N-CSR 1 d63209dncsr.htm BLACKROCK CORE BOND TRUST BLACKROCK CORE BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-10543

Name of Fund:  BlackRock Core Bond Trust (BHK)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock Core Bond

              Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2019

Date of reporting period: 08/31/2019

Item 1 – Report to Stockholders

AUGUST 31, 2019

 

ANNUAL REPORT

   LOGO

 

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information

 

Section 19(a) Notices

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

August 31, 2019

 

     Total Fiscal Year to Date Cummulative
Distributions by Character		     Percentage of Fiscal Year to Date Cumulative
Distributions by Character		  
     Net
Investment
Income		     Net Realized
Capital Gains
Short Term		     Net Realized
Capital Gains
Long Term		     Return of
Capital		     Total Per
Common
Share		     Net
Investment
Income		     Net Realized
Capital Gains
Short Term		     Net Realized
Capital Gains
Long Term		     Return of
Capital		     Total Per
Common
Share		  

BHK*

   $ 0.7091900     $             —     $             —     $ 0.0608100     $ 0.7700000       92 %      0 %      0 %      8 %      100 % 

HYT*

     0.8619080       —       —       0.0020920       0.8640000       100       0       0       0       100  

 

  *

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

 

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at http://www.blackrock.com.

Section 19(b) Disclosure

On September 5, 2019, the Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, BHK will distribute a fixed amount of $0.0676 per share on a monthly basis and HYT will distribute a fixed amount of $0.0779 per share on a monthly basis.

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

 

 

2    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

The Markets in Review

Dear Shareholder,

Investment performance in the 12 months ended August 31, 2019 was a tale of two markets. The first half of the reporting period was characterized by restrictive monetary policy, deteriorating economic growth, equity market volatility, and rising fear of an imminent recession. During the second half of the reporting period, stocks and bonds rebounded sharply, as restrained inflation and weak economic growth led the U.S. Federal Reserve (the “Fed”) to stop raising interest rates, which led to broad-based optimism that stimulative monetary policy could help forestall a recession.

After the dust settled, the U.S. equity and bond markets posted mixed returns while weathering significant volatility. Less volatile U.S. large cap equities and U.S. bonds advanced, while equities at the high end of the risk spectrum — emerging markets, international developed, and U.S. small cap — posted negative returns.

Fixed-income securities delivered strong returns with relatively low volatility, as interest rates declined (and bond prices rose). Longer-term U.S. Treasury yields declined further than short-term Treasury yields. This led to positive returns for U.S. Treasuries across the maturity spectrum and a substantial flattening of the yield curve. Investment grade and high yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

In the U.S. equity market, volatility spiked in late 2018, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil. These risks manifested in a broad-based sell-off in December, leading to the worst December performance on record since 1931.

Volatility also rose in emerging markets, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, particularly in mainland China, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe and ongoing uncertainty about Brexit led to modest performance for European equities.

As equity performance faltered and global economic growth slowed, the Fed shifted to a more patient perspective on the economy in January 2019. The Fed left interest rates unchanged for six months, then lowered interest rates for the first time in 11 years in July 2019. Similarly, the European Central Bank and the Bank of Japan signaled a continuation of accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world. Hopes continued to remain high thereafter, as the current economic expansion became the longest in U.S. history. Looking ahead, markets are pricing in additional rate cuts by the Fed over the next year, as investors anticipate a steady shift toward more stimulative monetary policy.

We expect a slowing expansion with additional room to run, as opposed to an economic recession. However, escalating trade tensions and the resulting disruptions in global supply chains have become the greatest risk to the global expansion.

We believe U.S. and emerging market equities remain relatively attractive. Within U.S. equities, companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off. For bonds, U.S. Treasuries are likely to help buffer against volatility in risk assets, while income from other types of bonds can continue to offer steady returns.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2019
     6-month   12-month

U.S. large cap equities
(S&P 500® Index)

   6.15%   2.92%

U.S. small cap equities
(Russell 2000® Index)

   (4.43)   (12.89)

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

   0.34   (3.26)

Emerging market equities
(MSCI Emerging Markets Index)

   (4.68)   (4.36)

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

   1.25   2.36

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

   12.18   15.06

U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index)

   8.02   10.17

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

   5.92   8.26

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)

   4.46   6.56
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

THIS PAGE IS NOT PART OF YOUR FUND REPORT      3  

Table of Contents

 

      Page  

Section 19(a) Notices

     2  

Section 19(b) Disclosure

     2  

The Markets in Review

     3  

Annual Report:

   

Trust Summaries

      5  

The Benefits and Risks of Leveraging

      11  

Derivative Financial Instruments

      11  

Financial Statements:

   

