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

350

 

 

333,375

 

US Investigations Services, Inc., 10.50%, 11/01/15 (b)

 

 

1,100

 

 

874,500

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

4,775

 

 

3,772,250

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

1,200

 

 

840,000

 

11%, 10/15/16

 

 

4,470

 

 

2,860,800

 

 

 

 

 

 

     

 

 

 

 

 

 

8,680,925

 

               

Construction & Engineering—0.8%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.125%, 10/15/15

 

 

2,825

 

 

2,019,875

 

               

Construction Materials—1.0%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

3,705

 

 

1,482,000

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

1,285

 

 

912,350

 

 

 

 

 

 

     

 

 

 

 

 

 

2,394,350

 

               

Containers & Packaging—6.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (d)

 

 

2,740

 

 

1,274,100

 

Crown European Holdings SA, 6.25%, 9/01/11

EUR

 

2,025

 

 

2,490,175

 

Graphic Packaging International Corp.:

 

 

 

 

 

 

 

8.50%, 8/15/11

USD

 

1,975

 

 

1,738,000

 

9.50%, 8/15/13

 

 

1,620

 

 

1,206,900

 

Impress Holdings BV, 4.219%, 9/15/13 (b)(d)

 

 

670

 

 

495,800

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

1,575

 

 

1,590,750

 

6.75%, 12/01/14

EUR

 

665

 

 

750,317

 

Packaging Dynamics Finance Corp., 10%, 5/01/16 (b)

 

 

2,165

 

 

930,950

 

Pregis Corp., 12.375%, 10/15/13

 

 

1,920

 

 

854,400

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

3,175

 

 

3,175,000

 

Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (e)

 

 

2,140

 

 

187,250

 

 

 

 

 

 

     

 

 

 

 

 

 

14,693,642

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

               

Diversified Consumer Services—1.8%

 

 

 

 

 

 

 

Service Corp. International, 7%, 6/15/17

USD

 

4,775

 

$

4,345,250

 

               

Diversified Financial Services—3.1%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16

 

 

820

 

 

748,250

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.125%, 1/16/12

EUR

 

4,200

 

 

3,247,972

 

Series JD, 3.991%, 9/30/09 (d)

 

 

425

 

 

452,586

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (d)

USD

 

340

 

 

166,600

 

7.80%, 6/01/12

 

 

300

 

 

162,607

 

GMAC LLC (b):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

 

601

 

 

415,129

 

3.461%, 12/01/14 (d)

 

 

1,415

 

 

622,600

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

2,100

 

 

1,743,000

 

 

 

 

 

 

     

 

 

 

 

 

 

7,558,744

 

               

Diversified Telecommunication Services—5.8%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

1,680

 

 

873,600

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

415

 

 

396,325

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

3,190

 

 

2,703,525

 

3.50%, 11/15/25 (a)

 

 

510

 

 

455,813

 

Series B, 7.50%, 2/15/14

 

 

2,820

 

 

2,389,950

 

Qwest Corp.:

 

 

 

 

 

 

 

5.246%, 6/15/13 (d)

 

 

2,300

 

 

1,949,250

 

7.625%, 6/15/15

 

 

875

 

 

780,937

 

Windstream Corp., 8.125%, 8/01/13

 

 

4,800

 

 

4,656,000

 

 

 

 

 

 

     

 

 

 

 

 

 

14,205,400

 

               

Electric Utilities—3.6%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

2,975

 

 

2,729,562

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

1,630

 

 

1,304,000

 

Nevada Power Co. Series A, 8.25%, 6/01/11

 

 

2,400

 

 

2,524,790

 

Tenaska Alabama Partners LP, 7%, 6/30/21 (b)

 

 

3,019

 

 

2,281,444

 

 

 

 

 

 

     

 

 

 

 

 

 

8,839,796

 

               

Electrical Equipment—0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

 

32

 

 

28,800

 

               

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

875

 

 

306,250

 

               

Energy Equipment & Services—0.7%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

335

 

 

262,137

 

7.75%, 5/15/17

 

 

510

 

 

395,250

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

595

 

 

468,562

 

Transocean, Inc. Series A, 1.625%, 12/15/37 (a)

 

 

520

 

 

463,450

 

 

 

 

 

 

     

 

 

 

 

 

 

1,589,399

 

               

Food & Staples Retailing—0.7%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

1,300

 

 

780,000

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

1,590

 

 

858,600

 

 

 

 

 

 

     

 

 

 

 

 

 

1,638,600

 

               

Food Products—0.4%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (b)

 

 

1,090

 

 

1,027,325

 

               

Health Care Equipment & Supplies—3.2%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (c)

 

 

1,500

 

 

510,000

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.875%, 11/15/14

 

 

8,140

 

 

6,186,400

 

11.75%, 11/15/14

 

 

135

 

 

88,425

 

Hologic, Inc., 2%, 12/15/37 (a)(f)

 

 

1,365

 

 

887,250

 

 

 

 

 

 

     

 

 

 

 

 

 

7,672,075

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

28

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Health Care Providers & Services—2.5%

 

 

 

 

 

 

 

Community Health Systems, Inc., 8.875%, 7/15/15

USD

 

465

 

$

440,006

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

550

 

 

489,500

 

6.50%, 6/01/12

 

 

5,710

 

 

5,081,900

 

 

 

 

 

 

     

 

 

 

 

 

 

6,011,406

 

               

Hotels, Restaurants & Leisure—5.8%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

4,780

 

 

3,931,550

 

Galaxy Entertainment Finance Co. Ltd. (b):

 

 

 

 

 

 

 

7.323%, 12/15/10 (d)

 

 

450

 

 

337,500

 

9.875%, 12/15/12

 

 

875

 

 

472,500

 

Gaylord Entertainment Co., 8%, 11/15/13

 

 

1,000

 

 

662,500

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (b)

 

 

3,180

 

 

2,226,000

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(e)(g)

 

 

893

 

 

80,370

 

Harrah’s Operating Co., Inc:

 

 

 

 

 

 

 

10.75%, 2/01/18 (c)

 

 

3,796

 

 

234,218

 

10%, 12/15/18 (b)

 

 

887

 

 

248,360

 

Inn of the Mountain Gods Resort & Casino, 12%, 11/15/10

 

 

2,575

 

 

309,000

 

Little Traverse Bay Bands of Odawa Indians,

 

 

 

 

 

 

 

10.25%, 2/15/14 (b)

 

 

1,895

 

 

871,700

 

Penn National Gaming, Inc., 6.875%, 12/01/11

 

 

3,150

 

 

3,024,000

 

San Pasqual Casino, 8%, 9/15/13 (b)

 

 

1,575

 

 

1,173,375

 

Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (b)

 

 

560

 

 

327,600

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

195

 

 

62,400

 

Tropicana Entertainment LLC, 9.625%, 12/15/14 (e)(g)

 

 

515

 

 

5,150

 

Virgin River Casino Corp., 9%, 1/15/12 (e)(g)

 

 

1,500

 

 

150,000

 

 

 

 

 

 

     

 

 

 

 

 

 

14,116,223

 

               

Household Durables—0.8%

 

 

 

 

 

 

 

American Greetings Corp., 7.375%, 6/01/16

 

 

1,770

 

 

911,550

 

Jarden Corp., 7.50%, 5/01/17

 

 

1,265

 

 

986,700

 

 

 

 

 

 

     

 

 

 

 

 

 

1,898,250

 

               

IT Services—1.1%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (a)(b)

 

 

1,870

 

 

1,248,225

 

First Data Corp., 9.875%, 9/24/15

 

 

1,425

 

 

783,750

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (b)

 

 

900

 

 

760,500

 

 

 

 

 

 

     

 

 

 

 

 

 

2,792,475

 

               

Independent Power Producers & Energy Traders—3.1%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

51

 

 

49,470

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (c)

 

 

5,575

 

 

2,453,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,550

 

 

2,403,375

 

7.375%, 2/01/16

 

 

2,000

 

 

1,845,000

 

Texas Competitive Electric Holdings Co. LLC, 10.50%,

 

 

 

 

 

 

 

11/01/16 (c)

 

 

1,575

 

 

756,000

 

 

 

 

 

 

     

 

 

 

 

 

 

7,506,845

 

               

Industrial Conglomerates—0.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

4,010

 

 

641,600

 

13.50%, 12/01/15 (c)

 

 

5,645

 

 

675,358

 

 

 

 

 

 

     

 

 

 

 

 

 

1,316,958

 

               

Insurance—0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (b)

 

 

2,600

 

 

1,677,000

 

USI Holdings Corp., 5.113%, 11/15/14 (b)(d)

 

 

1,070

 

 

508,250

 

 

 

 

 

 

     

 

 

 

 

 

 

2,185,250

 

               

Machinery—0.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

2,050

 

 

1,230,000

 

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

 

 

865

 

 

259,500

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

785

 

 

590,713

 

 

 

 

 

 

     

 

 

 

 

 

 

2,080,213

 

               

Marine—0.6%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (a)

 

 

960

 

 

463,200

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

743

 

 

445,800

 

Teekay Shipping Corp., 8.875%, 7/15/11

 

 

635

 

 

603,250

 

 

 

 

 

 

     

 

 

 

 

 

 

1,512,250

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Media—11.5%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

USD

 

2,189

 

$

1,696,475

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

1,240

 

 

558,000

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

300

 

 

234,000

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

3,175

 

 

95,250

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (b)

 

 

550

 

 

528,000

 

Series B, 7.625%, 4/01/11

 

 

660

 

 

653,400

 

Cablevision Systems Corp. Series B, 8%, 4/15/12

 

 

775

 

 

749,812

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)(f)

 

 

4,250

 

 

2,847,500

 

Charter Communications Holdings II, LLC, 10.25%,

 

 

 

 

 

 

 

9/15/10 (e)

 

 

1,195

 

 

961,975

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

420

 

 

424,200

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

6.375%, 10/01/11

 

 

400

 

 

382,000

 

7%, 10/01/13

 

 

150

 

 

139,875

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

5.984%, 5/15/15 (d)

 

 

550

 

 

191,125

 

9.50%, 5/15/15

 

 

660

 

 

297,000

 

Intelsat Corp., 9.25%, 6/15/16 (b)

 

 

1,410

 

 

1,286,625

 

Intelsat Subsidiary Holding Co. Ltd., 8.875%, 1/15/15 (b)

 

 

420

 

 

396,900

 

Liberty Media Corp., 3.125%, 3/30/23 (a)

 

 

1,748

 

 

1,234,525

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

1,117

 

 

268,080

 

Mediacom LLC, 9.50%, 1/15/13

 

 

3,900

 

 

3,393,000

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

40

 

 

6,200

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.625%, 2/01/14 (b)

 

 

225

 

 

194,625

 

10%, 8/01/14

 

 

3,025

 

 

2,495,625

 

Rainbow National Services LLC, 10.375%, 9/01/14 (b)

 

 

2,570

 

 

2,631,038

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

4,075

 

 

2,017,125

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

6,785

 

 

3,188,950

 

Virgin Media, Inc., 6.50%, 11/15/16 (a)(b)

 

 

1,915

 

 

1,000,588

 

 

 

 

 

 

     

 

 

 

 

 

 

27,871,893

 

               

Metals & Mining—4.3%

 

 

 

 

 

 

 

Aleris International, Inc. (e):

 

 

 

 

 

 

 

9%, 12/15/14 (c)

 

 

1,625

 

 

162

 

10%, 12/15/16

 

 

1,300

 

 

1,625

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

850

 

 

722,500

 

10.625%, 9/01/16

 

 

2,060

 

 

1,751,000

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

3,250

 

 

2,933,125

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (d)

 

 

1,835

 

 

1,371,662

 

Newmont Mining Corp., 1.625%, 7/15/17 (a)

 

 

930

 

 

1,003,238

 

Novelis, Inc., 7.25%, 2/15/15

 

 

3,175

 

 

992,187

 

Ryerson, Inc. (b):

 

 

 

 

 

 

 

8.545%, 11/01/14 (d)

 

 

640

 

 

326,400

 

12%, 11/01/15

 

 

450

 

 

265,500

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

730

 

 

631,450

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

1,015

 

 

578,550

 

 

 

 

 

 

     

 

 

 

 

 

 

10,577,399

 

               

Oil, Gas & Consumable Fuels—10.1%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

2,005

 

 

1,624,050

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

800

 

 

408,000

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

2,625

 

 

2,441,250

 

7.25%, 12/15/18

 

 

2,575

 

 

2,092,187

 

2.25%, 12/15/38 (a)

 

 

1,250

 

 

664,063

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

2,555

 

 

855,925

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (b)

 

 

2,035

 

 

773,300

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

4,450

 

 

3,554,437

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

3,150

 

 

2,488,500

 

Forest Oil Corp., 7.25%, 6/15/19 (b)

 

 

3,595

 

 

2,876,000

 

Massey Energy Co., 3.25%, 8/01/15 (a)

 

 

2,010

 

 

1,276,350

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

2,710

 

 

921,400

 

PetroHawk Energy Corp. (b):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

895

 

 

881,575

 

7.875%, 6/01/15

 

 

680

 

 

584,800

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

610

 

 

410,225

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

29



 

 


 

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)

 

 

 

 

 

 

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

5.06%, 4/01/14 (d)

USD

 

1,000

 

$

657,172

 

8.625%, 4/01/15 (c)

 

 

1,100

 

 

759,000

 

8%, 6/01/18 (b)

 

 

1,570

 

 

1,224,600

 

 

 

 

 

 

     

 

 

 

 

 

 

24,492,834

 

               

Paper & Forest Products—2.1%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 4.82%, 6/15/11 (d)

 

 

1,400

 

 

126,000

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (b)(c)

 

 

1,662

 

 

749,997

 

Bowater, Inc., 4.32%, 3/15/10 (d)

 

 

4,475

 

 

805,500

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

240

 

 

232,800

 

NewPage Corp., 10%, 5/01/12

 

 

4,385

 

 

1,326,462

 

Norske Skog Canada Ltd. Series D, 8.625%, 6/15/11

 

 

1,415

 

 

650,900

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

4.92%, 8/01/14 (d)

 

 

450

 

 

117,000

 

9.125%, 8/01/14

 

 

2,900

 

 

1,087,500

 

 

 

 

 

 

     

 

 

 

 

 

 

5,096,159

 

               

Personal Products—0.5%

 

 

 

 

 

 

 

Chattem, Inc., 7%, 3/01/14

 

 

1,405

 

 

1,292,600

 

               

Pharmaceuticals—0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (d)

 

 

2,225

 

 

1,362,812

 

Elan Finance Plc, 8.875%, 12/01/13

 

 

150

 

 

120,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,482,812

 

               

Real Estate Investment Trusts (REITs)—0.1%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

480

 

 

259,200

 

               

Real Estate Management & Development—1.3%

 

 

 

 

 

 

 

Forest City Enterprises, Inc., 7.625%, 6/01/15

 

 

4,750

 

 

2,090,000

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

3,090

 

 

648,900

 

12.375%, 4/15/15

 

 

3,492

 

 

419,040

 

 

 

 

 

 

     

 

 

 

 

 

 

3,157,940

 

               

Semiconductors & Semiconductor Equipment—0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (b)

 

 

1,920

 

 

448,800

 

               

Software—0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (b)(c)(d)

 

 

654

 

 

162,657

 

               

Specialty Retail—2.3%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

560

 

 

252,000

 

Buffets, Inc., 12.50%, 11/01/14 (e)(g)

 

 

950

 

 

95

 

General Nutrition Centers, Inc:

 

 

 

 

 

 

 

6.404%, 3/15/14 (c)(d)

 

 

2,800

 

 

1,652,000

 

10.75%, 3/15/15

 

 

2,040

 

 

1,428,000

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (a)(f)

 

 

1,685

 

 

754,038

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

860

 

 

293,475

 

11.375%, 11/01/16

 

 

1,360

 

 

321,300

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

1,805

 

 

866,400

 

 

 

 

 

 

     

 

 

 

 

 

 

5,567,308

 

               

Textiles, Apparel & Luxury Goods—1.6%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.875%, 4/01/16

 

 

3,200

 

 

2,448,000

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

2,725

 

 

1,362,500

 

 

 

 

 

 

     

 

 

 

 

 

 

3,810,500

 

               

Thrifts & Mortgage Finance—0.4%

 

 

 

 

 

 

 

Residential Capital LLC, 8.50%, 5/15/10 (b)

 

 

1,275

 

 

879,750

 

               

Wireless Telecommunication Services—8.8%

 

 

 

 

 

 

 

Centennial Communications Corp., 7.185%, 1/01/13 (d)

 

 

2,170

 

 

2,159,150

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

1,850

 

 

1,688,125

 

10%, 7/15/15 (b)

 

 

1,420

 

 

1,309,950

 

Crown Castle International Corp., 9%, 1/15/15

 

 

760

 

 

741,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.875%, 1/15/15

USD

 

2,160

 

$

1,609,200

 

9.125%, 1/15/15 (c)

 

 

3,064

 

 

2,144,800

 

FiberTower Corp., 9%, 11/15/12 (a)

 

 

1,000

 

 

285,000

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

1,295

 

 

932,400

 

Leap Wireless International, Inc., 4.50%, 7/15/14 (a)(b)

 

 

370

 

 

249,750

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

4,575

 

 

4,323,375

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (b)

 

 

2,270

 

 

2,065,700

 

Orascom Telecom Finance SCA, 7.875%, 2/08/14 (b)

 

 

385

 

 

231,000

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

4,115

 

 

3,569,763

 

 

 

 

 

 

     

 

 

 

 

 

 

21,309,213

 

               

Total Corporate Bonds—96.7%

 

 

 

 

 

235,287,032

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Non-US Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Commercial Mortgage-Backed Securities—1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A:

 

 

 

 

 

 

 

Class AFL, 0.936%, 6/15/35 (d)

 

 

2,600

 

 

2,366,000

 

Class AFX, 4.643%, 6/15/35 (b)

 

 

725

 

 

692,375

 

Global Signal Trust Series 2006-1 Class A2, 5.45%, 2/15/36

 

 

415

 

 

388,025

 

               

Total Non-US Government Agency
Mortgage-Backed Securities—1.4%

 

 

 

 

 

3,446,400

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 

               

Auto Components—1.1%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

 

2,280

 

 

1,510,708

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

2,999

 

 

912,437

 

Delphi Corp.:

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 6/30/09

 

 

1,739

 

 

271,996

 

Subsequent Tranche Term Loan C, 10.50%, 6/30/09

 

 

186

 

 

29,129

 

 

 

 

 

 

     

 

 

 

 

 

 

2,724,270

 

               

Automobiles—0.4%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

1,566

 

 

500,406

 

General Motors Corp. Secured Term Loan, 4.148%, 11/29/13

 

 

1,290

 

 

462,141

 

 

 

 

 

 

     

 

 

 

 

 

 

962,547

 

               

Building Products—2.2%

 

 

 

 

 

 

 

Building Materials Corp. of America Term Loan Advance,

 

 

 

 

 

 

 

3.625% - 3.875%, 2/22/14

 

 

744

 

 

507,425

 

CPG International, I Inc. Term Loan B, 6.26%, 2/28/11

 

 

4,987

 

 

3,491,118

 

Stile Acquisition Corp. (aka Masonite):

 

 

 

 

 

 

 

Canadian Term Loan, 6.25%, 4/06/13

 

 

1,568

 

 

640,546

 

US Term Loan, 6.75%, 4/06/13

 

 

1,546

 

 

631,679

 

 

 

 

 

 

     

 

 

 

 

 

 

5,270,768

 

               

Capital Markets—0.2%

 

 

 

 

 

 

 

Marsico Parent Co., LLC Term Loan, 4.50% - 7.25%, 12/15/14

 

 

949

 

 

450,785

 

               

Chemicals - 1.2%

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.):

 

 

 

 

 

 

 

Loan (Second Lien), 7.68%, 7/30/15

 

 

5,500

 

 

1,925,000

 

Term Loan (First Lien), 4.43% - 4.71%, 7/31/14

 

 

995

 

 

594,513

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

713

 

 

457,781

 

 

 

 

 

 

     

 

 

 

 

 

 

2,977,294

 

               

Containers & Packaging - 0.1%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 (c)

 

 

1,566

 

 

313,252

 

               

Diversified Telecommunication Services—2.2%

 

 

 

 

 

 

 

Wind Finance SL S.A. Euro Facility (Second Lien),

 

 

 

 

 

 

 

11.473%, 12/17/14

EUR

 

4,770

 

 

5,237,095

 

               

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

30

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Health Care Providers & Services—1.9%

 

 

 

 

 

 

 

CHS/ Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.729%, 7/25/2014

 

USD

129

 

$

109,170

 

Funded Term Loan, 2.729%—3.506%, 7/25/2014

 

 

2,521

 

 

2,134,598

 

HCA Inc. Tranche A-1 Term Loan, 2.959%, 11/17/12

 

 

863

 

 

750,591

 

Rotech Healthcare, Inc. Term Loan B, 6.479%, 9/26/11 (c)

 

 

2,781

 

 

1,529,643

 

 

 

 

 

 

     

 

 

 

 

 

 

4,524,002

 

               

Hotels, Restaurants & Leisure—0.4%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.) Loan, 7.979%, 3/27/12 (c)

 

 

4,720

 

 

967,622

 

               

Independent Power Producers & Energy Traders—2.4%

 

 

 

 

 

 

 

Calpine Generating Co., LLC Second Priority Term Loan, 4.335%, 3/29/14

 

 

1,045

 

 

757,798

 

Texas Competitive Electric Holdings Co., LLC (TXU) Initial Tranche:

 

 

 

 

 

 

 

B-1 Term Loan, 3.948% - 4.451%, 10/10/14

 

 

347

 

 

216,537

 

B-2 Term Loan, 3.948% - 4.451%, 10/10/14

 

 

1,885

 

 

1,175,879

 

B-3 Term Loan, 3.948% - 4.451%, 10/10/14

 

 

5,925

 

 

3,695,719

 

 

 

 

 

 

     

 

 

 

 

 

 

5,845,933

 

               

Machinery—1.0%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.718% - 3.729%, 1/19/12

 

 

850

 

 

608,458

 

Term Advance, 3.729%, 1/19/12

 

 

2,335

 

 

1,671,470

 

Rexnord Holdings, Inc. Loan, 8.261%, 3/01/13 (c)

 

 

683

 

 

170,629

 

 

 

 

 

 

     

 

 

 

 

 

 

2,450,557

 

               

Media—3.3%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 9.273%, 3/01/12

 

 

650

 

 

292,500

 

Cengage Learning Acquisitions, Inc. (Thomson Learning) Tranche 1 Incremental Term Loan, 7.50%, 7/03/14

 

 

2,736

 

 

1,915,375

 

HMH Publishing Co. Ltd. (aka Education Media):

 

 

 

 

 

 

 

Mezzanine, 10.756%, 11/14/14

 

 

10,126

 

 

3,037,887

 

Tranche A Term Loan, 5.256%, 6/12/14

 

 

3,945

 

 

2,218,871

 

NV Broadcasting, LLC Second Lien, 5.25%, 11/03/14

 

 

1,750

 

 

350,000

 

Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

300

 

 

270,750

 

 

 

 

 

 

     

 

 

 

 

 

 

8,085,383

 

               

Multiline Retail—0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-1 Term Loan, 3.198% - 3.924%, 7/07/14

 

 

1,015

 

 

876,360

 

               

Oil, Gas & Consumable Fuels—1.2%

 

 

 

 

 

 

 

Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18

 

 

3,635

 

 

2,908,272

 

               

Paper & Forest Products—0.4%

 

 

 

 

 

 

 

Georgia-Pacific LLC Term B Loan, 2.956% - 4.189%, 12/20/12

 

 

492

 

 

424,560

 

NewPage Corp. Term Loan, 5.313%, 12/22/14

 

 

495

 

 

301,500

 

Verso Paper Finance Holdings LLC Loan, 7.685% - 8.435%, 2/01/13

 

 

1,809

 

 

361,793

 

 

 

 

 

 

     

 

 

 

 

 

 

1,087,853

 

               

Real Estate Management & Development—0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term B Loan, 3.438%, 10/10/13

 

 

638

 

 

361,040

 

Synthetic Letter of Credit, 0.347%, 10/10/13

 

 

205

 

 

115,645

 

 

 

 

 

 

     

 

 

 

 

 

 

476,685

 

               

Total Floating Rate Loan Interests—18.6%

 

 

 

 

 

45,158,678

 

               

 

 

 

 

 

 

 

 


 

Common Stocks

 

Shares

 

 

 

               

Capital Markets—0.0%

 

 

 

 

 

 

 

E*Trade Financial Corp. (g)

 

 

116,170

 

 

92,936

 

               

Chemicals—0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc.

 

 

2,616

 

 

654

 

               

Communications Equipment—0.7%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (g)

 

 

134,482

 

 

1,601,681

 

               

Electrical Equipment—0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (g)

 

 

116,910

 

 

66,639

 

SunPower Corp. Class B (g)

 

 

1,235

 

 

30,579

 

 

 

 

 

 

     

 

 

 

 

 

 

97,218

 

               

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

           

Oil, Gas & Consumable Fuels— 0.2%

 

 

 

 

 

 

 

EXCO Resources, Inc.

 

 

54,280

 

$

494,491

 

               

Paper & Forest Products—0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

197,451

 

 

111,747

 

Ainsworth Lumber Co. Ltd. (b)

 

 

221,591

 

 

125,740

 

Western Forest Products, Inc. (g)

 

 

78,039

 

 

9,201

 

 

 

 

 

 

     

 

 

 

 

 

 

246,688

 

               

Total Common Stocks—1.0%

 

 

 

 

 

2,533,668

 

               

 

 

 

 

 

 

 

 


 

Capital Trusts

 

Par
(000)

 

 

 

 

             

Diversified Financial Services—0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (d)(h)

 

USD

2,720

 

 

952,272

 

               

Total Capital Trusts—0.4%

 

 

 

 

 

952,272

 

               

 

 

 

 

 

 

 

 


 

Warrants (i)

 

 

Shares

 

 

 

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

54,577

 

 

1

 

               

Total Warrants—0.0%

 

 

 

 

 

1

 

               

 

 

 

 

 

 

 

 


 

 

 

 

Beneficial

 

 

 

 

 

 

 

Interest

 

 

 

 

Other Interests (j)

 

 

(000)

 

 

 

 

               

Media—0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

USD

1,300

 

 

130

 

Adelphia Recovery Trust

 

 

1,630

 

 

6,522

 

               

Total Other Interests—0.0%

 

 

 

 

 

6,652

 

               

Total Long-Term Investments (Cost - $467,110,477)—118.1%

 

 

 

 

 

287,384,703

 

               

 

 

 

 

 

 

 

 


 

Short-Term Securities

 

 

 

 

 

 

 

               

BlackRock Liquidity Series, LLC Cash Sweep Series, 0.73% (k)(l)

 

 

11,405

 

 

11,405,172

 

               

Total Short-Term Securities (Cost—$11,405,172)—4.7%

 

 

 

 

 

11,405,172

 

               

Total Investments

 

 

 

 

 

 

 

(Cost—$478,515,649*)—122.8%

 

 

 

 

 

298,789,875

 

Liabilities in Excess of Other Assets—(22.8)%

 

 

 

 

 

(55,569,212

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

243,220,663

 

 

 

 

 

 

     

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

479,445,881

 

 

 

     

Gross unrealized appreciation

 

$

973,704

 

Gross unrealized depreciation

 

 

(181,629,710

)

 

 

     

Net unrealized depreciation

 

$

(180,656,006

)

 

 

     

 

 

(a)

Convertible security.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. 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)

Variable rate security. Rate shown is as of report date.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

31



 

 


 

 

Schedule of Investments (concluded)

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


 

 

(e)

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

(f)

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 reflects the current yield as of report date.

(g)

Non-income producing security.

(h)

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

(i)

Warrants entitle the Fund 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.

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(k)

Represents the current yield as of report date.

(l)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Net Activity

 

Income

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series

 

 

USD (2,872,011

)

 

$26,103

 

 

 

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.

 

Credit default swaps on single name issues - buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

           

Issuer

Pay
Fixed
Rate

Counterparty

Expiration

Notional
Amount
(000)

Unrealized
Appreciation

           

Masco Corp.

5.85%

Goldman Sachs

March 2014

USD 1,300

$            10,676

 

 

Bank USA

 

 

 

Mohawk

4.70%

Goldman Sachs

March 2014

USD 1,300

1,534

Industries, Inc.

 

Bank USA

 

 

 

           

Total

 

 

 

 

$            12,210

 

 

 

 

 

 

 

 

Credit default swaps on single name issues - sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

           

Issuer1

Receive
Fixed
Rate

Counterparty

Expiration

Notional
Amount
(000)2

Unrealized
Depreciation

           

Ford Motor Co.

3.80%

UBS AG

March 2010

USD 1,590

$     (1,114,234)

Ford Motor Co.

5.00%

Goldman Sachs

 

 

 

 

 

Bank USA

June 2010

USD 6,330

(4,481,406)

           

Total

 

 

 

 

$     (5,595,640)

 

 

 

 

 

 

 

 

1

Credit rating is C, using Standard and Poor’s ratings.

2

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


 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

Currency
Purchased

 

Currency
Sold

Counterparty

Settlement
Date

    Unrealized
    Appreciation

 

           

USD

 

280,648

 

CAD

 

345,000

 

UBS AG

3/18/09

 

$

9,480

 

USD

 

12,787,034

 

EUR

 

9,753,500

 

Deutsche Bank AG

3/18/09

 

 

424,032

 

USD

 

386,415

 

EUR

 

300,000

 

UBS AG

3/18/09

 

 

6,151

 

USD

 

295,317

 

EUR

 

228,000

 

Citibank, NA

3/18/09

 

 

6,316

 

                           

Total

 

 

 

 

 

 

 

 

 

$

445,979

 

 

 

 

 

 

 

 

 

 

 

     

 

 

 

Currency Abbreviations:

 

CAD

Canadian Dollar

 

EUR

Euro

 

USD

US Dollar


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

                     

Valuation
Inputs

 

Investments in
Securities

 

Other Financial
Instruments*

 

                     

 

 

Assets

 

Assets

 

Liabilities

 

 

 

 

 

   

Level 1

 

$

2,407,273

 

 

 

 

 

Level 2

 

 

269,222,856

 

$

458,189

 

$

(5,595,640

)

Level 3

 

 

27,159,746

 

 

 

 

 

                     

Total

 

$

298,789,875

 

$

458,189

 

$

(5,595,640

)

 

 

                 

 

 

*

Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

       

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

   

Balance as of August 31, 2008

 

$

2,999,871

 

Accrued discounts/premiums

 

 

267,853

 

Realized gain

 

 

655

 

Change in unrealized appreciation/depreciation1

 

 

(33,799,877

)

Net sales

 

 

156,563

 

Net transfers in Level 3

 

 

57,534,681

 

 

 

     

Balance as of February 28, 2009

 

$

27,159,746

 

 

 

     

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

32

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments February 28, 2009 (Unaudited)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Aerospace & Defense—0.2%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC, 8.875%, 4/01/15 (a)

USD

 

100

 

$

8,000

 

L-3 Communications Corp., 5.875%, 1/15/15

 

 

140

 

 

129,150

 

 

 

 

 

 

     

 

 

 

 

 

 

137,150

 

               

Airlines—0.5%

 

 

 

 

 

 

 

American Airlines, Inc. Series 99-1, 7.324%, 4/15/11

 

 

280

 

 

263,200

 

UAL Corp., 4.50%, 6/30/21 (b)

 

 

175

 

 

79,853

 

 

 

 

 

 

     

 

 

 

 

 

 

343,053

 

               

Auto Components—1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc. (c):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

335

 

 

162,475

 

11.25%, 11/01/15 (a)

 

 

450

 

 

173,250

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

690

 

 

552,000

 

8.625%, 12/01/11

 

 

62

 

 

49,600

 

Lear Corp., 8.75%, 12/01/16

 

 

180

 

 

30,600

 

Stanadyne Corp. Series 1, 10%, 8/15/14

 

 

525

 

 

341,250

 

 

 

 

 

 

     

 

 

 

 

 

 

1,309,175

 

               

Automobiles—0.6%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,330

 

 

425,600

 

Ford Motor Co., 8.90%, 1/15/32

 

 

300

 

 

51,000

 

 

 

 

 

 

     

 

 

 

 

 

 

476,600

 

               

Building Products—1.2%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

540

 

 

286,200

 

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

 

 

805

 

 

169,050

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

895

 

 

411,700

 

 

 

 

 

 

     

 

 

 

 

 

 

866,950

 

               

Capital Markets—0.3%

 

 

 

 

 

 

 

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

 

 

451

 

 

207,460

 

               

Chemicals—3.4%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

400

 

 

336,000

 

Ames True Temper, Inc., 5.094%, 1/15/12 (d)

 

 

1,070

 

 

695,500

 

Innophos, Inc., 8.875%, 8/15/14

 

 

1,170

 

 

930,150

 

MacDermid, Inc., 9.50%, 4/15/17 (c)

 

 

755

 

 

298,225

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

235

 

 

213,850

 

 

 

 

 

 

     

 

 

 

 

 

 

2,473,725

 

               

Commercial Services & Supplies—2.8%

 

 

 

 

 

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

400

 

 

350,000

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

90

 

 

85,725

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

800

 

 

632,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

375

 

 

262,500

 

11%, 10/15/16

 

 

1,195

 

 

764,800

 

 

 

 

 

 

     

 

 

 

 

 

 

2,095,025

 

               

Construction Materials—0.6%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

1,040

 

 

416,000

 

               

Containers & Packaging—7.2%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (d)

 

 

300

 

 

139,500

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

255

 

 

256,912

 

Crown European Holdings SA, 6.25%, 9/01/11

EUR

 

595

 

 

731,681

 

Graphic Packaging International Corp., 9.50%, 8/15/13

USD

 

255

 

 

189,975

 

Impress Holdings BV, 4.219%, 9/15/13 (c)(d)

 

 

775

 

 

573,500

 

Jefferson Smurfit Corp. US, 7.50%, 6/01/13 (e)

 

 

1,000

 

 

80,000

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

2,600

 

 

2,626,000

 

6.75%, 12/01/14

EUR

 

175

 

 

197,452

 

Pregis Corp., 12.375%, 10/15/13

USD

 

1,034

 

 

460,130

 

Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (e)

 

 

665

 

 

58,188

 

 

 

 

 

 

     

 

 

 

 

 

 

5,313,338

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

           

Diversified Financial Services—4.2%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16

USD

 

240

 

$

219,000

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.125%, 1/16/12

EUR

 

1,150

 

 

889,326

 

Series JD, 3.991%, 9/30/09 (d)

 

 

125

 

 

133,114

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

8.625%, 11/01/10

USD

 

140

 

 

87,578

 

4.01%, 1/13/12 (d)

 

 

145

 

 

71,050

 

7.80%, 6/01/12

 

 

1,500

 

 

813,033

 

GMAC LLC (c):

 

 

 

 

 

 

 

6.875%, 8/28/12

 

 

449

 

 

258,507

 

3.461%, 12/01/14 (d)

 

 

356

 

 

156,640

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

600

 

 

498,000

 

 

 

 

 

 

     

 

 

 

 

 

 

3,126,248

 

               

Diversified Telecommunication Services—9.8%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

480

 

 

249,600

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

2,085

 

 

1,991,175

 

Qwest Capital Funding, Inc., 7%, 8/03/09

 

 

230

 

 

229,425

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

910

 

 

771,225

 

3.50%, 11/15/25 (b)

 

 

200

 

 

178,750

 

Series B, 7.50%, 2/15/14

 

 

640

 

 

542,400

 

Qwest Corp., 5.246%, 6/15/13 (d)

 

 

850

 

 

720,375

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (c)

 

 

1,100

 

 

1,102,750

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

855

 

 

829,350

 

8.625%, 8/01/16

 

 

645

 

 

619,200

 

 

 

 

 

 

     

 

 

 

 

 

 

7,234,250

 

               

Electric Utilities—2.1%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

35

 

 

32,112

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

429

 

 

345,368

 

Homer City Funding LLC Series B, 8.734%, 10/01/26

 

 

149

 

 

128,301

 

NSG Holdings LLC, 7.75%, 12/15/25 (c)

 

 

565

 

 

452,000

 

Salton Sea Funding Corp. Series E, 8.30%, 5/30/11

 

 

583

 

 

613,731

 

 

 

 

 

 

     

 

 

 

 

 

 

1,571,512

 

               

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

290

 

 

101,500

 

               

Energy Equipment & Services—1.4%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

135

 

 

105,637

 

7.75%, 5/15/17

 

 

220

 

 

170,500

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

810

 

 

637,875

 

Transocean, Inc. Series A, 1.625%, 12/15/37 (b)

 

 

155

 

 

138,144

 

 

 

 

 

 

     

 

 

 

 

 

 

1,052,156

 

               

Food & Staples Retailing—0.3%

 

 

 

 

 

 

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

425

 

 

229,500

 

               

Food Products—0.5%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (c)

 

 

400

 

 

377,000

 

               

Gas Utilities—0.3%

 

 

 

 

 

 

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

305

 

 

192,150

 

               

Health Care Equipment & Supplies—3.2%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (a)

 

 

610

 

 

207,400

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.875%, 11/15/14

 

 

2,400

 

 

1,824,000

 

11.75%, 11/15/14

 

 

40

 

 

26,200

 

Hologic, Inc., 2%, 12/15/37 (b)(f)

 

 

505

 

 

328,250

 

 

 

 

 

 

     

 

 

 

 

 

 

2,385,850

 

               

Health Care Providers & Services—2.0%

 

 

 

 

 

 

 

Community Health Systems, Inc., 8.875%, 7/15/15

 

 

125

 

 

118,281

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

160

 

 

142,400

 

6.50%, 6/01/12

 

 

1,395

 

 

1,241,550

 

 

 

 

 

 

     

 

 

 

 

 

 

1,502,231

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

33



 

 

 


 

Schedule of Investments (continued)

 

BlackRock High Income Shares (HIS)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Hotels, Restaurants & Leisure—4.7%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

USD

850

 

$

699,125

 

Gaylord Entertainment Co.:

 

 

 

 

 

 

 

8%, 11/15/13

 

 

1,110

 

 

735,375

 

6.75%, 11/15/14

 

 

450

 

 

285,750

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (c)

 

 

1,390

 

 

973,000

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (c)(e)(g)

 

 

649

 

 

58,410

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/18 (a)

 

 

1,086

 

 

66,636

 

10%, 12/15/18 (c)

 

 

253

 

 

70,840

 

Seneca Gaming Corp. Series B, 7.25%, 5/01/12

 

 

630

 

 

466,200

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

75

 

 

24,000

 

Tropicana Entertainment LLC, 9.625%, 12/15/14 (e)(g)

 

 

215

 

 

2,150

 

Virgin River Casino Corp., 9%, 1/15/12 (e)(g)

 

 

585

 

 

58,500

 

 

 

 

 

 

     

 

 

 

 

 

 

3,439,986

 

               