Schedules of Investments

      12  

Statements of Assets and Liabilities

      68  

Statements of Operations

      69  

Statements of Changes in Net Assets

      70  

Statements of Cash Flows

      71  

Financial Highlights

      73  

Notes to Financial Statements

      75  

Report of Independent Registered Public Accounting Firm

      88  

Important Tax Information

      89  

Disclosure of Investment Advisory Agreements

      90  

Automatic Dividend Reinvestment Plans

      94  

Trustee and Officer Information

     95  

Additional Information

      98  

Glossary of Terms Used in this Report

     100  

 

 

4        

Trust Summary  as of August 31, 2019    BlackRock Core Bond Trust

 

Trust Overview

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its managed assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, U.S. government and agency securities and mortgage-related securities. The Trust may invest up to 25% of its total managed assets in bonds that at the time of investment are rated Ba/BB or below by Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”), Fitch Ratings (“Fitch”) or another nationally recognized rating agency or bonds that are unrated but judged to be of comparable quality by the investment adviser. The Trust may invest up to 10% of its managed assets in bonds issued in foreign currencies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

   BHK

Initial Offering Date

   November 27, 2001

Current Distribution Rate on Closing Market Price as of August 31, 2019 ($14.56)(a)

   4.95%

Current Monthly Distribution per Common Share(b)

   $0.0600

Current Annualized Distribution per Common Share(b)

   $0.7200

Leverage as of August 31, 2019(c)

   24%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b) 

The monthly distribution per Common Share, declared on October 1, 2019, was increased to $0.0676 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 
  (c) 

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11.

 

Market Price and Net Asset Value Per Share Summary

 

     08/31/19     

08/31/18

      Change      High      Low  

Market Price

   $ 14.56      $ 12.85        13.31 %     $ 14.68      $ 12.08  

Net Asset Value

     15.79        14.08        12.14        15.83        13.41  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

 

TRUST SUMMARY      5  

Trust Summary  as of August 31, 2019 (continued)    BlackRock Core Bond Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2019 were as follows:

 

    Average Annual Total Returns  
     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

     18.86 %       7.20 %       7.31 % 

Trust at Market Price(a)(b)

     20.09        6.53        7.95  

Reference Benchmark(c)

     13.78        4.74        4.93  

Bloomberg Barclays U.S. Long Government/Credit Index(d)

     22.32        5.79        6.68  

Bloomberg Barclays Intermediate Credit Index(e)

     9.27        3.43        3.35  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(f)

     6.56        6.17        4.86  

Bloomberg Barclays CMBS, Eligible for U.S. Aggregate(g)

     10.72        3.31        3.70  

Bloomberg Barclays MBS Index(h)

     7.06        2.39        2.75  

Bloomberg Barclays ABS Index(i)

     5.54        2.38        2.25  

 

  (a)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Long Government/Credit Index (40%); Bloomberg Barclays Intermediate Credit Index (24%); Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg Barclays MBS Index (8%); and Bloomberg Barclays ABS Index (4%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d) 

This unmanaged index is the long component of the Bloomberg Barclays U.S. Government/Credit Index. This unmanaged index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt.

 
  (e) 

This unmanaged index is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

 
  (f) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 
  (g) 

This unmanaged index is the CMBS component of the Bloomberg Barclays U.S. Aggregate Index.

 
  (h) 

This unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg Barclays U.S. Aggregate Bond Index. The unmanaged index is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income.

 
  (i) 

This unmanaged index is the asset-backed securities component of the Bloomberg Barclays U.S. Aggregate Index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

BHK is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

Positive contributions to the Trust’s performance over the period came from its allocations to both investment grade and high yield corporate bonds, as well as to U.S. Treasuries. Within securitized assets, exposure to agency collateralized mortgage obligations and commercial mortgage-backed securities (“CMBS”) contributed positively.

The principal detractors from the Trust’s performance were its exposures to municipal bonds and cash.

Describe recent portfolio activity.

During the period, the Trust trimmed its securitized exposure across both asset-backed securities (“ABS”) and CMBS. The ABS allocation was trimmed from 11% to 6%, while the allocation to CMBS was trimmed from 8.9% to 3.9%. The Trust also increased its allocation to U.S. Treasuries from 16.2% to 23%, and its allocation to 30-year mortgage pass-throughs from 5.9% to 8%.

Describe portfolio positioning at period end.

At period end, the Trust maintained a diversified exposure within non-government spread sectors, including investment grade corporate credit, high yield corporate credit, CMBS and ABS. The Trust also held exposure to government-related sectors such as U.S. Treasury securities, agency debt and agency mortgage-backed securities.