Household Durables—0.6%

 

 

 

 

 

 

 

Jarden Corp., 7.50%, 5/01/17

 

 

550

 

 

429,000

 

               

IT Services—2.0%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (b)(c)

 

 

560

 

 

373,800

 

First Data Corp., 9.875%, 9/24/15

 

 

525

 

 

288,750

 

iPayment, Inc., 9.75%, 5/15/14

 

 

335

 

 

197,650

 

iPayment Investors LP, 12.75%, 7/15/14 (a)(c)

 

 

1,603

 

 

400,644

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (c)

 

 

270

 

 

228,150

 

 

 

 

 

 

     

 

 

 

 

 

 

1,488,994

 

               

Independent Power Producers & Energy Traders—3.4%

 

 

 

 

 

 

 

AES Red Oak LLC Series B, 9.20%, 11/30/29

 

 

1,250

 

 

1,112,500

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (a)

 

 

1,600

 

 

704,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

100

 

 

94,250

 

7.375%, 2/01/16

 

 

465

 

 

428,962

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (a)

 

 

430

 

 

206,400

 

 

 

 

 

 

     

 

 

 

 

 

 

2,546,112

 

               

Industrial Conglomerates—0.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,150

 

 

184,000

 

13.50%, 12/01/15 (a)

 

 

1,602

 

 

191,650

 

 

 

 

 

 

     

 

 

 

 

 

 

375,650

 

               

Insurance—0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (c)

 

 

800

 

 

516,000

 

USI Holdings Corp., 5.113%, 11/15/14 (c)(d)

 

 

310

 

 

147,250

 

 

 

 

 

 

     

 

 

 

 

 

 

663,250

 

               

Machinery—2.4%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

890

 

 

534,000

 

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

 

 

340

 

 

102,000

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

295

 

 

221,987

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (c)

 

 

1,720

 

 

946,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,803,987

 

               

Marine—0.2%

 

 

 

 

 

 

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

254

 

 

152,400

 

               

Media—11.5%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

1,045

 

 

809,875

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

100

 

 

78,000

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

865

 

 

25,950

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (c)

 

 

180

 

 

172,800

 

Series B, 8.125%, 7/15/09

 

 

165

 

 

167,887

 

Cablevision Systems Corp. Series B, 8.334%, 4/01/09 (d)

 

 

750

 

 

750,000

 

Charter Communications Holdings II, LLC (e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

170

 

 

136,850

 

Series B, 10.25%, 9/15/10

 

 

455

 

 

364,000

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

420

 

 

424,200

 

EchoStar DBS Corp., 7%, 10/01/13

 

 

192

 

 

179,040

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Media (concluded)

 

 

 

 

 

 

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

5.984%, 5/15/15 (d)

 

USD

160

 

$

55,600

 

9.50%, 5/15/15

 

 

190

 

 

85,500

 

Intelsat Corp., 9.25%, 6/15/16 (c)

 

 

430

 

 

392,375

 

Intelsat Subsidiary Holding Co. Ltd., 8.875%, 1/15/15 (c)

 

 

130

 

 

122,850

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

304

 

 

72,960

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

830

 

 

128,650

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.625%, 2/01/14 (c)

 

 

110

 

 

95,150

 

10%, 8/01/14

 

 

850

 

 

701,250

 

ProtoStar I Ltd., 18%, 10/15/12 (b)(c)

 

 

1,427

 

 

785,073

 

Rainbow National Services LLC, 10.375%, 9/01/14 (c)

 

 

1,813

 

 

1,856,059

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (c)

 

 

1,740

 

 

817,800

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(c)

 

 

550

 

 

287,375

 

 

 

 

 

 

     

 

 

 

 

 

 

8,509,244

 

               

Metals & Mining—2.8%

 

 

 

 

 

 

 

AK Steel Corp., 7.75%, 6/15/12

 

 

120

 

 

103,200

 

Aleris International, Inc. (e):

 

 

 

 

 

 

 

9%, 12/15/14

 

 

200

 

 

20

 

10%, 12/15/16

 

 

680

 

 

850

 

FMG Finance Property Ltd. (c):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

240

 

 

204,000

 

10.625%, 9/01/16

 

 

735

 

 

624,750

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (d)

 

 

260

 

 

194,350

 

Newmont Mining Corp., 1.625%, 7/15/17 (b)

 

 

270

 

 

291,263

 

Ryerson, Inc. (c):

 

 

 

 

 

 

 

8.545%, 11/01/14 (d)

 

 

180

 

 

91,800

 

12%, 11/01/15

 

 

100

 

 

59,000

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

380

 

 

328,700

 

Vedanta Resources Plc, 9.50%, 7/18/18 (c)

 

 

295

 

 

168,150

 

 

 

 

 

 

     

 

 

 

 

 

 

2,066,083

 

               

Oil, Gas & Consumable Fuels—10.5%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (c)

 

 

575

 

 

465,750

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

275

 

 

140,250

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

805

 

 

748,650

 

6.375%, 6/15/15

 

 

350

 

 

286,125

 

6.625%, 1/15/16

 

 

235

 

 

192,112

 

7.25%, 12/15/18

 

 

405

 

 

329,062

 

2.25%, 12/15/38 (b)

 

 

375

 

 

199,219

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

245

 

 

82,075

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (c)

 

 

605

 

 

229,900

 

Corral Finans AB, 2.594%, 4/15/10 (a)(c)

 

 

945

 

 

525,004

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

75

 

 

64,125

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

1,115

 

 

890,606

 

Encore Acquisition Co., 6%, 7/15/15

 

 

130

 

 

100,750

 

Forest Oil Corp., 7.25%, 6/15/19 (c)

 

 

1,035

 

 

828,000

 

Massey Energy Co., 3.25%, 8/01/15 (b)

 

 

615

 

 

390,525

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

980

 

 

333,200

 

PetroHawk Energy Corp. (c):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

275

 

 

270,875

 

7.875%, 6/01/15

 

 

210

 

 

180,600

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

210

 

 

141,225

 

SandRidge Energy, Inc., 8%, 6/01/18 (c)

 

 

455

 

 

354,900

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

70

 

 

58,800

 

7.25%, 5/01/13

 

 

1,155

 

 

941,325

 

 

 

 

 

 

     

 

 

 

 

 

 

7,753,078

 

               

Paper & Forest Products—1.3%

 

 

 

 

 

 

 

Bowater, Inc.:

 

 

 

 

 

 

 

9%, 8/01/09

 

 

270

 

 

68,850

 

4.996%, 3/15/10 (d)

 

 

350

 

 

63,000

 

Domtar Corp., 7.875%, 10/15/11

 

 

100

 

 

85,250

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

75

 

 

72,750

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

34

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

Schedule of Investments (continued)

 

BlackRock High Income Shares (HIS)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Paper & Forest Products (concluded)

 

 

 

 

 

 

 

NewPage Corp., 10%, 5/01/12

 

USD

1,260

 

$

381,150

 

Norske Skog Canada Ltd., 7.375%, 3/01/14

 

 

175

 

 

61,250

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

4.92%, 8/01/14 (d)

 

 

130

 

 

33,800

 

9.125%, 8/01/14

 

 

465

 

 

174,375

 

 

 

 

 

 

     

 

 

 

 

 

 

940,425

 

               

Pharmaceuticals—0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (d)

 

 

630

 

 

385,875

 

Elan Finance Plc, 8.875%, 12/01/13

 

 

75

 

 

60,000

 

 

 

 

 

 

     

 

 

 

 

 

 

445,875

 

               

Professional Services—0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

275

 

 

271,562

 

               

Real Estate Management & Development—0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

1,105

 

 

232,050

 

12.375%, 4/15/15

 

 

674

 

 

80,880

 

 

 

 

 

 

     

 

 

 

 

 

 

312,930

 

               

Semiconductors & Semiconductor Equipment—0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (c)

 

 

550

 

 

128,563

 

               

Software—0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(c)(d)

 

 

208

 

 

50,238

 

               

Specialty Retail—3.4%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

240

 

 

108,000

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (a)(d)

 

 

800

 

 

472,000

 

10.75%, 3/15/15

 

 

895

 

 

626,500

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (f)

 

 

470

 

 

210,325

 

Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (e)(g)

 

 

2,275

 

 

182,000

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

370

 

 

126,262

 

11.375%, 11/01/16

 

 

480

 

 

113,400

 

Rent-A-Center, Inc. Series B, 7.50%, 5/01/10

 

 

367

 

 

351,402

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

710

 

 

340,800

 

 

 

 

 

 

     

 

 

 

 

 

 

2,530,689

 

               

Textiles, Apparel & Luxury Goods—0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

350

 

 

175,000

 

               

Thrifts & Mortgage Finance—0.4%

 

 

 

 

 

 

 

Residential Capital Corp.:

 

 

 

 

 

 

 

8.50%, 5/15/10 (c)

 

 

370

 

 

255,300

 

8.375%, 6/30/10

 

 

160

 

 

64,000

 

 

 

 

 

 

     

 

 

 

 

 

 

319,300

 

               

Wireless Telecommunication Services—10.0%

 

 

 

 

 

 

 

American Tower Corp., 7.125%, 10/15/12

 

 

1,000

 

 

997,500

 

Centennial Communications Corp., 7.185%, 1/01/13 (d)

 

 

650

 

 

646,750

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

540

 

 

492,750

 

10%, 7/15/15 (c)

 

 

420

 

 

387,450

 

Crown Castle International Corp., 9%, 1/15/15

 

 

425

 

 

414,375

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

690

 

 

514,050

 

9.125%, 1/15/15 (a)

 

 

1,320

 

 

924,000

 

FiberTower Corp., 9%, 11/15/12 (b)

 

 

300

 

 

85,500

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

330

 

 

237,600

 

Leap Wireless International, Inc., 4.50%, 7/15/14 (b)(c)

 

 

100

 

 

67,500

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

1,255

 

 

1,185,975

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (c)

 

 

580

 

 

527,800

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

1,085

 

 

941,238

 

 

 

 

 

 

     

 

 

 

 

 

 

7,422,488

 

               

Total Corporate Bonds—99.0%

 

 

 

 

 

73,235,727

 

               

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Auto Components—1.3%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

USD

1,049

 

$

694,777

 

Dana Corp. Term Advance, 7.25%, 1/31/15

 

 

804

 

 

244,701

 

Delphi Automotive Systems:

 

 

 

 

 

 

 

Initial Tranche C, 10.50%, 3/31/09

 

 

271

 

 

42,413

 

Subsequent Tranche C Term Loan, 10.50%, 3/31/09

 

 

29

 

 

4,515

 

 

 

 

 

 

     

 

 

 

 

 

 

986,406

 

               

Automobiles—0.4%

 

 

 

 

 

 

 

Ford Motor Term Loan, 5%, 12/15/13

 

 

423

 

 

135,033

 

General Motors Corp. Term Secured Loan, 4.148%, 11/29/13

 

 

372

 

 

133,310

 

 

 

 

 

 

     

 

 

 

 

 

 

268,343

 

               

Building Products—2.2%

 

 

 

 

 

 

 

Building Material Corp. of America Term Loan Advance,
3.625% - 3.875%, 2/22/14

 

 

248

 

 

169,142

 

CPG International, I Inc. Term Loan B, 6.62%, 2/28/11

 

 

1,492

 

 

1,044,724

 

Stile Acquisition (Masonite International):

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

492

 

 

201,150

 

US Term Loan, 6.25%, 4/06/13

 

 

499

 

 

203,713

 

 

 

 

 

 

     

 

 

 

 

 

 

1,618,729

 

               

Chemicals—0.9%

 

 

 

 

 

 

 

PQ Corp. Second Lien Loan, 7.68%, 5/29/15

 

 

1,500

 

 

525,000

 

Solutia, Inc. Term Loan, 8.50%, 2/28/14

 

 

225

 

 

144,563

 

 

 

 

 

 

     

 

 

 

 

 

 

669,563

 

               

Health Care Providers & Services—1.8%

 

 

 

 

 

 

 

Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delay Draw Term Loan, 2.729%, 6/18/14

 

 

36

 

 

30,897

 

Term Loan B, 2.729% - 3.506%, 7/25/14

 

 

714

 

 

604,131

 

HCA, Inc. Term Loan A, 4.696%, 11/17/12

 

 

256

 

 

222,849

 

Rotech Healthcare, Inc. Term Loan, 6.479%, 9/26/11 (a)

 

 

850

 

 

467,576

 

 

 

 

 

 

     

 

 

 

 

 

 

1,325,453

 

               

Hotels, Restaurants & Leisure—0.5%

 

 

 

 

 

 

 

Travelport Inc. Term Loan, 7.909% - 7.979%, 3/20/12 (a)

 

 

1,937

 

 

397,135

 

               

Independent Power Producers & Energy Traders—2.0%

 

 

 

 

 

 

 

Calpine Corp. First Priority Term Loan, 4.335%, 3/29/14

 

 

299

 

 

216,514

 

Texas Competitive Electric Holdings Co. LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche Term Loan B-2, 3.948% - 4.451%, 10/10/14

 

 

545

 

 

340,233

 

Initial Tranche Term Loan B-3, 3.948% - 4.451%, 10/10/14

 

 

1,481

 

 

923,930

 

 

 

 

 

 

     

 

 

 

 

 

 

1,480,677

 

               

Machinery—1.0%

 

 

 

 

 

 

 

Navistar International Transportation Corp.:

 

 

 

 

 

 

 

Revolving Credit, 3.677% - 3.729%, 1/19/12

 

 

245

 

 

175,379

 

Term Loan, 3.729%, 1/19/12

 

 

680

 

 

486,766

 

Rexnord Corp. Loan, 9.181%, 3/02/13 (a)

 

 

195

 

 

48,751

 

 

 

 

 

 

     

 

 

 

 

 

 

710,896

 

               

Media—2.6%

 

 

 

 

 

 

 

Cengage (Thomson Learning, Inc.) Tranche 1 Incremental Term
Loan 2, 7.50%, 7/05/14

 

 

746

 

 

522,375

 

HMH Publishing (Education Media):

 

 

 

 

 

 

 

Mezzanine Term Loan, 10.756%, 11/14/14

 

 

2,665

 

 

799,444

 

Tranche A Term Loan, 5.256%, 11/14/14

 

 

1,096

 

 

616,353

 

 

 

 

 

 

     

 

 

 

 

 

 

1,938,172

 

               

Multiline Retail—0.3%

 

 

 

 

 

 

 

Dollar General Term Loan B-1, 3.198% - 3.924%, 7/03/14

 

 

295

 

 

254,706

 

               

Oil, Gas & Consumable Fuels—1.1%

 

 

 

 

 

 

 

Turbo Beta Limited Dollar Facility, 14.50%, 3/15/18

 

 

1,010

 

 

807,853

 

               

Paper & Forest Products—0.3%

 

 

 

 

 

 

 

Georgia-Pacific LLC First Lien Term Loan B, 2.956% - 4.189%,
12/22/12

 

 

144

 

 

124,164

 

Verso Paper Holdings LLC Term Loan, 7.685% - 8.435%, 2/01/13

 

 

432

 

 

86,426

 

 

 

 

 

 

     

 

 

 

 

 

 

210,590

 

               

Total Floating Rate Loan Interests—14.4%

 

 

 

 

 

10,668,523

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

35



 

 

 


 

Schedule of Investments (concluded)

 

BlackRock High Income Shares (HIS)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

Value

 

             

Machinery—0.0%

 

 

 

 

 

 

 

Goss Holdings Inc. Class B (g)

 

 

64,467

 

$

1

 

               

Total Common Stocks—0.0%

 

 

 

 

 

1

 

               

 

 

 

 

 

 

 

 


 

Preferred Securities

 

 

 

 

 

 

 

               

Capital Trusts

 

 

Par
(000)

 

 

 

 

               

Diversified Financial Services—0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (d)(h)

 

USD

835

 

 

292,334

 

               

Total Capital Trusts—0.4%

 

 

 

 

 

292,334

 

               

Preferred Stocks

 

 

Shares

 

 

 

 

               

Containers & Packaging—0.0%

 

 

 

 

 

 

 

Smurfit-Stone Container Corp., 7% (a)(b)

 

 

30,000

 

 

9,000

 

               

Independent Power Producers & Energy Traders—0.7%

 

 

 

 

 

 

 

NTG Energy, Inc., 4%

 

 

500

 

 

483,125

 

               

Media—0.0%

 

 

 

 

 

 

 

Emmis Communications Corp. Class A, 6.25% (b)

 

 

10,300

 

 

20,600

 

               

Total Preferred Stocks—0.7%

 

 

 

 

 

512,725

 

               

Total Preferred Securities—1.1%

 

 

 

 

 

805,059

 

               

 

 

 

 

 

 

 

 


 

Other Interests (i)

 

 

Beneficial
Interest
(000)

 

 

 

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

USD

5

 

 

953

 

               

Total Other Interests—0.0%

 

 

 

 

 

953

 

               

Total Long-Term Investments (Cost—$135,257,327)—114.5%

 

 

 

 

 

84,710,263

 

               

 

 

 

 

 

 

 

 


 

Short-Term Securities

 

 

Shares

 

 

 

 

               

BlackRock Liquidity Funds, TempFund, 0.86% (j)(k)

 

 

5,081,539

 

 

5,081,539

 

               

Total Short-Term Securities (Cost—$5,081,539)—6.9%

 

 

 

 

 

5,081,539

 

               

Total Investments
(Cost—$140,338,866*)—121.4%

 

 

 

 

 

89,791,802

 

Liabilities in Excess of Other Assets—(21.4)%

 

 

 

 

 

(15,817,284

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

73,974,518

 

 

 

 

 

 

     

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

140,705,739

 

 

 

     

Gross unrealized appreciation

 

$

361,553

 

Gross unrealized depreciation

 

 

(51,275,490

)

 

 

     

Net unrealized depreciation

 

$

(50,913,937

)

 

 

     

 

 

(a)

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

(b)

Convertible security.

(c)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d)

Variable rate security. Rate shown is as of report date.

(e)

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

(f)

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 reflects the current yield as of report date.

(g)

Non-income producing security.

(h)

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

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(j)

Represents the current yield as of report date.

(k)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

             

Affiliate

 

 

Net Activity

 

Income

 

             

BlackRock Liquidity Funds, TempFund

 

USD

5,081,539

 

$

1,539

 

               

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

                   

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 

                         

USD

2,102,221

 

EUR

1,603,500

 

Deutsche Bank AG

 

3/18/09

 

$

69,712

 

USD

154,566

 

EUR

120,000

 

UBS AG

 

3/18/09

 

 

2,460

 

                         

Total

 

 

 

 

 

 

 

 

 

$

72,172

 

 

 

 

 

 

 

 

 

 

 

     

 

 

 

 

Currency Abbreviations:
EUR     Euro
USD     US Dollar

 

 

 

The Trust has adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

           

Valuation
Inputs

 

Investments in
Securities

 

Other Financial
Instruments*

 

           

 

 

Assets

 

Assets

 

 

 

 

 

 

Level 1

 

$

5,090,539

 

 

 

Level 2

 

 

76,848,464

 

$

72,172

 

Level 3

 

 

7,852,799

 

 

 

               

Total

 

$

89,791,802

 

$

72,172

 

 

 

           

 

 

 

 

*

Other financial instruments are foreign currency exchange contracts. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

 

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:


 

 

 

 

 

       

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

   

Balance as of August 31, 2008

 

$

606,725

 

Accrued discounts/premiums

 

 

5,046

 

Realized gain

 

 

1,142

 

Change in unrealized appreciation/depreciation1

 

 

(8,649,120

)

Net purchases

 

 

84,095

 

Net transfers in Level 3

 

 

15,804,911

 

 

 

     

Balance as of February 28, 2009

 

$

7,852,799

 

 

 

     

 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statement of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

36

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments February 28, 2009 (Unaudited)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Aerospace & Defense—0.1%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.875%, 1/15/15

 

$

20

 

$

18,450

 

               

Air Freight & Logistics—0.1%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

85

 

 

34,850

 

               

Airlines—0.4%

 

 

 

 

 

 

 

American Airlines, Inc. Series 99-1, 7.324%, 4/15/11

 

 

95

 

 

89,300

 

UAL Corp., 4.50%, 6/30/21 (a)

 

 

60

 

 

27,378

 

 

 

 

 

 

     

 

 

 

 

 

 

116,678

 

               

Auto Components—2.1%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

120

 

 

58,200

 

11.25%, 11/01/15 (c)

 

 

150

 

 

57,750

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

235

 

 

188,000

 

8.625%, 12/01/11

 

 

46

 

 

36,800

 

Lear Corp., 8.75%, 12/01/16

 

 

65

 

 

11,050

 

Stanadyne Corp. Series 1, 10%, 8/15/14

 

 

350

 

 

227,500

 

 

 

 

 

 

     

 

 

 

 

 

 

579,300

 

               

Automobiles—0.7%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

520

 

 

166,400

 

Ford Motor Co., 8.90%, 1/15/32

 

 

125

 

 

21,250

 

 

 

 

 

 

     

 

 

 

 

 

 

187,650

 

               

Building Products—1.0%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

150

 

 

79,500

 

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

 

 

235

 

 

49,350

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

315

 

 

144,900

 

 

 

 

 

 

     

 

 

 

 

 

 

273,750

 

               

Capital Markets—0.7%

 

 

 

 

 

 

 

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

 

 

164

 

 

75,440

 

Marsico Parent Co., LLC, 10.625%, 1/15/16 (b)

 

 

174

 

 

71,340

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(c)

 

 

69

 

 

28,111

 

Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (b)(c)

 

 

47

 

 

19,137

 

 

 

 

 

 

     

 

 

 

 

 

 

194,028

 

               

Chemicals—3.1%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

140

 

 

117,600

 

Ames True Temper, Inc., 5.094%, 1/15/12 (d)

 

 

265

 

 

172,250

 

Innophos, Inc., 8.875%, 8/15/14

 

 

545

 

 

433,275

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

265

 

 

104,675

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

30

 

 

27,300

 

 

 

 

 

 

     

 

 

 

 

 

 

855,100

 

               

Commercial Services & Supplies—3.0%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

201

 

 

182,910

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

35

 

 

33,337

 

US Investigations Services, Inc., 10.50%, 11/01/15 (b)

 

 

100

 

 

79,500

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

185

 

 

146,150

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

125

 

 

87,500

 

11%, 10/15/16

 

 

475

 

 

304,000

 

 

 

 

 

 

     

 

 

 

 

 

 

833,397

 

               

Construction Materials—0.6%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

405

 

 

162,000

 

               

Containers & Packaging—2.3%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (d)

 

 

75

 

 

34,875

 

Cascades, Inc., 7.25%, 2/15/13

 

 

175

 

 

100,187

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

85

 

 

85,637

 

Graphic Packaging International Corp., 9.50%, 8/15/13

 

 

100

 

 

74,500

 

Impress Holdings BV, 4.219%, 9/15/13 (b)(d)

 

 

270

 

 

199,800

 

Pregis Corp., 12.375%, 10/15/13

 

 

310

 

 

137,950

 

Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (e)

 

 

220

 

 

19,250

 

 

 

 

 

 

     

 

 

 

 

 

 

652,199

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Diversified Financial Services—3.6%

 

 

 

 

 

 

 

CDX North America High Yield Series 6-T1, 8.625%, 6/29/11

 

$

470

 

$

448,850

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (d)

 

 

110

 

 

53,900

 

7.80%, 6/01/12

 

 

500

 

 

271,011

 

GMAC LLC, 3.461%, 12/01/14 (b)(d)

 

 

143

 

 

62,920

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

200

 

 

166,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,002,681

 

               

Diversified Telecommunication Services—8.3%

 

 

 

 

 

 

 

Asia Global Crossing Ltd., 13.375%, 10/15/10 (e)(f)

 

 

2,000

 

 

60,000

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

195

 

 

101,400

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

405

 

 

386,775

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

685

 

 

580,538

 

3.50%, 11/15/25 (a)

 

 

70

 

 

62,563

 

Series B, 7.50%, 2/15/14

 

 

285

 

 

241,538

 

Qwest Corp., 5.246%, 6/15/13 (d)

 

 

230

 

 

194,925

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

375

 

 

375,937

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

200

 

 

194,000

 

8.625%, 8/01/16

 

 

120

 

 

115,200

 

 

 

 

 

 

     

 

 

 

 

 

 

2,312,876

 

               

Electric Utilities—2.0%

 

 

 

 

 

 

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

426

 

 

342,605

 

Homer City Funding LLC Series B, 8.734%, 10/01/26

 

 

96

 

 

82,775

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

170

 

 

136,000

 

 

 

 

 

 

     

 

 

 

 

 

 

561,380

 

               

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

110

 

 

38,500

 

               

Energy Equipment & Services—0.9%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

50

 

 

39,125

 

7.75%, 5/15/17

 

 

80

 

 

62,000

 

Hornbeck Offshore Services, Inc. Series B, 6.125%, 12/01/14

 

 

5

 

 

3,725

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

175

 

 

137,813

 

 

 

 

 

 

     

 

 

 

 

 

 

242,663

 

               

Food & Staples Retailing—1.0%

 

 

 

 

 

 

 

The Pantry, Inc., 7.75%, 2/15/14

 

 

265

 

 

200,075

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

155

 

 

83,700

 

 

 

 

 

 

     

 

 

 

 

 

 

283,775

 

               

Gas Utilities—0.4%

 

 

 

 

 

 

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

185

 

 

116,550

 

               

Health Care Equipment & Supplies—3.0%

 

 

 

 

 

 

 

Biomet, Inc., 10%, 10/15/17

 

 

75

 

 

75,000

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (c)

 

 

150

 

 

51,000

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.875%, 11/15/14

 

 

760

 

 

577,600

 

11.75%, 11/15/14

 

 

15

 

 

9,825

 

Hologic, Inc., 2%, 12/15/37 (a)(g)

 

 

185

 

 

120,250

 

 

 

 

 

 

     

 

 

 

 

 

 

833,675

 

               

Health Care Providers & Services—2.5%

 

 

 

 

 

 

 

Community Health Systems, Inc., 8.875%, 7/15/15

 

 

25

 

 

23,656

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

55

 

 

48,950

 

6.50%, 6/01/12

 

 

625

 

 

556,250

 

Viant Holdings, Inc., 10.125%, 7/15/17 (b)

 

 

115

 

 

57,500

 

 

 

 

 

 

     

 

 

 

 

 

 

686,356

 

               

Hotels, Restaurants & Leisure—4.3%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.125%, 6/01/12

 

 

300

 

 

264,000

 

7.125%, 2/15/13

 

 

185

 

 

152,162

 

Gaylord Entertainment Co.:

 

 

 

 

 

 

 

8%, 11/15/13

 

 

80

 

 

53,000

 

6.75%, 11/15/14

 

 

280

 

 

177,800

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (b)

 

 

320

 

 

224,000

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

37



 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(e)(f)

 

$

174

 

$

15,660

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10%, 12/15/15 (b)

 

 

30

 

 

8,400

 

10.75%, 2/01/16

 

 

245

 

 

34,300

 

10.75%, 2/01/18 (c)

 

 

519

 

 

31,857

 

10%, 12/15/18 (b)

 

 

211

 

 

59,080

 

Seneca Gaming Corp. Series B, 7.25%, 5/01/12

 

 

140

 

 

103,600

 

Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (b)

 

 

40

 

 

23,400

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

25

 

 

8,000

 

Tropicana Entertainment LLC, 9.625%, 12/15/14 (e)(f)

 

 

25

 

 

250

 

Virgin River Casino Corp., 9%, 1/15/12 (e)

 

 

445

 

 

44,500

 

 

 

 

 

 

     

 

 

 

 

 

 

1,200,009

 

               

Household Durables—0.3%

 

 

 

 

 

 

 

Jarden Corp., 7.50%, 5/01/17

 

 

120

 

 

93,600

 

               

IT Services—1.9%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (a)(b)

 

 

210

 

 

140,175

 

First Data Corp., 9.875%, 9/24/15

 

 

175

 

 

96,250

 

iPayment, Inc., 9.75%, 5/15/14

 

 

120

 

 

70,800

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(c)

 

 

532

 

 

132,979

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (b)

 

 

100

 

 

84,500

 

 

 

 

 

 

     

 

 

 

 

 

 

524,704

 

               

Independent Power Producers & Energy Traders—4.8%

 

 

 

 

 

 

 

AES Red Oak LLC:

 

 

 

 

 

 

 

Series A, 8.54%, 11/30/19

 

 

123

 

 

114,422

 

Series B, 9.20%, 11/30/29

 

 

500

 

 

445,000

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (c)

 

 

575

 

 

253,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

130

 

 

122,525

 

7.375%, 2/01/16

 

 

350

 

 

322,875

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (c)

 

 

160

 

 

76,800

 

 

 

 

 

 

     

 

 

 

 

 

 

1,334,622

 

               

Industrial Conglomerates—0.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

380

 

 

60,800

 

13.50%, 12/01/15 (c)

 

 

530

 

 

63,445

 

 

 

 

 

 

     

 

 

 

 

 

 

124,245

 

               

Insurance—0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (b)

 

 

300

 

 

193,500

 

USI Holdings Corp., 5.113%, 11/15/14 (b)(d)

 

 

100

 

 

47,500

 

 

 

 

 

 

     

 

 

 

 

 

 

241,000

 

               

Machinery—1.7%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

200

 

 

120,000

 

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

 

 

85

 

 

25,500

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

70

 

 

52,675

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

510

 

 

280,500

 

 

 

 

 

 

     

 

 

 

 

 

 

478,675

 

               

Marine—0.2%

 

 

 

 

 

 

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

106

 

 

63,600

 

               

Media—10.8%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

390

 

 

302,250

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

40

 

 

31,200

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

290

 

 

8,700

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (b)

 

 

80

 

 

76,800

 

Series B, 8.125%, 7/15/09

 

 

60

 

 

61,050

 

Series B, 7.625%, 4/01/11

 

 

45

 

 

44,550

 

Cablevision Systems Corp. Series B, 8.334%, 4/01/09 (d)

 

 

175

 

 

175,000

 

Charter Communications Holdings II, LLC (e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

165

 

 

132,825

 

Series B, 10.25%, 9/15/10

 

 

65

 

 

52,000

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

175

 

 

176,750

 

EchoStar DBS Corp., 7%, 10/01/13

 

 

40

 

 

37,300

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Media (concluded)

 

 

 

 

 

 

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

5.984%, 5/15/15 (d)

 

$

50

 

$

17,375

 

9.50%, 5/15/15

 

 

60

 

 

27,000

 

Intelsat Corp., 6.875%, 1/15/28

 

 

210

 

 

151,200

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

150

 

 

36,000

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

245

 

 

37,975

 

Nielsen Finance LLC, 10%, 8/01/14

 

 

350

 

 

288,750

 

ProtoStar I Ltd., 18%, 10/15/12 (a)(b)

 

 

414

 

 

227,730

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

310

 

 

310,388

 

10.375%, 9/01/14

 

 

378

 

 

386,978

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

650

 

 

305,500

 

Virgin Media, Inc., 6.50%, 11/15/16 (a)(b)

 

 

205

 

 

107,113

 

 

 

 

 

 

     

 

 

 

 

 

 

2,994,434

 

               

Metals & Mining—2.6%

 

 

 

 

 

 

 

AK Steel Corp., 7.75%, 6/15/12

 

 

25

 

 

21,500

 

Aleris International, Inc. (e):

 

 

 

 

 

 

 

9%, 12/15/14

 

 

120

 

 

12

 

10%, 12/15/16

 

 

125

 

 

156

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

85

 

 

72,250

 

10.625%, 9/01/16

 

 

205

 

 

174,250

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (d)

 

 

170

 

 

127,075

 

Newmont Mining Corp., 1.625%, 7/15/17 (a)

 

 

100

 

 

107,875

 

Ryerson, Inc. (b):

 

 

 

 

 

 

 

8.545%, 11/01/14 (d)

 

 

60

 

 

30,600

 

12%, 11/01/15

 

 

70

 

 

41,300

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

115

 

 

99,475

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

105

 

 

59,850

 

 

 

 

 

 

     

 

 

 

 

 

 

734,343

 

               

Oil, Gas & Consumable Fuels—11.9%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

210

 

 

170,100

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

80

 

 

40,800

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

300

 

 

279,000

 

6.375%, 6/15/15

 

 

90

 

 

73,575

 

6.625%, 1/15/16

 

 

250

 

 

204,375

 

7.25%, 12/15/18

 

 

75

 

 

60,937

 

2.25%, 12/15/38 (a)

 

 

125

 

 

66,406

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

100

 

 

33,500

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (b)

 

 

200

 

 

76,000

 

Corral Finans AB, 2.594%, 4/15/10 (b)(c)

 

 

344

 

 

190,909

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30

 

 

25,650

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

370

 

 

295,537

 

Encore Acquisition Co., 6%, 7/15/15

 

 

40

 

 

31,000

 

Forest Oil Corp., 7.25%, 6/15/19 (b)

 

 

365

 

 

292,000

 

Frontier Oil Corp., 6.625%, 10/01/11

 

 

65

 

 

62,237

 

Massey Energy Co., 3.25%, 8/01/15 (a)

 

 

235

 

 

149,225

 

Newfield Exploration Co., 6.625%, 9/01/14

 

 

30

 

 

26,700

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

440

 

 

149,600

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

350

 

 

250,250

 

PetroHawk Energy Corp. (b):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

100

 

 

98,500

 

7.875%, 6/01/15

 

 

15

 

 

12,900

 

Range Resources Corp., 7.375%, 7/15/13

 

 

185

 

 

177,138

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

130

 

 

87,425

 

SandRidge Energy, Inc., 8%, 6/01/18 (b)

 

 

165

 

 

128,700

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

15

 

 

12,600

 

7.25%, 5/01/13

 

 

370

 

 

301,550

 

 

 

 

 

 

     

 

 

 

 

 

 

3,296,614

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

38

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Paper & Forest Products—1.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (b)(c)

 

$

19

 

$

8,485

 

Bowater, Inc.:

 

 

 

 

 

 

 

9%, 8/01/09

 

 

60

 

 

15,300

 

4.996%, 3/15/10 (d)

 

 

130

 

 

23,400

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

30

 

 

29,100

 

NewPage Corp., 10%, 5/01/12

 

 

520

 

 

157,300

 

Norske Skog Canada Ltd., 7.375%, 3/01/14

 

 

120

 

 

42,000

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

4.92%, 8/01/14 (d)

 

 

40

 

 

10,400

 

9.125%, 8/01/14

 

 

165

 

 

61,875

 

 

 

 

 

 

     

 

 

 

 

 

 

347,860

 

               

Pharmaceuticals—0.5%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (d)

 

 

230

 

 

140,875

 

               

Professional Services—0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

100

 

 

98,750

 

               

Real Estate Management & Development—0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

305

 

 

64,050

 

12.375%, 4/15/15

 

 

197

 

 

23,640

 

 

 

 

 

 

     

 

 

 

 

 

 

87,690

 

               

Semiconductors & Semiconductor Equipment—0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (b)(d)

 

 

190

 

 

44,413

 

               

Software—0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (b)(c)(d)

 

 

76

 

 

18,249

 

               

Specialty Retail—2.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

60

 

 

27,000

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (c)(d)

 

 

280

 

 

165,200

 

10.75%, 3/15/15

 

 

225

 

 

157,500

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (a)(g)

 

 

25

 

 

11,188

 

Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (e)

 

 

468

 

 

37,440

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

85

 

 

29,006

 

11.375%, 11/01/16

 

 

140

 

 

33,075

 

Rent-A-Center, Inc. Series B, 7.50%, 5/01/10

 

 

75

 

 

71,813

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

180

 

 

86,400

 

 

 

 

 

 

     

 

 

 

 

 

 

618,622

 

               

Textiles, Apparel & Luxury Goods—0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

100

 

 

50,000

 

               

Thrifts & Mortgage Finance—0.3%

 

 

 

 

 

 

 

Residential Capital LLC, 8.50%, 5/15/10 (b)

 

 

132

 

 

91,080

 

               

Trading Companies & Distributors—0.4%

 

 

 

 

 

 

 

Russel Metals, Inc., 6.375%, 3/01/14

 

 

125

 

 

100,000

 

               

Wireless Telecommunication Services—7.8%

 

 

 

 

 

 

 

Centennial Communications Corp., 7.185%, 1/01/13 (d)

 

 

220

 

 

218,900

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

220

 

 

200,750

 

10%, 7/15/15 (b)

 

 

145

 

 

133,762

 

Crown Castle International Corp., 9%, 1/15/15

 

 

95

 

 

92,625

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

230

 

 

171,350

 

9.125%, 1/15/15 (c)

 

 

294

 

 

205,800

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

110

 

 

79,200

 

Leap Wireless International, Inc., 4.50%, 7/15/14 (a)(b)

 

 

40

 

 

27,000

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

495

 

 

467,775

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (b)

 

 

270

 

 

245,700

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

370

 

 

320,975

 

 

 

 

 

 

     

 

 

 

 

 

 

2,163,837

 

               

Total Corporate Bonds—89.3%

 

 

 

 

 

24,833,080

 

               

 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 

               

Commercial Mortgage-Backed Securities—1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A:

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (d)

 

$

300

 

$

273,000

 

Class AFX, 4.643%, 6/15/35 (b)

 

 

85

 

 

81,175

 

Global Signal Trust Series 2006-1 Class A2, 5.45%, 2/15/36

 

 

50

 

 

46,750

 

               

Total Non-U.S. Government Agency Mortgage-Backed Securities—1.4%

 

 

 

 

 

400,925

 

               

 

 

 

 

 

 

 

 


 

Floating Rate Loan Interests

 

 

 

 

 

 

 

               

Auto Components—1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

 

399

 

 

264,576

 

Dana Corp. Term Advance, 7.25%, 1/31/15

 

 

311

 

 

94,613

 

Delphi Automotive Systems Subsequent Tranche C Term Loan,
10.50%, 3/31/09

 

 

10

 

 

1,505

 

Delphi Corp. Initial Tranche C, 10.50%, 3/31/09

 

 

95

 

 

14,920

 

 

 

 

 

 

     

 

 

 

 

 

 

375,614

 

               

Automobiles—0.3%

 

 

 

 

 

 

 

Ford Motor Term Loan, 5%, 12/15/13

 

 

149

 

 

47,654

 

General Motors Corp. Secured Term Loan, 4.148%, 11/29/13

 

 

99

 

 

35,549

 

 

 

 

 

 

     

 

 

 

 

 

 

83,203

 

               

Building Products—0.9%

 

 

 

 

 

 

 

Building Material Corp. of America Term Loan Advance,
3.625% - 3.875%, 2/22/14

 

 

149

 

 

101,485

 

Stile Acquisition (Masonite International):

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

197

 

 

80,579

 

US Term Loan, 6.25%, 4/06/13

 

 

199

 

 

81,365

 

 

 

 

 

 

     

 

 

 

 

 

 

263,429

 

               

Chemicals—0.9%

 

 

 

 

 

 

 

PQ Corp. Second Lien Loan, 7.68%, 5/29/15

 