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

 

 

6    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of August 31, 2019 (continued)    BlackRock Core Bond Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     08/31/19    

08/31/18

  

Corporate Bonds

     47 %      48 % 

U.S. Treasury Obligations

     17       12  

U.S. Government Sponsored Agency Securities

     13       10  

Preferred Securities

     8       9  

Asset-Backed Securities

     5       8  

Non-Agency Mortgage-Backed Securities

     3       6  

Foreign Agency Obligations

     2       2  

Municipal Bonds

     2       2  

Short-Term Securities

     2       1  

Floating Rate Loan Interests

     1       2  

Options Purchased

     1       — (a) 

Options Written

     (1 )      — (a) 

 

  (a) 

Representing less than 1% of the Trust’s total investments.

 

CREDIT QUALITY ALLOCATION (b)(c)

 

     08/31/19    

08/31/18

  

AAA/Aaa(d)

     32 %      24 % 

AA/Aa

     4       5  

A

     14       15  

BBB/Baa

     27       28  

BB/Ba

     11       11  

B

     8       8  

CCC/Caa

     2       4  

N/R

     2       5  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service (“Moody’s”), if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (c) 

Excludes Short-Term Securities, Options Purchased and Options Written.

 
  (d) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 
 

 

 

TRUST SUMMARY      7  

Trust Summary  as of August 31, 2019    BlackRock Corporate High Yield Fund, Inc.

 

Trust Overview

BlackRock Corporate High Yield Fund, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in a diversified portfolio of fixed income securities which are rated at the time of investment to be below investment grade or, if unrated, are considered by the investment adviser to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on NYSE

   HYT

Initial Offering Date

   May 30, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2019 ($10.51)(a)

   8.22%

Current Monthly Distribution per Common Share(b)

   $0.0720

Current Annualized Distribution per Common Share(b)

   $0.8640

Leverage as of August 31, 2019(c)

   25%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 
  (b)

The monthly distribution per Common Share, declared on October 1, 2019, was increased to $0.0779 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 
  (c)

Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11.

 

Market Price and Net Asset Value Per Share Summary

 

     08/31/19     

08/31/18

      Change      High      Low  

Market Price

   $ 10.51      $ 10.70        (1.78 )%     $ 10.84      $ 8.95  

Net Asset Value

     11.82        11.90        (0.67 )       11.93        10.66  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

 

8    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of August 31, 2019 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2019 were as follows:

 

    Average Annual Total Returns  
     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

     8.06 %       8.53 %       6.07 % 

Trust at Market Price(a)(b)

     6.86        7.20        5.94  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(c)

     6.56        6.17        4.86  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An unmanaged index (the “Reference Benchmark”) comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

HYT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

The technology, cable & satellite and wireless sectors were the largest contributors to the Trust’s return over the period. Notably, most sectors within the high yield market posted positive returns for the 12 months. By credit rating, BB-rated bonds were the largest contributors to return over the period, particularly in 2019 to date when higher quality outperformed. The Trust’s allocation to B-rated bonds also contributed meaningfully. The Trust’s core allocation to high yield corporate bonds led positive contributions, while a smaller tactical position in floating rate loan interests (“bank loans”) was also additive.

From a sector perspective, holdings within oil field services and independent energy detracted from Trust performance as energy-related bonds came under pressure during the period. The non-rated segment of the portfolio, which largely comprises preferred and common equity positions, detracted as well over the period.

Describe recent portfolio activity.

While key positioning themes remained broadly consistent, the investment adviser has tactically navigated sector- and issuer-level positioning to take advantage of market opportunities. The Trust’s energy exposure was reduced over the period. In addition, the Trust reduced bank loan exposure throughout the period as more attractive relative value developed in high yield bonds. Liquid product usage was active over the period across total return swaps, high yield exchange-traded funds and indexed credit default swap vehicles.

Describe portfolio positioning at period end.

At period end, the Trust remained underweight in BB-rated credits and overweight in select CCC-rated credits, though the CCC-rated overweight was trimmed since the beginning of 2019. The Trust maintained an underweight position to the highest-yielding portion of the market that contains a larger concentration of stressed assets. The investment adviser continues to focus on maintaining a tactical (but meaningful) allocation to bank loans and collateralized loan obligations. Leading sector exposures included technology, cable & satellite and health care. While energy exposure was reduced over the period, the Trust’s largest allocations in that segment at period end were to independent energy and midstream issuers. At period end, top issuer overweight positions included TransDigm, Inc. (aerospace & defense), JPMorgan Chase & Co. (banking) and Clear Channel Outdoor Holdings, Inc. (media & entertainment).

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 SUMMARY      9  

Trust Summary  as of August 31, 2019 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     08/31/19    

08/31/18

  

Corporate Bonds

     85 %      79 % 

Floating Rate Loan Interests

     9       10  

Preferred Securities

     4       4  

Asset-Backed Securities

     1       3  

Common Stocks

     1       3  

Investment Companies

     —       1  

Other

     — (a)      — (b) 

 

  (a) 

Representing less than 1% of the Trust’s total investments and Other may include Warrants, Other Interests, Short-Term Securities, Options Purchased and Options Written.