 

500

 

 

175,000

 

Solutia, Inc. Term Loan, 8.50%, 2/28/14

 

 

112

 

 

72,281

 

 

 

 

 

 

     

 

 

 

 

 

 

247,281

 

               

Health Care Providers & Services—1.5%

 

 

 

 

 

 

 

Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delay Draw Term Loan, 2.729%, 6/18/14

 

 

15

 

 

12,359

 

Term Loan B, 4.439% - 4.446%, 7/25/14

 

 

285

 

 

241,653

 

Rotech Healthcare, Inc. Term Loan, 6.479%, 9/26/11 (c)

 

 

304

 

 

166,992

 

 

 

 

 

 

     

 

 

 

 

 

 

421,004

 

               

Hotels, Restaurants & Leisure—0.4%

 

 

 

 

 

 

 

Travelport, Inc. Term Loan, 7.979%, 3/22/12 (c)

 

 

471

 

 

96,616

 

               

Independent Power Producers & Energy Traders—2.1%

 

 

 

 

 

 

 

Calpine Corp. First Priority Term Loan, 4.335%, 3/29/14

 

 

99

 

 

72,171

 

Texas Competitive Electric Holdings Co., LLC (TXU) Term Loan:

 

 

 

 

 

 

 

Initial Tranche Term Loan B-2, 3.909% - 4.451%, 10/10/14

 

 

346

 

 

216,089

 

Initial Tranche Term Loan B-3, 3.909% - 4.451%, 10/10/14

 

 

494

 

 

307,977

 

 

 

 

 

 

     

 

 

 

 

 

 

596,237

 

               

Machinery—0.9%

 

 

 

 

 

 

 

Navistar International Transportation Corp.:

 

 

 

 

 

 

 

Revolving Credit, 3.671% - 3.729%, 1/19/12

 

 

90

 

 

64,425

 

Term Loan, 3.729%, 1/19/12

 

 

245

 

 

175,379

 

Rexnord Corp. Loan, 9.181%, 3/02/13 (c)

 

 

61

 

 

15,235

 

 

 

 

 

 

     

 

 

 

 

 

 

255,039

 

               

Media—3.2%

 

 

 

 

 

 

 

Affinion Group, Inc. Loan, 8.523%, 3/01/12

 

 

325

 

 

146,250

 

Cengage (Thomson Learning, Inc.) Tranche 1 Incremental Term
Loan 2, 7.50%, 7/05/14

 

 

249

 

 

174,125

 

HMH Publishing (Education Media):

 

 

 

 

 

 

 

Mezzanine Term Loan, 10.756%, 11/14/14

 

 

1,066

 

 

319,778

 

Tranche Term Loan A, 4.409%, 11/14/14

 

 

438

 

 

246,541

 

 

 

 

 

 

     

 

 

 

 

 

 

886,694

 

               

Multiline Retail—0.3%

 

 

 

 

 

 

 

Dollar General Corp. Tranche Term Loan B-1, 3.159% - 3.924%,
7/03/14

 

 

105

 

 

90,658

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

39



 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Other—0.4%

 

 

 

 

 

 

 

HCA, Inc. Term Loan A, 3.459%, 11/17/12

 

$

113

 

$

97,903

 

               

Paper & Forest Products—0.3%

 

 

 

 

 

 

 

Georgia-Pacific LLC First Lien Term Loan B, 2.409% - 4.189%, 12/22/12

 

 

51

 

 

44,058

 

Verso Paper Holdings LLC Term Loan, 7.685% - 8.435%, 2/01/13

 

 

184

 

 

36,777

 

 

 

 

 

 

     

 

 

 

 

 

 

80,835

 

               

Total Floating Rate Loan Interests—12.6%

 

 

 

 

 

3,494,513

 

               

 

 

 

 

 

 

 

 


 

Common Stocks

 

 

Shares

 

 

 

 

               

Paper & Forest Products—0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

2,234

 

 

1,264

 

Ainsworth Lumber Co. Ltd. (b)

 

 

2,507

 

 

1,423

 

 

 

 

 

 

     

 

 

 

 

 

 

2,687

 

               

Specialty Retail—0.0%

 

 

 

 

 

 

 

Mattress Discounters Corp. (f)

 

 

14,992

 

 

0

 

               

Total Common Stocks—0.0%

 

 

 

 

 

2,687

 

               

 

 

 

 

 

 

 

 


 

Preferred Securities

 

 

 

 

 

 

 

               

Capital Trusts

 

 

Par
(000
)

 

 

 

 

               

Diversified Financial Services—0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (d)(h)

 

$

295

 

 

103,280

 

               

Total Capital Trusts—0.4%

 

 

 

 

 

103,280

 

               

 

 

 

 

 

 

 

 


Preferred Stocks

 

 

Shares

 

 

 

 

               

Capital Markets—0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75% (b)

 

 

12

 

 

5,220

 

               

Total Preferred Stocks—0.0%

 

 

 

 

 

5,220

 

               

Total Preferred Securities—0.4%

 

 

 

 

 

108,500

 

               

 

 

 

 

 

 

 

 


 

Warrants (i)

 

 

 

 

 

 

 

               

Communications Equipment—0.0%

 

 

 

 

 

 

 

PF Net Communications, Inc. (expires 5/15/10) (b)

 

 

600

 

 

 

               

Diversified Telecommunication Services—0.0%

 

 

 

 

 

 

 

NEON Communications, Inc. (expires 12/02/12)

 

 

53,622

 

 

1

 

               

Total Warrants—0.0%

 

 

 

 

 

1

 

               

 

 

 

 

 

 

 

 


 

Other Interests (j)

 

 

Beneficial
Interest
(000
)

 

 

 

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

$

5

 

 

953

 

               

Total Other Interests—0.0%

 

 

 

 

 

953

 

               

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 

           

Exchange-Traded Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring December 2009
at $942.86

 

 

3

 

$

4,845

 

               

Total Options Purchased
(Cost—$2,933)—0.0%

 

 

 

 

 

4,845

 

               

Total Long-Term Investments
(Cost—$49,005,990)—103.7%

 

 

 

 

 

28,845,504

 

               

 

 

 

 

 

 

 

 


 

Short-Term Securities

 

Shares

 

 

 

 

             

BlackRock Liquidity Funds, TempFund, 0.86% (k)(l)

 

 

2,491,381

 

$

2,491,381

 

               

Total Short-Term Securities (Cost—$2,491,381)—9.0%

 

 

 

 

 

2,491,381

 

               

Total Investments
(Cost—$51,497,371*)—112.7%

 

 

 

 

 

31,336,885

 

Liabilities in Excess of Other Assets—(12.7)%

 

 

 

 

 

(3,533,061

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

27,803,824

 

               

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

51,523,474

 

 

 

     

Gross unrealized appreciation

 

$

52,389

 

Gross unrealized depreciation

 

 

(20,238,978

)

 

 

     

Net unrealized depreciation

 

$

(20,186,589

)

 

 

     

 

 

(a)

Convertible security.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. 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)

Variable rate security. Rate shown is as of report date.

(e)

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

(f)

Non-income producing security.

(g)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

(h)

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

(i)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(k)

Represents the current yield as of report date.

(l)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

Affiliate

 

Net Activity

 

Income

 

           

BlackRock Liquidity Funds, TempFund

 

 

2,491,381

 

$

1,381

 

               

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

40

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (concluded)

BlackRock High Yield Trust (BHY)


 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

                 

Valuation
Inputs

 

 

Investments in
Securities

 

Other Financial
Instruments*

 

             

 

 

 

Assets

 

Assets

 

 

 

 

 

 

   

Level 1

 

 

$

2,492,646

 

 

 

Level 2

 

 

 

26,121,726

 

$

4,845

 

Level 3

 

 

 

2,717,668

 

 

 

 

 

 

           

Total

 

 

$

31,332,040

 

$

4,845

 

 

 

 

           

 

 

*

Other financial instruments are options, which are shown at market value.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

         

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

 

 

Balance as of August 31, 2008

 

$

191,332

 

Accrued discounts/premiums

 

 

17,156

 

Realized gain

 

 

357

 

Change in unrealized appreciation/depreciation1

 

 

(3,060,121

)

Net purchases

 

 

32,430

 

Net transfers in Level 3

 

 

5,536,514

 

 

 

     

Balance as of February 28, 2009

 

$

2,717,668

 

 

 

     

 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

41



 

 

 


 

Schedule of Investments February 28, 2009 (Unaudited)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

           

Aerospace & Defense—1.0%

 

 

 

 

 

 

 

Honeywell International, Inc., 5.70%, 3/15/37

USD

 

915

 

$

874,374

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.875%, 5/01/15 (a)

 

 

1,250

 

 

1,280,405

 

6.125%, 7/15/38

 

 

750

 

 

780,457

 

 

 

 

 

 

     

 

 

 

 

 

 

2,935,236

 

               

Air Freight & Logistics—0.6%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

165

 

 

67,650

 

United Parcel Service, Inc., 6.20%, 1/15/38

 

 

1,710

 

 

1,737,603

 

 

 

 

 

 

     

 

 

 

 

 

 

1,805,253

 

               

Airlines—0.0%

 

 

 

 

 

 

 

American Airlines, Inc. Series 99-1, 7.324%, 4/15/11

 

 

120

 

 

112,800

 

               

Auto Components—0.0%

 

 

 

 

 

 

 

Lear Corp., 8.75%, 12/01/16

 

 

130

 

 

22,100

 

               

Beverages—0.5%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39 (b)

 

 

1,525

 

 

1,478,574

 

               

Building Products—0.1%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

230

 

 

121,900

 

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

 

 

245

 

 

51,450

 

 

 

 

 

 

     

 

 

 

 

 

 

173,350

 

               

Capital Markets—1.8%

 

 

 

 

 

 

 

Credit Suisse (USA) Inc.:

 

 

 

 

 

 

 

6.125%, 11/15/11 (c)

 

 

700

 

 

708,848

 

7.125%, 7/15/32

 

 

1,000

 

 

944,797

 

The Goldman Sachs Group, Inc., 6.60%, 1/15/12

 

 

1,000

 

 

1,002,941

 

Lehman Brothers Holdings, Inc. (d)(e):

 

 

 

 

 

 

 

5.625%, 1/24/13

 

 

1,415

 

 

183,950

 

4.80%, 3/13/14

 

 

100

 

 

13,000

 

6.50%, 7/19/17

 

 

225

 

 

23

 

4.519%, 9/15/22 (f)

 

 

575

 

 

70,438

 

Series MTN, 7%, 9/27/27

 

 

550

 

 

71,500

 

Morgan Stanley, 6.25%, 8/28/17

 

 

900

 

 

813,608

 

UBS AG Series DPNT, 5.875%, 12/20/17

 

 

1,925

 

 

1,705,448

 

 

 

 

 

 

     

 

 

 

 

 

 

5,514,553

 

               

Chemicals—0.5%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

280

 

 

235,200

 

Ames True Temper, Inc., 5.094%, 1/15/12 (f)

 

 

720

 

 

468,000

 

Innophos, Inc., 8.875%, 8/15/14

 

 

975

 

 

775,125

 

 

 

 

 

 

     

 

 

 

 

 

 

1,478,325

 

               

Commercial Banks—2.1%

 

 

 

 

 

 

 

DEPFA ACS Bank, 5.125%, 3/16/37 (b)

 

 

4,150

 

 

2,273,482

 

HSBC Finance Corp., 6.50%, 5/02/36

 

 

1,275

 

 

1,127,845

 

Wells Fargo & Co., 4.625%, 8/09/10 (a)

 

 

1,000

 

 

995,540

 

Wells Fargo Bank NA, 7.55%, 6/21/10 (a)

 

 

2,000

 

 

2,043,812

 

 

 

 

 

 

     

 

 

 

 

 

 

6,440,679

 

               

Commercial Services & Supplies—1.3%

 

 

 

 

 

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

2,250

 

 

1,968,750

 

DI Finance Series B, 9.50%, 2/15/13

 

 

679

 

 

617,890

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

600

 

 

474,000

 

West Corp., 11%, 10/15/16

 

 

1,210

 

 

774,400

 

 

 

 

 

 

     

 

 

 

 

 

 

3,835,040

 

               

Computers & Peripherals—1.2%

 

 

 

 

 

 

 

International Business Machines Corp., 8%, 10/15/38

 

 

3,100

 

 

3,684,145

 

               

Consumer Finance—0.5%

 

 

 

 

 

 

 

SLM Corp. (f):

 

 

 

 

 

 

 

1.299%, 7/27/09

 

 

1,175

 

 

1,093,894

 

Series A, 1.459%, 1/27/14

 

 

600

 

 

309,431

 

 

 

 

 

 

     

 

 

 

 

 

 

1,403,325

 

               

Containers & Packaging—0.2%

 

 

 

 

 

 

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

150

 

 

151,125

 

Impress Holdings BV, 4.219%, 9/15/13 (b)(f)

 

 

330

 

 

244,200

 

Pregis Corp., 12.375%, 10/15/13

 

 

535

 

 

238,075

 

 

 

 

 

 

     

 

 

 

 

 

 

633,400

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

               

Diversified Consumer Services—0.2%

 

 

 

 

 

 

 

Princeton University, 5.70%, 3/01/39

USD

 

575

 

$

562,074

 

               

Diversified Financial Services—2.7%

 

 

 

 

 

 

 

Bank of America Corp.:

 

 

 

 

 

 

 

7.80%, 2/15/10 (a)

 

 

2,450

 

 

2,326,951

 

6%, 9/01/17

 

 

1,795

 

 

1,510,984

 

Bank of America NA, 6.10%, 6/15/17 (a)

 

 

1,975

 

 

1,499,890

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (f)

 

 

120

 

 

58,800

 

7.80%, 6/01/12

 

 

380

 

 

205,968

 

General Electric Capital Corp., 6.75%, 3/15/32 (a)

 

 

3,000

 

 

2,457,570

 

 

 

 

 

 

     

 

 

 

 

 

 

8,060,163

 

               

Diversified Telecommunication Services—5.9%

 

 

 

 

 

 

 

AT&T, Inc., 6.55%, 2/15/39

 

 

4,075

 

 

3,781,604

 

BellSouth Telecommunications, Inc., 7.446%, 12/15/95 (g)

 

 

1,700

 

 

663,896

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

470

 

 

448,850

 

Deutsche Telekom International Finance BV, 5.75%, 3/23/16

 

 

325

 

 

319,036

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

35

 

 

29,662

 

Series B, 7.50%, 2/15/14

 

 

20

 

 

16,950

 

Qwest Corp., 5.246%, 6/15/13 (f)

 

 

375

 

 

317,812

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

3,768,892

 

Telefonica Emisiones SAU, 7.045%, 6/20/36

 

 

1,000

 

 

1,019,432

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38

 

 

2,100

 

 

1,970,319

 

8.95%, 3/01/39

 

 

1,125

 

 

1,327,010

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

575

 

 

588,373

 

Verizon Maryland, Inc.:

 

 

 

 

 

 

 

Series A, 6.125%, 3/01/12 (a)

 

 

1,355

 

 

1,367,444

 

Series B, 5.125%, 6/15/33

 

 

540

 

 

391,195

 

Verizon Virginia, Inc. Series A, 4.625%, 3/15/13

 

 

750

 

 

720,377

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

360

 

 

360,900

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

410

 

 

397,700

 

8.625%, 8/01/16

 

 

250

 

 

240,000

 

 

 

 

 

 

     

 

 

 

 

 

 

17,729,452

 

               

Electric Utilities—5.1%

 

 

 

 

 

 

 

Alabama Power Co., 6%, 3/01/39

 

 

550

 

 

545,837

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

314,977

 

6%, 1/15/38

 

 

850

 

 

871,800

 

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

 

 

1,575

 

 

1,577,846

 

EDP Finance BV, 6%, 2/02/18 (b)

 

 

1,250

 

 

1,160,789

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

130

 

 

119,275

 

Electricite de France SA, 6.95%, 1/26/39 (b)

 

 

1,400

 

 

1,407,788

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

161

 

 

129,858

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

575

 

 

513,379

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

1,513,796

 

6.40%, 6/15/38

 

 

800

 

 

840,943

 

Midwest Generation LLC Series B, 8.56%, 1/02/16

 

 

83

 

 

82,437

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

664,400

 

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

 

 

1,350

 

 

1,408,104

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.625%, 2/01/36

 

 

675

 

 

661,217

 

Series 05-E, 5.35%, 7/15/35

 

 

150

 

 

141,411

 

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

 

 

1,100

 

 

1,126,836

 

The Toledo Edison Co., 6.15%, 5/15/37

 

 

350

 

 

267,371

 

Virginia Electric and Power Co., 8.875%, 11/15/38

 

 

1,550

 

 

1,926,061

 

 

 

 

 

 

     

 

 

 

 

 

 

15,274,125

 

               

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

730

 

 

255,500

 

               

Energy Equipment & Services—0.4%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

60

 

 

46,950

 

7.75%, 5/15/17

 

 

100

 

 

77,500

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

42

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

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 (concluded)

 

 

 

 

 

 

 

North American Energy Partners, Inc., 8.75%, 12/01/11

USD

 

85

 

$

66,938

 

Transocean, Inc., 6.80%, 3/15/38

 

 

1,175

 

 

1,073,730

 

 

 

 

 

 

     

 

 

 

 

 

 

1,265,118

 

               

Food & Staples Retailing—1.4%

 

 

 

 

 

 

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

850

 

 

807,390

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

560

 

 

302,400

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,975

 

 

2,114,520

 

6.20%, 4/15/38

 

 

850

 

 

881,573

 

 

 

 

 

 

     

 

 

 

 

 

 

4,105,883

 

               

Food Products—0.6%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7%, 8/11/37

 

 

1,670

 

 

1,682,253

 

               

Gas Utilities—0.1%

 

 

 

 

 

 

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

360

 

 

226,800

 

               

Health Care Equipment & Supplies—0.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

1,530

 

 

1,162,800

 

               

Health Care Providers & Services—0.5%

 

 

 

 

 

 

 

Tenet Healthcare Corp., 6.50%, 6/01/12

 

 

1,640

 

 

1,459,600

 

               

Hotels, Restaurants & Leisure—0.5%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

350

 

 

287,875

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

250

 

 

158,750

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(d)(e)

 

 

305

 

 

27,450

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

850

 

 

846,274

 

Seneca Gaming Corp. Series B, 7.25%, 5/01/12

 

 

290

 

 

214,600

 

 

 

 

 

 

     

 

 

 

 

 

 

1,534,949

 

               

Household Durables—0.3%

 

 

 

 

 

 

 

Irwin Land LLC:

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

575

 

 

420,797

 

Series A-2, 5.30%, 12/15/35

 

 

780

 

 

540,907

 

 

 

 

 

 

     

 

 

 

 

 

 

961,704

 

               

Household Products—0.3%

 

 

 

 

 

 

 

Kimberly-Clark, Corp., 6.625%, 8/01/37

 

 

975

 

 

1,040,866

 

               

IT Services—0.1%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

270

 

 

159,300

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(h)

 

 

1,057

 

 

264,255

 

 

 

 

 

 

     

 

 

 

 

 

 

423,555

 

               

Independent Power Producers & Energy Traders—0.0%

 

 

 

 

 

 

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

50

 

 

47,125

 

               

Industrial Conglomerates—0.1%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

121,600

 

13.50%, 12/01/15 (h)

 

 

840

 

 

100,441

 

 

 

 

 

 

     

 

 

 

 

 

 

222,041

 

               

Insurance—1.9%

 

 

 

 

 

 

 

Chubb Corp., 6%, 5/11/37

 

 

1,415

 

 

1,238,636

 

Hartford Life Global Funding Trusts, 2.166%, 9/15/09 (f)

 

 

1,020

 

 

978,338

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,200

 

 

952,429

 

Monument Global Funding Ltd., 0.641%, 6/16/10 (a)(f)

 

 

1,990

 

 

1,839,731

 

Prudential Financial, Inc., 5.70%, 12/14/36

 

 

950

 

 

580,258

 

 

 

 

 

 

     

 

 

 

 

 

 

5,589,392

 

               

Machinery—0.3%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

400

 

 

240,000

 

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

 

 

305

 

 

91,500

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

1,050

 

 

577,500

 

 

 

 

 

 

     

 

 

 

 

 

 

909,000

 

               

Marine—0.3%

 

 

 

 

 

 

 

Nakilat, Inc. Series A, 6.067%, 12/31/33 (b)

 

 

1,100

 

 

718,146

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

188

 

 

112,800

 

 

 

 

 

 

     

 

 

 

 

 

 

830,946

 

               

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

               

Media—5.3%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

USD

 

740

 

$

573,500

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

690

 

 

20,700

 

COX Communications, Inc., 8.375%, 3/01/39 (b)

 

 

925

 

 

889,228

 

Cablevision Systems Corp. Series B, 8.334%, 4/01/09 (f)

 

 

161

 

 

161,000

 

Charter Communications Holdings II, LLC (d)(e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

515

 

 

414,575

 

Series B, 10.25%, 9/15/10

 

 

160

 

 

128,000

 

Comcast Cable Communications Holdings, Inc.,

 

 

 

 

 

 

 

8.375%, 3/15/13

 

 

1,415

 

 

1,509,458

 

Comcast Cable Communications LLC, 6.75%, 1/30/11

 

 

1,000

 

 

1,036,191

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

140

 

 

141,400

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

7%, 10/01/13

 

 

48

 

 

44,760

 

7.125%, 2/01/16

 

 

75

 

 

67,688

 

Local Insight Regatta Hldgs, Inc., 11%, 12/01/17

 

 

977

 

 

234,480

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

195

 

 

30,225

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

8.45%, 8/01/34

 

 

2,475

 

 

2,319,585

 

8.15%, 10/17/36

 

 

145

 

 

137,062

 

Nielsen Finance LLC, 10%, 8/01/14

 

 

1,060

 

 

874,500

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

225

 

 

225,281

 

10.375%, 9/01/14

 

 

1,070

 

 

1,095,412

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,495

 

 

1,566,860

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

1,310

 

 

615,700

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

6.55%, 5/01/37

 

 

800

 

 

672,750

 

7.30%, 7/01/38

 

 

1,925

 

 

1,756,070

 

Time Warner Cos., Inc., 7.57%, 2/01/24

 

 

1,635

 

 

1,509,574

 

 

 

 

 

 

     

 

 

 

 

 

 

16,023,999

 

               

Metals & Mining—0.9%

 

 

 

 

 

 

 

AK Steel Corp., 7.75%, 6/15/12

 

 

630

 

 

541,800

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6%, 10/15/15

 

 

600

 

 

438,418

 

6.20%, 6/15/35

 

 

1,550

 

 

932,424

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (f)

 

 

660

 

 

493,350

 

Teck Cominco Ltd., 6.125%, 10/01/35

 

 

630

 

 

302,400

 

 

 

 

 

 

     

 

 

 

 

 

 

2,708,392

 

               

Multi-Utilities—0.4%

 

 

 

 

 

 

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,675

 

 

1,230,006

 

               

Oil, Gas & Consumable Fuels—6.2%

 

 

 

 

 

 

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,625

 

 

2,004,552

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

160

 

 

81,600

 

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

 

 

950

 

 

1,000,596

 

Canadian Natural Resources Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

430

 

 

333,301

 

6.25%, 3/15/38

 

 

500

 

 

373,332

 

6.75%, 2/01/39

 

 

950

 

 

757,388

 

Chesapeake Energy Corp., 6.375%, 6/15/15

 

 

175

 

 

143,063

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

90

 

 

30,150

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

150

 

 

157,188

 

ConocoPhillips Canada Funding Co., 5.95%, 10/15/36

 

 

150

 

 

139,284

 

ConocoPhillips Holding Co., 6.95%, 4/15/29 (a)

 

 

700

 

 

711,346

 

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

 

 

650

 

 

683,277

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

435

 

 

347,456

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

70

 

 

56,205

 

6.625%, 8/15/37

 

 

775

 

 

645,984

 

6.50%, 2/01/38

 

 

675

 

 

563,111

 

Encore Acquisition Co., 6%, 7/15/15

 

 

50

 

 

38,750

 

Marathon Oil Corp., 7.50%, 2/15/19

 

 

1,150

 

 

1,117,116

 

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

 

 

800

 

 

734,725

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

850,789

 

6.50%, 9/15/37

 

 

2,115

 

 

2,039,334

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

43



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

               

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Nexen, Inc., 6.40%, 5/15/37

USD

 

600

 

$

423,431

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

490

 

 

166,600

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

350

 

 

235,375

 

Shell International Finance BV, 6.375%, 12/15/38

 

 

1,475

 

 

1,535,410

 

Valero Energy Corp., 6.625%, 6/15/37

 

 

550

 

 

419,937

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

20

 

 

16,800

 

7.25%, 5/01/13

 

 

375

 

 

305,625

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

2,125

 

 

1,895,496

 

6.375%, 6/15/38

 

 

925

 

 

782,178

 

 

 

 

 

 

     

 

 

 

 

 

 

18,589,399

 

               

Paper & Forest Products—0.1%

 

 

 

 

 

 

 

Bowater, Inc., 4.996%, 3/15/10 (f)

 

 

90

 

 

16,200

 

NewPage Corp., 10%, 5/01/12

 

 

485

 

 

146,713

 

 

 

 

 

 

     

 

 

 

 

 

 

162,913

 

               

Pharmaceuticals—2.5%

 

 

 

 

 

 

 

Abbott Laboratories, 5.125%, 4/01/19

 

 

720

 

 

716,882

 

GlaxoSmithKline Capital, Inc., 6.375%, 5/15/38

 

 

1,500

 

 

1,576,895

 

Roche Holdings, Inc., 7%, 3/01/39 (b)

 

 

900

 

 

943,083

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,250

 

 

1,236,435

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,475

 

 

1,344,572

 

Wyeth, 5.95%, 4/01/37

 

 

1,775

 

 

1,804,160

 

 

 

 

 

 

     

 

 

 

 

 

 

7,622,027

 

               

Professional Services—0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

123,438

 

               

Road & Rail—0.4%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.375%, 10/15/11 (a)

 

 

1,000

 

 

1,066,324

 

               

Software—0.8%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (b)(f)(h)

 

 

126

 

 

30,415

 

Oracle Corp., 5.75%, 4/15/18 (a)(c)

 

 

2,300

 

 

2,325,841

 

 

 

 

 

 

     

 

 

 

 

 

 

2,356,256

 

               

Specialty Retail—0.3%

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.404%, 3/15/14 (f)(h)

 

 

500

 

 

295,000

 

10.75%, 3/15/15

 

 

405

 

 

283,500

 

Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (d)(e)

 

 

357

 

 

28,560

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

435

 

 

148,444

 

11.375%, 11/01/16

 

 

150

 

 

35,438

 

 

 

 

 

 

     

 

 

 

 

 

 

790,942

 

               

Textiles, Apparel & Luxury Goods—0.0%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

250

 

 

125,000

 

               

Wireless Telecommunication Services—1.4%

 

 

 

 

 

 

 

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

105

 

 

95,813

 

Digicel Group Ltd., 8.875%, 1/15/15 (b)

 

 

270

 

 

201,150

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

80

 

 

75,600

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (b)

 

 

935

 

 

850,850

 

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

 

 

1,175

 

 

1,183,999

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.875%, 11/15/28

 

 

930

 

 

513,825

 

8.75%, 3/15/32

 

 

350

 

 

210,875

 

Vodafone Group Plc, 7.75%, 2/15/10

 

 

1,000

 

 

1,039,343

 

 

 

 

 

 

     

 

 

 

 

 

 

4,171,455

 

               

Total Corporate Bonds—49.3%

 

 

 

 

 

147,830,277

 

               

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

               

Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class A1, 0.776%, 11/25/34 (f)

USD

 

1,103

 

$

819,779

 

Chase Issuance Trust:

 

 

 

 

 

 

 

Series 2007-A17 Class A, 5.12%, 10/15/14

 

 

2,600

 

 

2,635,880

 

Series 2008-A9 Class A9, 4.26%, 5/15/13

 

 

770

 

 

772,807

 

Citibank Omni Master Trust Series 2007-A9A Class A9, 1.573%, 12/23/13 (f)

 

 

2,795

 

 

2,500,888

 

Daimler Chrysler Auto Trust Series 2006-A Class A3, 5%, 5/08/10

 

 

239

 

 

238,085

 

Ford Credit Auto Owner Trust Series 2006-A Class A3, 5.05%, 3/15/10

 

 

41

 

 

40,901

 

Harley-Davidson Motorcycle Trust Series 2005-2 Class A2, 4.07%, 2/15/12

 

 

1,229

 

 

1,195,321

 

Home Equity Asset Trust Series 2007-2 Class 2A1, 0.584%, 7/25/37 (f)

 

 

646

 

 

544,901

 

JPMorgan Mortgage Acquisition Corp. Series 2007-CH5 Class A3, 0.584%, 6/25/37 (f)

 

 

3,730

 

 

2,340,408

 

SLM Student Loan Trust Series 2008-5 (f):

 

 

 

 

 

 

 

Class A2, 2.259%, 10/25/16

 

 

3,300

 

 

3,104,709

 

Class A3, 2.459%, 1/25/18

 

 

840

 

 

755,548

 

Class A4, 2.859%, 7/25/23

 

 

2,250

 

 

2,038,186

 

Small Business Administration Participation Certificates Series 1996-20K Class 1, 6.95%, 11/01/16

 

 

535

 

 

570,407

 

Sterling Bank Trust Series 2004-2 Class Note, 2.081%, 3/30/30 (i)

 

 

7,122

 

 

434,004

 

Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (i)

 

 

9,156

 

 

852,677

 

USAA Auto Owner Trust Series 2006-1 Class A3, 5.01%, 9/15/10 (b)

 

 

211

 

 

211,213

 

Wachovia Auto Owner Trust Series 2006-A Class A4, 5.38%, 3/20/13

 

 

2,275

 

 

2,072,717

 

               

Total Asset-Backed Securities—7.1%

 

 

 

 

 

21,128,431

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Foreign Government Obligations

 

 

 

 

 

 

 

               

Italy Government International Bond, 5.375%, 6/15/33

 

 

470

 

 

459,980

 

               

Total Foreign Government Obligations—0.2%

 

 

 

 

 

459,980

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Fannie Mae Guaranteed Pass-Through Certificates:

 

 

 

 

 

 

 

4.50%, 3/15/39 (j)

 

 

7,400

 

 

7,413,875

 

5.00%, 7/01/35 - 3/15/39 (j)(k)

 

 

19,228

 

 

19,586,974

 

5.50%, 12/01/13 - 6/01/36 (a)(c)(k)

 

 

20,941

 

 

21,577,600

 

6.00%, 3/01/16 - 3/15/39 (j)

 

 

5,775

 

 

5,971,657

 

7.00%, 2/01/24 - 8/01/36

 

 

76

 

 

80,394

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

6.00%, 3/15/39 (j)

 

 

600

 

 

621,000

 

Ginnie Mae MBS Certificates:

 

 

 

 

 

 

 

8.00%, 4/15/24 - 6/15/25

 

 

73

 

 

78,777

 

               

Total U.S. Government Agency Mortgage-Backed Securities—18.5%

 

 

 

 

 

55,330,277

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations

 

 

 

 

 

 

 

               

Fannie Mae Trust Series:

 

 

 

 

 

 

 

G-7 Class S, 116.20%, 3/25/21 (f)

 

 

(l)

 

2,527

 

G-10 Class S, 0.575%, 5/25/21 (i)

 

 

376

 

 

7,759

 

G-12 Class S, 0.608%, 5/25/21 (i)

 

 

308

 

 

4,740

 

G-17 Class S, 0.58%, 6/25/21 (f)

 

 

195

 

 

3,628

 

G-33 Class PV, 1.078%, 10/25/21 (i)

 

 

249

 

 

5,132

 

G-46 Class H, 1.043%, 12/25/09 (i)

 

 

252

 

 

725

 

G-49 Class S, 982.80%, 12/25/21 (f)

 

 

(l)

 

1,781

 

G92-5 Class H, 9%, 1/25/22 (i)

 

 

61

 

 

9,656

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

44

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations

 

Par
(000)

 

Value

 

               

Fannie Mae Trust Series (concluded):

 

 

 

 

 

 

 

7 Class 2, 8.50%, 4/01/17 (i)

USD

 

4

 

$

500

 

89 Class 2, 8%, 10/01/18 (i)

 

 

7

 

 

933

 

94 Class 2, 9.50%, 8/01/21 (i)

 

 

2

 

 

383

 

203 Class 1, 0%, 2/01/23 (m)

 

 

15

 

 

12,848

 

228 Class 1, 0%, 6/01/23 (m)

 

 

11

 

 

9,945

 

378 Class 19, 5%, 6/01/35 (i)

 

 

3,863

 

 

388,802

 

1990-123 Class M, 1.01%, 10/25/20 (i)

 

 

16

 

 

333

 

1990-136 Class S, 19.578%, 11/25/20 (i)

 

 

9,993

 

 

13,037

 

1991-38 Class N, 1.009%, 4/25/21 (i)

 

 

11

 

 

83

 

1991-46 Class S, 1.403%, 5/25/21 (f)

 

 

71

 

 

3,070

 

1991-87 Class S, 25.358%, 8/25/21 (f)

 

 

41

 

 

50,414

 

1991-99 Class L, 0.93%, 8/25/21 (i)

 

 

90

 

 

1,697

 

1991-139 Class PT, 0.648%, 10/25/21 (i)

 

 

163

 

 

1,271

 

1991-167 Class D, 0%, 10/25/17 (m)

 

 

9

 

 

8,441

 

1993-51 Class E, 0%, 2/25/23 (m)

 

 

51

 

 

42,177

 

1993-70 Class A, 0%, 5/25/23 (m)

 

 

9

 

 

7,965

 

1994-23 Class PS, 12.685%, 4/25/23 (f)

 

 

323

 

 

326,538

 

1997-50 Class SI, 1.20%, 4/25/23 (i)

 

 

273

 

 

7,669

 

2004-90 Class IH, 6.226%, 11/25/34 (i)

 

 

19,231

 

 

1,554,979

 

2005-5 Class PK, 5%, 12/25/34

 

 

2,191

 

 

2,264,095

 

Freddie Mac Multiclass Certificates Series:

 

 

 

 

 

 

 

19 Class R, 9.757%, 3/15/20 (f)

 

 

6

 

 

1,082

 

75 Class R, 10%, 1/15/21

 

 

(m)

 

2

 

75 Class RS, 19.151%, 1/15/21 (f)

 

 

(m)

 

2

 

173 Class R, 0%, 11/15/21

 

 

9

 

 

9

 

173 Class RS, 9.131%, 11/15/21

 

 

(m)

 

9

 

176 Class M, 1.01%, 7/15/21 (i)

 

 

20

 

 

400

 

192 Class U, 1.009%, 2/15/22 (i)

 

 

21

 

 

447

 

200 Class R, 98.523%, 12/15/22 (i)

 

 

1

 

 

10

 

1043 Class H, 42.750%, 2/15/21 (i)

 

 

5,287

 

 

8,574

 

1054 Class I, 0.435%, 3/15/21 (i)

 

 

54

 

 

872

 

1056 Class KD, 1.085%, 3/15/21

 

 

47

 

 

956

 

1057 Class I, 1.008%, 3/15/21

 

 

58

 

 

1,199

 

1148 Class E, 0.593%, 10/15/21 (i)

 

 

144

 

 

2,830

 

1179 Class O, 1.009%, 11/15/21 (i)

 

 

18

 

 

91

 

1254 Class Z, 8.50%, 4/15/22 (i)

 

 

120

 

 

111

 

1611 Class IC, 10%, 8/15/23 (f)

 

 

206

 

 

211,211

 

1739 Class B, 0%, 2/15/24 (m)

 

 

57

 

 

52,579

 

1831 Class PG, 6.50%, 3/15/11 (i)

 

 

87

 

 

3,781

 

2611 Class QI, 5.50%, 9/15/32 (i)

 

 

4,818

 

 

443,820

 

3174 Class PZ, 5%, 1/15/36

 

 

7,676

 

 

7,177,997

 

               

Total U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations—4.2%

 

 

 

 

 

12,637,110

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Collateralized Mortgage Obligations—8.1%

 

 

 

 

 

 

 

Banc of America Funding Corp. Series 2007-2 Class 1A2, 6%, 3/25/37

 

 

1,100

 

 

312,300

 

Bear Stearns Adjustable Rate Mortgage Trust Series 2007-1 Class 2A1, 5.444%, 2/25/47 (f)

 

 

1,103

 

 

545,276

 

Citicorp Mortgage Securities, Inc. Series 2006-5 Class 1A3, 6%, 10/25/36

 

 

1,100

 

 

717,417

 

Citigroup Mortgage Loan Trust, Inc. Series 2005-4 Class A, 5.343%, 8/25/35 (b)(f)

 

 

4,656

 

 

3,467,248

 

Collateralized Mortgage Obligation Trust:

 

 

 

 

 

 

 

Series 40 Class R, 0.58%, 4/01/18

 

 

120

 

 

120

 

Series 42 Class R, 6%, 10/01/14 (i)

 

 

16

 

 

1,038

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,700

 

 

550,671

 

Series 2006-0A21 Class A1, 0.66%, 3/20/47 (f)

 

 

1,032

 

 

417,527

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5 Class 2A1, 0.674%, 4/25/46 (f)

 

 

442

 

 

181,116

 

Series 2007-10 Class A22, 6%, 7/25/37

 

 

1,204

 

 

541,983

 


 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 

               

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Deutsche Alt-A Securities, Inc. Alternate Loan Trust:

 

 

 

 

 

 

 

Series 2003-3 Class 2A1, 5.50%, 10/25/33

USD

 

1,294

 

$

1,106,159

 

Series 2006-0A1 Class A1, 0.674%, 2/25/47 (f)

 

 

350

 

 

142,956

 

GSMPS Mortgage Loan Trust Series 1998-5 Class IO, 0.909%, 6/19/27 (i):

 

 

3,253

 

 

38,714

 

GSR Mortgage Loan Trust (f):

 

 

 

 

 

 

 

Series 2005-AR4 Class 6A1, 5.25%, 7/25/35

 

 

4,754

 

 

3,267,517

 

Series 2006-0A1 Class 2A1, 0.664%, 8/25/46

 

 

1,020

 

 

564,082

 

Series 2006-AR1 Class 2A1, 5.18%, 1/25/36

 

 

1,042

 

 

657,382

 

Harborview Mortgage Loan Trust Series 2005-8 Class 1A2A, 0.796%, 9/19/35 (f)

 

 

115

 

 

45,969

 

Homebanc Mortgage Trust Series 2006-2 Class A1, 0.654%, 12/25/36 (f)

 

 

1,045

 

 

467,926

 

Indymac IMJA Mortgage Loan Trust Series 2007-A1 Class A4, 6%, 8/25/37

 

 

1,100

 

 

506,000

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

Series 2007-S1 Class 2A22, 5.75%, 3/25/37

 

 

1,045

 

 

686,379

 