 
  (b) 

Representing less than 1% of the Trust’s total investments and Other may include Non-Agency Mortgage-Backed Securities, Warrants, Other Interests, Short-Term Securities, Options Purchased and Options Written.

 

CREDIT QUALITY ALLOCATION (c)(d)

 

     08/31/19    

08/31/18

  

AA/Aa

     — %(b)      — % 

A

     — (b)      1  

BBB/Baa

     4       4  

BB/Ba

     36       30  

B

     43       38  

CCC/Caa

     15       18  

N/R

     2       9  

 

  (c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (d) 

Excludes Short-Term Securities, Options Purchased and Options Written.

 
 

 

 

10    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the 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. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      11  

Schedule of Investments

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Asset-Backed Securities — 6.0%  

ALM VI Ltd.(a)(b):

      

(3 mo. LIBOR US + 2.70%), 5.00%, 07/15/26

     USD       1,000     $ 986,971  

Series 2012-6A, Class BR3, (3 mo. LIBOR US + 1.75%), 4.05%, 07/15/26

       1,000       988,169  

ALM XII Ltd., Series 2015-12A, Class C1R2, 4.97%, 04/16/27(a)

       545       542,942  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 5.00%, 07/15/27(a)(b)

       2,080       2,052,750  

Anchorage Capital CLO Ltd.(a)(b):

      

Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 5.50%, 10/13/30

       720       699,351  

Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 5.26%, 07/28/28

       1,000       972,127  

Battalion CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.45%), 5.73%, 01/24/29(a)(b)

       1,000       993,612  

Benefit Street Partners CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.50%), 5.80%, 01/15/29(a)(b)

       815       814,475  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 5.50%, 11/23/25(a)(b)

       3,000       2,998,915  

Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 5.53%, 08/14/30(a)(b)

       1,000       960,173  

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, (1 mo. LIBOR US + 0.15%), 2.30%, 01/25/37(b)

       68       67,773  

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(a)(c)

       3,729       3,747,576  

Dryden CLO Ltd., Series 2018-64A, Class D, 4.95%, 04/18/31(a)

       1,250       1,156,866  

Dryden Senior Loan Fund, Series 2015-41A, Class AR, (3 mo. LIBOR US + 0.97%), 3.27%, 04/15/31(a)(b)

       2,550       2,523,583  

Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 5.31%, 08/15/30(a)(b)

       1,000       964,330  

Galaxy CLO XXIX Ltd., Series 2018-29A, Class D, (3 mo. LIBOR US + 2.40%), 4.56%, 11/15/26(a)(b)

       805       792,868  

Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 5.90%, 07/18/29(a)(b)

       1,000       979,568  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 5.88%, 10/20/26(a)(b)

       3,750       3,617,749  

Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 8.68%, 01/20/29(a)(b)

       250       244,591  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.46%, 01/27/26(a)(b)

       1,800       1,804,060  

Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%), 2.26%, 08/23/27(b)

       218       217,537  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 5.35%, 10/15/29(a)(b)

       1,000       942,337  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 2.75%), 5.03%, 01/22/30(a)(b)

       500       464,795  
Security   Par
(000)		     Value  
Asset-Backed Securities (continued)  

OHA Credit Partners VII Ltd., Series 2012-7A, Class DR, (3 mo. LIBOR US + 4.20%), 6.34%, 11/20/27(a)(b)

     USD       1,160     $ 1,160,721  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 9.43%, 01/21/30(a)(b)

       595       595,130  

OHA Loan Funding Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.75%), 6.03%, 01/20/28(a)(b)

       2,500       2,480,523  

OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.00%), 5.28%, 01/22/29(a)(b)

       1,500       1,499,514  

OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%),
5.45%, 10/17/29(a)(b)

       1,750       1,663,968  

OZLM XIV Ltd., Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.00%),
5.30%, 01/15/29(a)(b)

       1,000       964,061  

OZLM XXI, Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 4.95%, 01/20/31(a)(b)

       1,000       925,672  

Palmer Square Loan Funding Ltd.(a)(b):

      

Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 6.53%, 01/20/27

       1,000       988,762  

Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 5.58%, 08/20/27

       750       749,258  

Regatta VI Funding Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), 7.28%, 07/20/28(a)(b)

       250       235,170  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.55%, 04/15/29(a)(b)

       1,750       1,737,473  

Shackleton CLO Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.02%), 5.32%, 07/15/30(a)(b)

       500       470,970  

SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(a)

       500       505,870  

Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 6.11%, 01/23/29(a)(b)

       1,550       1,541,590  

Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 02/25/32

       357       347,739  

TRESTLES CLO II Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.65%), 5.93%, 07/25/29(a)(b)

       250       248,314  

Voya CLO Ltd., Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%),
5.83%, 07/20/30(a)(b)

       1,000       993,170  

Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 5.53%, 07/20/28(a)(b)

       1,185       1,161,574  

York CLO Ltd.(a)(b):

      

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.88%, 10/20/29

       1,750       1,735,046  

Series 2016-2A, Class D, (3 mo. LIBOR US + 4.10%), 6.38%, 01/20/30

       1,500       1,498,011  
   

 

 

  
        51,035,654  
Interest Only Asset-Backed Securities — 0.0%  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30(a)(c)

       1,846       83,057  

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 04/15/29(a)(c)

       2,066       85,407  
   

 

 

  
        168,464  
   

 

 

  

Total Asset-Backed Securities — 6.0%
(Cost — $52,096,331)

 

     51,204,118  
 

 

 

  
 

 

 

12    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Corporate Bonds — 61.4%

 

Aerospace — 0.1%  

AT&T, Inc., 6.10%, 07/15/40

     USD       830     $ 1,053,930  

Telecom Argentina SA, 8.00%, 07/18/26(a)

       170       135,150  
   

 

 

  
        1,189,080  
Aerospace & Defense — 1.5%  

Amsted Industries, Inc., 5.63%, 07/01/27(a)

       95       101,413  

Arconic, Inc., 5.13%, 10/01/24

       680       724,639  

BBA US Holdings, Inc., 5.38%, 05/01/26(a)

       194       202,730  

Bombardier, Inc.(a):

      

8.75%, 12/01/21

       369       400,365  

5.75%, 03/15/22

       62       62,543  

6.00%, 10/15/22

       6       5,955  

6.13%, 01/15/23

       204       202,980  

7.50%, 12/01/24

       387       385,587  

7.50%, 03/15/25

       446       434,293  

7.88%, 04/15/27

       1,166       1,129,562  

Eaton Corp., 4.15%, 11/02/42

       500       566,574  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(a)

       368       394,680  

Lockheed Martin Corp., 4.09%, 09/15/52

       1,410       1,700,290  

TransDigm UK Holdings PLC, 6.88%, 05/15/26

       200       209,500  

TransDigm, Inc.:

      

6.00%, 07/15/22

       124       126,015  

6.50%, 05/15/25

       58       60,465  

6.25%, 03/15/26(a)

       3,460       3,732,406  

United Technologies Corp., 6.13%, 07/15/38

       1,450       2,038,767  
   

 

 

  
        12,478,764  
Air Freight & Logistics — 0.2%  

FedEx Corp., 4.75%, 11/15/45

       1,250       1,399,223  

XPO Logistics, Inc., 6.75%, 08/15/24(a)

       11       11,853  
   

 

 

  
        1,411,076  
Airlines — 1.6%  

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(a)

       1,479       1,500,798  

American Airlines Pass-Through Trust:

      

Series 2013-2, Class A, 4.95%, 07/15/24

       2,339       2,463,287  

Series 2015-2, Class A, 4.00%, 03/22/29

       1,287       1,370,151  

Series 2015-2, Class AA, 3.60%, 03/22/29

       1,287       1,362,423  

Series 2017-1, Class B, 4.95%, 08/15/26

       1,515       1,611,718  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20

       302       234,427  

Latam Finance Ltd., 6.88%, 04/11/24(a)

       257       266,156  

United Airlines Pass-Through Trust:

      

Series 2013-1, Class A, 4.30%, 02/15/27

       3,011       3,272,362  

Series 2014-2, Class B, 4.63%, 03/03/24

       1,849       1,912,543  
   

 

 

  
        13,993,865  
Auto Components — 0.7%  

Allison Transmission, Inc., 5.88%, 06/01/29(a)

       210       225,225  

Aptiv PLC, 4.40%, 10/01/46

       465       466,727  

General Motors Co., 6.25%, 10/02/43

       2,506       2,817,072  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.25%, 02/01/22

       118       121,540  

6.75%, 02/01/24

       92       96,255  

6.38%, 12/15/25

       200       211,750  

6.25%, 05/15/26(a)

       226       235,888  

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.(a):

      

6.25%, 05/15/26

       620       643,250  

8.50%, 05/15/27

       797       777,075  
Security   Par
(000)		     Value  
Auto Components (continued)  

Tesla, Inc., 5.30%, 08/15/25(a)

     USD       166     $ 148,155  
   

 

 

  
        5,742,937  
Automobiles — 0.2%  

Ford Motor Co., 4.75%, 01/15/43

       2,000       1,804,400  
   

 

 

  
Banks — 1.8%  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(d)

     EUR       100       114,439  

Barclays PLC:

      

4.38%, 09/11/24

     USD       550       565,072  

3.65%, 03/16/25

       4,320       4,400,611  

BBVA Bancomer SA, 6.75%, 09/30/22(a)

       236       254,880  

CIT Group, Inc.:

      