Series 2007-S2 Class 1A15, 6.75%, 6/25/37

 

 

1,276

 

 

807,469

 

Maryland Insurance Backed Securities Trust Series 2006-1A Class, 5.55%, 12/10/65

 

 

2,500

 

 

1,125,000

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1, 5.823%, 5/25/36 (f)(n)

 

 

1,027

 

 

512,097

 

Residential Funding Securities LLC Series 2003-RM2 Class AI5, 8.50%, 5/25/33

 

 

6,118

 

 

5,690,498

 

Salomon Brothers Mortgage Securities VII, Inc. Series 2000-1 Class IO, 0.464%, 3/25/22 (i)

 

 

899

 

 

41

 

Summit Mortgage Trust Series 2000-1 Class B1, 7.008%, 12/28/12 (f)

 

 

(m)

 

123

 

WaMu Mortgage Pass-Through Certificates (f):

 

 

 

 

 

 

 

Series 2007-0A4 Class 1A, 2.593%, 5/25/47

 

 

487

 

 

190,877

 

Series 2007-0A5 Class 1A, 2.573%, 6/25/47

 

 

432

 

 

179,600

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

Series 2006-3 Class A9, 5.50%, 3/25/36

 

 

873

 

 

708,337

 

Series 2006-AR4 Class 2A4, 5.775%, 4/25/36 (b)(f)

 

 

300

 

 

145,847

 

Series 2007-10 Class 1A21, 6%, 7/25/37

 

 

1,120

 

 

577,292

 

 

 

 

 

 

     

 

 

 

 

 

 

24,154,961

 

               

Commercial Mortgage-Backed Securities—15.5%

 

 

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities:

 

 

 

 

 

 

 

Series 2005-PWR7 Class A2, 4.945%, 2/11/41

 

 

2,275

 

 

1,945,868

 

Series 2005-PWR9 Class A2, 4.735%, 9/11/42

 

 

5,105

 

 

4,670,526

 

CS First Boston Mortgage Securities Corp.
Series 2002-CP5 Class A2, 4.94%, 12/15/35

 

 

2,970

 

 

2,701,248

 

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A4, 6.096%, 12/10/49 (f)

 

 

2,020

 

 

1,301,695

 

Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD5 Class A4, 5.886%, 11/15/44 (f)

 

 

3,075

 

 

1,989,233

 

Commercial Mortgage Loan Trust Series 2008-LS1 Class A4B, 6.02%, 12/10/49 (f)

 

 

1,515

 

 

796,257

 

Commercial Mortgage Pass-Through Certificates Series 2004-LB3A Class A3, 5.09%, 7/10/37 (f)

 

 

990

 

 

887,084

 

DLJ Commercial Mortgage Corp. Series 2000-CKP1 Class A1B, 7.18%, 11/10/33

 

 

2,256

 

 

2,251,809

 

First Union National Bank Commercial Mortgage Series 2000-C2 Class A2, 7.202%, 10/15/32

 

 

1,996

 

 

2,011,190

 

First Union-Lehman Brothers-Bank of America Series 1998-C2 Class D, 6.778%, 11/18/35

 

 

2,630

 

 

2,531,886

 

GE Capital Commercial Mortgage Corp. Series 2002-1A Class A3, 6.269%, 12/10/35

 

 

2,310

 

 

2,183,988

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3 Class A2, 4.93%, 7/10/39

 

 

2,580

 

 

2,346,691

 

Series 2004-C3 Class A4, 4.547%, 12/10/41

 

 

2,475

 

 

2,117,354

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1 Class A3, 5.857%, 10/12/35

 

 

1,990

 

 

1,910,587

 

Series 2004-CBX Class A4, 4.529%, 1/12/37

 

 

2,380

 

 

1,957,370

 

LB-UBS Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2004-C4 Class A3, 5.077%, 6/15/29 (f)

 

 

2,530

 

 

2,185,742

 

Series 2005-C5 Class A4, 4.954%, 9/15/30 (b)

 

 

4,625

 

 

3,477,362

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

45



 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-U.S. Government Agency

 

 

Par

 

 

 

 

Mortgage-Backed Securities

 

 

(000)

 

 

Value

 

               

Commercial Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Merrill Lynch Mortgage Trust Series 2004BPC1
Class A3, 4.467%, 10/12/41 (f)(n)

 

USD

4,280

 

$

3,498,875

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 1997-HF1 Class X, 2.246%, 7/15/29 (i)

 

 

18

 

 

4

 

Series 2005-HQ6 Class A4A, 4.989%, 8/13/42

 

 

1,520

 

 

1,145,160

 

Series 2005-T17 Class A4, 4.52%, 12/13/41

 

 

2,695

 

 

2,396,396

 

Wachovia Bank Commercial Mortgage Trust (f):

 

 

 

 

 

 

 

Series 2005-C21 Class A3, 5.209%, 10/15/44

 

 

940

 

 

859,522

 

Series 2006-C25 Class A4, 5.74%, 5/15/43

 

 

1,305

 

 

896,448

 

Series 2007-C33 Class A4, 5.902%, 2/15/51

 

 

1,105

 

 

558,391

 

 

 

 

 

 

     

 

 

 

 

 

 

46,620,686

 

               

Total Non-U.S. Government Agency
Mortgage-Backed Securities—23.6%

 

 

 

 

 

70,775,647

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Obligations

 

 

 

 

 

 

 

               

Fannie Mae:

 

 

 

 

 

 

 

6.345%, 10/09/19 (o)

 

 

6,125

 

 

3,224,739

 

7.125%, 1/15/30 (k)

 

 

4,000

 

 

5,445,320

 

5.625%, 7/15/37

 

 

825

 

 

929,300

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.375%, 9/30/22 (k)

 

 

5,600

 

 

6,019,255

 

5.25%, 12/09/22

 

 

700

 

 

758,813

 

5.365%, 9/09/24 (k)

 

 

1,100

 

 

1,212,539

 

Federal Housing Administration, General Motors
Acceptance Corp. Projects, Series 44, 7.43%, 8/01/22

 

 

71

 

 

70,354

 

Federal Housing Administration:

 

 

 

 

 

 

 

Merrill Projects, Series 29, 7.43%, 10/01/20 (n)

 

 

47

 

 

46,455

 

Merrill Projects, Series 42, 7.43%, 9/25/22 (n)

 

 

46

 

 

45,833

 

Reilly Project, Series B-11, 7.40%, 4/01/21

 

 

1,605

 

 

1,588,717

 

Westmore Project, 7.25%, 4/01/21

 

 

1,585

 

 

1,568,815

 

Federal National Mortgage Association, 1.75%, 3/23/11

 

 

4,555

 

 

4,561,643

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

372

 

 

407,747

 

4.30%, 5/29/12

 

 

932

 

 

1,059,325

 

4.64%, 5/29/12

 

 

787

 

 

907,031

 

4.68%, 5/29/12

 

 

445

 

 

494,429

 

4.87%, 5/29/12

 

 

3,379

 

 

3,935,193

 

Resolution Funding Corp., 8.326%, 4/15/30 (o)

 

 

6,055

 

 

2,267,476

 

U.S. Treasury Bonds, 6.125%, 11/15/27 (k)

 

 

1,510

 

 

1,931,621

 

U.S. Treasury Inflation Indexed Bonds:

 

 

 

 

 

 

 

2.375%, 1/15/25

 

 

374

 

 

358,477

 

2.375%, 1/15/27

 

 

110

 

 

105,261

 

1.75%, 1/15/28 (k)

 

 

1,481

 

 

1,292,856

 

U.S. Treasury Notes, 3.50%, 2/15/39 (k)

 

 

500

 

 

480,080

 

               

Total U.S. Government Obligations—12.9%

 

 

 

 

 

38,711,279

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

               

Capital Markets—0.0%

 

 

 

 

 

 

 

UBS Preferred Funding Trust I, 8.622% (f)(p)

 

 

400

 

 

144,331

 

               

Commercial Banks—0.4%

 

 

 

 

 

 

 

RBS Capital Trust IV, 2.259% (f)(p)

 

 

525

 

 

74,977

 

Royal Bank of Scotland Group Plc Series MTN, 7.64% (f)(p)

 

 

2,600

 

 

338,000

 

Wells Fargo & Co. Series K, 7.98%, (f)(p)

 

 

1,350

 

 

675,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,087,977

 

               

Diversified Financial Services—0.8%

 

 

 

 

 

 

 

JPMorgan Chase Capital XXV, 6.80%, 10/01/37

 

 

3,265

 

 

2,438,367

 

               

Insurance—0.9%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/57 (f)

 

 

2,150

 

 

1,225,500

 

American International Group, Inc., 8.175%, 5/15/58 (b)(f)

 

 

260

 

 

41,542

 

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

 

 

750

 

 

285,000

 

Progressive Corp., 6.70%, 6/15/37 (f)

 

 

665

 

 

361,341

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (f)

 

 

750

 

 

452,767

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (b)(f)

 

 

575

 

 

227,125

 

 

 

 

 

 

     

 

 

 

 

 

 

2,593,275

 

               

Total Capital Trusts—2.1%

 

 

 

 

 

6,263,950

 

               

 

 

 

 

 

 

 

 

 

 

 

Beneficial

 

 

 

 

 

 

 

Interest

 

 

 

 

Other Interests

 

 

(000)

 

Value

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc. (q)

 

USD

1,895

 

$

381

 

               

Total Other Interests—0.0%

 

 

 

 

 

381

 

               

Total Long-Term Investments
(Cost—$404,961,060)—117.9%

 

 

 

 

 

353,137,332

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts (r)

 

 

 

 

               

Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, expiring May 2012,
Broker Bank of America N.A.

 

 

12

 

 

1,716,858

 

Receive a fixed rate of 4.88% and pay a floating rate
based on 3-month LIBOR, expiring September 2013,
Broker The Goldman Sachs Group, Inc.

 

 

26

 

 

1,515,202

 

Pay a fixed rate of 4.705% and receive a floating rate
based on the 3-month LIBOR, expiring November 2013,
Broker JPMorgan Chase Bank

 

 

16

 

 

856,448

 

 

 

 

 

 

     

 

 

 

 

 

 

4,088,508

 

               

Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 4.705% and receive a floating rate
based on the 3-month LIBOR, expiring November 2013,
Broker JPMorgan Chase Bank

 

 

16

 

 

497,360

 

Pay a fixed rate of 5.50% and receive a floating rate based
3-month LIBOR, expiring December 2009,
Broker Bank of America N.A.

 

 

3

 

 

60,131

 

Pay a fixed rate of 4.88% and receive a floating rate based
on 3-month LIBOR, expiring September 2013,
Broker The Goldman Sachs Group, Inc.

 

 

26

 

 

728,650

 

Pay a fixed rate of 5.47% and receive a floating rate based
3-month LIBOR, expiring May 2012, Broker Bank of America N.A.

 

 

12

 

 

375,925

 

 

 

 

 

 

     

 

 

 

 

 

 

1,662,066

 

               

Total Options Purchased
(Cost—$4,111,260)—1.9%

 

 

 

 

 

5,750,574

 

               

Total Investments Before TBA Sale
Commitments and Options Written
(Cost—$409,072,320*)—119.8%

 

 

 

 

 

358,887,906

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

TBA Sale Commitments (j)

 

 

(000)

 

 

 

 

               

Fannie Mae Pass-Through Certificates:

 

 

 

 

 

 

 

5.00%. 7/01/35 - 3/15/39

 

USD

(15,600

)

 

(15,868,133

)

5.50%, 12/01/13 - 6/01/36

 

 

(3,200

)

 

(3,303,593

)

               

Total TBA Sale Commitments
(Proceeds—$19,226,367)—(6.4)%

 

 

 

 

 

(19,171,726)

 

               

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

 

Contracts (r)

 

 

 

 

               

Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rate of 5.05% and receive a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker CitiBank NA

 

 

15

 

 

(1,802,580

)

Pay a fixed rate of 5.08% and receive a floating rate
based on 3-month LIBOR, expiring May 2011,
Broker The Goldman Sachs Group, Inc.

 

 

6

 

 

(769,060

)

Pay a fixed rate of 5.325% and receive a floating rate
based on 3-month LIBOR, expiring July 2013,
Broker JPMorgan Chase Bank NA

 

 

9

 

 

(651,185

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

46

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

 

Contracts (r)

 

Value

 

               

Over-the-Counter Call Swaptions Written (concluded)

 

 

 

 

 

 

 

Pay a fixed rated of 5.485% and receive a floating
rate based on expiring 3-month LIBOR,
Broker JPMorgan Chase Bank NA

 

 

5

 

$

(893,543

)

Pay a fixed rated of 5.67% and receive a floating
rate based on 3-month LIBOR, expiring January 2010,
Broker Citibank NA

 

 

12

 

 

(2,221,547

)

Pay a fixed rate of 4.915% and receive a floating
rate based on 3-month LIBOR, expiring
November 2010, Broker Barclays Bank PLC

 

 

15

 

 

(1,740,885

)

Pay a fixed rated of 1.9% and receive a floating
rate based on 3-month LIBOR, expiring
December 2009, Broker Citibank NA

 

 

8

 

 

(104,098

)

Pay a fixed rated of 2.45% and receive a floating
rate based on 3-month LIBOR, expiring
December 2009, Broker Barclays Bank PLC

 

 

11

 

 

(125,543

)

 

 

 

 

 

     

 

 

 

 

 

 

(8,308,441

)

               

Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

Receive a fixed rate of 4.915% and pay a floating
rate based on 3-month LIBOR, expiring
November 2010, Broker Barclays Bank PLC

 

 

15

 

 

(417,345

)

Receive a fixed rated of 2.45% and pay a floating
rate based on 3-month LIBOR, expiring
December 2009, Broker Barclays Bank PLC

 

 

11

 

 

(1,183,688

)

Receive a fixed rate of 5.05% and pay a floating
rate based on 3-month LIBOR, expiring May 2011,
Broker CitiBank NA

 

 

15

 

 

(466,350

)

Receive a fixed rate of 5.08% and pay a floating
rate based on 3-month LIBOR, expiring May 2011,
Broker The Goldman Sachs Group, Inc.

 

 

6

 

 

(190,071

)

Receive a fixed rate of 5.325% and pay a floating
rate based on 3-month LIBOR, expiring July 2013,
Broker JPMorgan Chase Bank NA

 

 

9

 

 

(202,621

)

Receive a fixed rate of 5.485% and pay a floating
rate based on 3-month LIBOR, expiring October 2009,
Broker JPMorgan Chase Bank NA

 

 

5

 

 

(30,841

)

Receive a fixed rate of 5.67% and pay a floating rate
based on 3-month LIBOR, expiring January 2010,
Broker Citibank NA

 

 

12

 

 

(82,584

)

 

 

 

 

 

     

 

 

 

 

 

 

(2,573,500

)

               

Total Options Written
(Premiums Received—$7,443,775)—(3.6)%

 

 

 

 

 

(10,881,941

)

               

Total Investments, Net of TBA Sale Commitments
and Options Written—109.8%

 

 

 

 

 

328,834,239

 

Liabilities in Excess of Other Assets—(9.8)%

 

 

 

 

 

(29,244,884

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

299,589,355

 

 

 

 

 

 

     

 

 

*

The cost and unrealized appreciation (depreciation) of Investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

409,163,055

 

 

 

     

Gross unrealized appreciation

 

 

9,410,174

 

Gross unrealized depreciation

 

 

(59,685,323

)

 

 

     

Net unrealized depreciation

 

$

(50,275,149

)

 

 

     

 

 

(a)

All or a portion of the security has been pledged as collateral in connection with swaps.

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c)

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

(d)

Non-income producing security.

(e)

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

(f)

Variable rate security. Rate shown is as of report date.

(g)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

(h)

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

(i)

Represents the interest only portion of a mortgage-backed security and has either a nominal or a notional amount of principal.

(j)

Represents or includes a to-be-announced transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 

           

Counterparty

 

Market Value

 

Unrealized
Appreciation
(Depreciation)

 

           

Citigroup NA

 

$

(1,126,813

)

$

(344

)

Credit Suisse International

 

$

6,713,441

 

$

(22,058

)

Deutsche Bank AG

 

$

(12,176,634

)

$

67,903

 

JPMorgan Chase Bank, NA

 

$

1,447,250

 

$

6,353

 

Morgan Stanley Capital Services, Inc.

 

$

7,413,875

 

$

(50,586

)

               

 

 

(k)

All or a portion of the security has been pledged as collateral for reverse repurchase agreements.

(l)

Amount is than $1,000.

(m)

Represents the principal only portion of a mortgage-backed obligation.

(n)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

Affiliate

 

Purchase
Cost

 

Sale
Cost

 

Realized
Gain (Loss)

 

Income

 

                   

BlackRock Liquidity Funds, TempFund

 

 

 

 

 

 

 

$

2,595

 

Federal Housing Administration,
Merrill Projects:

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 29, 7.43%, 10/01/20

 

 

 

$

777

 

$

(32

)

$

1,760

 

Series 42, 7.43%, 9/25/22

 

 

 

$

836

 

$

(37

)

$

1,738

 

Merrill Lynch Mortgage Investors, Inc.
Series 2006-A3 Class 3A1,

 

 

 

 

 

 

 

 

 

 

 

 

 

5.823%, 5/25/36

 

 

 

$

26,750

 

$

12,000

 

$

30,304

 

Merrill Lynch Mortgage Trust
Series 2004BPC1 Class A3,

 

 

 

 

 

 

 

 

 

 

 

 

 

4.467%, 10/12/41

 

$

3,124,400

 

 

 

 

 

$

50,966

 

                           

 

 

(o)

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

(p)

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

(q)

“Other interests” represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(r)

One contract represents a notional amount of $1,000,000.

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

Currency
Purchased

 

 

Currency
Sold

 

 

Counterparty

 

 

Settlement
Date

 

 

Unrealized
Appreciation

 

                           

USD     879,334

 

 

GBP 601,000

 

 

UBS AG

 

 

3/18/09

 

$

19,019

 

                           

 

 

Financial future contracts purchased as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                   

Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

                                 

190

 

 

 

10-Year U.S.

 

 

Chicago

 

 

June 2009

 

$

22,789,652

 

$

16,286

 

 

 

 

 

Treasury Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

1,034

 

 

 

30-Year U.S.

 

 

Chicago

 

 

June 2009

 

$

131,046,107

 

 

(3,508,669

)

 

 

 

 

Treasury Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

41

 

 

 

Long-Gilt

 

 

London

 

 

June 2009

 

$

7,121,484

 

 

(124,390

)

                                   

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(3,616,773

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

47



 

 


 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Financial future contracts sold as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                             

Contracts

 

 

Issue

 

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

                       

724

 

 

 

2-Year U.S.

 

 

June 2009

 

$

157,005,872

 

$

180,684

 

 

 

 

 

Treasury Bond

 

 

 

 

 

 

 

 

 

 

1,374

 

 

 

5-Year U.S.

 

 

June 2009

 

$

159,671,218

 

 

(517,861

)

 

 

 

 

Treasury Bond

 

 

 

 

 

 

 

 

 

 

                             

Total

 

 

 

 

 

 

 

 

 

 

$

(337,177

)

 

 

 

 

 

 

 

 

 

 

 

     

 

 

Reverse repurchase agreements outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Counterparty

 

 

Interest
Rate

 

 

Trade
Date

 

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

                             

Barclays Capital Inc.

 

 

0.12%

 

 

1/06/09

 

 

Open

 

$

2,091,726

 

$

2,091,350

 

Barclays Capital Inc.

 

 

0.30%

 

 

1/23/09

 

 

Open

 

 

5,467,635

 

 

5,465,950

 

Barclays Capital Inc.

 

 

0.35%

 

 

1/28/09

 

 

Open

 

 

1,248,791

 

 

1,248,390

 

J.P. Morgan Securities Inc.

 

 

0.38%

 

 

2/02/09

 

 

Open

 

 

5,834,272

 

 

5,832,610

 

Credit Suisse Securities LLC

 

 

0.65%

 

 

2/12/09

 

 

3/12/09

 

 

19,098,651

 

 

19,089,000

 

J.P. Morgan Securities Inc.

 

 

0.35%

 

 

2/17/09

 

 

Open

 

 

1,342,420

 

 

1,342,250

 

Barclays Capital Inc.

 

 

0.33%

 

 

2/27/09

 

 

3/02/09

 

 

486,888

 

 

486,875

 

                                 

Total

 

 

 

 

 

 

 

 

 

 

$

35,570,383

 

$

35,556,425

 

 

 

 

 

 

 

 

 

 

 

 

           

 

 

Interest rate swaps outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

               

 

 

 

Notional

 

Unrealized

 

 

 

 

Amount

 

Appreciation

 

 

 

 

(000)

 

(Depreciation)

 

             

Receive a fixed rate of 4.62377% and pay a
floating rate based on 3-month LIBOR
Broker, Credit Suisse International
Expires September 2009

 

USD

50,000

 

$

846,048

 

Receive a fixed rate of 2.895% and pay a
floating rate based on 3-month LIBOR
Broker, Barclays Bank Plc
Expires September 2010

 

USD

33,600

 

 

692,298

 

Pay a fixed rate of 2.898% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires September 2010

 

USD

21,300

 

 

(439,833

)

Receive a fixed rate of 2.7425% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires October 2010

 

USD

53,200

 

$

1,032,128

 

Receive a fixed rate of 2.745% and pay a
floating rate based on 3-month LIBOR
Broker, Credit Suisse International
Expires October 2010

 

USD

42,500

 

 

826,258

 

Receive a fixed rate of 5% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires November 2010

 

USD

5,000

 

 

284,788

 

Receive a fixed rate of 2.14% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires December 2010

 

USD

40,000

 

 

377,866

 

 

 

 

 

 

 

 

 

Interest rate swaps (continued)

 

 

 

 

 

 

 

               

 

 

 

Notional

 

Unrealized

 

 

 

 

Amount

 

Appreciation

 

 

 

 

(000)

 

(Depreciation)

 

             

Receive a fixed rate of 2.8225% and pay a
floating rate based on 6-month LIBOR
Broker, Citibank NA
Expires December 2010

 

GBP

22,090

 

$

270,446

 

Receive a fixed rate of 1.595% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires February 2011

 

USD

10,200

 

 

(12,133

)

Receive a fixed rate of 5.025% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires November 2011

 

USD

3,200

 

 

260,094

 

Receive a fixed rate of 4.9034% and pay a
floating rate based on 3-month LIBOR
Broker, Barclays Bank PLC
Expires September 2012

 

USD

35,000

 

 

3,125,114

 

Receive a fixed rate of 3.66375% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires April 2013

 

USD

7,500

 

 

357,707

 

Receive a fixed rate of 4.2825% and pay a
floating rate based on 3-month LIBOR
Broker, Credit Suisse International
Expires July 2013

 

USD

84,800

 

 

6,190,805

 

Receive a fixed rate of 3.6525% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires September 2013

 

USD

8,000

 

 

371,442

 

Receive a fixed rate of 3.78% and pay a
floating rate based on 3-month LIBOR
Broker, Morgan Stanley Capital Services, Inc.
Expires November 2013

 

USD

18,400

 

 

957,495

 

Pay a fixed rate of 2.4625% and receive a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires February 2014

 

USD

17,300

 

 

173,817

 

Pay a fixed rate of 4.39919% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires October 2014

 

USD

27,500

 

 

(2,272,193

)

Receive a fixed rate of 2.215% and pay a
floating rate based on the 3-month LIBOR
Broker, Citibank NA
Expires January 2016

 

USD

12,500

 

 

(642,881

)

Pay a fixed rate of 5.071% and receive a
floating rate based on 3-month LIBOR
Broker, UBS AG
Expires March 2017

 

USD

5,000

 

 

(679,278

)

Pay a fixed rate of 5.85% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires June 2017

 

USD

1,000

 

 

(194,227

)

Pay a fixed rate of 5.307% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires October 2017

 

USD

6,000

 

 

(944,360

)

Receive a fixed rate of 4.564% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires October 2018

 

USD

10,000

 

 

1,036,921

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

48

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

Interest rate swaps (concluded)

 

 

 

 

 

 

 

               

 

 

 

Notional

 

Unrealized

 

 

 

 

Amount

 

Appreciation

 

 

 

 

(000)

 

(Depreciation)

 

               

Receive a fixed rate of 4.0975% and pay a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires October 2018

 

USD

11,800

 

$

760,879

 

Pay a fixed rate of 5.01% and receive a
floating rate based on 3-month LIBOR
Broker, UBS AG
Expires November 2018

 

USD

4,400

 

 

(498,771

)

Pay a fixed rate of 4.94% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires December 2018

 

USD

14,000

 

 

(1,535,204

)

Pay a fixed rate of 3.272% and receive a
floating rate based on 3-month LIBOR
Broker, JPMorgan Chase Bank NA
Expires February 2019

 

USD

2,500

 

 

16,615

 

Receive a fixed rate of 5.411% and pay a
floating rate based on 3-month LIBOR
Broker, JPMorgan Chase Bank NA
Expires August 2022

 

USD

9,405

 

 

1,951,457

 

Pay a fixed rate of 5.365% and receive a
floating rate based on 3-month LIBOR
Broker, Bank of America NA
Expires September 2027

 

USD

8,900

 

 

(2,253,348

)

Pay a fixed rate of 5.0605% and receive a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires November 2037

 

USD

6,900

 

 

(1,993,270

)

Pay a fixed rate of 5.06276% and receive a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires December 2037

 

USD

1,400

 

 

(404,350

)

Pay a fixed rate of 4.8375% and receive a
floating rate based on the 3-month LIBOR
Broker, Morgan Stanley Capital Services, Inc.
Expires January 2038

 

USD

6,100

 

 

(1,518,524

)

Receive a fixed rate of 5.29750% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires February 2038

 

USD

700

 

 

233,449

 

Receive a fixed rate of 5.1575% and pay a
floating rate based on 3-month LIBOR
Broker, Citibank NA
Expires June 2038

 

USD

6,000

 

 

1,855,971

 

Pay a fixed rate of 4.57% and receive a
floating rate based on 3-month LIBOR
Broker, Deutsche Bank AG
Expires September 2038

 

USD

5,700

 

 

(1,154,031

)

               

Total

 

 

 

 

$

7,079,195

 

 

 

 

 

 

     

 

 

Currency Abbreviations:

 

GBP    British Pound

 

USD    US Dollar


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                             

Valuation
Inputs

 

 

Investments in
Securities

 

Other Financial
Instruments*

 

             

 

 

 

Assets

 

Liabilities

 

Assets

 

Liabilities

 

 

 

 

 

 

   

Level 1

 

 

 

 

 

 

$

196,970

 

$

(4,150,920

)

Level 2

 

 

$

333,557,528

 

$

(19,171,725

)

 

27,391,191

 

 

(60,980,770

)

Level 3

 

 

 

19,579,804

 

 

 

 

 

 

 

                             

Total

 

 

$

353,137,332

 

$

(19,171,725

)

$

27,588,161

 

$

(65,131,690

)

 

 

 

                       

 

 

*

Other financial instruments are swaps, futures, foreign currency exchange contracts, reverse repurchase agreements and options. Futures, swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and reverse repurchase agreements and options are shown at market value.

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) were used in determining fair value:


 

 

 

 

 

         

 

 

Investments in

 

 

 

Securities

 

       

 

 

Assets

 

 

 

   

Balance as of August 31, 2008

 

$

6,521,344

 

Accrued discounts/premiums

 

 

77

 

Realized gain

 

 

7

 

Change in unrealized appreciation/depreciation1

 

 

(5,724,174

)

Net purchases

 

 

34,568

 

Net transfers in Level 3

 

 

18,747,982

 

 

 

     

Balance as of February 28, 2009

 

$

19,579,804

 

 

 

     

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

49



 

 


 

Schedule of Investments February 28, 2009 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

           

Chase Issuance Trust Series 2007-A11 Class A11, 0.556%,
7/16/12 (a)(b)

 

$

3,500

 

$

3,387,635

 

First Franklin Mortgage Loan Asset Backed Certificates
Series 2005-FF2 Class M2, 0.914%, 3/25/35 (b)

 

 

5,890

 

 

1,767,000

 

GSAA Home Equity Trust Series 2005-1 Class AF2,
4.316%, 11/25/34 (b)

 

 

3,285

 

 

2,960,203

 

Securitized Asset Backed Receivables LLC Trust
Series 2005-OP2 Class M1, 0.904%, 10/25/35 (b)

 

 

1,875

 

 

624,087

 

Small Business Administration Participation Certificates:

 

 

 

 

 

 

 

Series 1996-20E Class 1, 7.60%, 5/01/16

 

 

432

 

 

464,240

 

Series 1996-20F Class 1, 7.55%, 6/01/16

 

 

481

 

 

517,192

 

Series 1996-20G Class 1, 7.70%, 7/01/16

 

 

354

 

 

381,213

 

Series 1996-20H Class 1, 7.25%, 8/01/16

 

 

580

 

 

622,596

 

Series 1996-20K Class 1, 6.95%, 11/01/16

 

 

1,013

 

 

1,080,024

 

Series 1997-20C Class 1, 7.15%, 3/01/17

 

 

449

 

 

480,053

 

Sterling Bank Trust Series 2004-2 Class Note,
2.081%, 3/30/30 (c)

 

 

7,227

 

 

440,370

 

Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (c)

 

 

11,394

 

 

1,061,109

 

               

Total Asset-Backed Securities—3.2%

 

 

 

 

 

13,785,722

 

               

 

 

 

 

 

 

 

 


 

Corporate Bonds

 

 

 

 

 

 

 

               

Diversified Financial Services—0.2%

 

 

 

 

 

 

 

Structured Asset Repackaged Trust, 1.633%, 1/21/10

 

 

1,159

 

 

985,529

 

               

Total Corporate Bonds—0.2%

 

 

 

 

 

985,529

 

               

 

 

 

 

 

 

 

 


 

U.S. Government Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

               

Fannie Mae Guaranteed Pass—Through Certificates:

 

 

 

 

 

 

 

4.50%, 3/15/39 (c)

 

 

5,000

 

 

5,009,375

 

5.00%, 6/01/33—3/15/39 (a)(d)(e)

 

 

100,574

 

 

102,397,894

 

5.50%, 3/15/24—3/15/39 (d)(e)

 

 

142,585

 

 

146,231,139

 

5.97%, 8/01/16

 

 

3,125

 

 

3,401,899

 

6.00%, 3/15/39 (d)

 

 

6,000

 

 

6,196,872

 

6.50%, 10/01/38—3/15/39 (d)(e)

 

 

79,881

 

 

83,556,730

 

7.50%, 2/01/22

 

 

(f)

 

185

 

8.00%, 10/01/09—5/01/22

 

 

8

 

 

8,218

 

9.50%, 1/01/19—9/01/19

 

 

4

 

 

3,923

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

3.983%, 1/01/35 (b)

 

 

217

 

 

216,788

 

4.51%, 11/01/17

 

 

24

 

 

23,987

 

4.991%, 10/01/34

 

 

641

 

 

650,992

 

5.00%, 12/1/34 (e)

 

 

4,955

 

 

5,055,777

 

5.50%, 3/1/24 (d)

 

 

7,000

 

 

7,264,684

 

6.00%, 3/15/39 (d)

 

 

6,700

 

 

6,934,500

 

6.50%, 3/15/39 (d)

 

 

100

 

 

104,563

 

8.00%, 11/01/15

 

 

1

 

 

1,282

 

9.00%, 9/01/20 (a)(e)

 

 

97

 

 

106,302

 

Ginnie Mae MBS Certificates

 

 

 

 

 

 

 

6.50%, 3/15/39 (d)

 

 

10,800

 

 

11,255,630

 

7.00%, 10/15/17

 

 

31

 

 

32,653

 

7.50%, 8/15/21—12/15/23

 

 

350

 

 

378,105

 

8.00%, 10/15/22—2/15/29

 

 

154

 

 

166,417

 

9.00%, 6/15/18—9/15/21

 

 

12

 

 

13,109

 

               

Total U.S. Government Agency Mortgage-Backed Securities—89.2%

 

 

 

 

 

379,011,024

 

               

 

 

 

 

 

 

U.S. Government Agency
Mortgage-Backed Securities—
Collateralized Mortgage Obligations

 

Par
(000)

 

Value

 

           

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 7 Class 2, 8.50%, 4/01/17 (c)

 

$

8

 

$

1,074

 

Series 89 Class 2, 8%, 10/01/18 (c)

 

 

16

 

 

2,003

 

Series 94 Class 2, 9.50%, 8/01/21 (c)

 

 

5

 

 

822

 

Series 203 Class 1, 0%, 2/01/23 (g)

 

 

33

 

 

27,585

 

Series 228 Class 1, 0%, 6/01/23 (g)

 

 

24

 

 

21,351

 

Series 328 Class 1, 0%, 12/01/32 (g)

 

 

3,708

 

 

3,290,213

 

Series 338 Class 1, 0%, 7/01/33 (g)

 

 

3,102

 

 

2,768,899

 

Series 1990-123 Class M, 1.01%, 10/25/20 (c)

 

 

34

 

 

711

 

Series 1990-136 Class S, 0.015%, 11/25/20 (c)

 

 

21,271

 

 

27,749

 

Series 1991-7 Class J, 0%, 2/25/21 (g)

 

 

35

 

 

31,185

 

Series 1991-38 Class F, 8.325%, 4/25/21 (b)

 

 

31

 

 

32,616

 

Series 1991-38 Class N, 1.009%, 4/25/21 (c)

 

 

24

 

 

174

 

Series 1991-38 Class SA, 10.186%, 4/25/21 (b)

 

 

31

 

 

32,242

 

Series 1991-46 Class S, 1.403%, 5/25/21 (c)

 

 

151

 

 

6,544

 

Series 1991-87 Class S, 25.358%, 8/25/21 (b)

 

 

90

 

 

110,154

 

Series 1991-99 Class L, 0.93%, 8/25/21 (c)

 

 

190

 

 

3,607

 

Series 1991-139 Class PT, 0.648%, 10/25/21 (c)

 

 

348

 

 

2,714

 

Series 1991-167 Class D, 0%, 10/25/17(g)

 

 

18

 

 

18,122

 

Series 1993-51 Class E, 0%, 2/25/23(g)

 

 

109

 

 

90,553

 

Series 1993-70 Class A, 0%, 5/25/23(g)

 

 

19

 

 

17,101

 

Series 1993-199 Class SB, 2.625%, 10/25/23 (c)

 

 

1,728

 

 

162,833

 

Series 1993-247 Class SN, 10%, 12/25/23 (b)

 

 

717

 

 

744,001

 

Series 1993-249 Class B, 0%, 11/25/23 (g)

 

 

1,606

 

 

1,316,747

 

Series 1994-33 Class SG, 3.225%, 3/25/09 (c)

 

 

8

 

 

49

 

Series 1996-68 Class SC, 2.257%, 1/25/24 (c)

 

 

1,311

 

 

102,547

 

Series 1997-50 Class SI, 1.20%, 4/25/23 (c)

 

 

541

 

 

15,164

 

Series 1997-90 Class M, 6%, 1/25/28 (c)

 

 

10,833

 

 

1,414,301

 

Series 1999-W4 Class IO, 6.50%, 12/25/28 (c)

 

 

521

 

 

66,312

 

Series 1999-W4 Class PO, 0%, 2/25/29(g)

 

 

268

 

 

230,627

 

Series 2002-13 Class PR, 0%, 3/25/32 (g)

 

 

726

 

 

614,941

 

Series 2003-9 Class BI, 5.50%, 10/25/22 (c)

 

 

2,937

 

 

192,420

 

Series 2003-32 Class VT, 6%, 9/25/15

 

 

6,143

 

 

6,353,488

 

Series 2003-55 Class GI, 5%, 7/25/19 (c)

 

 

3,469

 

 

184,564

 

Series 2003-66 Class CI, 5%, 7/25/33 (c)

 

 

4,991

 

 

597,619

 

Series 2003-88 Class S, 4.876%, 5/25/30 (c)

 

 

25,169

 

 

1,114,503

 

Series 2003-88 Class TI, 4.50%, 11/25/13 (c)

 

 

623

 

 

1,964

 

Series 2003-122 Class IC, 5%, 9/25/18 (c)

 

 

3,741

 

 

133,865

 

Series 2003-135 Class PB, 6%, 1/25/34

 

 

12,264

 

 

12,734,842

 

Series 2004-13 Class IG, 5%, 10/25/22 (c)

 

 

818

 

 

3,543

 

Series 2004-28 Class PB, 6%, 8/25/28

 

 

2,288

 

 

2,311,711

 

Series 2004-29 Class HC, 7.50%, 7/25/30

 

 

1,773

 

 

1,882,369

 

Series 2004-31 Class ZG, 7.50%, 5/25/34

 

 

2,631

 

 

2,854,265

 

Series 2004-90 Class JH, 1.828%, 11/25/34 (c)

 

 

23,909

 

 

1,933,218

 

Series 2005-43 Class IC, 6%, 3/25/34 (c)

 

 

704

 

 

114,788

 

Series 2005-68 Class PC, 5.50%, 7/25/35

 

 

2,070

 

 

2,154,766

 

Series 2005-73 Class DS, 16.318%, 8/25/35 (b)

 

 

4,854

 

 

5,269,345

 

Series 2005-73 Class ST, 1.258%, 8/25/35 (c)

 

 

11,248

 

 

980,616

 

Series 2006-2 Class KP, 0%, 2/25/35 (b)

 

 

1,221

 

 

874,962

 

Series 2006-36 Class SP, 1.828%, 5/25/36 (c)

 

 

40,319

 

 

3,405,404

 

Series 2006-38 Class Z, 5%, 5/25/36

 

 

905

 

 

901,571

 

Series G-7 Class S, 116.20%, 3/25/21 (b)

 

 

(f)

 

5,426

 

Series G-10 Class S, 0.575%, 5/25/21 (c)

 

 

801

 

 

16,502

 

Series G-12 Class S, 0.608%, 5/25/21 (c)

 

 

656

 

 

10,075

 

Series G-17 Class S, 0.58%, 6/25/21 (c)

 

 

415

 

 

7,719

 

Series G-33 Class PV, 1.078%, 10/25/21 (c)

 

 

519

 

 

10,692

 

Series G-49 Class S, 982.80%, 12/25/21 (b)

 

 

(f)

 

3,823

 

Series G-50 Class G, 1.159%, 12/25/21 (c)

 

 

293

 

 

3,423

 

Series G92-5 Class H, 9%, 1/25/22 (c)

 

 

155

 

 

24,398

 

Series G92-12 Class C, 1.017%, 2/25/22 (c)

 

 

405

 

 

8,459

 

Series G92-60 Class SB, 1.60%, 10/25/22 (c)

 

 

444

 

 

12,138

 

Series G93-2 Class KB, 0%, 1/25/23 (g)

 

 

240

 

 

197,287

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 19 Class F, 8.50%, 3/15/20

 

 

147

 

 

156,292

 

Series 19 Class R, 9.757%, 3/15/20 (h)

 

 

14

 

 

2,321

 