5.00%, 08/01/23

       237       256,849  

5.25%, 03/07/25

       300       336,000  

6.13%, 03/09/28

       146       174,652  

Cooperatieve Rabobank UA, 3.95%, 11/09/22

       1,500       1,570,648  

HSBC Holdings PLC, 6.10%, 01/14/42

       610       893,406  

Promerica Financial Corp., 9.70%, 05/14/24(a)

       200       213,375  

Santander Holdings USA, Inc., 4.50%, 07/17/25

       2,000       2,153,031  

Santander UK Group Holdings PLC, 2.88%, 08/05/21

       1,250       1,254,397  

Standard Chartered PLC(3 mo. LIBOR US + 1.97%), 4.87%, 03/15/33(a)(d)

       500       535,683  

Wells Fargo & Co., 3.90%, 05/01/45

       2,250       2,632,400  
   

 

 

  
        15,355,443  
Beverages — 0.7%  

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46

       4,600       5,483,831  

Central American Bottling Corp., 5.75%, 01/31/27(a)

       222       234,557  
   

 

 

  
        5,718,388  
Biotechnology — 0.5%  

Amgen, Inc., 4.40%, 05/01/45

       2,250       2,559,647  

Baxalta, Inc., 5.25%, 06/23/45

       500       657,773  

Gilead Sciences, Inc., 4.80%, 04/01/44

       1,000       1,207,902  
   

 

 

  
        4,425,322  
Building Materials — 0.0%  

CEMEX Finance LLC, 4.63%, 06/15/24

     EUR       100       115,403  

Jeld-Wen, Inc., 4.63%, 12/15/25(a)

     USD       93       91,140  
   

 

 

  
        206,543  
Building Products — 0.1%  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(a)

       10       9,863  

CPG Merger Sub LLC, 8.00%, 10/01/21(a)

       220       220,275  

Jeld-Wen, Inc., 4.88%, 12/15/27(a)

       21       20,317  

Masonite International Corp.(a):

      

5.75%, 09/15/26

       52       55,055  

5.38%, 02/01/28

       81       85,455  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(a)

       64       68,960  

Standard Industries, Inc.(a):

      

5.50%, 02/15/23

       12       12,300  

5.38%, 11/15/24

       263       270,561  

6.00%, 10/15/25

       287       301,709  

5.00%, 02/15/27

       48       49,200  

4.75%, 01/15/28

       54       54,270  
   

 

 

  
        1,147,965  
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(a)

       127       111,478  
   

 

 

  
Capital Markets — 2.6%  

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

       5,890       8,528,594  
 

 

 

SCHEDULES OF INVESTMENTS      13  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Capital Markets (continued)  

Goldman Sachs Group, Inc., 3.75%, 05/22/25

     USD       8,965     $ 9,555,241  

Intertrust Group BV, 3.38%, 11/15/25

     EUR       100       116,717  

LABL Escrow Issuer LLC, 6.75%, 07/15/26(a)

     USD       123       126,383  

Morgan Stanley:

      

4.00%, 07/23/25

       905       980,205  

3.13%, 07/27/26

       2,000       2,077,174  

Owl Rock Capital Corp., 5.25%, 04/15/24

       116       121,892  

Raymond James Financial, Inc., 4.95%, 07/15/46

       400       489,548  

Stevens Holding Co., Inc., 6.13%, 10/01/26(a)

       90       93,600  
   

 

 

  
        22,089,354  
Chemicals — 0.7%  

Air Liquide Finance SA, 3.50%, 09/27/46(a)

       360       390,781  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(a)(e)

       210       202,913  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(a)

       1,112       1,103,660  

Axalta Coating Systems LLC, 4.88%, 08/15/24(a)

       311       321,916  

Blue Cube Spinco LLC:

      

9.75%, 10/15/23

       317       347,907  

10.00%, 10/15/25

       227       254,808  

Chemours Co.:

      

6.63%, 05/15/23

       151       153,643  

5.38%, 05/15/27

       188       166,850  

Cydsa SAB de CV, 6.25%, 10/04/27(a)

       319       320,196  

Element Solutions, Inc., 5.88%, 12/01/25(a)

       998       1,041,662  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(a)

       101       103,273  

Mexichem SAB de CV, 4.00%, 10/04/27(a)

       200       204,625  

NOVA Chemicals Corp., 4.88%, 06/01/24(a)

       41       42,076  

Orbia Advance Corp SAB de CV, 5.50%, 01/15/48(a)

       200       205,063  

PQ Corp.(a):

      

6.75%, 11/15/22

       262       271,877  

5.75%, 12/15/25

       297       304,425  

Versum Materials, Inc., 5.50%, 09/30/24(a)

       96       103,440  

WR Grace & Co-Conn, 5.63%, 10/01/24(a)

       130       140,400  
   

 

 