Series 40 Class K, 6.50%, 8/17/24

 

 

594

 

 

626,282

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

50

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Agency
Mortgage-Backed Securities—
Collateralized Mortgage Obligations

 

Par
(000)

 

Value

 

           

Freddie Mac Multiclass Certificates (concluded):

 

 

 

 

 

 

 

Series 75 Class R, 9.50%, 1/15/21

 

$

(f)

$

4

 

Series 75 Class RS, 19.229%, 1/15/21

 

 

(f)

 

4

 

Series 173 Class R, 0%, 11/15/21 (c)

 

 

19

 

 

19

 

Series 173 Class RS, 9.133%, 11/15/21 (c)

 

 

(f)

 

20

 

Series 176 Class M, 1.01%, 7/15/21 (c)

 

 

42

 

 

860

 

Series 192 Class U, 1.009%, 2/15/22 (c)

 

 

5

 

 

96

 

Series 200 Class R, 98.523%, 12/15/22 (c)

 

 

2

 

 

21

 

Series 1043 Class H, 0.022%, 2/15/21 (c)

 

 

11,196

 

 

18,155

 

Series 1054 Class I, 0.435%, 3/15/21 (c)

 

 

115

 

 

1,858

 

Series 1056 Class KD, 1.085%, 3/15/21 (c)

 

 

99

 

 

2,033

 

Series 1057 Class J, 1.008%, 3/15/21 (c)

 

 

123

 

 

2,551

 

Series 1148 Class E, 0.593%, 10/15/21 (c)

 

 

306

 

 

6,007

 

Series 1160 Class F, 37.772%, 10/15/21 (b)

 

 

28

 

 

41,111

 

Series 1179 Class O, 1.009%, 11/15/21 (c)

 

 

37

 

 

183

 

Series 1418 Class M, 0%, 11/15/22 (g)

 

 

123

 

 

103,111

 

Series 1571 Class G, 0%, 8/15/23 (g)

 

 

577

 

 

512,071

 

Series 1691 Class B, 0%, 3/15/24 (g)

 

 

1,648

 

 

1,348,474

 

Series 1706 Class IA, 7%, 10/15/23 (c)

 

 

30

 

 

269

 

Series 1739 Class B, 0%, 2/15/24 (g)

 

 

130

 

 

119,271

 

Series 1914 Class PC, 0.75%, 12/15/11 (c)

 

 

1,404

 

 

9,613

 

Series 1961 Class H, 6.50%, 5/15/12

 

 

148

 

 

148,125

 

Series 2218 Class Z, 8.50%, 3/15/30

 

 

8,216

 

 

8,838,062

 

Series 2431 Class Z, 6.50%, 6/15/32

 

 

10,771

 

 

11,342,851

 

Series 2444 Class ST, 2.359%, 9/15/29 (c)

 

 

171

 

 

4,642

 

Series 2542 Class MX, 5.50%, 5/15/22 (c)

 

 

1,083

 

 

79,157

 

Series 2542 Class UC, 6%, 12/15/22

 

 

10,200

 

 

10,612,923

 

Series 2545 Class NI, 5.50%, 3/15/22 (c)

 

 

1,757

 

 

112,795

 

Series 2559 Class IO, 5%, 8/15/30 (c)

 

 

381

 

 

3,466

 

Series 2561 Class EW, 5%, 9/15/16 (c)

 

 

2,571

 

 

128,895

 

Series 2564 Class NC, 5%, 2/15/33

 

 

928

 

 

937,844

 

Series 2611 Class QI, 5.50%, 9/15/32 (c)

 

 

8,793

 

 

810,033

 

Series 2630 Class PI, 5%, 8/15/28 (c)

 

 

3,614

 

 

196,076

 

Series 2653 Class MI, 5%, 4/15/26 (c)

 

 

2,388

 

 

114,899

 

Series 2672 Class TQ, 5%, 3/15/23 (c)

 

 

590

 

 

2,012

 

Series 2687 Class IL, 5%, 9/15/18 (c)

 

 

3,525

 

 

118,426

 

Series 2694 Class LI, 4.50%, 7/15/19 (c)

 

 

1,681

 

 

81,636

 

Series 2758 Class KV, 5.50%, 5/15/23

 

 

10,811

 

 

11,267,446

 

Series 2765 Class UA, 4%, 3/15/11

 

 

1,539

 

 

1,563,190

 

Series 2773 Class OX, 5%, 2/15/18 (c)

 

 

3,282

 

 

239,340

 

Series 2825 Class NI, 5.50%, 3/15/30 (c)

 

 

6,727

 

 

644,471

 

Series 2840 Class SK, 18.127%, 8/15/34 (b)

 

 

1,760

 

 

1,689,687

 

Series 2861 Class AX, 9.966%, 9/15/34 (b)

 

 

509

 

 

478,624

 

Series 2927 Class BZ, 5.50%, 2/15/35

 

 

2,584

 

 

2,518,427

 

Series 2949 Class IO, 5.50%, 3/15/35 (c)

 

 

1,476

 

 

61,367

 

Series 3010 Class SC, 15.359%, 3/15/34 (b)

 

 

803

 

 

809,121

 

Series 3061 Class BD, 7.50%, 11/15/35

 

 

3,640

 

 

3,756,350

 

Series 3167 Class SX, 34.163%, 6/15/36 (b)

 

 

526

 

 

545,286

 

Series 3225 Class EY, 1.638%, 10/15/36 (c)

 

 

75,070

 

 

5,332,062

 

Series 3299 Class TI, 5%, 4/15/37 (c)

 

 

2,685

 

 

62,562

 

Series T-8 Class A10, 0%, 11/15/28 (g)

 

 

188

 

 

166,860

 

Series T-11 Class A9, 2.251%, 1/25/28 (b)

 

 

3,451

 

 

3,002,590

 

Ginnie Mae Trust :

 

 

 

 

 

 

 

Series 1996-5 Class Z, 7%, 5/16/26

 

 

835

 

 

892,849

 

Series 2001-33 Class PB, 6.50%, 7/20/31

 

 

1,369

 

 

1,431,275

 

Series 2003-58 Class IT, 5.50%, 7/20/33 (c)

 

 

1,440

 

 

113,473

 

Series 2004-39 Class ID, 5%, 5/20/33 (c)

 

 

1,500

 

 

279,412

 

Series 2004-89 Class PE, 6%, 10/20/34

 

 

3,638

 

 

3,821,023

 

               

Total U.S. Government Agency Mortgage-Backed
Securities—Collateralized Mortgage Obligations—30.7%

 

 

 

 

 

130,610,589

 

               

 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 

           

Collateralized Mortgage Obligations—16.3%

 

 

 

 

 

 

 

Banc of America Funding Corp. (c):

 

 

 

 

 

 

 

Series 2007-2 Class 1A19, 0%, 3/25/37

 

$

98,352

 

$

2,304,652

 

Series 2007-5 Class 4A3, 3.655%, 7/25/37

 

 

33,975

 

 

2,394,839

 

Bank of America Mortgage Securities Inc.
Series 2003-3 Class 1AIO, 0.286%, 5/25/18 (c)

 

 

201,263

 

 

1,509,051

 

Citi Mortgage Alternative Loan Trust Series 2007-A5
Class 1A7, 6%, 5/25/37 (c)

 

 

1,770

 

 

219,117

 

Citigroup Mortgage Loan Trust, Inc.
Series 2005-12 Class 1A2, 1.615%, 8/25/35 (c)

 

 

22,811

 

 

1,035,840

 

Collateralized Mortgage Obligation Trust:

 

 

 

 

 

 

 

Series 40 Class R, 0.58%, 4/01/18

 

 

250

 

 

250

 

Series 42 Class R, 6%, 10/01/14 (c)

 

 

33

 

 

2,161

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-28CB Class 1A5, 5.50%, 8/25/35

 

 

3,043

 

 

2,408,730

 

Series 2005-79C Class A2, 0%, 1/25/36 (c)

 

 

127,145

 

 

4,426,310

 

Countrywide Home Loan Mortgage Pass-Through Trust (g):

 

 

 

 

 

 

 

Series 2003-26 Class PO, 0%, 8/25/33

 

 

4,450

 

 

3,017,442

 

Series 2003-J4 Class PO, 0%, 6/25/33

 

 

917

 

 

455,410

 

Series 2003-J5 Class PO, 0%, 7/25/33

 

 

1,231

 

 

553,853

 

Series 2003-J8 Class PO, 0%, 9/25/23

 

 

982

 

 

409,058

 

Deutsche Alt-A Securities Inc. Mortgage
Series 2006-AR5 Class 22A, 5.50%, 10/25/21

 

 

1,770

 

 

1,303,826

 

Drexel Burnham Lambert CMO Trust (g):

 

 

 

 

 

 

 

Series K Class 1, 0%, 9/23/17

 

 

16

 

 

16,264

 

Series V Class 1, 0%, 9/01/18

 

 

171

 

 

169,180

 

First Boston Mortgage Securities Corp.
Series C Class I-O, 10.965%, 4/25/17 (c)

 

 

59

 

 

11,466

 

First Horizon Alternative Mortgage Securities
Series 2005-FA9 Class A2, 0%, 12/25/35 (c)

 

 

162,815

 

 

4,684,200

 

GSMPS Mortgage Loan Trust Series 1998-5
Class IO, 0.97%, 6/19/27 (c)

 

 

6,414

 

 

76,328

 

Homebanc Mortgage Trust Series 2005-4
Class A1, 0.744%, 10/25/35 (b)

 

 

4,386

 

 

2,019,025

 

IndyMac INDX Mortgage Loan Trust
Series 2006-AR33 Class 4AX, 0.165%, 1/25/37 (c)

 

 

141,568

 

 

661,124

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-S1 Class 2A1, 8%, 1/25/35

 

 

5,495

 

 

4,992,083

 

Series 2006-A7 Class 2A2, 5.798%, 1/25/37 (b)

 

 

1,218

 

 

1,211,319

 

Kidder Peabody Acceptance Corp.
Series 1993-1 Class A6, 15.741%, 8/25/23 (b)

 

 

103

 

 

92,028

 

Kidder Peabody Mortgage Assets Trust
Series B Class A2, 9.50%, 4/22/18 (c)

 

 

45

 

 

8,377

 

Luminent Mortgage Trust Series 2006-A1
Class 2A1, 0.644%, 12/25/36 (b)

 

 

4,726

 

 

2,097,218

 

MASTR Adjustable Rate Mortgages Trust
Series 2004-3 Class 3AX, 0.977%, 4/25/34 (c)

 

 

18,936

 

 

410,033

 

MASTR Alternative Loans Trust:

 

 

 

 

 

 

 

Series 2003-7 Class 4A3, 8%, 11/25/18

 

 

1,241

 

 

1,235,575

 

Series 2003-9 Class 15X2, 6%, 1/25/19 (c)

 

 

1,160

 

 

186,001

 

MASTR Asset Securitization Trust Series 2004-3
Class 4A15, 0%, 3/25/34 (g)

 

 

314

 

 

168,862

 

Morgan Stanley Mortgage Loan Trust
Series 2004-3 Class 1AX, 5%, 5/25/19 (c)

 

 

1,187

 

 

59,359

 

Residential Accredit Loans, Inc.
Series 2003-QS14 Class A1, 5%, 7/25/18

 

 

5,452

 

 

5,059,836

 

Residential Asset Securitization Trust
Series 2005-A15 Class 1A8, 0%, 2/25/36 (g)

 

 

983

 

 

331,098

 

Residential Funding Securities LLC
Series 2003-RM2 Class AI5, 8.50%, 5/25/33

 

 

8,566

 

 

7,966,697

 

Sequoia Mortgage Trust Series 2005-2
Class XA, 0.998%, 3/20/35 (c)

 

 

45,941

 

 

754,809

 

Structured Adjustable Rate Mortgage Loan Trust:
Series 2004-11 Class A, 5.106%, 8/25/34 (b)

 

 

1,849

 

 

1,824,868

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

51



 

 


 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 

           

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Structured Adjustable Rate Mortgage Loan Trust (concluded):

 

 

 

 

 

 

 

Series 2005-18 Class 7AX, 5.50%, 9/25/35 (c)

 

$

4,292

 

$

540,251

 

Series 2005-20 Class 3AX, 5.50%, 10/25/35 (c)

 

 

3,513

 

 

524,084

 

Series 2006-2 Class 4AX, 5.50%, 3/25/36 (c)

 

 

11,692

 

 

1,719,782

 

Series 2006-7 Class 3AS, 2.374%, 8/25/36 (c)

 

 

38,620

 

 

4,445,878

 

Structured Mortgage Asset Residential Trust
Series 1993-3C Class CX, 0%, 4/25/24 (g)

 

 

11

 

 

11,078

 

Summit Mortgage Trust Series 2000-1
Class B1, 7.008%, 12/28/12 (b)

 

 

1

 

 

847

 

Vendee Mortgage Trust Series 1999-2
Class 1IO, 0.052%, 5/15/29 (c)

 

 

74,531

 

 

182,780

 

WaMu Mortgage Pass-Through Certificates (b):

 

 

 

 

 

 

 

Series 2005-AR4 Class A3, 4.585%, 4/25/35

 

 

2,710

 

 

2,635,393

 

Series 2006-AR1 Class 2A1C, 2.893%, 1/25/46

 

 

6,704

 

 

1,609,058

 

Washington Mutual Alternative Mortgage
Pass-Through Certificates:

 

 

 

 

 

 

 

Series 2005-8 Class 1A4, 1.215%, 10/25/35 (c)

 

 

8,652

 

 

154,976

 

Series 2005-9 Class CP, 0%, 11/25/35 (g)

 

 

898

 

 

432,495

 

Series 2007-1 Class 1A3, 0.844%, 2/25/37 (b)

 

 

7,118

 

 

3,000,525

 

 

 

 

 

 

     

 

 

 

 

 

 

69,333,436

 

               

Commercial Mortgage-Backed Securities—1.6%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp.
Series 1997-C1 Class AX, 1.672%, 6/20/29 (c)

 

 

5,107

 

 

199,902

 

Commercial Mortgage Acceptance Corp.
Series 1997-ML1 Class IO, 0.705%, 12/15/30 (c)

 

 

12,100

 

 

362,703

 

Credit Suisse Mortgage Capital Certificates
Series 2007-C2 Class A3, 5.542%, 1/15/49 (b)

 

 

2,420

 

 

1,371,480

 

First Union-Lehman Brothers Commercial Mortgage
Series 1997-C2 Class D, 7.12%, 11/18/29

 

 

3,500

 

 

3,399,763

 

Morgan Stanley Capital I Series 1997-HF1
Class X, 3.438%, 7/15/29 (c)

 

 

60

 

 

14

 

Wachovia Bank Commercial Mortgage Trust
Series 2007-C32 Class A2, 5.736%, 6/15/49 (b)

 

 

2,200

 

 

1,580,123

 

 

 

 

 

 

     

 

 

 

 

 

 

6,913,985

 

               

Total Non-U.S.Government Agency
Mortgage-Backed Securities—17.9%

 

 

 

 

 

76,247,421

 

               

 

 

 

 

 

 

 

 


 

U.S. Government Obligations

 

 

 

 

 

 

 

               

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,
Series 56, 7.43%, 11/01/22

 

 

332

 

 

328,435

 

Merrill Projects, Series 54, 7.43%, 2/01/23 (h)

 

 

2

 

 

2,246

 

Reilly Project, Series 41, 8.28%, 3/01/20

 

 

701

 

 

693,547

 

USGI Projects, Series 87, 7.43%, 12/01/22

 

 

75

 

 

74,415

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

79

 

 

77,993

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

233

 

 

230,434

 

USGI Projects, Series 99, 7.43%, 6/01/21

 

 

5,131

 

 

5,079,642

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

338

 

 

370,713

 

4.30%, 5/29/12 (b)

 

 

848

 

 

963,026

 

4.64%, 5/29/12

 

 

715

 

 

824,575

 

4.68%, 5/29/12

 

 

405

 

 

449,482

 

4.87%, 5/29/12

 

 

3,072

 

 

3,577,460

 

Resolution Funding Corp., 9.653%, 4/15/30 (i)

 

 

13,000

 

 

4,868,240

 

Small Business Administration Series 1, 1%, 4/01/15 (c)

 

 

3,735

 

 

37,355

 

U.S. Treasury Strips, 0%, 11/15/24 (e)(j)

 

 

40,000

 

 

21,749,560

 

               

Total U.S. Government Obligations—9.3%

 

 

 

 

 

39,327,123

 

               

Total Long-Term Investments
(Cost—$637,094,289)—150.5%

 

 

 

 

 

639,967,408

 

               

 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

           

Borrowed Bond Agreement—5.0%

 

 

 

 

 

 

 

JPMorgan Chase & Co., Inc., 0.90%, purchased on 9/15/08

 

$

21,187

 

$

21,187,306

 

 

 

 

 

 

 

 

 


 

 

 

Shares

 

 

 

 

             

Money Market Fund—18.3%

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, 0.86% (h)(k)

 

 

77,647,966

 

 

77,647,966

 

               

Total Short-Term Securities
(Cost—$98,835,272)—23.3%

 

 

 

 

 

98,835,272

 

               

 

 

 

 

 

 

 

 


 

Options Purchased

 

Contracts (l)

 

 

 

 

             

Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, expiring May 2012,
Broker Bank of America NA

 

 

12

 

 

1,730,817

 

             

Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 5.47% and receive a floating rate
based 3-month LIBOR, expiring May 2012,
Broker Bank of America NA

 

 

12

 

 

378,981

 

Pay a fixed rate of 5.78% and receive a floating rate
based 3-month LIBOR, expiring August 2010,
Broker Deutsche Bank AG

 

 

2

 

 

35,070

 

 

 

 

 

 

     

 

 

 

 

 

 

414,051

 

               

Total Options Purchased
(Cost—$1,091,660)—0.5%

 

 

 

 

 

2,144,868

 

               

Total Investments before Borrowed Bond,
TBA Sale Commitments and Options Written
(Cost—$737,021,221*)—174.3%

 

 

 

 

 

740,947,548

 

               

 

 

 

 

 

 

 

 


 

Borrowed Bond

 

Par
(000
)

 

 

 

 

             

US Treasury Note
4.75% 5/31/12

 

$

(19,505

)

 

(21,502,741

)

               

Total Borrowed Bond
(Proceeds—$19,383,094)—(5.1)%

 

 

 

 

 

(21,502,741

)

 

 

 

 

 

 

 

 


 

TBA Sale Commitments (d)

 

 

 

 

 

 

 

               

Fannie Mae Guaranteed Pass-Through Certificates,
6%, 3/15/39

 

 

(6,000

)

 

(6,196,872

)

Freddie Mac Mortgage Participation Certificates,
5%, 12/01/34

 

 

(4,900

)

 

(4,975,029

)

               

Total TBA Sale Commitments
(Proceeds—$11,127,031)—(2.6)%

 

 

 

 

 

(11,171,901

)

               

 

 

 

 

 

 

 

 


 

Options Written

 

Contracts (l)

 

 

 

 

             

Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rate of 5.325% and receive a
floating rate based on 3-month LIBOR,
expiring July 2013, Broker JP Morgan Chase Bank NA

 

 

11

 

 

(785,669

)

Pay a fixed rated of 5.485% and receive a
floating rate based on expiring 3-month LIBOR,
Broker JP Morgan Chase Bank NA

 

 

5

 

 

(910,402

)

Pay a fixed rated of 5.67% and receive a
floating rate based on 3-month LIBOR,
expiring January 2010, Broker Citibank NA

 

 

12

 

 

(2,221,547

)

Pay a fixed rated of 2.38% and receive a
floating rate based on 3-month LIBOR,
expiring December 2009, Broker Barclays Bank

 

 

4

 

 

(49,813

)

 

 

 

 

 

     

 

 

 

 

 

 

(3,967,431

)

 

 

 

 

 

     

Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

52

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Income Trust, Inc. (BKT)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts (l)

 

Value

 

           

Receive a fixed rate of 2.38% and pay a
floating rate based on 3-month LIBOR,
expiring December 2009, Broker Barclays Bank

 

4

 

 

$

(549,760

)

Receive a fixed rate of 5.325% and pay a
floating rate based on 3-month LIBOR,
expiring July 2013, Broker JP Morgan Chase Bank NA

 

11

 

 

 

(244,467

)

Receive a fixed rate of 5.485% and pay a
floating rate based on 3-month LIBOR,
expiring October 2009, Broker JP Morgan Chase Bank NA

 

5

 

 

 

(31,423

)

Receive a fixed rate of 5.67% and pay a
floating rate based on 3-month LIBOR,
expiring January 2010, Broker Citibank NA

 

12

 

 

 

(82,584

)

 

 

 

 

 

     

 

 

 

 

 

 

(908,234

)

               

Total Options Written
(Premiums Received—$2,829,409)—(1.1)%

 

 

 

 

 

(4,875,665

)

               

Total Investments Net of Borrowed Bond, TBA Sale
Commitments and Options Written—165.5%

 

 

 

 

 

703,397,241

 

Liabilities in Excess of Other Assets—(65.5)%

 

 

 

 

 

(278,430,296

)

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

424,966,945

 

 

 

 

 

 

     

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

737,120,393

 

 

 

     

Gross unrealized appreciation

 

 

44,575,659

 

Gross unrealized depreciation

 

 

(40,748,504

)

 

 

     

Net unrealized appreciation

 

$

3,827,155

 

 

 

     

 

 

(a)

All or a portion of security held as collateral in connection with financial futures contracts.

(b)

Variable rate security. Rate shown is as of report date.

(c)

Represents a interest only portion of a mortgage-backed security and has either a nominal or notional amount of principal.

(d)

Represents or includes a to-be-announced transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 

           

Counterparty

 

Market
Value

 

Unrealized
Appreciation
(Depreciation)

 

           

Barclays Capital Plc

 

$

60,466,091

 

$

425,120

 

Citigroup NA

 

$

11,358,911

 

$

73,127

 

Credit Suisse International

 

$

41,382,872

 

$

194,438

 

Deutsche Bank AG

 

$

75,188,787

 

$

289,419

 

Greenwich Capital

 

$

72,320,875

 

$

360,658

 

JP Morgan Chase Bank

 

$

23,038,153

 

$

90,979

 

Morgan Stanley Capital Services, Inc.

 

$

4,068,752

 

$

15,512

 

UBS AG

 

$

(6,196,872

)

$

(23,435

)

           

 

 

(e)

All or a portion of security held as collateral in connection with swaps.

(f)

Amount is less than $1,000.

(g)

Represents a principal only portion of a mortgage-backed security.

(h)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

                           

Affiliate

 

Purchase
Cost

 

Sale
Cost

 

Realized
Loss

 

Interest
Income

 

                   

Federal Housing Administration,
Merrill Projects, Series 54,
7.43%, 2/01/23

 

 

 

$

43

 

$

(2

)

$

89

 

                           

BlackRock Liquidity Funds,
TempFund

 

 

77,647,966

*

 

 

 

 

$

47,966

 

                           

* Represents net purchase cost.

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

(i)

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

(j)

Separately Traded Registered Interest and Principal Securities.

(k)

Represents the current yield as of report date.

(l)

One contract represents a notional amount of $1,000,000.

 

 

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. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

 

Interest rate floors outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

                     

 

 

Notional
Amount
(000)

 

Value

 

Unrealized
Depreciation

 

               

Pay a fixed rated of 5.50% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

 

 

 

Broker, UBS AG
Expiring March 2010

 

$

52,000

 

$

(2,358,824

)

$

(1,578,824

)

Pay a fixed rated of 5.50% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

 

 

 

Broker, Citibank NA
Expiring September 2011

 

 

30,000

 

 

(2,540,310

)

 

(1,965,310

)

Pay a fixed rated of 4.8% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

 

 

 

Expiring March 2011
Broker, Goldman Sachs & Co.

 

 

100,000

 

 

(5,376,600

)

 

(4,269,933

)

Pay a fixed rated of 4.95% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

 

 

 

Expiring March 2011
Broker, JPMorgan Chase Bank

 

 

52,000

 

 

(2,253,368

)

 

(1,696,968

)

                     

Total

 

 

 

 

$

(12,529,102

)

$

(9,511,035

)

 

 

 

 

 

           

 

 

Financial futures contracts sold as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

                       

Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

                   

262

 

 

10-Year U.S.
Treasury Bond

 

June 2009

 

$

31,424,585

 

$

(23,603

)

52

 

 

5-Year U.S.
Treasury Bond

 

June 2009

 

$

6,045,174

 

$

(17,295

)

384

 

 

2-Year U.S.
Treasury Bond

 

June 2009

 

$

83,200,294

 

$

22,294

 

217

 

 

EuroDollar Futures

 

September 2009

 

$

52,658,964

 

$

(845,099

)

198

 

 

EuroDollar Futures

 

March 2009

 

$

48,175,272

 

$

(687,416

)

197

 

 

EuroDollar Futures

 

June 2009

 

$

47,870,399

 

$

(736,889

)

110

 

 

EuroDollar Futures

 

December 2009

 

$

26,627,915

 

$

(447,210

)

133

 

 

EuroDollar Futures

 

September 2010

 

$

31,974,457

 

$

(575,631

)

121

 

 

EuroDollar Futures

 

June 2010

 

$

29,156,094

 

$

(523,694

)

111

 

 

EuroDollar Futures

 

March 2010

 

$

26,815,873

 

$

(470,702

)

84

 

 

EuroDollar Futures

 

September 2011

 

$

20,089,394

 

$

(276,406

)

68

 

 

EuroDollar Futures

 

December 2010

 

$

16,295,143

 

$

(304,507

)

62

 

 

EuroDollar Futures

 

June 2011

 

$

14,831,761

 

$

(235,014

)

47

 

 

EuroDollar Futures

 

March 2011

 

$

11,252,831

 

$

(196,369

)

                         

Total

 

 

 

 

 

 

 

 

$

(5,317,541

)

 

 

 

 

 

 

 

 

 

     

 

 

Financial futures contracts purchased as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

                       

Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Depreciation

 

                   

36

 

 

EuroDollar Futures

 

December 2011

 

$

8,747,285

 

$

(39,335

)

                         

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

53



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Income Trust, Inc. (BKT)


 

 

Interest rate swaps outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

           

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

           

Receive a fixed rate of 5.38341% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse International
Expires July 2009

 

$

200,000

 

$

3,133,960

 

Receive a fixed rate of 4.05% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclays Bank, PLC
Expires December 2009

 

$

5,600

 

 

115,829

 

Receive a fixed rate of 4.31996% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires September 2010

 

$

12,000

 

 

500,175

 

Receive a fixed rate of 2.895% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclays Bank, PLC
Expires September 2010

 

$

7,400

 

 

151,702

 

Pay a fixed rate of 2.898% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2010

 

$

22,300

 

 

(458,164

)

Receive a fixed rate of 4.95% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires November 2011

 

$

4,400

 

 

351,238

 

Receive a fixed rate of 5.025% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires November 2011

 

$

3,000

 

 

243,840

 

Receive a fixed rate of 5.39256% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Credit Suisse International
Expires June 2012

 

$

64,000

 

 

6,501,565

 

Pay a fixed rate of 4.115% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires August 2013

 

$

19,700

 

 

(1,316,022

)

Pay a fixed rate of 4.88911% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires August 2014

 

$

19,000

 

 

(1,996,299

)

Pay a fixed rate of 4.39919% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2014

 

$

12,500

 

 

(1,034,662

)

Receive a fixed rate of 4.8834% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires March 2015

 

$

25,000

 

 

2,767,455

 

Pay a fixed rate of 4.925% and receive a
floating rate based on 3-month LIBOR
Municipal Swap Index

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires March 2015

 

$

16,000

 

 

(1,808,504

)

Pay a fixed rate of 4.5% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires May 2015

 

$

3,000

 

 

(270,319

)

 

 

 

 

 

 

 

 

Interest rate swaps (continued)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

           

Receive a fixed rate of 4.442% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Morgan Stanley Capital Services Inc.
Expires July 2015

 

$

4,500

 

$

391,738

 

Receive a fixed rate of 5.94% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires December 2015

 

$

2,800

 

 

505,310

 

Receive a fixed rate of 4.87% and pay a
floating rate based on 3-month LIBOR Municipal
Swap Index

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires January 2016

 

$

5,500

 

 

635,490

 

Receive a fixed rate of 2.81% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank N.A.
Expires February 2016

 

$

20,000

 

 

(292,642

)

Receive a fixed rate of 5.723% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires July 2016

 

$

5,400

 

 

944,683

 

Receive a fixed rate of 5.295% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires February 2017

 

$

11,900

 

 

1,796,918

 

Receive a fixed rate of 5.25% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires April 2017

 

$

800

 

 

119,063

 

Pay a fixed rate of 5.74% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires June 2017

 

$

1,400

 

 

(260,835

)

Pay a fixed rate of 5.5451% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires June 2017

 

$

1,800

 

 

(309,232

)

Pay a fixed rate of 5.85% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires June 2017

 

$

1,000

 

 

(194,385

)

Receive a fixed rate of 5.505% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America NA
Expires August 2017

 

$

165,647

 

 

28,332,193

 

Pay a fixed rate of 4.4575% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA
Expires January 2018

 

$

2,600

 

 

(242,176

)

Pay a fixed rate of 5.135% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Barclays Bank, PLC
Expires April 2018

 

$

5,700

 

 

(595,623

)

Pay a fixed rate of 5.88% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires June 2018

 

$

63,930

 

 

(12,049,344

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

54

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 


 

Schedule of Investments (concluded)

 

BlackRock Income Trust, Inc. (BKT)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Interest rate swaps (concluded)

 

 

 

 

 

 

 

               

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

           

Pay a fixed rate of 5.46% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires August 2018

 

$

3,800

 

$

(576,647

)

Pay a fixed rate of 4.545% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Citibank NA
Expires September 2018

 

$

98,400

 

 

(9,991,313

)

Pay a fixed rate of 4.205% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires September 2018

 

$

7,400

 

 

(541,224

)

Receive a fixed rate of 4.35% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, UBS AG
Expires October 2018

 

$

42,000

 

 

3,583,699

 

Receive a fixed rate of 4.66% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank NA
Expires October 2018

 

$

5,000

 

 

557,921

 

Pay a fixed rate of 4.31% and receive a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Deutsche Bank AG
Expires October 2018

 

$

66,000

 

 

(5,411,390

)

Receive a fixed rate of 2.705% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, Bank of America, NA
Expires January 2019

 

$

5,600

 

 

(306,401

)

Receive a fixed rate of 5.411% and pay a
floating rate based on 3-month LIBOR

 

 

 

 

 

 

 

Broker, JPMorgan Chase Bank, National Association
Expires August 2022

 

$

9,565

 

$

1,990,501

 

               

 

 

 

 

 

$

14,968,098

 

 

 

 

 

 

     

 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

Valuation
Inputs

 

Investments in
Securities

 

Other Financial
Instruments*

 

           

 

 

Assets

 

Liabilities

 

Assets

 

Liabilities

 

 

 

     

 

       

Level 1

 

$

77,647,966

 

 

 

$

22,294

 

$

(5,379,170

)

Level 2

 

 

609,406,067

 

$

(32,674,642

)

 

54,768,148

 

 

(42,530,847

)

Level 3

 

 

51,748,647

 

 

 

 

 

 

(12,529,102

)

 

 

                       

Total

 

$

738,802,680

 

$

(32,674,642

)

$

54,790,442

 

$

(60,439,119

)

 

 

                       

 

 

*

Other financial instruments are swaps, futures, interest rate floors and options. Futures and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors and options are shown at market value.

The following is a reconciliation of investments for unobservable inputs (Level 3) were used in determining fair value:

 

 

 

 

 

 

 

 

           

 

 

Investments in
Securities

 

Other Financial
Instruments*

 

           

 

 

Assets

 

Liabilities

 

 

 

 

 

   

Balance as of August 31, 2008

 

$

5,942,021

 

$

(9,216,687

)

Accrued discounts/premiums

 

 

199

 

 

 

Realized gain

 

 

44

 

 

484,699

 

Change in unrealized appreciation/depreciation1

 

 

2,005,074

 

 

(3,797,114

)

Net sales

 

 

(274,532

)

 

 

Net transfers in Level 3

 

 

44,075,841

 

 

 

 

 

           

Balance as of February 28, 2009

 

$

51,748,647

 

$

(12,529,102

)

 

 

           

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

55



 

 


 

 

Schedule of Investments February 28, 2009 (Unaudited)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

 

Aerospace & Defense—3.1%

 

 

 

 

 

 

 

Northrop Grumman Corp., 7.125%, 2/15/11

 

$

1,000

 

$

1,069,032

 

United Technologies Corp., 6.35%, 3/01/11

 

 

1,000

 

 

1,066,654

 

 

 

 

 

 

     

 

 

 

 

 

 

2,135,686

 

 

Air Freight & Logistics—0.2%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

300

 

 

123,000

 

 

Airlines—0.2%

 

 

 

 

 

 

 

American Airlines, Inc. Series 99-1, 7.324%, 4/15/11

 

 

125

 

 

117,500

 

 

Auto Components—0.8%

 

 

 

 

 

 

 

Allison Transmission, Inc. (a):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

140

 

 

67,900

 

11.25%, 11/01/15 (b)

 

 

120

 

 

46,200

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

405

 

 

324,000

 

8.625%, 12/01/11

 

 

160

 

 

128,000

 

Lear Corp., 8.75%, 12/01/16

 

 

95

 

 

16,150

 

 

 

 

 

 

     

 

 

 

 

 

 

582,250

 

 

Automobiles—1.5%

 

 

 

 

 

 

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,000

 

 

957,514

 

Ford Capital BV, 9.50%, 6/01/10

 

 

350

 

 

112,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,069,514

 

 

Building Products—0.6%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

150

 

 

79,500

 

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

 

 

345

 

 

72,450

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

545

 

 

250,700

 

 

 

 

 

 

     

 

 

 

 

 

 

402,650

 

 

Capital Markets—0.3%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, 10.625%, 1/15/16

 

 

341

 

 

139,810

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(b)

 

 

134

 

 

54,818

 

Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (a)(b)

 

 

91

 

 

37,319

 

 

 

 

 

 

     

 

 

 

 

 

 

231,947

 

 

Chemicals—1.7%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

180

 

 

151,200

 

Ames True Temper, Inc., 5.094%, 1/15/12 (c)

 

 

350

 

 

227,500

 

Innophos, Inc., 8.875%, 8/15/14

 

 

980

 

 

779,100

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

50

 

 

45,500

 

 

 

 

 

 

     

 

 

 

 

 

 

1,203,300

 

 

Commercial Services & Supplies—3.7%

 

 

 

 

 

 

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

1,500

 

 

1,312,500

 

DI Finance Series B, 9.50%, 2/15/13

 

 

524

 

 

476,840

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

550

 

 

434,500

 

West Corp., 11%, 10/15/16

 

 

590

 

 

377,600

 

 

 

 

 

 

     

 

 

 

 

 

 

2,601,440

 

 

Construction Materials—0.3%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

520

 

 

208,000

 

 

Containers & Packaging—1.1%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.:

 

 

 

 

 

 

 

5.871%, 9/15/14 (c)

 

 

80

 

 

37,200

 

8.875%, 9/15/14

 

 

75

 

 

44,625

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

250

 

 

251,875

 

Impress Holdings BV, 4.219%, 9/15/13 (a)(c)

 

 

260

 

 

192,400

 

Pregis Corp., 12.375%, 10/15/13

 

 

565

 

 

251,425

 

Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (d)(e)

 

 

115

 

 

10,063

 

 

 

 

 

 

     

 

 

 

 

 

 

787,588

 

 

Diversified Financial Services—2.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

2.664%, 1/15/10 (c)

 

 

1,600

 

 

1,064,000

 

7.80%, 6/01/12

 

 

250

 

 

135,506

 

GMAC LLC, 3.461%, 12/01/14 (a)(c)

 

 

250

 

 

110,000

 

Structured Asset Repackaged Trust, 1.633%, 1/21/10

 

 

270

 

 

229,583

 

 

 

 

 

 

     

 

 

 

 

 

 

1,539,089

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

 

Diversified Telecommunication Services—10.6%

 

 

 

 

 

 

 

AT&T, Inc., 6.45%, 6/15/34

 

$

1,500

 

$

1,376,987

 

Broadview Networks Holdings, Inc., 11.375%, 9/01/12

 

 

155

 

 

80,600

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

590

 

 

563,450

 

Citizens Communications Co., 6.25%, 1/15/13

 

 

200

 

 

182,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,120

 

 

949,200

 

Series B, 7.50%, 2/15/14

 

 

305

 

 

258,488

 

Qwest Corp., 5.246%, 6/15/13 (c)

 

 

340

 

 

288,150

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

1,000

 

 

861,461

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,000

 

 

2,056,668

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (a)

 

 

250

 

 

250,625

 

Windstream Corp.:

 

 

 

 

 

 

 

8.125%, 8/01/13

 

 

360

 

 

349,200

 

8.625%, 8/01/16

 

 

170

 

 

163,200

 

 

 

 

 

 

     

 

 

 

 

 

 

7,380,029

 

 

Electric Utilities—2.0%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

125

 

 

114,687

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

27

 

 

22,104

 

Midwest Generation LLC Series B, 8.56%, 1/02/16

 

 

238

 

 

234,945

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,022,912

 

 

 

 

 

 

     

 

 

 

 

 

 

1,394,648

 

 

Electronic Equipment & Instruments—0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

215

 

 

75,250

 

 

Energy Equipment & Services—0.2%

 

 

 

 

 

 

 

Compagnie Generale de Geophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

65

 

 

50,862

 

7.75%, 5/15/17

 

 

70

 

 

54,250

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

65

 

 

51,188

 

 

 

 

 

 

     

 

 

 

 

 

 

156,300

 

 

Food & Staples Retailing—0.7%

 

 

 

 

 

 

 

The Pantry, Inc., 7.75%, 2/15/14

 

 

500

 

 

377,500

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

260

 

 

140,400

 

 

 

 

 

 

     

 

 

 

 

 

 

517,900

 

 

Food Products—0.4%

 

 

 

 

 

 

 

Kraft Foods, Inc., 6.125%, 8/23/18

 

 

250

 

 

248,313

 

 

Gas Utilities—0.3%

 

 

 

 

 

 

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

365

 

 

229,950

 

 

Health Care Equipment & Supplies—1.2%

 

 

 

 

 

 

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

1,090

 

 

828,400

 

 

Health Care Providers & Services—3.1%

 

 

 

 

 

 

 

Community Health Systems, Inc.

 

 

 

 

 

 

 

Series WI, 8.875%, 7/15/15

 

 

115

 

 

108,819

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

120

 

 

106,800

 

6.50%, 6/01/12

 

 

1,250

 

 

1,112,500

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

811,624

 

 

 

 

 

 

     

 

 

 

 

 

 

2,139,743

 

 

Hotels, Restaurants & Leisure—1.9%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.125%, 6/01/12

 

 

860

 

 

756,800

 

7.125%, 2/15/13

 

 

230

 

 

189,175

 

Gaylord Entertainment Co., 8%, 11/15/13

 

 

215

 

 

142,438

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(d)(e)

 

 

211

 

 

18,990

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10%, 12/15/15 (a)

 

 

20

 

 

5,600

 

10.75%, 2/01/16

 

 

191

 

 

26,740

 

10.75%, 2/01/18 (b)

 

 

473

 

 

29,018

 

10%, 12/15/18 (a)

 

 

179

 

 

50,120

 

Seneca Gaming Corp. Series B, 7.25%, 5/01/12

 

 

190

 

 

140,600

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (d)(e)

 

 

50

 

 

500

 

 

 

 

 

 

     

 

 

 

 

 

 

1,359,981

 

 

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

56

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

 

IT Services—0.7%

 

 

 

 

 

 

 

First Data Corp., 9.875%, 9/24/15

 

$

330

 

$

181,500

 

iPayment, Inc., 9.75%, 5/15/14

 

 

175

 

 

103,250

 

iPayment Investors LP, 12.75%, 7/15/14 (a)(b)

 

 

689

 

 

172,191

 

 

 

 

 

 

     

 

 

 

 

 

 

456,941

 

 

Independent Power Producers & Energy Traders—1.1%

 

 

 

 

 

 

 

AES Ironwood LLC, 8.875%, 11/30/25

 

 

97

 

 

87,478

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

47,125

 

7.375%, 2/01/16

 

 

400

 

 

369,000

 

Texas Competitive Electric Holdings Co. LLC, 10.50%,
11/01/16 (b)

 

 

500

 

 

240,000

 

 

 

 

 

 

     

 

 

 

 

 

 

743,603

 

 

Industrial Conglomerates—0.2%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

500

 

 

80,000

 

13.50%, 12/01/15 (b)

 

 

773

 

 

92,511

 

 

 

 

 

 

     

 

 

 

 

 

 

172,511

 

 

Insurance—0.5%

 

 

 

 

 

 

 

MetLife, Inc., 6.125%, 12/01/11

 

 

325

 

 

325,556

 

 

Machinery—0.6%

 

 

 

 

 

 

 

AGY Holding Corp., 11%, 11/15/14

 

 

260

 

 

156,000

 

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

 

 

110

 

 

33,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (a)

 

 

470

 

 

258,500

 

 

 

 

 

 

     

 

 

 

 

 

 

447,500

 

 

Marine—0.1%

 

 

 

 

 

 

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

156

 

 

93,600

 

 

Media—9.6%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

655

 

 

507,625

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

500

 

 

15,000

 

CSC Holdings, Inc. Series B, 8.125%, 7/15/09

 

 

130

 

 

132,275

 

Cablevision Systems Corp. Series B, 8.334%, 4/01/09 (c)

 

 

120

 

 

120,000

 

Charter Communications Holdings II, LLC (d)(e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

300

 

 

241,500

 

Series B, 10.25%, 9/15/10

 

 

95

 

 

76,000

 

DirecTV Holdings LLC, 8.375%, 3/15/13

 

 

210

 

 

212,100

 

EchoStar DBS Corp., 7%, 10/01/13

 

 

221

 

 

206,082

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

229

 

 

54,960

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

325

 

 

50,375

 

News America, Inc., 6.20%, 12/15/34

 

 

1,500

 

 

1,139,837

 

Nielsen Finance LLC, 10%, 8/01/14

 

 

1,035

 

 

853,875

 

Rainbow National Services LLC (a):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

210

 

 

210,263

 

10.375%, 9/01/14

 

 

1,455

 

 

1,489,556

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

1,000

 

 

952,922

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (a)

 

 

925

 

 

434,750

 

 

 

 

 

 

     

 

 

 

 

 

 

6,697,120

 

 

Metals & Mining—1.8%

 

 

 

 

 

 

 

AK Steel Corp., 7.75%, 6/15/12

 

 

95

 

 

81,700

 

Aleris International, Inc., 10%, 12/15/16 (d)(e)

 

 

315

 

 

394

 

FMG Finance Property Ltd., 10.625%, 9/01/16 (a)

 

 

430

 

 

365,500

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%, 4/01/15 (c)

 

 

630

 

 

470,925

 

Newmont Mining Corp., 1.625%, 7/15/17 (f)

 

 

200

 

 

215,750

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

145

 

 

125,425

 

 

 

 

 

 

     

 

 

 

 

 

 

1,259,694

 

 

Multi-Utilities—1.8%

 

 

 

 

 

 

 

DTE Energy Co., 7.05%, 6/01/11

 

 

250

 

 

252,335

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

1,000

 

 

1,014,778

 

 

 

 

 

 

     

 

 

 

 

 

 

1,267,113

 

 

Oil, Gas & Consumable Fuels—5.4%

 

 

 

 

 

 

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

100

 

 

51,000

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.375%, 6/15/15

 

 

130

 

 

106,275

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Chesapeake Energy Corp. (concluded):

 

 

 

 

 

 

 

9.50%, 2/15/15

 

$

750

 

$

697,500

 

7.25%, 12/15/18

 

 

410

 

 

333,125

 

2.25%, 12/15/38 (f)

 

 

275

 

 

146,094

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

225

 

 

75,375

 

Corral Finans AB, 2.594%, 4/15/10 (a)(b)

 

 

612

 

 

340,319

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

275

 

 

219,656

 

Encore Acquisition Co., 6%, 7/15/15

 

 

30

 

 

23,250

 

Forest Oil Corp., 7.25%, 6/15/19 (a)

 

 

710

 

 

568,000

 

Massey Energy Co., 3.25%, 8/01/15 (f)

 

 

580

 

 

368,300

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

320

 

 

108,800

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

250

 

 

267,298

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

305

 

 

205,113

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

15

 

 

12,600

 

7.25%, 5/01/13

 

 

300

 

 

244,500

 

 

 

 

 

 

     

 

 

 

 

 

 

3,767,205

 

 

Paper & Forest Products—0.6%

 

 

 

 

 

 

 

Bowater, Inc.:

 

 

 

 

 

 

 

9%, 8/01/09

 

 

200

 

 

51,000

 

4.996%, 3/15/10 (c)

 

 

60

 

 

10,800

 

NewPage Corp., 10%, 5/01/12

 

 

750

 

 

226,875

 

Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (c)

 

 

626

 

 

162,760

 

 

 

 

 

 

     

 

 

 

 

 

 

451,435

 

 

Pharmaceuticals—1.5%

 

 

 

 

 

 

 

Wyeth, 6.50%, 2/01/34

 

 

1,000

 

 

1,077,730

 

 

Real Estate Management & Development—0.0%

 

 

 

 

 

 

 

Realogy Corp., 12.375%, 4/15/15

 

 

195

 

 

23,400

 

 

Road & Rail—0.8%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

526,618

 

 

Software—0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(b)(c)

 

 

69

 

 

16,662

 

 

Specialty Retail—1.5%

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (c)

 

 

360

 

 

212,400

 

10.75%, 3/15/15

 

 

260

 

 

182,000

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (f)(g)

 

 

50

 

 

22,375

 

Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (d)(e)

 

 

357

 

 

28,560

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

280

 

 

95,550

 

11.375%, 11/01/16

 

 

175

 

 

41,344

 

Sonic Automotive, Inc. Series B, 8.625%, 8/15/13

 

 

1,400

 

 

434,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,016,229

 

 

Textiles, Apparel & Luxury Goods—0.1%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

100

 

 

50,000

 

 

Thrifts & Mortgage Finance—0.3%

 

 

 

 

 

 

 

Residential Capital LLC, 8.50%, 5/15/10 (a)

 

 

267

 

 

184,230

 

 

Wireless Telecommunication Services—6.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

185

 

 

168,812

 

10%, 7/15/15 (a)

 

 

160

 

 

147,600

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

570

 

 

424,650

 

9.125%, 1/15/15 (b)

 

 

439

 

 

307,300

 

iPCS, Inc., 3.295%, 5/01/13 (c)

 

 

20

 

 

14,400

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

1,105

 

 

1,044,225

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (a)

 

 

500

 

 

455,000

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.625%, 1/30/11

 

 

720

 

 

624,600

 

6.875%, 11/15/28

 

 

240

 

 

132,600

 

Vodafone Group Plc, 7.75%, 2/15/10

 

 

1,000

 

 

1,039,343

 

 

 

 

 

 

     

 

 

 

 

 

 

4,358,530

 

 

Total Corporate Bonds—69.0%

 

 

 

 

 

48,268,155

 

 

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

57




 

 


 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 

           

Auto Components—1.3%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.32%, 8/07/14

 

$

1,098

 

$

727,478

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

600

 

 

182,457

 

Delphi Corp.:

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 6/30/09

 

 

105

 

 

16,425

 

Subsequent Tranche Term Loan C, 10.50%, 6/30/09

 

 

10

 

 

1,564

 

 

 

 

 

 

     

 

 

 

 

 

 

927,924

 

               

Automobiles—0.2%

 

 

 

 

 

 

 

Ford Motor Company Term Loan, 5%, 12/15/13

 

 

249

 

 

79,410

 

General Motors Corp.Secured Term Loan, 4.148%, 11/29/13

 

 

223

 

 

79,986

 

 

 

 

 

 

     

 

 

 

 

 

 

159,396

 

               

Building Products—0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America Term
Loan Advance, 3.625%—3.875%, 2/22/14

 

 

248

 

 

169,142

 

Stile Acquisition Corp. (aka Masonite):

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

369

 

 

150,788

 

US Term Loan, 6.25%, 4/06/13

 

 

374

 

 

152,860

 

 

 

 

 

 

     

 

 

 

 

 

 

472,790

 

               

Chemicals—0.6%

 

 

 

 

 

 

 

PQ Corp. (aka Niagara Acquisition, Inc.) Loan
(Second Lien), 7.68%, 7/30/15

 

 

750

 

 

262,500

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

200

 

 

128,500

 

 

 

 

 

 

     

 

 

 

 

 

 

391,000

 

               

Health Care Providers & Services—0.9%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.729%, 7/25/14

 

 

27

 

 

22,658

 

Funded Term Loan, 2.729%—3.506%, 7/25/14

 

 

523

 

 

443,030

 

HCA Inc. Tranche A-1 Term Loan, 2.959%, 11/17/12

 

 

195

 

 

169,784

 

 

 

 

 

 

     

 

 

 

 

 

 

635,472

 

               

Independent Power Producers & Energy Traders—1.4

 

 

 

 

 

 

 

Calpine Generating Co., LLC Second Priority Term Loan,
4.335%, 3/29/14

 

 

199

 

 

144,342

 

Dynegy Holdings Inc.:

 

 

 

 

 

 

 

Letter of Credit Facility Term Loan, 1.98%, 4/02/13

 

 

166

 

 

136,956

 

Tranche B Term Loan, 1.98%, 4/02/13

 

 

10

 

 

7,774

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

Credit-Linked Deposit, 1.359%, 2/01/13

 

 

82

 

 

75,564

 

Term Loan, 1.869%—2.959%, 2/01/13

 

 

167

 

 

153,542

 

Texas Competitive Electric Holdings Co., LLC (TXU)
Initial Tranche B-2 Term Loan, 3.948%—4.451%,
10/10/14

 

 

746

 

 

465,541

 

 

 

 

 

 

     

 

 

 

 

 

 

983,719

 

               

Machinery—0.7%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.367%—3.729%, 1/19/12

 

 

180

 

 

128,850

 

Term Advance, 3.729%, 1/19/12

 

 

500

 

 

357,917

 

 

 

 

 

 

     

 

 

 

 

 

 

486,767

 

               

Media—0.5%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning) Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

498

 

 

348,250

 

               

Multiline Retail—0.1%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-1 Term Loan,
3.198%—3.924%, 7/07/14

 

 

100

 

 

86,341

 

               

Paper & Forest Products—0.1%

 

 

 

 

 

 

 

Georgia-Pacific LLC
Term B Loan, 2.956%—4.189%, 12/20/12

 

 

116

 

 

100,132

 

               

Total Floating Rate Loan Interests—6.5%

 

 

 

 

 

4,591,791

 

               

 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 

           

Commercial Mortgage-Backed Securities—1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A:

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (c)

 

$

745

 

$

677,950

 

Class AFX, 4.643%, 6/15/35 (a)

 

 

205

 

 

195,775

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36

 

 

115

 

 

107,525

 

               

Total Non-U.S.Government Agency
Mortgage-Backed Securities—1.4%

 

 

 

 

 

981,250

 

               

 

 

 

 

 

 

 

 


 

Common Stocks

 

 

Shares

 

 

 

 

               

Media—0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust

 

 

396,568

 

 

3,966

 

               

Total Common Stocks—0.0%

 

 

 

 

 

3,966

 

               

 

 

 

 

 

 

 

 


 

Preferred Securities

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Capital Trusts

 

 

Par
(000
)

 

 

 

 

               

Commercial Banks—1.8%

 

 

 

 

 

 

 

Barclays Bank Plc, 8.55% (a)(c)(h)

 

$

650

 

 

235,932

 

Wells Fargo & Co. Series K, 7.98%, (c)(h)

 

 

2,000

 

 

1,000,000

 

 

 

 

 

 

     

 

 

 

 

 

 

1,235,932

 

               

Diversified Financial Services—0.1%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (c)(h)

 

 

115

 

 

40,262

 

               

Total Capital Trusts—1.9%

 

 

 

 

 

1,276,194

 

               

 

 

 

 

 

 

 

 


 

Preferred Stocks

 

 

Shares

 

 

 

 

               

Capital Markets—0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75% (a)

 

 

23

 

 

10,005

 

               

Total Preferred Stocks—0.0%

 

 

 

 

 

10,005

 

               

Total Preferred Securities—1.9%

 

 

 

 

 

1,286,199

 

               

 

 

 

 

 

 

 

 


 

Other Interests (i)

 

 

Beneficial
Interest
(000
)

 

 

 

 

               

Health Care Providers & Services—0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

$

1

 

 

191

 

               

Media—0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust Escrow

 

 

400

 

 

5,500

 

               

Total Other Interests—0.0%

 

 

 

 

 

5,691

 

               

Total Long-Term Investments
(Cost—$76,224,462)—78.8%

 

 

 

 

 

55,137,052

 

               

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

58

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Schedule of Investments (concluded)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares
(000)

 

Value

 

           

BlackRock Liquidity Funds, TempFund
0.75% (j)(k)

 

 

13,542

 

$

13,541,578

 

               

Total Short-Term Securities
(Cost—$13,541,578)—19.4%

 

 

 

 

 

13,541,578

 

               

 

 

 

 

 

 

 

 


 

Options Purchased

 

 

Contracts

 

 

 

 

               

Over-the-Counter Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring
December 2009 at USD 942.86
Broker The Goldman Sachs & Co.

 

 

6

 

 

9,690

 

               

Total Options Purchased
(Cost—$5,867)—0.0%

 

 

 

 

 

9,690

 

               

Total Investments
(Cost—$89,771,907*)—98.2%

 

 

 

 

 

68,688,320

 

Other Assets Less Liabilities—1.8%

 

 

 

 

 

1,248,663

 

 

 

 

 

 

     

Net Assets—100.0%

 

 

 

 

$

69,936,983

 

 

 

 

 

 

     

 

 

*

The cost and unrealized appreciation (depreciation) as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

89,819,984

 

 

 

     

Gross unrealized appreciation

 

$

258,325

 

Gross unrealized depreciation

 

 

(21,389,989

)

 

 

     

Net unrealized depreciation

 

$

(21,131,664

)

 

 

     

 

 

(a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(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)

Non-income producing security

(e)

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

(f)

Convertible security.

(g)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown reflects the current yield at report date.

(h)

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

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

(j)

Represents the current yield as of report date.

(k)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

           

Affiliate

 

Net Activity

 

Income

 

           

BlackRock Liquidity Funds, TempFund

 

$

13,541,578

 

$

11,578

 

               

 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 - price quotations in active markets/exchanges for identical securities

 

 

 

 

Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

             

Valuation
Inputs

 

 

Investments in
Securities

 

Other
Financial
Instruments*

 

             

 

 

 

Assets

 

Assets

 

 

 

 

 

 

   

Level 1

 

 

$

3,965

 

 

 

Level 2

 

 

 

66,684,976

 

$

9,690

 

Level 3

 

 

 

1,989,689

 

 

 

                 

Total

 

 

$

68,678,630

 

$

9,690

 

 

 

 

           

 

 

*

Other financial instruments are options, which are shown at market value.

The following is a reconciliation of investments for unobservable inputs (Level 3) were used in determining fair value:

 

 

 

 

 

       

 

 

Investments in
Securities

 

       

 

 

Assets

 

 

 

 

 

Balance as of August 31, 2008

 

$

359,476

 

Accrued discounts/premiums

 

 

24,939

 

Realized gain

 

 

783

 

Change in unrealized appreciation/depreciation1

 

 

(2,212,087

)

Net sales

 

 

(47,738

)

Net transfers in Level 3

 

 

3,864,316

 

 

 

     

Balance as of February 28, 2009

 

$

1,989,689

 

 

 

     

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

59



 

 


 

Statements of Assets and Liabilities

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2009 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate High
Yield V, Inc.
(HYV)

 

BlackRock
Corporate High
Yield VI, Inc.
(HYT)

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value - unaffiliated1

 

$

363,615,267

 

$

263,337,352

 

$

287,384,703

 

$

84,710,263

 

$

28,845,504

 

Investments at value - affiliated2

 

 

 

 

11,058,272

 

 

11,405,172

 

 

5,081,539

 

 

2,491,381

 

Unrealized appreciation on foreign currency exchange contracts

 

 

26,555

 

 

415,295

 

 

445,979

 

 

72,172

 

 

 

Unrealized appreciation on swaps

 

 

19,343,667

 

 

11,270

 

 

12,210

 

 

 

 

 

Unrealized on unfunded loan commitment

 

 

 

 

 

 

6,098

 

 

 

 

 

Foreign currency at value3

 

 

23,811

 

 

266,817

 

 

289,440

 

 

17,478

 

 

 

Cash

 

 

 

 

 

 

 

 

14,112

 

 

9,965

 

TBA sales commitment receivable

 

 

32,650,277

 

 

 

 

 

 

 

 

 

Investments sold receivable

 

 

6,911,422

 

 

297,261

 

 

340,151

 

 

157,076

 

 

42,695

 

Interest receivable

 

 

4,422,912

 

 

7,959,451

 

 

8,877,875

 

 

2,673,172

 

 

869,781

 

Swaps receivable

 

 

3,264,158

 

 

143,311

 

 

83,921

 

 

 

 

 

Income receivable - affiliated

 

 

262

 

 

514

 

 

130

 

 

5,059

 

 

68

 

Commitment fees receivable

 

 

 

 

 

 

51

 

 

21

 

 

 

Principal paydown receivable

 

 

8,420

 

 

258

 

 

80,683

 

 

 

 

 

Prepaid expenses

 

 

39,010

 

 

16,666

 

 

17,874

 

 

15,357

 

 

5,268

 

Other assets

 

 

28,787

 

 

71,044

 

 

105,593

 

 

5,688

 

 

5,982

 

 

 

                             

Total assets

 

 

430,334,548

 

 

283,577,511

 

 

309,049,880

 

 

92,751,937

 

 

32,270,644

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

 

 

48,700,000

 

 

57,900,000

 

 

18,000,000

 

 

4,250,000

 

Bank overdraft

 

 

454,847

 

 

336,781

 

 

57,279

 

 

 

 

 

Unrealized depreciation on swaps

 

 

11,821,855

 

 

5,228,289

 

 

5,595,640

 

 

 

 

 

TBA sale commitments at value4

 

 

32,655,864

 

 

 

 

 

 

 

 

 

Options written at value5

 

 

9,502,543

 

 

 

 

 

 

 

 

 

Borrowed bonds at value6

 

 

 

 

 

 

 

 

 

 

 

Interest rate floors at value

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

55,211,371

 

 

 

 

 

 

 

 

 

Cash held as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

Swaps premiums received

 

 

483,000

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

29,961,222

 

 

1,908,383

 

 

1,761,089

 

 

593,716

 

 

107,150

 

Margin variation payable

 

 

1,826,104

 

 

 

 

 

 

 

 

 

Interest expense payable

 

 

17,132

 

 

19,560

 

 

13,906

 

 

4,003

 

 

1,205

 

Income dividends payable

 

 

 

 

159,297

 

 

176,750

 

 

45,773

 

 

 

Investment advisory fees payable

 

 

157,678

 

 

134,935

 

 

172,096

 

 

56,394

 

 

27,298

 

Swaps payable

 

 

998,885

 

 

1,055

 

 

1,018

 

 

 

 

 

Officer’s and Directors’/Trustees’ fees payable

 

 

30,002

 

 

17,927

 

 

18,902

 

 

7,062

 

 

6,295

 

Deferred Income

 

 

 

 

 

 

6,098

 

 

 

 

 

Administration fee payable

 

 

 

 

 

 

 

 

 

 

2,621

 

Other affiliates payable

 

 

2,455

 

 

2,655

 

 

2,830

 

 

860

 

 

 

Other accrued expenses payable

 

 

154,440

 

 

 

 

12,833

 

 

69,611

 

 

53,105

 

Other liabilities

 

 

363,231

 

 

19,127

 

 

110,776

 

 

 

 

19,146

 

 

 

                             

Total liabilities

 

 

143,640,629

 

 

56,528,009

 

 

65,829,217

 

 

18,777,419

 

 

4,466,820

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

$

286,693,919

 

$

227,049,502

 

$

243,220,663

 

$

73,974,518

 

$

27,803,824

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par value per share7,8

 

$

27,023

 

$

3,294,409

 

$

3,528,644

 

 

 

$

6,422

 

Paid-in capital in excess of par

 

 

378,644,915

 

 

466,525,752

 

 

501,493,556

 

$

343,233,097

 

 

87,186,620

 

Cost of shares held in treasury9

 

 

 

 

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

1,604,592

 

 

859,996

 

 

2,067,700

 

 

449,894

 

 

(236,598

)

Accumulated net realized loss

 

 

(38,942,517

)

 

(70,430,056

)

 

(78,952,263

)

 

(219,232,464

)

 

(38,992,134

)

Net unrealized appreciation/depreciation

 

 

(54,640,094

)

 

(173,200,599

)

 

(184,916,974

)

 

(50,476,009

)

 

(20,160,486

)

 

 

                             

Net Assets

 

$

286,693,919

 

$

227,049,502

 

$

243,220,663

 

$

73,974,518

 

$

27,803,824

 

 

 

                             

Net asset value

 

$

10.61

 

$

6.89

 

$

6.89

 

$

1.35

 

$

4.33

 

 

 

                             

1 Investments at cost - unaffiliated

 

$

418,649,430

 

$

431,707,590

 

$

467,110,477

 

$

135,257,327

 

$

49,005,990

 

2 Investments at cost - affiliated

 

 

 

$

11,058,272

 

 

11,405,172

 

$

5,081,539

 

$

2,491,381

 

3 Foreign currency at cost

 

$

24,188

 

$

271,691

 

$

323,022

 

$

17,503

 

 

 

4 Proceeds from TBA sale commitments

 

$

32,650,277

 

 

 

 

 

 

 

 

 

5 Premiums received from options written

 

$

6,422,598

 

 

 

 

 

 

 

 

 

6 Proceeds from borrowed bonds

 

 

 

 

 

 

 

 

 

 

 

7 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

$

0.001

 

8 Shares outstanding

 

 

27,023,027

 

 

32,944,087

 

 

35,286,436

 

 

54,620,873

 

 

6,422,396

 

9 Shares held in treasury

 

 

 

 

 

 

 

 

 

 

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

60

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 



 

 

 

 

 

 

 

 

 

 

 

February 28, 2009 (Unaudited)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income Trust,
Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Assets

 

 

 

 

 

 

 

 

 

 

Investments at value - unaffiliated1

 

$

358,887,906

 

$

663,299,582

 

$

55,146,742

 

Investments at value - affiliated2

 

 

 

 

77,647,966

 

 

13,541,578

 

Unrealized appreciation on foreign currency exchange contracts

 

 

19,019

 

 

 

 

 

Unrealized appreciation on swaps

 

 

21,621,598

 

 

52,623,280

 

 

 

Unrealized on unfunded loan commitment

 

 

 

 

 

 

 

Foreign currency at value3

 

 

1,444

 

 

 

 

 

Cash

 

 

 

 

576,983

 

 

15,281

 

TBA sales commitment receivable

 

 

19,226,367

 

 

11,127,031

 

 

 

Investments sold receivable

 

 

849,622

 

 

198,841

 

 

126,784

 

Interest receivable

 

 

4,142,794

 

 

3,195,923

 

 

1,395,922

 

Swaps receivable

 

 

3,961,055

 

 

5,625,162

 

 

 

Income receivable - affiliated

 

 

 

 

 

 

 

Commitment fees receivable

 

 

 

 

 

 

 

Principal paydown receivable

 

 

234,407

 

 

563,471

 

 

 

Prepaid expenses

 

 

42,472

 

 

40,294

 

 

8,724

 

Other assets

 

 

44,786

 

 

53,008

 

 

4,959

 

 

 

                 

Total assets

 

 

409,031,470

 

 

814,951,541

 

 

70,239,990

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

 

 

 

 

 

Bank overdraft

 

 

718,967

 

 

 

 

 

Unrealized depreciation on swaps

 

 

14,542,403

 

 

37,655,182

 

 

 

TBA sale commitments at value4

 

 

19,171,726

 

 

11,171,901

 

 

 

Options written at value5

 

 

10,881,941

 

 

4,875,665

 

 

 

Borrowed bonds at value6

 

 

 

 

21,502,741

 

 

 

Interest rate floors at value

 

 

 

 

12,529,102

 

 

 

Reverse repurchase agreements

 

 

35,556,425

 

 

 

 

 

Cash held as collateral in connection with swaps

 

 

 

 

 

 

 

Swaps premiums received

 

 

484,499

 

 

1,586,246

 

 

 

Investments purchased payable

 

 

23,895,105

 

 

293,069,581

 

 

178,923

 

Margin variation payable

 

 

1,798,034

 

 

201,192

 

 

 

Interest expense payable

 

 

10,512

 

 

 

 

 

Income dividends payable

 

 

58,096

 

 

54,706

 

 

14,290

 

Investment advisory fees payable

 

 

147,164

 

 

210,706

 

 

37,057

 

Swaps payable

 

 

1,930,058

 

 

6,353,040

 

 

 

Officer’s and Directors’/Trustees’ fees payable

 

 

50,626

 

 

54,366

 

 

5,424

 

Deferred Income

 

 

 

 

 

 

 

Administration fee payable

 

 

24,593

 

 

50,407

 

 

 

Other affiliates payable

 

 

 

 

 

 

866

 

Other accrued expenses payable

 

 

171,966

 

 

424,160

 

 

 

Other liabilities

 

 

 

 

245,601

 

 

66,447

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                 

Total liabilities

 

 

109,442,115

 

 

389,984,596

 

 

303,007

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

$

299,589,355

 

$

424,966,945

 

$

69,936,983

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

Par value per share7,8

 

$

344,497

 

$

639,425

 

$

7,058

 

Paid-in capital in excess of par

 

 

402,521,909

 

 

478,686,574

 

 

98,443,594

 

Cost of shares held in treasury9

 

 

(17,377,850

)

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

1,663,691

 

 

8,098,242

 

 

(53,399

)

Accumulated net realized loss

 

 

(37,123,551

)

 

(62,273,037

)

 

(7,376,683

)

Net unrealized appreciation/depreciation

 

 

(50,439,341

)

 

(184,259

)

 

(21,083,587

)

 

 

                 

Net Assets

 

$

299,589,355

 

$

424,966,945

 

$

69,936,983

 

 

 

                 

Net asset value

 

$

8.70

 

$

6.65

 

$

9.91

 

 

 

                 

1 Investments at cost - unaffiliated

 

$

409,072,320

 

$

659,373,255

 

$

76,230,329

 

2 Investments at cost - affiliated

 

 

 

$

77,647,966

 

$

13,541,578

 

3 Foreign currency at cost

 

$

1,389

 

 

 

 

 

4 Proceeds from TBA sale commitments

 

$

19,226,367

 

$

11,127,031

 

 

 

5 Premiums received from options written

 

$

7,443,775

 

$

2,829,409

 

 

 

6 Proceeds from borrowed bonds

 

 

 

$

19,383,094

 

 

 

7 Par value per share

 

$

0.010

 

$

0.010

 

$

0.001

 

8 Shares outstanding

 

 

34,449,693

 

 

63,942,536

 

 

7,058,402

 

9 Shares held in treasury

 

 

1,757,400

 

 

 

 

 


 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

61



 

 


 

Statements of Operations

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2009 (Unaudited)

 

BlackRock
Core
Bond Trust
(BHK)

 

BlackRock
Corporate
High Yield Fund V, Inc.
(HYV)

 

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

 

BlackRock
High Income
Shares
(HIS)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

12,140,759

 

$

20,612,178

 

$

22,100,908

 

$

6,313,701

 

Dividends

 

 

 

 

55

 

 

5

 

 

38,975

 

Facility and other fees

 

 

4,425

 

 

198,719

 

 

199,751

 

 

21,314

 

Income - affiliated

 

 

65,975

 

 

25,172

 

 

27,428

 

 

2,043

 

 

 

                       

Total income

 

 

12,211,159

 

 

20,836,124

 

 

22,328,092

 

 

6,376,033

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

1,010,625

 

 

1,032,822

 

 

1,304,047

 

 

414,007

 

Professional

 

 

47,416

 

 

240,230

 

 

262,768

 

 

54,203

 

Accounting services

 

 

37,141

 

 

24,149

 

 

29,315

 

 

10,283

 

Printing

 

 

28,712

 

 

7,090

 

 

11,231

 

 

20,624

 

Custodian

 

 

18,060

 

 

9,560

 

 

11,336

 

 

8,612

 

Officer and Directors/Trustees

 

 

8,415

 

 

7,141

 

 

6,818

 

 

3,924

 

Transfer agent

 

 

5,750

 

 

14,760

 

 

11,752

 

 

11,743

 

Registration

 

 

4,211

 

 

3,109

 

 

3,424

 

 

8,607

 

Borrowing costs1

 

 

 

 

279,943

 

 

306,211

 

 

66,171

 

Administration

 

 

 

 

 

 

 

 

 

Miscellaneous

 

 

43,269

 

 

21,563

 

 

21,939

 

 

24,900

 

 

 

                       

Total expenses excluding interest expense

 

 

1,203,599

 

 

1,640,367

 

 

1,968,841

 

 

623,074

 

Interest expense

 

 

599,044

 

 

1,508,371

 

 

1,704,455

 

 

404,750

 

 

 

                       

Total expenses

 

 

1,802,643

 

 

3,148,738

 

 

3,673,296

 

 

1,027,824

 

Less fees waived by advisor

 

 

(782

)

 

 

 

 

 

(283

)

Less fees paid indirectly

 

 

 

 

(504

)

 

(562

)

 

(191

)

 

 

                       

Total expenses after fees waived and paid indirectly

 

 

1,801,861

 

 

3,148,234

 

 

3,672,734

 

 

1,027,350

 

 

 

                       

Net investment income

 

 

10,409,298

 

 

17,687,890

 

 

18,655,358

 

 

5,348,683

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(14,733,501

)2

 

(42,563,040

)

 

(45,053,170

)

 

(12,209,519

)

Futures and swaps

 

 

(2,866,630

)

 

(3,919,703

)

 

(4,143,645

)

 

 

Foreign currency

 

 

761,246

 

 

997,221

 

 

1,071,764

 

 

168,192

 

Options written

 

 

948,805

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

 

(15,890,080

)

 

(45,485,522

)

 

(48,125,051

)

 

(12,041,327

)

 

 

                       

Net change in unrealized appreciation/
depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(35,560,255

)

 

(114,990,595

)

 

(122,058,894

)

 

(34,887,286

)

Futures and swaps

 

 

(4,343,090

)

 

(2,623,720

)

 

(2,825,209

)

 

 

Foreign currency

 

 

(3,376,827

)

 

238,855

 

 

238,307

 

 

60,715

 

Options written

 

 

(464,866

)

 

 

 

 

 

 

TBA sale commitments

 

 

348,979

 

 

 

 

 

 

 

Borrowed bonds

 

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

Unfunded corporate loans

 

 

 

 

 

 

6,098

 

 

 

 

 

                       

 

 

 

(43,396,059

)

 

(117,375,460

)

 

(124,639,698

)

 

(34,826,571

)

 

 

                       

Total realized and unrealized loss

 

 

(59,286,139

)

 

(162,860,982

)

 

(172,764,749

)

 

(46,867,898

)

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Decrease in Net Assets
Resulting from Operations

 

$

(48,876,841

)

$

(145,173,092

)

$

(154,109,391

)

$

(41,519,215

)


 

 

1

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

2

Includes $11,657 from affiliates.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

62

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Statements of Operations

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2009 (Unaudited)

 

BlackRock
High Yield Trust
(BHY)

 

BlackRock
Income Opportunity Trust, Inc.
(BNA)

 

BlackRock
Income Trust Inc.
(BKT)

 

BlackRock
Strategic Bond Trust
(BHD)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

2,117,830

 

$

11,826,019

 

$

12,659,279

 

$

3,403,275

 

Dividends

 

 

 

 

13,194

 

 

 

 

805

 

Facility and other fees

 

 

6,473

 

 

 

 

 

 

 

Income-affiliated

 

 

1,975

 

 

91,526

 

 

53,146

 

 

11,239

 

 

 

                       

Total income

 

 

2,126,278

 

 

11,930,739

 

 

12,712,425

 

 

3,415,319

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

201,518

 

 

944,718

 

 

1,373,206

 

 

278,504

 

Borrowing

 

 

26,198

 

 

 

 

 

 

 

Professional

 

 

43,210

 

 

45,359

 

 

48,124

 

 

32,479

 

Accounting services

 

 

8,044

 

 

35,552

 

 

45,707

 

 

8,800

 

Transfer agent

 

 

5,891

 

 

9,576

 

 

25,865

 

 

5,605

 

Registration

 

 

4,291

 

 

3,564

 

 

9,160

 

 

4,227

 

Printing

 

 

9,644

 

 

37,438

 

 

35,705

 

 

7,896

 

Officer and Directors/Trustees

 

 

 

 

9,852

 

 

12,604

 

 

3,138

 

Custodian

 

 

5,794

 

 

20,021

 

 

24,497

 

 

5,491

 

Administration

 

 

19,192

 

 

157,453

 

 

316,894

 

 

 

Miscellaneous

 

 

22,739

 

 

43,026

 

 

42,821

 

 

21,075

 

 

 

                       

Total expenses excluding interest expense

 

 

346,521

 

 

1,306,559

 

 

1,934,583

 

 

367,215

 

Interest expense

 

 

118,133

 

 

266,131

 

 

461,096

 

 

2,245

 

 

 

                       

Total expenses

 

 

464,654

 

 

1,572,690

 

 

2,395,679

 

 

369,460

 

Less fees waived by advisor

 

 

(227

)

 

(391

)

 

(7,724

)

 

(37,038

)

Less fees paid indirectly

 

 

(204

)

 

(237

)

 

 

 

(226

)

 

 

                       

Total expenses after waiver and fees paid indirectly

 

 

464,223

 

 

1,572,062

 

 

2,387,955

 

 

332,196

 

 

 

                       

Net investment income

 

 

1,662,055

 

 

10,358,677

 

 

10,324,470

 

 

3,083,123

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(3,502,873

)

 

(15,248,725

)1

 

26,738,6062

 

 

(4,865,042

)

Futures and swaps

 

 

(183,602

)

 

(3,421,474

)

 

(8,088,681

)

 

(66,817

)

Foreign currency

 

 

 

 

788,302

 

 

 

 

 

Options written

 

 

 

 

842,993

 

 

1,980,000

 

 

 

Interest rate floors

 

 

 

 

 

 

484,699

 

 

 

 

 

                       

 

 

 

(3,686,475

)

 

(17,038,904

)

 

21,114,624

 

 

(4,931,859

)

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation/
depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(12,120,480

)

 

(31,010,376

)

 

(29,650,966

)

 

(15,127,623

)

Futures and swaps

 

 

(61

)

 

(4,655,526

)

 

(4,891,999

)

 

81,859

 

Foreign currency

 

 

 

 

(523,741

)

 

 

 

 

Options written

 

 

 

 

(3,751,628

)

 

(2,396,158

)

 

 

TBA sale commitments

 

 

 

 

296,837

 

 

97,535

 

 

 

Borrowed bonds

 

 

 

 

 

 

(679,632

)

 

 

Interest rate floors

 

 

 

 

 

 

(3,797,114

)

 

 

Unfunded corporate loans

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

 

(12,120,541

)

 

(39,644,434

)

 

(41,318,334

)

 

(15,045,764

)

 

 

                       

Total realized and unrealized loss

 

 

(15,807,016

)

 

(56,683,338

)

 

(20,203,710

)

 

(19,977,623

)

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Decrease in Net Assets
Resulting from Operations

 

$

(14,144,961

)

$

(46,324,661

)

$

(9,879,240

)

$

(16,894,500

)

 

 

                       

 

 

1

Includes $11,931 from affiliates

 

2

Includes $(2) from affiliates.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

63



 


 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period November 1,
2007 to
August 31, 2008

 

Year Ended
October 31,
2007

 

Operations

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

10,409,298

 

$

13,641,713

 

$

19,706,087

 

Net realized gain (loss)

 

 

(15,890,080

)

 

(8,544,877

)

 

341,954

 

Net change in unrealized appreciation/depreciation

 

 

(43,396,059

)

 

(10,368,703

)

 

(3,507,844

)

 

 

                 

Net increase (decrease) in net assets resulting from operations

 

 

(48,876,841

)

 

(5,271,867

)

 

16,540,197

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(10,650,990

)

 

(16,387,174

)

 

(16,495,698

)

Net realized gain

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

(499,560

)

 

(5,227,396

)

 

 

                 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(10,650,990

)

 

(16,886,734

)

 

(21,723,094

)

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

45,124

 

 

 

 

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

Total decrease in net assets

 

 

(59,482,707

)

 

(22,158,601

)

 

(5,182,897

)

Beginning of period

 

 

346,176,626

 

 

368,335,227

 

 

373,518,124

 

 

 

                 

End of period

 

$

286,693,919

 

$

346,176,626

 

$

368,335,227

 

 

 

                 

End of period undistributed (distributions in excess of) net investment income

 

$

1,604,592

 

$

1,846,284

 

$

(1,696,051

)

 

 

                 

 

 

1

A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or net realized gain at fiscal year end.


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Income Shares (HIS)

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period January 1,
2008 to
August 31, 2008

 

Year Ended
December 31,
2007

 

Operations

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

5,348,683

 

$

8,117,286

 

$

12,884,718

 

Net realized gain (loss)

 

 

(12,041,327

)

 

(7,079,170

)

 

(1,962,158

)

Net change in unrealized appreciation/depreciation

 

 

(34,826,571

)

 

(7,369,210

)

 

(9,438,736

)

 

 

                 

Net increase (decrease) in net assets resulting from operations

 

 

(41,519,215

)

 

(6,331,094

)

 

1,483,824

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(6,314,610

)

 

(6,958,699

)

 

(12,923,299

)

Net realized gain

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

                 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(6,314,610

)

 

(6,958,699

)

 

(12,923,299

)

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

 

 

 

 

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(47,833,825

)

 

(13,289,793

)

 

(11,439,475

)

Beginning of period

 

 

121,808,343

 

 

135,098,136

 

 

146,537,611

 

 

 

                 

End of period

 

$

73,974,518

 

$

121,808,343

 

$

135,098,136

 

 

 

                 

End of period undistributed (distributions in excess of) net investment income

 

$

449,894

 

$

1,415,821

 

$

(33,209

)

 

 

                 

 

 

1

A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or net realized gain at fiscal year end.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

64

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Corporate High Yield

Fund V, Inc. (HYV)

 

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

 

 

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Year Ended
August 31,
2008

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Year Ended
August 31,
2008

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

17,687,890

 

$

38,907,940

 

$

18,655,358

 

$

40,916,220

 

Net realized gain (loss)

 

 

(45,485,522

)

 

(24,400,710

)

 

(48,125,051

)

 

(27,115,557

)

Net change in unrealized appreciation/depreciation

 

 

(117,375,460

)

 

(36,644,816

)

 

(124,639,698

)

 

(38,782,173

)

 

 

                       

Net increase (decrease) in net assets resulting from operations

 

 

(145,173,092

)

 

(22,137,586

)

 

(154,109,391

)

 

(24,981,510

)

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(21,166,444

)

 

(38,515,495

)

 

(22,171,879

)

 

(42,767,302

)

Net realized gain

 

 

 

 

(1,667,429

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

                       

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(21,166,444

)

 

(40,182,924

)

 

(22,171,879

)

 

(42,767,302

)

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

 

 

 

 

 

 

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total decrease in net assets

 

 

(166,339,536

)

 

(62,320,510

)

 

(176,281,270

)

 

(67,748,812

)

Beginning of period

 

 

393,389,038

 

 

455,709,548

 

 

419,501,933

 

 

487,250,745

 

 

 

                       

End of period

 

$

227,049,502

 

$

393,389,038

 

$

243,220,663

 

$

419,501,933

 

 

 

                       

End of period undistributed (distributions in excess of) net investment income

 

$

859,996

 

$

4,338,550

 

$

2,067,700

 

$

5,584,221

 

 

 

                       

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock
Income Opportunity Trust (BNA)

 

 

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period November 1,
2007 to
August 31, 2008

 

Year Ended
October 31,
2007

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period November 1,
2007 to
August 31, 2008

 

Year Ended
October 31,
2007

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,662,055

 

$

3,222,658

 

$

4,031,885

 

$

10,358,677

 

$

18,219,919

 

$

21,461,718

 

Net realized gain (loss)

 

 

(3,686,475

)

 

(2,046,912

)

 

(2,450,156

)

 

(17,038,904

)

 

(14,439,291

)

 

2,113,139

 

Net change in unrealized appreciation/depreciation

 

 

(12,120,541

)

 

(4,787,603

)

 

2,730,808

 

 

(39,644,434

)

 

(9,222,740

)

 

(6,083,476

)

 

 

                                   

Net increase (decrease) in net assets resulting from operations

 

 

(14,144,961

)

 

(3,611,857

)

 

4,312,537

 

 

(46,324,661

)

 

(5,442,112

)

 

17,491,381

 

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(1,964,343

)

 

(3,273,618

)

 

(3,927,807

)

 

(10,541,606

)

 

(17,707,143

)

 

(20,862,233

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(1,874,570

)

 

 

                                   

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(1,964,343

)

 

(3,273,618

)

 

(3,927,807

)

 

(10,541,606

)

 

(17,707,143

)

 

(22,736,803

)

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

16,347

 

 

 

 

12,289

 

 

 

 

 

 

 

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(16,092,957

)

 

(6,885,475

)

 

397,019

 

 

(56,866,267

)

 

(23,149,255

)

 

(5,245,422

)

Beginning of period

 

 

43,896,781

 

 

50,782,256

 

 

50,385,237

 

 

356,455,622

 

 

379,604,877

 

 

384,850,299

 

 

 

                                   

End of period

 

$

27,803,824

 

$

43,896,781

 

$

50,782,256

 

$

299,589,355

 

$

356,455,622

 

$

379,604,877

 

 

 

                                   

End of period undistributed (distributions in excess of) net investment income

 

$

(236,598

)

$

65,690

 

$

116,650

 

$

1,663,691

 

$

1,846,620

 

$

768,824

 

 

 

                                   

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

65



 


 

Statements of Changes in Net Assets (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

 

 

 

Increase (Decrease) in Net Assets

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period November 1,
2007 to
August 31, 2008

 

Year Ended
October 31,
2007

 

Operations

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

10,324,470

 

$

16,649,258

 

$

18,973,713

 

Net realized gain (loss)

 

 

21,114,624

 

 

(9,938,710

)

 

(10,368,025

)

Net change in unrealized appreciation/depreciation

 

 

(41,318,334

)

 

35,486,218

 

 

18,371,718

 

 

 

                 

Net increase (decrease) in net assets resulting from operations

 

 

(9,879,240

)

 

42,196,766

 

 

26,977,406

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(9,207,725

)

 

(15,793,807

)

 

(18,808,452

)

Net realized gain

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

(4,978,175

)

 

 

                 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(9,207,725

)

 

(15,793,807

)

 

(23,786,627

)

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(19,086,965

)

 

26,402,959

 

 

3,190,779

 

Beginning of period

 

 

444,053,910

 

 

417,650,951

 

 

414,460,172

 

 

 

                 

End of period

 

$

424,966,945

 

$

444,053,910

 

$

417,650,951

 

 

 

                 

End of period undistributed (distributions in excess of) net investment income

 

$

8,098,242

 

$

6,981,497

 

$

(6,313,294

)

 

 

                 

 

 

1

A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or net realized gain at fiscal year end.


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Strategic Bond Trust (BHD)

 

 

 

 

Increase (Decrease) in Net Assets

 

Six Months
Ended
February 28, 2009
(Unaudited)

 

Period November 1,
2007 to
August 31, 2008

 

Year Ended
October 31,
2007

 

Operations

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

3,083,123

 

$

5,362,221

 

$

6,735,537

 

Net realized gain (loss)

 

 

(4,931,859

)

 

(1,927,321

)

 

999,009

 

Net change in unrealized appreciation/depreciation

 

 

(15,045,764

)

 

(5,317,189

)

 

(1,416,472

)

 

 

                 

Net increase (decrease) in net assets resulting from operations

 

 

(16,894,500

)

 

(1,882,289

)

 

6,318,074

 

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

Net investment income1

 

 

(3,260,982

)

 

(5,434,969

)

 

(6,521,963

)

 

 

                 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

Total decrease in net assets

 

 

(20,155,482

)

 

(7,317,258

)

 

(203,889

)

Beginning of period

 

 

90,092,465

 

 

97,409,723

 

 

97,613,612

 

 

 

                 

End of period

 

$

69,936,983

 

$

90,092,465

 

$

97,409,723

 

 

 

                 

End of period undistributed (distributions in excess of) net investment income

 

$

(53,399

)

$

124,460

 

$

197,208

 

 

 

                 

 

 

1

A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or net realized gain at fiscal year end.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

66

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2009 (Unaudited)

 

BlackRock
Core
Bond Trust
(BHK)

 

BlackRock
Corporate High
Yield Fund V, Inc.
(HYV)

 

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

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 

Cash Used for/Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net decrease in net assets resulting from operations

 

$

(48,876,841

)

$

(145,173,092

)

$

(154,109,391

)

$

(41,519,215

)

$

(14,144,961

)

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Decrease in receivables

 

 

241,008

 

 

2,814,603

 

 

2,721,010

 

 

904,087

 

 

307,114

 

Increase (decrease) in prepaid expenses and other assets

 

 

18,664

 

 

(55,692

)

 

(89,282

)

 

5,034

 

 

4,005

 

Increase (decrease) in other liabilities

 

 

334,983

 

 

(216,488

)

 

(182,092

)

 

(190,398

)

 

(18,203

)

Net realized and unrealized loss

 

 

56,104,538

 

 

159,567,696

 

 

168,305,386

 

 

47,051,440

 

 

15,611,723

 

Amortization of premium and discount on investments

 

 

1,749,364

 

 

(1,362,494

)

 

(1,461,323

)

 

(289,390

)

 

(83,973

)

Paid-in-kind Income

 

 

 

 

(3,057

)

 

(378,311

)

 

(81,070

)

 

(66,439

)

Increase in TBA sale commitments

 

 

11,651,978

 

 

 

 

 

 

 

 

 

Premiums received from options written

 

 

(2,057,733

)

 

 

 

 

 

 

 

 

Proceeds from sales and paydowns of long-term securities

 

 

878,197,385

 

 

140,924,802

 

 

140,914,714

 

 

34,494,843

 

 

10,734,449

 

Purchases of long-term securities

 

 

(842,513,326

)

 

(84,893,195

)

 

(83,358,770

)

 

(21,679,565

)

 

(7,463,362

)

Net proceeds (purchases) of short-term investments

 

 

3,003,523

 

 

(4,710,831

)

 

2,872,011

 

 

(3,473,120

)

 

(981,729

)

Premiums paid on closing options written

 

 

1,239,152

 

 

 

 

 

 

 

 

 

 

 

                             

Cash provided by operating activities

 

 

59,092,695

 

 

66,892,252

 

 

75,233,952

 

 

15,222,646

 

 

3,898,624

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

 

 

30,000,000

 

 

34,000,000

 

 

15,000,000

 

 

14,000,000

 

Cash payments from borrowings

 

 

 

 

(76,000,000

)

 

(87,000,000

)

 

(24,000,000

)

 

(16,000,000

)

Cash receipts from reverse repurchase agreements

 

 

189,118,619

 

 

 

 

 

 

 

 

 

Cash payments from reverse repurchase agreements

 

 

(241,597,543

)

 

 

 

 

 

 

 

 

Cash dividends paid to shareholders

 

 

(10,703,915

)

 

(21,167,647

)

 

(22,179,730

)

 

(6,309,582

)

 

(1,966,762

)

Increase in bank overdraft

 

 

454,847

 

 

336,781

 

 

57,279

 

 

 

 

 

 

 

                             

Cash used for financing activities

 

 

(62,727,992

)

 

(66,830,866

)

 

(75,122,451

)

 

(15,309,582

)

 

(3,966,762

)

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

33,128

 

 

(4,874

)

 

33,581

 

 

(24

)

 

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash

 

 

(3,602,169

)

 

56,512

 

 

145,082

 

 

(86,960

)

 

(68,138

)

Cash at beginning of period

 

 

3,625,980

 

 

210,305

 

 

144,358

 

 

118,550

 

 

78,103

 

 

 

                             

Cash at end of period

 

$

23,811

 

$

266,817

 

$

289,440

 

$

31,590

 

$

9,965

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid for interest

 

$

832,960

 

$

1,558,517

 

$

1,767,834

 

$

420,814

 

$

121,659

 

 

 

                             

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to shareholders

 

$

45,124

 

 

 

 

 

 

 

$

16,347

 

 

 

                             

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

67



 

 


 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
November 1, 2007
to August 31, 2008

 

Year Ended October 31,

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

$

14.33

 

 

 

                                         

Net investment income

 

 

0.39

1

 

0.50

1

 

0.74

 

 

0.66

 

 

0.78

 

 

0.92

 

 

0.83

 

Net realized and unrealized gain (loss)

 

 

(2.20

)

 

(0.69

)

 

(0.13

)

 

0.11

 

 

(0.37

)

 

0.66

 

 

0.77

 

 

 

                                         

Net increase (decrease) from investment operations

 

 

(1.81

)

 

(0.19

)

 

0.61

 

 

0.77

 

 

0.41

 

 

1.58

 

 

1.60

 

 

 

                                         

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(0.39

)

 

(0.61

)

 

(0.61

)

 

(0.93

)

 

(1.01

)

 

(0.86

)

 

(1.00

)

Net realized gain

 

 

 

 

 

 

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

 

(0.18

)

Tax return of capital

 

 

 

 

(0.02

)

 

(0.19

)

 

 

 

 

 

 

 

 

 

 

                                         

Total dividends and distributions

 

 

(0.39

)

 

(0.63

)

 

(0.80

)

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

(1.18

)

 

 

                                         

Net asset value, end of period

 

$

10.61

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

 

                                         

Market price, end of period

 

$

10.65

 

$

11.51

 

$

12.23

 

$

12.86

 

$

13.69

 

$

14.02

 

$

13.57

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(13.99

)%4

 

(1.00

)%4

 

5.04

%

 

6.20

%

 

3.18

%

 

11.79

%

 

11.76

%

 

 

                                         

Based on market price

 

 

(3.92

)%4

 

(0.87

)%4

 

1.29

%

 

3.07

%

 

7.46

%

 

11.93

%

 

6.62

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after fees paid indirectly and excluding interest expense

 

 

0.80

%5

 

0.89

%5

 

0.78

%

 

0.77

%

 

0.85

%

 

0.92

%

 

0.87

%

 

 

                                         

Total expenses after fees paid indirectly

 

 

1.19

%5

 

2.29

%5

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

                                         

Total expenses

 

 

1.19

%5

 

2.29

%5

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

                                         

Net investment income

 

 

6.88

%5

 

4.55

%5

 

5.36

%

 

4.78

%

 

5.20

%

 

6.20

%

 

5.58

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

286,694

 

$

346,177

 

$

368,335

 

$

373,518

 

$

385,514

 

$

411,163

 

$

398,540

 

 

 

                                         

Reverse repurchase agreements outstanding end of period (000)

 

$

55,211

 

$

107,690

 

$

103,354

 

$

3,911

 

$

86,876

 

$

102,474

 

$

91,668

 

 

 

                                         

Reverse repurchase agreements average daily balance (000)

 

$

65,529

 

$

134,784

 

$

44,786

 

$

25,340

 

$

91,130

 

$

145,094

 

$

67,591

 

 

 

                                         

Portfolio turnover

 

 

166

%6

 

598

%7

 

122

%

 

88

%

 

220

%

 

398

%

 

161

%

 

 

                                         

Asset coverage, end of period per $1,000

 

$

6,193

 

$

4,215

 

$

4,564

 

$

96,502

 

$

5,438

 

$

5,012

 

$

5,348

 

 

 

                                         

 

 

1

Based on average shares outstanding.

 

 

2

A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

 

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. Total investment returns exclude the effects of sales charges.

 

 

4

Aggregate total investment return.

 

 

5

Annualized.

 

 

6

Includes mortgage dollar roll transactions; excluding these transactions the portfolio turnover would have been 96%.

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

68

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Financial Highlights

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Year Ended August 31,

 

 

 

 

                             

 

 

 

2008

 

2007

 

2006

 

2005

 

2004

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

$

16.15

 

$

14.90

 

 

 

                                   

Net investment income1

 

 

0.54

 

 

1.18

 

 

1.20

 

 

1.22

 

 

1.47

 

 

1.67

 

Net realized and unrealized gain (loss)

 

 

(4.95

)

 

(1.85

)

 

(0.33

)

 

(0.50

)

 

0.19

 

 

1.27

 

 

 

                                   

Net increase (decrease) from investment operations

 

 

(4.41

)

 

(0.67

)

 

0.87

 

 

0.72

 

 

1.66

 

 

2.94

 

 

 

                                   

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.64

)

 

(1.17

)

 

(1.14

)

 

(1.25

)

 

(1.64

)

 

(1.63

)

Net realized gain

 

 

 

 

(0.05

)

 

 

 

(0.56

)

 

(0.98

)

 

(0.06

)

 

 

                                   

Total dividends and distributions

 

 

(0.64

)

 

(1.22

)

 

(1.14

)

 

(1.81

)

 

(2.62

)

 

(1.69

)

 

 

                                   

Net asset value, end of period

 

$

6.89

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

$

16.15

 

 

 

                                   

Market price, end of period

 

$

6.21

 

$

10.15

 

$

12.24

 

$

12.81

 

$

15.04

 

$

15.44

 

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(36.32

)%3

 

(3.99

)%

 

6.76

%

 

6.37

%

 

11.03

%

 

20.92

%4

 

 

                                   

Based on market price

 

 

(32.48

)%3

 

(7.78

)%

 

4.00

%

 

(2.40

)%

 

14.99

%

 

19.04

%

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after waiver and fees paid indirectly and excluding interest expense

 

 

0.95

%5

 

0.97

%

 

0.99

%

 

0.98

%

 

0.97

%

 

0.97

%

 

 

                                   

Total expenses after waiver and fees paid indirectly

 

 

1.83

%5

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

1.46

%

 

 

                                   

Total expenses

 

 

1.83

%5

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

1.46

%

 

 

                                   

Net investment income

 

 

10.29

%5

 

9.16

%

 

8.23

%

 

8.49

%

 

9.38

%

 

10.52

%

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

227,050

 

$

393,389

 

$

455,710

 

$

464,453

 

$

500,303

 

$

528,498

 

 

 

                                   

Amount of loan outstanding, end of period (000)

 

$

48,700

 

$

94,700

 

$

127,700

 

$

200,100

 

$

188,500

 

$

199,700

 

 

 

                                   

Average amount of loan outstanding during the period (000)

 

$

75,910

 

$

106,140

 

$

188,373

 

$

183,484

 

$

184,650

 

$

180,502

 

 

 

                                   

Portfolio turnover

 

 

23

%

 

46

%

 

51

%

 

64

%

 

48

%

 

82

%

 

 

                                   

Asset coverage, end of period per $1,000

 

$

5,662

 

$

5,154

 

$

4,569

 

$

3,321

 

$

3,654

 

$

3,646

 

 

 

                                   

 

 

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. Total investment returns exclude the effects of sales charges.

3

Aggregate total investment return.

4

The previous investment advisor reimbursed the Trust for the difference in value of unregistered securities sold by the Trust and the same security of the issuer that had been registered for resale, which had no impact on the total investment return.

5

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

69



 

 


 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Year Ended August 31,

 

 

 

 

                             

 

 

 

2008

 

2007

 

2006

 

2005

 

2004

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

$

15.71

 

$

14.39

 

 

 

                                   

Net investment income

 

 

0.53

1

 

1.16

1

 

1.18

1

 

1.16

1

 

1.37

1

 

1.50

 

Net realized and unrealized gain (loss)

 

 

(4.90

)

 

(1.87

)

 

(0.39

)

 

(0.49

)

 

0.19

 

 

1.27

 

 

 

                                   

Net increase (decrease) from investment operations

 

 

(4.37

)

 

(0.71

)

 

0.79

 

 

0.67

 

 

1.56

 

 

2.77

 

 

 

                                   

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.63

)

 

(1.21

)

 

(1.10

)

 

(1.17

)

 

(1.49

)

 

(1.43

)

Net realized gain

 

 

 

 

 

 

 

 

(0.46

)

 

(0.70

)

 

(0.02

)

 

 

                                   

Total dividends and distributions

 

 

(0.63

)

 

(1.21

)

 

(1.10

)

 

(1.63

)

 

(2.19

)

 

(1.45

)

 

 

                                   

Net asset value, end of period

 

$

6.89

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

$

15.71

 

 

 

                                   

Market price, end of period

 

$

6.30

 

$

10.14

 

$

12.15

 

$

12.48

 

$

14.32

 

$

14.52

 

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(36.23

)%3

 

(4.30

)%

 

6.29

%

 

6.29

%

 

11.28

%

 

20.70

%

 

 

                                   

Based on market price

 

 

(31.63

)%3

 

(7.24

)%

 

5.80

%

 

(1.07

)%

 

14.34

%

 

17.95

%

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after waiver and fees paid indirectly and excluding interest expense

 

 

1.37

%4

 

1.10

%

 

1.12

%

 

1.11

%

 

1.11

%

 

1.09

%

 

 

                                   

Total expenses after waiver and fees paid indirectly

 

 

2.56

%4

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

1.56

%

 

 

                                   

Total expenses

 

 

2.56

%4

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

1.57

%

 

 

                                   

Net investment income

 

 

12.99

%4

 

9.02

%

 

8.03

%

 

8.11

%

 

8.91

%

 

9.76

%

 

 

                                   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

243,221

 

$

419,502

 

$

487,251

 

$

498,096

 

$

532,031

 

$

554,390

 

 

 

                                   

Amount of loan outstanding, end of period (000)

 

$

57,900

 

$

110,900

 

$

135,900

 

$

216,200

 

$

185,200

 

$

207,100

 

 

 

                                   

Average amount of loan outstanding during the period (000)

 

$

86,027

 

$

113,996

 

$

202,705

 

$

184,070

 

$

188,044

 

$

178,605

 

 

 

                                   

Portfolio turnover

 

 

21

%

 

45

%

 

51

%

 

62

%

 

48

%

 

81

%

 

 

                                   

Asset coverage, end of period per $1,000

 

$

5,201

 

$

4,783

 

$

4,585

 

$

3,304

 

$

3,873

 

$

3,677

 

 

 

                                   

 

 

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. Total investment returns exclude the effects of sales charges.

3

Aggregate total investment return.

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

70

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Financial Highlights

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
January 1, 2008
to August 31, 2008

 

Year Ended December 31,

 

 

 

 

 

                             

 

 

 

 

2007

 

2006

 

2005

 

20041

 

20031

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

$

2.86

 

$

2.42

 

 

 

                                         

Net investment income

 

 

0.10

2

 

0.15

2

 

0.24

 

 

0.22

 

 

0.24

 

 

0.28

3

 

0.32

3

Net realized and unrealized gain (loss)

 

 

(0.86

)

 

(0.26

)

 

(0.21

)

 

0.08

 

 

(0.23

)

 

0.03

 

 

0.40

 

 

 

                                         

Net increase (decrease) from investment operations

 

 

(0.76

)

 

(0.11

)

 

0.03

 

 

0.30

 

 

0.01

 

 

0.31

 

 

0.72

 

 

 

                                         

Dividends to shareholders from net investment income

 

 

(0.12

)

 

(0.13

)

 

(0.24

)

 

(0.23

)

 

(0.27

)

 

(0.30

)

 

(0.28

)

 

 

                                         

Net asset value, end of period

 

$

1.35

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

$

2.86

 

 

 

                                         

Market price, end of period

 

$

1.19

 

$

1.88

 

$

2.14

 

$

2.55

 

$

2.33

 

$

2.90

 

$

2.87

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(33.50

)%5

 

(4.00

)%5

 

1.58

%

 

12.32

%

 

0.43

%

 

11.46

%

 

31.10

%

 

 

                                         

Based on market price

 

 

(30.47

)%5

 

(6.59

)%5

 

(7.51

)%

 

19.70

%

 

(11.28

)%

 

12.24

%

 

37.23

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after waiver and fees paid indirectly and excluding interest expense

 

 

1.45

%6

 

1.05

%6

 

1.27

%

 

1.34

%

 

1.37

%

 

1.39

%

 

1.46

%

 

 

                                         

Total expenses after waiver and fees paid indirectly

 

 

2.39

%6

 

1.98

%6

 

3.55

%

 

3.77

%

 

3.04

%

 

2.23

%

 

2.21

%

 

 

                                         

Total expenses

 

 

2.39

%6

 

1.98

%6

 

3.56

%

 

3.78

%

 

3.04

%

 

2.23

%

 

2.21

%

 

 

                                         

Net investment income

 

 

12.46

%6

 

9.52

%6

 

8.89

%

 

8.42

%

 

8.82

%

 

9.70

%

 

11.99

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

73,975

 

$

121,808

 

$

135,098

 

$

146,538

 

$

142,457

 

$

155,298

 

$

154,298

 

 

 

                                         

Loan outstanding, end of period (000)

 

$

18,000

 

$

27,000

 

$

46,000

 

$

62,000

 

$

66,000

 

$

69,000

 

$

68,000

 

 

 

                                         

Average loan outstanding during the period (000)

 

$

24,724

 

$

27,069

 

$

55,868

 

$

62,838

 

$

65,992

 

$

64,081

 

$

60,604

 

 

 

                                         

Portfolio turnover

 

 

19

%

 

25

%

 

69

%

 

83

%

 

115

%

 

56

%

 

93

%

 

 

                                         

Asset coverage, end of period per $1,000

 

$

5,110

 

$

5,512

 

$

3,937

 

$

3,364

 

$

3,158

 

$

3,251

 

$

3,269

 

 

 

                                         

 

 

1

Audited by other Independent Registered Public Accounting Firm.

2

Based on average shares outstanding.

3

Net investment income per share has been recalculated in accordance with Securities and Exchange Commission requirements, with the exception that end-of-the-year accumulated undistributed/(overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting.

4

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. Total investment returns exclude the effects of sales charges.

5

Aggregate total investment return.

6

Annualized.

 

 

The performance set forth in this table is the financial data of BlackRock High Income Shares. BlackRock Advisors, LLC began managing the Trust on March 2, 2005.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

71



 

 


 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
November 1, 2007
to August 31, 2008

 

Year Ended October 31,

 

 

 

 

 

                             

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

 

 

                                         

Net investment income

 

 

0.26

1

 

0.50

1

 

0.63

 

 

0.66

 

 

0.68

 

 

0.92

 

 

1.06

 

Net realized and unrealized gain (loss)

 

 

(2.46

)

 

(1.06

)

 

0.04

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

0.89

 

 

 

                                         

Net increase (decrease) from investment operations

 

 

(2.20

)

 

(0.56

)

 

0.67

 

 

1.02

 

 

0.32

 

 

1.94

 

 

1.95

 

 

 

                                         

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.31

)2

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.92

)

 

(1.07

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

(0.05

)

 

 

                                         

Total dividends and distributions

 

 

(0.31

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

(1.12

)

 

 

                                         

Net asset value, end of period

 

$

4.33

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

 

 

                                         

Market price, end of period

 

$

4.68

 

$

5.96

 

$

6.92

 

$

7.77

 

$

7.36

 

$

9.30

 

$

10.25

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(32.57

)%4

 

(6.47

)%4

 

9.03

%

 

14.25

%

 

2.85

%

 

26.24

%

 

27.75

%

 

 

                                         

Based on market price

 

 

(16.36

)%4

 

(6.85

)%4

 

(3.63

)%

 

14.93

%

 

(13.49

)%

 

0.28

%

 

32.87

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after waiver and fees paid indirectly and excluding interest expense

 

 

2.18

%5

 

1.77

%5

 

2.10

%

 

2.19

%

 

2.10

%

 

1.96

%

 

2.22

%

 

 

                                         

Total expenses after waiver and fees paid indirectly

 

 

2.92

%5

 

2.61

%5

 

4.14

%

 

4.49

%

 

3.51

%

 

2.68

%

 

3.07

%

 

 

                                         

Total expenses

 

 

2.92

%5

 

2.61

%5

 

4.16

%

 

4.50

%

 

3.52

%

 

2.69

%

 

3.07

%

 

 

                                         

Net investment income

 

 

10.45

%5

 

8.34

%5

 

7.84

%

 

8.74

%

 

8.71

%

 

12.16

%

 

16.37

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

27,804

 

$

43,897

 

$

50,782

 

$

50,385

 

$

47,924

 

$

50,914

 

$

44,438

 

 

 

                                         

Loan outstanding, end of period (000)

 

$

4,250

 

$

6,250

 

$

9,250

 

$

20,250

 

$

20,750

 

$

19,250

 

$

19,250

 

 

 

                                         

Average loan outstanding during the period (000)

 

$

6,637

 

$

7,443

 

$

17,710

 

$

20,621

 

$

20,425

 

$

19,250

 

$

19,250

 

 

 

                                         

Portfolio turnover

 

 

19

%

 

34

%

 

69

%

 

85

%

 

102

%

 

156

%

 

30

%

 

 

                                         

Asset coverage, end of period per $1,000

 

$

7,542

 

$

8,023

 

$

6,490

 

$

3,488

 

$

3,310

 

$

3,645

 

$

3,308

 

 

 

                                         

 

 

1

Based on average shares outstanding.

2

A portion of the distribution may be deemed a tax return of capital or net realized gain.

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. Total investment returns exclude the effects of sales charges.

4

Aggregate total investment return.

5

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

72

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
November 1, 2007
to August 31, 2008

 

Year Ended October 31,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

 

 

                                         

Net investment income

 

 

0.301

 

 

0.531

 

 

0.62

 

 

0.57

 

 

0.72

 

 

0.76

 

 

0.84

 

Net realized and unrealized gain (loss)

 

 

(1.64

)

 

(0.69

)

 

(0.11

)

 

0.01

 

 

(0.45

)

 

0.53

 

 

0.31

 

 

 

                                         

Net increase (decrease) from investment operations

 

 

(1.34

)

 

(0.16

)

 

0.51

 

 

0.58

 

 

0.27

 

 

1.29

 

 

1.15

 

 

 

                                         

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(0.31

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.81

)

 

(0.84

)

 

(0.81

)

Net realized gain

 

 

 

 

 

 

 

 

(0.26

)

 

(0.28

)

 

 

 

(0.24

)

Tax return of capital

 

 

 

 

 

 

(0.05

)

 

(0.06

)

 

 

 

 

 

 

 

 

                                         

Total dividends and distributions

 

 

(0.31

)

 

(0.51

)

 

(0.66

)

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

(1.05

)

 

 

                                         

Net asset value, end of period

 

$

8.70

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

 

 

                                         

Market price, end of period

 

$

8.75

 

$

9.82

 

$

10.19

 

$

10.58

 

$

10.90

 

$

11.38

 

$

10.95

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(12.79

)%4

 

(1.07

)%4

 

5.11

%

 

5.76

%

 

2.95

%

 

11.90

%

 

10.92

%

 

 

                                         

Based on market price

 

 

(7.56

)%4

 

1.51

%4

 

2.62

%

 

6.27

%

 

5.53

%

 

12.04

%

 

14.71

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after fees paid indirectly and excluding interest expense

 

 

0.83

%5

 

0.83

%5

 

0.87

%

 

0.89

%

 

0.87

%

 

0.84

%

 

0.89

%

 

 

                                         

Total expenses after fees paid indirectly

 

 

1.00

%5

 

2.25

%5

 

2.00

%

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

 

                                         

Total expenses before fees paid indirectly

 

 

1.00

%5

 

2.25

%5

 

2.01

%

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

 

                                         

Total expenses

 

 

1.00

%5

 

2.25

%5

 

2.01

%

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

 

                                         

Net investment income

 

 

6.58

%5

 

5.89

%5

 

5.68

%

 

5.11

%

 

5.97

%

 

6.29

%

 

6.99

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

299,589

 

$

356,456

 

$

379,605

 

$

384,850

 

$

398,078

 

$

426,643

 

$

410,981

 

 

 

                                         

Reverse repurchase agreements outstanding, end of period (000)

 

$

35,556

 

$

100,740

 

$

105,262

 

$

34,326

 

$

120,179

 

$

94,644

 

$

103,378

 

 

 

                                         

Reverse repurchase agreements average daily balance (000)

 

$

39,297

 

$

131,462

 

$

68,241

 

$

59,691

 

$

122,457

 

$

97,264

 

$

136,172

 

 

 

                                         

Portfolio turnover

 

 

207

%6

 

441

%7

 

196

%

 

131

%

 

396

%

 

300

%

 

46

%

 

 

                                         

Asset coverage, end of period per $1,000

 

$

9,426

 

$

4,538

 

$

4,606

 

$

12,212

 

$

4,312

 

$

5,508

 

$

4,976

 

 

 

                                         

 

 

1

Based on average shares outstanding.

2

A portion of the distribution may be deemed a tax return of capital or net realized gain.

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. Total investment returns exclude the effects of sales charges.

4

Aggregate total investment return.

5

Annualized.

6

Includes mortgage dollar roll transactions. Excluding these transactions the portfolio turnover would have been 92%.

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

73



 

 


 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
November 1, 2007
to August 31, 2008

 

Year Ended October 31,

 

 

 

 

 

                             

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

 

 

                                         

Net investment income

 

 

0.16

1

 

0.26

1

 

0.30

 

 

0.32

 

 

0.44

 

 

0.51

 

 

0.61

 

Net realized and unrealized gain (loss)

 

 

(0.31

)

 

0.40

 

 

0.12

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

(0.52

)

 

 

                                         

Net increase (decrease) from investment operations

 

 

(0.15

)

 

0.66

 

 

0.42

 

 

0.37

 

 

0.14

 

 

0.35

 

 

0.09

 

 

 

                                         

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(0.14

)

 

(0.25

)

 

(0.29

)

 

(0.34

)

 

(0.48

)

 

(0.61

)

 

(1.01

)

Tax return of capital

 

 

 

 

 

 

(0.08

)

 

(0.09

)

 

(0.07

)

 

 

 

 

 

 

                                         

Total dividends and distributions

 

 

(0.14

)

 

(0.25

)

 

(0.37

)

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

(1.01

)

 

 

                                         

Net asset value, end of period

 

$

6.65

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

 

 

                                         

Market price, end of period

 

$

5.92

 

$

6.07

 

$

5.81

 

$

6.07

 

$

5.90

 

$

7.50

 

$

7.71

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(1.75

)%4

 

10.82

%4

 

7.06

%

 

6.06

%

 

2.12

%

 

5.01

%

 

1.20

%

 

 

                                         

Based on market price

 

 

0.00

%4

 

8.94

%4

 

1.69

%

 

10.18

%

 

(14.63

)%

 

5.97

%

 

15.41

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after fees paid indirectly and excluding interest expense

 

 

0.91

%5

 

0.91

%5

 

0.98

%

 

1.00

%

 

0.99

%

 

0.97

%

 

1.02

%

 

 

                                         

Total expenses after waiver and fees paid indirectly

 

 

1.13

%5

 

1.63

%5

 

2.76

%

 

2.84

%

 

2.79

%

 

1.37

%

 

1.36

%

 

 

                                         

Total expenses before waiver and fees paid indirectly

 

 

1.13

%5

 

1.63

%5

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

1.36

%

 

 

                                         

Total expenses

 

 

1.14

%5

 

1.63

%5

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

1.36

%

 

 

                                         

Net investment income

 

 

4.90

%5

 

4.67

%5

 

4.60

%

 

4.92

%

 

6.54

%

 

7.13

%

 

8.18

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

424,967

 

$

444,054

 

$

417,651

 

$

414,460

 

$

418,390

 

$

442,635

 

$

457,301

 

 

 

                                         

Reverse repurchase agreements outstanding, end of period (000)

 

 

 

 

 

$

33,895

 

$

70,691

 

$

149,558

 

$

223,736

 

$

121,767

 

 

 

                                         

Reverse repurchase agreements average daily balance (000)

 

$

836

 

$

61,777

 

$

93,325

 

$

104,393

 

$

180,553

 

$

158,278

 

$

135,804

 

 

 

                                         

Portfolio turnover

 

 

316

%6

 

263

%7

 

250

%

 

80

%

 

60

%

 

120

%

 

64

%

 

 

                                         

Asset coverage, end of period per $1,000

 

 

 

 

 

$

13,322

 

$

6,863

 

$

3,798

 

$

2,978

 

$

4,756

 

 

 

                                         

 

 

1

Based on average shares outstanding.

2

A portion of the distribution may be deemed a tax return of capital or net realized gain.

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. Total investment returns exclude the effects of sales charges.

4

Aggregate total investment return.

5

Annualized.

6

Includes mortgage dollar roll transactions. Excluding these transactions the portfolio turnover would have been 98%.

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

74

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 

 


 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 28, 2009
(Unaudited)

 

Period
November 1, 2007
to August 31, 2008

 

Year Ended October 31,

 

 

 

 

 

 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

2003

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

$

12.63

 

 

 

                                         

Net investment income

 

 

0.44

1

 

0.761

 

 

0.95

 

 

0.99

 

 

1.10

 

 

1.39

 

 

1.59

 

Net realized and unrealized gain (loss)

 

 

(2.83

)

 

(1.03

)

 

(0.06

)

 

0.18

 

 

(1.13

)

 

0.25

 

 

2.34

 

 

 

                                         

Net increase (decrease) from investment operations

 

 

(2.39

)

 

(0.27

)

 

0.89

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

3.93

 

 

 

                                         

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(0.46

)

 

(0.77

)

 

(0.92

)

 

(0.98

)

 

(1.12

)

 

(1.61

)

 

(1.49

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.04

)

 

(0.27

)

 

 

 

 

 

 

                                         

Total dividends and distributions

 

 

(0.46

)

 

(0.77

)

 

(0.92

)

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

(1.49

)

 

 

                                         

Net asset value, end of period

 

$

9.91

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

 

 

                                         

Market price, end of period

 

$

9.23

 

$

10.85

 

$

11.88

 

$

12.85

 

$

12.45

 

$

16.70

 

$

15.27

 

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

(18.21

)%4

 

(1.19

)%4

 

7.26

%

 

9.58

%

 

(0.49

)%

 

11.35

%

 

32.55

%

 

 

                                         

Based on market price

 

 

(10.42

)%4

 

(2.40

)%4

 

(0.62

)%

 

11.87

%

 

(18.11

)%

 

21.54

%

 

37.36

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios Based on Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after fees paid indirectly and excluding interest expense

 

 

0.90

%5

 

0.815

%5

 

0.87

%

 

0.94

%

 

0.92

%

 

0.89

%

 

1.01

%

 

 

                                         

Total expenses after fees paid indirectly

 

 

0.91

%5

 

0.82

%5

 

1.27

%

 

2.00

%

 

1.87

%

 

1.23

%

 

1.71

%

 

 

                                         

Total expenses before fees paid indirectly

 

 

0.91

%5

 

0.82

%5

 

1.27

%

 

2.25

%

 

2.14

%

 

1.49

%

 

2.01

%

 

 

                                         

Total expenses

 

 

1.01

%5

 

0.93

%5

 

1.45

%

 

2.25

%

 

2.14

%

 

1.49

%

 

2.01

%

 

 

                                         

Net investment income

 

 

8.45

%5

 

6.85

%5

 

6.86

%

 

7.26

%

 

7.58

%

 

9.23

%

 

11.32

%

 

 

                                         

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

69,937

 

$

90,092

 

$

97,410

 

$

97,614

 

$

96,546

 

$

106,433

 

$

106,045

 

 

 

                                         

Reverse repurchase agreements outstanding, end of period (000)

 

 

 

$

1,571

 

$

413

 

$

14,951

 

$

31,883

 

$

13,188

 

$

45,872

 

 

 

                                         

Reverse repurchase agreements average daily balance (000)

 

$

618

 

$

391

 

$

7,240

 

$

21,104

 

$

30,406

 

$

27,562

 

$

46,036

 

 

 

                                         

Portfolio turnover

 

 

16

%

 

27

%

 

34

%

 

46

%

 

51

%

 

31

%

 

32

%

 

 

                                         

Asset coverage, end of period per $1,000

 

 

 

$

58,347

 

$

236,789

 

$

7,529

 

$

4,028

 

$

9,071

 

$

3,312

 

 

 

                                         

 

 

1

Based on average shares outstanding.

2

A portion of the distribution may be deemed a tax return of capital or net realized gain.

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. Total investment returns exclude the effects of sales charges.

4

Aggregate total investment return.

5

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

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75



 


 

Notes to Financial Statements (Unaudited)

Note 1. Organization and Significant Accounting Policies:

BlackRock Core Bond Trust (“Core Bond”), BlackRock Corporate High Yield V Fund, Inc. (“Corporate High Yield V”), BlackRock Corporate High Yield VI Fund, Inc. (“Corporate High Yield VI”), BlackRock High Income Shares (‘High Income”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust, Inc. (“Income Opportunity”), BlackRock Income Trust, Inc. (“Income Trust”) and BlackRock Strategic Bond Trust (“Strategic Bond”) (the “Trusts” or individually as the “Trust”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940 (the “1940 Act”), as amended. Corporate High Yield V, Corporate High Yield VI, Income Opportunity and Income Trust are organized as Maryland corporations. Core Bond, High Yield and Strategic Bond are organized as Delaware statutory trusts. High Income 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, which may require the use of management accruals and estimates. Actual results may differ from these estimates. Core Bond, High Income, High Yield, Income Opportunity, Income Trust and Strategic Bond recently changed their fiscal year end to August 31. The Trusts determine and make available for publication the net asset value of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation of Securities: The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board of Trustees/Directors (the “Board”). Floating rate loan interests are valued at the mean between the last available bid prices from one or more brokers or dealers as obtained from 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, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. The fair value of asset-backed and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each tranche of the entity, establishes a benchmark yield and develops 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. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers which are derived using daily swap curves and trades of underlying securities. TBA commitments are valued at the current market value of the underlying securities. Short-term securities with maturities less than 60 days are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at net asset value each business day. The Trusts value their investments in Cash Sweep Series and Money Market Series, each of the BlackRock Liquidity Series, LLC, at fair value, which is ordinarily based upon their pro-rata ownership in the net assets of the underlying fund.

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

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 such prior day’s price no longer reflects the fair value of the option. Over-the-counter 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 securities.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment, the investment will be valued by a method approved by the Boards as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor 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. The pricing of all Fair Value Assets is subsequently reported to the respective Board or a committee thereof.

Generally, trading in foreign securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange (“NYSE”). The values of such securities used in computing the net assets of each Trust are determined as of such times. Foreign currency exchange rates will be determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of each Trust’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such securities, those securities will be valued at their fair value as determined in good faith by the Board or by the investment advisor using a pricing service and/or procedures approved by the Board. Foreign currency exchange contracts and forward foreign currency exchange contracts are valued at the mean between the bid and ask prices. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Derivative Financial Instruments: The Trusts may engage in various portfolio investment strategies both to increase the return of the Trusts and to hedge, or protect, their exposure to interest rate movements and movements in the

 

 

 

 

 

 

 

 

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Notes to Financial Statements (continued)

securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security, or if the counterparty does not perform under the contract.

 

 

Financial futures contracts — The Trusts may purchase or sell financial futures contracts and options on financial futures contracts for investment purposes or to manage its interest rate risk. Futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Pursuant to the contract, the Trust agrees 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 margin variation and are recognized by the Trust as unrealized gains or losses. When the contract is closed, the Trust records 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 futures transactions involves the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and the underlying assets, and the possible inability of counterparties to meet the terms of their contracts.

 

 

Forward currency contracts — A forward currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Trusts may enter into foreign currency exchange contracts as a hedge against either specific transactions or portfolio positions. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. 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 forward foreign currency contracts involves the risk that counterparties may not meet the terms of the agreement and market risk of unanticipated movements in the value of a foreign currency relative to the US dollar.

 

 

Options — The Trusts may purchase and write call and put options. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise 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 position at the exercise price at any time or at a specified time during the option period.

 

 

 

When a Trust purchases (writes) an option, an amount equal to the premium paid (received) by the Trust is reflected as an asset and an equivalent liability. The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option written. When a security 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 security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Trust enters into a closing transaction), the Trust realizes 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 premium received or paid). When the Trust writes a call option, such option is “covered”, meaning that the Trust holds the underlying security subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When the Trust writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

 

 

In purchasing and writing options, the Trust bears the market risk of an unfavorable change in the price of the underlying security or index. Exercise of a written option could result in the Trust purchasing a security at a price different from the current market value. The Trust may execute transactions in both listed and over-the-counter options. Transactions in certain over-the-counter options may expose the Trust to the risk of default by the counterparty to the transaction.

 

 

Swaps — Each Trust may enter into swap agreements, in which the Trust and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Trusts are recorded in the accompanying Statements of Operations as realized gains or losses, respectively. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). 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 Trust’s basis in the contract, if any.

 

 

 

Swap transactions involve, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement 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 may enter into credit default swaps for investment purposes or to manage their credit risk. Each Trust enters into credit default 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). Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place (e.g. bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). A Trust may either buy or sell (write) credit default swaps. As a buyer, the Trust 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 of an 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 of an index. As a seller (writer), the Trust 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 of an index or pay a net settlement of cash equal to the notional amount of the swap less the


 

 

 

 

 

 

 

 

 

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Notes to Financial Statements (continued)


 

 

 

recovery value of the security or underlying securities comprising of an index. In the event of default by the counterparty, the Trust may recover amounts paid under the agreement either partially or in total by offsetting any payables and/or receivables with collateral held or pledged.

 

 

 

Interest rate swaps — The Trusts may enter into interest rate swaps for investment purposes or to manage their interest rate risk. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time.

 

 

 

Total return swaps — The Trusts may enter into total return swaps for investment purposes or to manage their interest rate risk. Total return swaps are agreements in which one party commits to pay interest in exchange for a market-linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

 

 

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

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 can have a rating that is slightly below that of the issuing company’s senior debt securities.

Floating Rate Loans: The Trusts invest in floating rate loans, which are generally non-investment grade, made by banks, other financial institutions and privately and publicly offered corporations. Floating rate loans are senior in the debt structure of a corporation. Floating rate loans generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally (i) the lending rate offered by one or more European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more U.S. banks or (iii) the certificate of deposit rate. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

The Trusts earn and/or pay facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, consent, commissions and prepayment penalty fees. Facility, amendment and consent fees are typically amortized as premium and/or accreted as discount over the term of the loan. Commitment, commission and various other fees are recorded as income or expense. Prepayment penalty fees are recognized on the accrual basis. When each Trust buys a floating rate loan it may receive a facility fee and when it sells a floating rate loan 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 portion of a floating rate loan. In certain circumstances, the Trusts may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Trusts may include covenant waiver fees and covenant modification fees.

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 loans are usually freely callable at the issuer’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) and 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. Each Trust 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 relating to the loans, 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’ investments in loan participation interests involve 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.

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 a Trust has purchased such an asset-

 

 

 

 

 

 

 

 

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Notes to Financial Statements (continued)

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 in the secondary market certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by the Federal National Mortgage Association (“FNMA”) include FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the Treasury.

Certain Trusts invest a significant portion of its 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.

Borrowed Bond Agreements: In a borrowed bond agreement, a Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to settle short positions. In a borrowed bond agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the borrowed bond transaction, including accrued interest. To the extent that borrowed bond transactions exceed one business day, the value of the collateral with any counterparty is “marked to market” on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. The Trusts’ leverage provides extra income in a period of falling rates.

Selling floors reduce some of that extra income by partially monetizing it as an up front payment that the Trusts receive.

Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

Mortgage Dollar Roll Transactions: The Trusts may sell 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. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. Proceeds of the sale will be invested in additional instruments for the Trusts, and the income from these investments will generate income for the Trusts. The Trusts will account for dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

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. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of the Trusts.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trust sells securities to a bank or broker-dealer and agrees to repurchase the securities at a mutually agreed upon date and price. 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 Trust is 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 pending determination by the other party, or its trustee or receiver, whether to enforce the Trusts’ obligation to repurchase the securities.

TBA Commitments: The Trusts may enter into to-be-announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Trusts’ other assets.

Treasury Roll Transactions: A treasury roll transaction involves the sale of a Treasury security, with an agreement to repurchase the same security at an agreed upon price and date. Treasury rolls constitutes a borrowing (not treated as purchase and sales) and the difference between the sale and repurchase prices represents interest expense at an agreed upon rate.

 

 

 

 

 

 

 

 

 

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Notes to Financial Statements (continued)

Whether such a transaction produces a positive impact on performance depends upon whether the income and gains on the securities purchased with the proceeds received from the sale of the security exceeds the interest expense incurred by the Trust. Treasury rolls are not considered purchases and sales and any gains or losses incurred on the treasury rolls will be deferred until the treasury securities are disposed.

Treasury roll transactions involve the risk that the market value of the securities that the Trust is required to purchase may decline below the agreed upon repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of the Trust.

Zero-Coupon Bonds: The 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.

Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.

Each Trust reports foreign currency related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Preferred Stock: The 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.

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 segregate assets in connection with certain investments (e.g., dollar rolls, TBA’s beyond normal settlement, options, written swaptions, written options, forward foreign currency contracts, swaps, or financial futures contracts) or certain borrowings (e.g. reverse repurchase agreements), each Trust will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other 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 Trust may also be required to deliver or deposit securities as collateral for certain investments (e.g., financial futures contracts, reverse repurchase agreements, swaps and written options).

Investment Transactions and Investment Income: Investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recognized on the accrual basis. The Trusts amortize all premiums and discounts on debt securities.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code 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. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

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 Core Bond, High Yield, Income Opportunity, Income Trust and Strategic Bond’s US federal tax returns remains open for the three years ended October 31, 2007 and the year ended August 31, 2008. The statute of limitations on High Income’s US federal tax returns remains open for the three years ended December 31, 2007 and the year ended August 31, 2008. The statute of limitations on the Corporate High Yield V and Corporate High Yield VI’s tax returns remains open for the four years ended August 31, 2008. The statute of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Recent Accounting Pronouncement: In March 2008, Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities — an amendment of FASB Statement No. 133” (“FAS 161”), was issued. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. FAS 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The impact on the Trusts’ financial statement disclosures, if any, is currently being assessed.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Directors or Trustees (“Independent Directors or Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent

 

 

 

 

 

 

 

 

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FEBRUARY 28, 2009

 



 


 

Notes to Financial Statements (continued)

dollar amounts have been invested in common shares of other certain BlackRock Closed-End Funds selected by the Independent Directors or Trustees. This has approximately the same economic effect for the Independent Directors or Trustees as if the Independent Directors or Trustees had invested the deferred amounts directly in other certain 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. The Trusts may, however, elect to invest in common shares of other certain BlackRock Closed-End Funds selected by the Independent Directors or Trustees in order to match its deferred compensation obligations. Investments to cover each Trust’s deferred compensation liability are included in other assets on the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income-affiliated on the Statements of Operations.

Bank Overdraft: Core Bond, Corporate High Yield V, Corporate High Yield VI and Income Opportunity Trust all recorded bank overdrafts which resulted from management estimates of available cash.

Other: Expenses directly related to each 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.

2. Investment Advisory Agreement and Other Transactions with Affiliates:

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Advisor”), an indirect, wholly owned subsidiary of BlackRock, Inc., to provide investment services for each Trust and administration services for Core Bond, Corporate High Yield V, Corporate High Yield VI, High Income and Strategic Bond. The PNC Financial Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a stockholder of BlackRock following its acquisition of Merrill Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date, both PNC and Merrill Lynch were considered affiliates of the Trusts under the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not deemed to be an affiliate under the 1940 Act.

Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate of 0.60% for Corporate High Yield V and Income Opportunity and 0.65% for Income Trust, 0.70% for Corporate High Yield VI, of each Trust’s average net assets and 0.75% of the first $200 million and 0.50% thereafter for High Income, 0.55% for Core Bond, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.10% through February 28, 2009 and 0.05% through February 28, 2010.

High Yield, Income Opportunity and Income Trust each has an Administration Agreement with the Advisor. The administration fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.10% for Income Opportunity, and 0.15% for Income Trust, of each Trust’s average net assets and 0.10% for High Yield of the Trust’s average weekly managed assets.

For the six months ended February 28, 2009, the Trusts reimbursed the Advisor for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

 

 

 

 

 

 

 

Reimbursement
to Advisor

 

       

Core Bond

 

$

2,868

 

Corporate High Yield V

 

$

1,877

 

Corporate High Yield VI

 

$

2,058

 

High Income

 

$

1,012

 

Strategic Bond

 

$

760

 

         

The Advisor has agreed to waive its advisory fees by the amount of investment advisory fees each Trust pays to the Advisor indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by advisor on the Statements of Operations. For the six months ended February 28, 2009, the amounts were as follows:

 

 

 

 

 

         

Core Bond

 

$

782

 

High Income

 

$

283

 

High Yield

 

$

227

 

Income Trust

 

$

7,724

 

         

The Advisor has entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Advisor, with respect to Core Bond, Corporate High Yield V, Corporate High Yield VI, High Income and Strategic Bond, under which the Advisor pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by each Trust to the Advisor.

For the period September 1, 2008 to December 31, 2008, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly owned subsidiary of Merrill Lynch, earned commissions on transactions of securities as follows:

 

 

 

 

 

         

Core Bond

 

$

220

 

Income Opportunity

 

$

220

 

         

Pursuant to the terms of the custody agreement, custodian fees may be reduced by amounts calculated on uninvested cash balances, which are shown on the Statements of Operations as fees paid indirectly.

Certain officers and/or directors or trustees of the Trusts are officers and/or directors of BlackRock, Inc. or its affiliates. The Trusts reimburse the Advisor for compensation paid to the Trusts’ Chief Compliance Officer.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

81



 


 

Notes to Financial Statements (continued)

3. Investments:

Purchases and sales of investments (including paydowns and TBA and mortgage dollar roll transactions and excluding short-term securities and US government securities), for the six months ended February 28, 2009 were as follows:

 

 

 

 

 

 

 

 

               

 

 

Purchases

 

Sales

 

           

Core Bond

 

$

621,156,017

 

$

575,462,567

 

Corporate High Yield V

 

$

80,480,509

 

$

140,410,808

 

Corporate High Yield VI

 

$

78,481,534

 

$

140,473,254

 

High Income

 

$

20,331,550

 

$

34,601,884

 

High Yield

 

$

6,676,367

 

$

10,630,481

 

Income Opportunity

 

$

726,624,430

 

$

712,021,624

 

Income Trust

 

$

2,030,253,042

 

$

1,973,826,271

 

Strategic Bond

 

$

10,721,916

 

$

22,682,874

 

               

For the six months ended February 28, 2009, purchases and sales of US government securities were as follows:

 

 

 

 

 

 

 

 

           

 

 

Purchases

 

Sales

 

           

Core Bond

 

$

63,029,374

 

$

158,241,848

 

Income Opportunity

 

$

53,253,323

 

$

144,262,928

 

Income Trust

 

$

8,625,384

 

$

17,219,617

 

Strategic Bond

 

 

 

$

3,971,296

 

               

For the six months ended February 28, 2009, purchases and sales attributable to mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 

           

 

 

Purchases

 

Sales

 

           

Core Bond

 

$

452,085,425

 

$

476,897,257

 

Income Opportunity

 

$

559,691,877

 

$

592,449,810

 

Income Trust

 

$

1,792,305,349

 

$

1,691,746,720

 

               

Transactions in options written for the six months ended February 28, 2009 were as follows:

Core Bond

 

 

 

 

 

 

 

 

           

 

 

Contracts*

 

Premiums
Received

 

           

Outstanding call options written,
beginning of period

 

 

171

 

$

2,895,912

 

Options written

 

 

36

 

 

1,912,345

 

Options expired

 

 

(118

)

 

(643,852

)

Options closed

 

 

(14

)

 

(583,875

)

 

 

           

Outstanding call options written,
end of period

 

 

75

 

$

3,580,530

 

               

*Some contracts represent a notional amount of $1,000,000.


 

 

 

 

 

 

 

 

 

 

 

Contracts*

 

Premiums
Received

 

 

Outstanding put options written,
beginning of period

 

 

90

 

$

2,828,173

 

Options written

 

 

28

 

 

1,457,125

 

Options expired

 

 

(46

)

 

(859,355

)

Options closed

 

 

(14

)

 

(583,875

)

 

 

           

Outstanding put options written,
end of period

 

 

58

 

$

2,842,068

 

 

*Some contracts represent a notional amount of $1,000,000.

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

Contracts*

 

Premiums
Received

 

 

Outstanding call options written,
beginning of period

 

 

176

 

$

3,261,524

 

Options written

 

 

37

 

 

1,953,760

 

Options expired

 

 

(100

)

 

(160,852

)

Options exercised

 

 

(18

)

 

(494,200

)

Options closed

 

 

(14

)

 

(605,115

)

 

 

           

Outstanding call options written,
end of period

 

 

81

 

$

3,955,117

 

 

*Some contracts represent a notional amount of $1,000,000.


 

 

 

 

 

 

 

 

 

 

 

Contracts*

 

Premiums
Received

 

           

Outstanding put options written,
beginning of period

 

 

96

 

$

3,196,173

 

Options written

 

 

29

 

 

1,487,300

 

Options expired

 

 

(38

)

 

(589,700

)

Options closed

 

 

(14

)

 

(605,115

)

 

 

           

Outstanding put options written,
end of period

 

 

73

 

$

3,488,658

 

               

*Some contracts represent a notional amount of $1,000,000.

Income Trust

 

 

 

 

 

 

 

 

           

 

 

Contracts

 

Premiums
Received

 

           

Outstanding call options written,
beginning of period

 

 

58

 

$

2,182,977

 

Options written

 

 

4

 

 

221,725

 

Options expired

 

 

(30

)

 

(990,000

)

 

 

           

Outstanding call options written,
end of period

 

 

32

 

$

1,414,702

 

               

*Some contracts represent a notional amount of $1,000,000.


 

 

 

 

 

 

 

 

           

 

 

Contracts

 

Premiums
Received

 

           

Outstanding put options written,
beginning of period

 

 

58

 

$

2,182,982

 

Options written

 

 

4

 

 

221,725

 

Options expired

 

 

(30

)

 

(990,000

)

 

 

           

Outstanding put options written,
end of period

 

 

32

 

$

1,414,707

 

               

*Some contracts represent a notional amount of $1,000,000.

4. Reverse Repurchase Agreements:

For the six months ended February 28, 2009, the daily weighted average interest rates were as follows:

 

 

 

 

 

       

 

 

Daily Weighted
Average Interest Rate

 

       

Core Bond

 

 

1.82

%

Income Opportunity

 

 

0.68

%

Income Trust

 

 

0.79

%

Strategic Bond

 

 

0.31

%

         

 

 

 

 

 

 

 

 

82

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 


 

Notes to Financial Statements (continued)

5. Commitments:

Corporate High Yield VI may invest in floating rate loans. In connection with these investments, the Trust may also enter into unfunded corporate loans (“commitments”). Commitments may obligate the Trust to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Trust earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of February 28, 2009, the Trust had the following unfunded loan commitments:

 

 

 

 

 

 

 

 

           

Corporate High Yield VI

 

Unfunded
Commitment
(000)

 

Value of Underlying
Loan (000)

 

           

CHS/Community Health Systems, Inc.
Delayed Draw Term Loan

 

 

 

$

6

 

               

6. 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 (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 credit risk, the Trusts may be exposed to counterparty risk, or the risk that an entity with which the Trusts have unsettled or open transactions may default. Financial assets, which potentially expose the Trusts to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Trusts’ exposure to credit and counterparty risks with respect to those financial assets is approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities.

7. Capital Share Transactions:

There are 200 million of $0.01 par value shares authorized for Income Opportunity and Income Trust. There are an unlimited number of $0.001 par value shares authorized for Core Bond, High Yield and Strategic Bond. There are an unlimited number of no par value shares authorized for High Income. There are 200 million of $0.10 par value shares authorized for Corporate High Yield V and Corporate High Yield VI.

Shares issued and outstanding for the six months ended February 28, 2009 and the year ended October 31, 2008 increased by the following amounts as a result of dividend reinvestments:

 

 

 

 

 

 

 

 

           

 

 

Six Months Ended
February 28, 2009

 

Year Ended
October 31, 2008

 

           

Core Bond

 

 

4,253

 

 

 

High Yield

 

 

3,537

 

 

1,496

 

               

Shares remained constant for all other Trusts for the six months ended February 28, 2009, the year ended August 31, 2008 (period November 1, 2007 to August 31, 2008 for Core Bond, High Yield, Income Opportunity, Income Trust and Strategic Bond and period January 1, 2008 to August 31, 2008 for High Income) and the year ended October 31, 2007 for Core Bond, Income Opportunity, Income Trust and Strategic Bond and the year ended December 31, 2007 for High Income.

8. Short-Term Borrowings:

On May 16, 2008, Corporate High Yield V, Corporate High Yield VI, High Income and High Yield renewed their revolving credit and security agreement funded by a commercial paper asset securitization program with Citicorp North America, Inc. (“Citicorp”), as Agent, certain secondary backstop lenders and certain asset securitization conduits, as lenders (the “Lenders”). The agreement was renewed for one year and at the time of renewal has maximum limits of $212 million for Corporate High Yield V, $227 million for Corporate High Yield VI, $80 million for High Income, and $32 million for High Yield.

Under the Citicorp program, the conduits will fund advances to each Trust through highly rated commercial paper. The Trusts have granted a security interest in substantially all of its assets to, and in favor of, the Lenders as security for its obligations to the Lenders. The interest rate on each Trust’s borrowings is based on the interest rate carried by the commercial paper plus a program fee. In addition, each Trust pays a liquidity fee to the secondary backstop lenders and the agent. These amounts are shown on the Statements of Operations as borrowing costs.

Under the agreement, the Trusts are subject to certain conditions and covenants, which include among other things, limitations on asset declines over prescribed time periods. As a result of the decline in net assets attributable to market conditions, certain terms of the facility were renegotiated effective December 5, 2008, which included a reduction of the maximum limits to $127 million for Corporate High Yield V, $135 million for Corporate High Yield VI, $41 million for High Income and $16 million for High Yield, waivers of certain financial covenants by the Lenders, and an increase in program and liquidity fees under the facility.

For the six months ended February 28, 2009, the daily weighted average interest rates were as follows:

 

 

 

 

 

       

 

 

Daily Weighted
Average Interest Rate

 

       

Corporate High Yield V

 

 

3.99

%

Corporate High Yield VI

 

 

3.98

%

High Income

 

 

2.96

%

High Yield

 

 

3.42

%

         

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

83



 


 

Notes to Financial Statements (concluded)

9. Capital Loss Carryforward:

As of August 31, 2008, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated year of expiration:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                 

Expires
August 31,

 

Core Bond

 

Corporate
High Yield V

 

Corporate
High Yield VI

 

High Income

 

High Yield

 

Income
Opportunity

 

Income Trust

 

Strategic Bond

                                 

2009

 

 

 

 

 

 

 

$

55,878,284

 

$

15,159,280

 

 

 

$

13,940,898

 

 

2010

 

 

 

 

 

 

 

 

102,576,339

 

 

8,468,860

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

28,467,396

 

 

4,771,417

 

 

 

 

21,960,613

 

 

2012

 

 

 

 

 

 

 

 

2,339,279

 

 

316,410

 

 

 

 

10,100,201

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,861,222

 

 

2014

 

$

4,880,373

 

 

 

$

2,291,195

 

 

7,043,976

 

 

2,060,533

 

$

2,451,626

 

 

6,952,429

 

$

447,113

2015

 

 

 

 

 

 

564,489

 

 

 

 

2,467,772

 

 

2,342,921

 

 

8,585,744

 

 

2016

 

 

17,415,494

 

$

950,802

 

 

1,125,717

 

 

10,829,322

 

 

2,039,760

 

 

14,734,497

 

 

20,304,187

 

 

2,036,040

 

 

                                             

Total

 

$

22,295,867

 

$

950,802

 

$

3,981,401

 

$

207,134,596

 

$

35,284,032

 

$

19,529,044

 

$

85,705,294

 

$

2,483,153

 

 

                                             

10. Subsequent Events:

On March 5, 2009, Corporate High Yield V, Corporate High Yield VI, High Income and High Yield terminated their agreement with Citicorp and entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “Agreement”) with State Street Bank and Trust Company (“SSB”). The Agreement has a maximum commitment of $127 million for Corporate High Yield V, $135 million for Corporate High Yield VI, $41 million for High Income and $16 million for High Yield. The Trusts have granted a security interest in substantially all of their assets to SSB.

The Trusts paid an ordinary income dividend on March 31, 2009 to shareholders on record on March 16, 2009 in the following amounts:

 

 

 

 

 

         

Core Bond

 

$

0.0620

 

Corporate High Yield V

 

$

0.1000

 

Corporate High Yield VI

 

$

0.1000

 

High Income

 

$

0.0182

 

High Yield

 

$

0.0435

 

Income Opportunity

 

$

0.0510

 

Income Trust

 

$

0.0240

 

Strategic Bond

 

$

0.0695

 

         

 

 

 

 

 

 

 

 

84

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 


 

Officers and Directors/Trustees


 

Richard E. Cavanagh, Chairman of the Board and Director/Trustee

Karen P. Robards, Vice Chair of the Board,

Chair of the Audit Committee and Director/Trustee

G. Nicholas Beckwith, III, Director/Trustee

Richard S. Davis, Director/Trustee

Kent Dixon, Director/Trustee

Frank J. Fabozzi, Director/Trustee

Kathleen F. Feldstein, Director/Trustee

James T. Flynn, Director/Trustee

Henry Gabbay, Director/Trustee

Jerrold B. Harris, Director/Trustee

R. Glenn Hubbard, Director/Trustee

W. Carl Kester, Director/Trustee

Donald C. Burke, Trust President and Chief Executive Officer

Anne F. Ackerley, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Brian P. Kindelan, Chief Compliance Officer of the Trusts

Howard B. Surloff, Secretary


 

Effective January 1, 2009, Robert S. Salomon, Jr. retired as Director/Trustee of the Trusts. The Board wishes Mr. Salomon well in his retirement.


 

Custodian

State Street Bank and Trust Company

Boston, MA 02101

 

Transfer Agent

Computershare Trust Companies, N.A.

Canton, MA 02021

 

Accounting Agent

State Street Bank and Trust Company

Princeton, NJ 08540

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Princeton, NJ 08540

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Trust Address

BlackRock Closed-End Funds

c/o BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

85



 


 

Additional Information

 

Proxy Results


The Annual Meeting of Shareholders was held on September 12, 2008 for shareholders of record on July 14, 2008 to elect director or trustee nominees of each Trust:

Approved the Class I Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

G. Nicholas Beckwith, III

 

Kent Dixon

 

R. Glenn Hubbard

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

                               

BlackRock Core Bond Trust

 

 

21,459,877

 

 

1,223,481

 

 

21,451,198

 

 

1,232,160

 

 

21,408,231

 

 

1,275,127

 

BlackRock High Income Shares

 

 

41,122,770

 

 

1,276,307

 

 

41,131,870

 

 

1,267,207

 

 

41,164,481

 

 

1,234,596

 

BlackRock High Yield Trust

 

 

5,809,070

 

 

210,280

 

 

5,807,206

 

 

212,144

 

 

5,809,361

 

 

209,989

 

BlackRock Income Opportunity Trust, Inc.

 

 

28,038,798

 

 

459,511

 

 

28,018,437

 

 

479,872

 

 

28,025,190

 

 

473,119

 

BlackRock Income Trust, Inc.

 

 

54,935,385

 

 

1,348,352

 

 

54,924,020

 

 

1,359,717

 

 

54,930,108

 

 

1,353,629

 

BlackRock Strategic Bond Trust

 

 

6,074,999

 

 

191,538

 

 

6,073,893

 

 

192,644

 

 

6,071,431

 

 

195,106

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

W. Carl Kester

 

Robert S. Salomon, Jr.

 

 

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

 

 

 

 

 

 

                   

BlackRock Core Bond Trust

 

 

21,457,595

 

 

1,225,763

 

 

21,446,480

 

 

1,236,878

 

 

 

 

 

 

 

BlackRock High Income Shares

 

 

41,163,715

 

 

1,235,362

 

 

41,126,675

 

 

1,272,402

 

 

 

 

 

 

 

BlackRock High Yield Trust

 

 

5,809,361

 

 

209,989

 

 

5,807,963

 

 

211,387

 

 

 

 

 

 

 

BlackRock Income Opportunity Trust, Inc.

 

 

28,047,632

 

 

450,677

 

 

28,021,973

 

 

476,336

 

 

 

 

 

 

 

BlackRock Income Trust, Inc.

 

 

54,937,219

 

 

1,346,518

 

 

54,932,914

 

 

1,350,823

 

 

 

 

 

 

 

BlackRock Strategic Bond Trust

 

 

6,074,878

 

 

191,659

 

 

6,071,646

 

 

194,891

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Approved the Directors as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

G. Nicholas Beckwith, III

 

Kent Dixon

 

R. Glenn Hubbard

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

                               

BlackRock Corporate High Yield Fund V, Inc.

 

 

24,526,746

 

 

863,288

 

 

24,522,955

 

 

867,079

 

 

24,527,996

 

 

862,038

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

24,968,191

 

 

733,686

 

 

24,963,860

 

 

738,017

 

 

24,965,919

 

 

735,958

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

W. Carl Kester

 

Robert S. Salomon, Jr.

 

Richard S. Davis

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

                               

BlackRock Corporate High Yield Fund V, Inc.

 

 

24,527,455

 

 

862,579

 

 

24,520,736

 

 

869,298

 

 

24,528,079

 

 

861,955

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

24,967,482

 

 

734,395

 

 

24,963,890

 

 

737,987

 

 

24,970,701

 

 

731,176

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Frank J. Fabozzi

 

James T. Flynn

 

Karen P. Robards

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

                               

BlackRock Corporate High Yield Fund V, Inc.

 

 

24,526,655

 

 

863,379

 

 

24,522,355

 

 

867,679

 

 

24,525,836

 

 

864,198

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

24,969,667

 

 

732,210

 

 

24,966,257

 

 

735,620

 

 

24,974,042

 

 

727,835

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Richard E. Cavanagh

 

Kathleen F. Feldstein

 

Henry Gabbay

 

 

                             

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

                               

BlackRock Corporate High Yield Fund V, Inc.

 

 

24,522,056

 

 

867,978

 

 

24,521,320

 

 

868,714

 

 

24,526,105

 

 

863,929

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

24,971,207

 

 

730,670

 

 

24,967,172

 

 

734,705

 

 

24,970,701

 

 

731,176

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jerrold B. Harris

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes Withheld

 

 

 

 

 

 

 

 

 

 

 

 

 

       

BlackRock Corporate High Yield Fund V, Inc.

 

 

24,524,336

 

 

865,698

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate High Yield Fund VI, Inc.

 

 

24,969,787

 

 

732,090

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

86

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



 


 

Additional Information (continued)


 

Availability of Quarterly Schedule of Investments

 

Each Trust files their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Trust’s 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 the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Trust’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

 

Electronic Delivery

 

Electronic copies of most financial reports are available on the Trusts’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses 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.

 

General Information

 

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 it 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 contact the Trusts at (800) 441-7762.

 

Quarterly performance, semi-annual and annual reports and other information regarding each Trust may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding each Trust and does not, and is not intended to, incorporate BlackRock’s website into this report.

 

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 nonpublic 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 nonpublic 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 nonaffiliated third parties any nonpublic information about its Clients, except as permitted by law or as necessary to service Client accounts. These nonaffiliated 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 nonpublic 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 nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

87



 

 


 

Additional Information (concluded)


 

Section 19 Notices


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           

 

 

Total Fiscal Period-to-Date
Cumulative Distributions
by Character

 

Percentage of Fiscal
Period-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

 

                                   

Core Bond

 

$

0.37256

 

 

$

0.02165

 

$

0.39421

 

95

%

 

0

%

 

5

%

 

100

%

 

High Yield

 

$

0.28898

 

 

$

0.01702

 

$

0.30600

 

94

%

 

0

%

 

6

%

 

100

%

 

Income Opportunity

 

$

0.30600

 

 

 

 

$

0.30600

 

100

%

 

0

%

 

0

%

 

100

%

 

Income Trust

 

$

0.14400

 

 

 

 

$

0.14400

 

100

%

 

0

%

 

0

%

 

100

%

 

Strategic Bond

 

$

0.46200

 

 

 

 

$

0.46200

 

100

%

 

0

%

 

0

%

 

100

%

 

                                                 

 

 

 

 

 

 

 

 

88

SEMI-ANNUAL REPORT

FEBRUARY 28, 2009

 



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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 the short-term interest rates may reduce the yield to Common Shareholders. Statements and other information herein are as dated and are subject to change.

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 toll-free (800) 411-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s website at http://www.sec.gov. Information about how each Trust voted proxies relating to securities held in each Trust’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov.

 

 

(GO PAPERLESS LOGO)

(BLACKROCK LOGO)


 

 

 

 

 

 

 

 

 

 

 

#CEF1-8-0209




Item 2 – Code of Ethics – Not Applicable to this semi-annual report
   
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
   
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
   
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
   
Item 6 – Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
   
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
   
Item 8 –     Portfolio Managers of Closed-End Management Investment Companies – as of February 28, 2009
  (a) Not Applicable
  (b) Effective November 18, 2008 and May 8, 2009, respectively, Mr. Jeff Gary and Mr. Kevin Booth, each a portfolio manager of the registrant identified in response to paragraph (a) of this item in the registrant’s most recent annual report, has resigned from the registrant’s investment adviser.
   
  Effective May 8, 2009, 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 management team since 2006.
   
Portfolio Manager   Biography
James E. Keenan   Managing Director of BlackRock, Inc. since 2008; Director of BlackRock, Inc. from 2004 - 2008; Head of the Leveraged Finance Portfolio team; senior high yield trader at Columbia Management from 2003 to 2004.

Mitchell Garfin   Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 - 2009; Vice President of BlackRock, Inc. from 2001 - 2005.

Derek Schoenhofen   Director of BlackRock, Inc. since 2006; Vice President of BlackRock, Inc from 2000 - 2006.


(a)(2) As of May 8, 2009:

  (ii) Number of Other Accounts Managed (iii) Number of Other Accounts and
  and Assets by Account Type Assets for Which Advisory Fee is
          Performance-Based  
  Other Other Pooled   Other Other Pooled  
(i) Name of Registered Investment Other Registered Investment Other
Portfolio Manager Investment Vehicles Accounts Investment Vehicles Accounts
  Companies     Companies    
James E. Keenan 22 14 54 0 7 13
  $6.62 Billion $2.69 Billion $8.62 Billion $0 $1.94 Billion $4.09 Billion
Mitchell Garfin 11 8 47 0 1 6
  $4.03 Billion $1.26 Billion $5.41 Billion $0 $507.5 Million $534.2 Million
Derek Schoenhofen 12 8 54 0 0 6
  $4.11 Billion $916.7 Million $6.47 Billion $0 $0 $534.2 Million

(iv) Potential Material Conflicts of Interest

BlackRock and its affiliates (collectively, herein “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, stockholder 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, stockholder, 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. Each portfolio manager also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. In this connection, it should be noted that Messrs. Keenan, Garfin and Schoenhofen currently manage certain accounts that are subject to performance fees. In addition, a portfolio manager may assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.

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 a policy that is intended to ensure that investment opportunities are allocated fairly and equitably among client accounts over time. This policy also seeks to achieve 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.



(a)(3) As of May 8, 2009:

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 such as its Long-Term Retention and Incentive Plan and Restricted Stock Program.

Base compensation. Generally, portfolio managers receive base compensation based on their seniority and/or their position with the firm. Senior portfolio managers who perform additional management functions within the portfolio management group or within BlackRock may receive additional compensation for serving in these other capacities.

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 seniority, role within the portfolio management team, teamwork and contribution to the overall performance of these portfolios and BlackRock. In most cases, including for the portfolio managers of the Fund, 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. BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated. With respect to the portfolio managers, such benchmarks for the Fund include a combination of market-based indices (e.g., Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

BlackRock’s Chief Investment Officers make a subjective determination with respect to the portfolio managers’ compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks noted above. Performance is measured on both a pre-tax and after-tax basis over various time periods including 1, 3, 5 and 10-year periods, as applicable.

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. The BlackRock, Inc. restricted stock units, if properly vested, will be settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in 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.



     Long-Term Retention and Incentive Plan (“LTIP”) — The LTIP is a long-term incentive plan that seeks to reward certain key employees. Prior to 2006, the plan provided for the grant of awards that were expressed as an amount of cash that, if properly vested and subject to the attainment of certain performance goals, will be settled in cash and/or in BlackRock, Inc. common stock. Beginning in 2006, awards are granted under the LTIP in the form of BlackRock, Inc. restricted stock units that, if properly vested and subject to the attainment of certain performance goals, will be settled in BlackRock, Inc. common stock. Messrs. Keenan, Garfin and Schoenhofen have each received awards under the LTIP.

     Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is permitted to allocate his deferred amounts among the various investment options. Messrs. Keenan, Garfin and Schoenhofen have each participated in the deferred compensation program.

     Options and Restricted Stock Awards — A portion of the annual compensation of certain employees is mandatorily deferred into BlackRock restricted stock units. Prior to the mandatory deferral into restricted stock units, BlackRock granted stock options to key employees, including certain portfolio managers who may still hold unexercised or unvested options. BlackRock, Inc. also granted restricted stock awards designed to reward certain key employees as an incentive to contribute to the long-term success of BlackRock. These awards vest over a period of years. Mr. Garfin has been granted stock options and/or restricted stock in prior years.

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 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 6% of eligible pay contributed to the plan capped at $4,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation. The RSP offers a range of investment options, including registered investment companies managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent employee investment direction, are invested into a balanced portfolio. The ESPP allows for investment in BlackRock 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 or a dollar value of $25,000. Each portfolio manager is eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities.

   Portfolio Manager    Dollar Range of Equity Securities
     Beneficially Owned
   James E. Keenan    None
   Mitchell Garfin    None
   Derek Schoenhofen    None



Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
   
Item 10 – Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures.
   
Item 11 – Controls and Procedures
   
11(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 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.
   
11(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
   
12(a)(1) –    Code of Ethics – Not Applicable to this semi-annual report
   
12(a)(2) – Certifications – Attached hereto
   
12(a)(3) – Not Applicable
   
12(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/ Donald C. Burke
  Donald C. Burke
  Chief Executive Officer of
  BlackRock Corporate High Yield Fund VI, Inc.
 
Date: May 8, 2009

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/ Donald C. Burke
  Donald C. Burke
  Chief Executive Officer (principal executive officer) of
BlackRock Corporate High Yield Fund VI, Inc.
 
Date: May 8, 2009
 
By: /s/ Neal J. Andrews
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
BlackRock Corporate High Yield Fund VI, Inc.
 
Date: May 8, 2009