  
        5,679,515  
Commercial Services & Supplies — 0.6%  

ADT Security Corp.:

      

6.25%, 10/15/21

       86       91,375  

3.50%, 07/15/22

       33       33,083  

4.13%, 06/15/23

       97       98,546  

4.88%, 07/15/32(a)

       353       307,551  

Aviation Capital Group LLC, 7.13%,
10/15/20(a)

       1,800       1,895,304  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(a)

       261       268,177  

Clean Harbors, Inc.(a):

      

4.88%, 07/15/27

       169       178,717  

5.13%, 07/15/29

       89       94,785  

Core & Main LP, 6.13%, 08/15/25(a)

       649       658,735  

Fortress Transportation & Infrastructure Investors LLC(a):

      

6.75%, 03/15/22

       43       44,720  

6.50%, 10/01/25

       46       47,380  

GFL Environmental, Inc., 8.50%, 05/01/27(a)

       193       211,335  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(a)

       273       216,352  

KAR Auction Services, Inc., 5.13%,
06/01/25(a)

       97       99,910  

Mobile Mini, Inc., 5.88%, 07/01/24

       298       309,175  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(a)

       181       188,466  

United Rentals North America, Inc.:

      

5.50%, 07/15/25

       125       130,313  

4.63%, 10/15/25

       117       120,329  

6.50%, 12/15/26

       3       3,263  
Security   Par
(000)		     Value  
Commercial Services & Supplies (continued)  

5.50%, 05/15/27

     USD       155     $ 166,317  

4.88%, 01/15/28

       55       57,681  
   

 

 

  
        5,221,514  
Communications Equipment — 0.4%  

CommScope, Inc.(a):

      

5.50%, 03/01/24

       569       576,824  

6.00%, 03/01/26

       227       231,199  

Nokia OYJ:

      

4.38%, 06/12/27

       31       32,163  

6.63%, 05/15/39

       295       340,725  

ViaSat, Inc., 5.63%, 04/15/27(a)

       431       457,937  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 04/01/23

       700       721,966  

6.38%, 05/15/25

       51       52,466  

5.75%, 01/15/27(a)

       585       596,700  
   

 

 

  
        3,009,980  
Construction & Engineering — 0.5%  

Brand Industrial Services, Inc., 8.50%,
07/15/25(a)

       165       145,406  

frontdoor, Inc., 6.75%, 08/15/26(a)

       262       284,270  

ITR Concession Co. LLC, 4.20%, 07/15/25(a)

       4,000       3,883,670  

SRS Distribution, Inc., 8.25%, 07/01/26(a)

       124       121,520  
   

 

 

  
        4,434,866  
Construction Materials — 0.3%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(a)

       297       314,820  

HD Supply, Inc., 5.38%, 10/15/26(a)

       1,293       1,377,303  

Navistar International Corp., 6.63%, 11/01/25(a)

       250       253,125  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(a)

       94       96,115  

PulteGroup, Inc., 6.00%, 02/15/35

       27       28,620  

Williams Scotsman International, Inc.(a):

      

7.88%, 12/15/22

       78       82,144  

6.88%, 08/15/23

       230       240,925  
   

 

 

  
        2,393,052  
Consumer Discretionary — 0.2%  

Dun & Bradstreet Corp., 6.88%, 08/15/26(a)

       552       598,230  

Nielsen Co. Luxembourg Sarl, 5.00%,
02/01/25(a)

       45       44,437  

Viking Cruises Ltd.(a):

      

6.25%, 05/15/25

       88       91,080  

5.88%, 09/15/27

       648       672,300  
   

 

 

  
        1,406,047  
Consumer Finance — 1.9%  

Ally Financial, Inc.:

      

5.13%, 09/30/24

       284       318,435  

8.00%, 11/01/31

       1,349       1,885,227  

Capital One Financial Corp., 4.75%, 07/15/21

       1,935       2,022,864  

Corvias Campus Living USG LLC, 5.30%, 07/01/50(c)

       5,682       6,222,962  

Credit Acceptance Corp., 6.63%, 03/15/26(a)

       96       103,860  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22(a)

       200       197,937  

Ford Motor Credit Co. LLC, 8.13%, 01/15/20

       1,530       1,561,926  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(e)

     EUR       110       96,942  

Navient Corp.:

      

5.00%, 10/26/20

     USD       180       184,275  

6.63%, 07/26/21

       99       105,930  

6.50%, 06/15/22

       36       38,970  

5.50%, 01/25/23

       186       195,356  

7.25%, 09/25/23

       93       103,230  

6.13%, 03/25/24

       67       71,104  
 

 

 

14    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Consumer Finance (continued)  

5.88%, 10/25/24

     USD       115     $ 120,979  

6.75%, 06/25/25

       65       69,875  

6.75%, 06/15/26

       65       69,550  

Refinitiv US Holdings, Inc.:

      

4.50%, 05/15/26

     EUR       100       118,968  

4.50%, 05/15/26(a)

       245       291,471  

6.25%, 05/15/26(a)

     USD       26       28,308  

8.25%, 11/15/26(a)

       622       699,750  

Springleaf Finance Corp.:

      

6.13%, 05/15/22

       50       53,875  

5.63%, 03/15/23

       6       6,450  

6.88%, 03/15/25

       94       106,573  

7.13%, 03/15/26

       290       330,745  

6.63%, 01/15/28

       134       147,065  

Verscend Escrow Corp., 9.75%, 08/15/26(a)

       737       789,017  
   

 

 

  
        15,941,644  
Containers & Packaging — 0.7%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.63%, 05/15/23(a)

       671       686,742  

4.13%, 08/15/26(a)

       200       202,246  

4.75%, 07/15/27

     GBP       100       122,948  

Berry Global, Inc., 4.88%, 07/15/26(a)

     USD       268       281,400  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

       210       217,875  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26

       412       432,600  

Greif, Inc., 6.50%, 03/01/27(a)

       38       39,900  

Intertape Polymer Group, Inc., 7.00%,
10/15/26(a)

       119       123,463  

Mauser Packaging Solutions Holding Co.:

      

4.75%, 04/15/24

     EUR       100       113,532  

5.50%, 04/15/24(a)

     USD       787       808,642  

Mercer International, Inc., 7.75%, 12/01/22

       29       29,761  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(a):

      

5.13%, 07/15/23

       227       233,367  

7.00%, 07/15/24

       496       512,740  

Suzano Austria GmbH, 6.00%, 01/15/29

       517       572,552  

Trivium Packaging Finance BV(a):

      

5.50%, 08/15/26

       428       452,610  

8.50%, 08/15/27

       867       932,025  
   

 

 

  
        5,762,403  
Diversified Consumer Services — 0.3%  

APX Group, Inc.:

      

8.75%, 12/01/20

       148       140,600  

7.88%, 12/01/22

       106       100,833  

Ascend Learning LLC, 6.88%, 08/01/25(a)

       606       627,967  

Graham Holdings Co., 5.75%, 06/01/26(a)

       124       132,680  

Laureate Education, Inc., 8.25%, 05/01/25(a)

       72       78,390  

Matthews International Corp., 5.25%,
12/01/25(a)

       44       41,910  

Prime Security Services Borrower LLC/Prime Finance, Inc.(a):

      

9.25%, 05/15/23

       120       126,192  

5.25%, 04/15/24

       182       187,990  

5.75%, 04/15/26

       199       207,457  

Service Corp. International, 5.13%, 06/01/29

       175       187,250  

ServiceMaster Co. LLC, 5.13%, 11/15/24(a)

       308       323,286  

Verisure Holding AB, 3.50%, 05/15/23

     EUR       100       114,689  
   

 

 

  
        2,269,244  
Diversified Financial Services — 3.6%  

Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(a)

     USD       865       919,062  
Security   Par
(000)		     Value  
Diversified Financial Services (continued)  

Bank of America Corp.:

      

5.63%, 07/01/20

     USD       2,200     $ 2,262,831  

3.25%, 10/21/27

       4,000       4,220,575  

Cabot Financial Luxembourg II SA (3 mo. Euribor + 6.38%), 6.38%, 06/14/24(b)

     EUR       100       113,321  

Controladora Mabe SA de CV, 5.60%, 10/23/28(a)

     USD       215       228,438  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(a)

       200       203,000  

FMR LLC, 4.95%, 02/01/33(a)

       2,300       2,833,522  

FS Energy & Power Fund, 7.50%, 08/15/23(a)

       27       26,798  

General Electric Co., 6.15%, 08/07/37

       2,150       2,543,041  

General Motors Financial Co., Inc., 4.25%, 05/15/23

       807       844,880  

Gilex Holding Sarl, 8.50%, 05/02/23(a)

       182       194,285  

GKN Holdings Ltd., 5.38%, 09/19/22

     GBP       100       132,696  

Intercontinental Exchange, Inc., 4.00%, 10/15/23

     USD       470       505,341  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(a)

       3,151       3,229,802  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(e)

     EUR       100       113,477  

Lloyds Banking Group PLC (5 year CMT + 4.82%), 6.75%(d)(f)

     USD       595       602,437  

Moody’s Corp., 4.50%, 09/01/22

       1,800       1,911,557  

MSCI, Inc., 5.25%, 11/15/24(a)

       75       77,865  

Northern Trust Corp., 3.95%, 10/30/25

       8,000       8,787,796  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(a)

       432       443,794  

WMG Acquisition Corp., 5.50%, 04/15/26(a)

       84       87,990  
   

 

 

  
        30,282,508  
Diversified Telecommunication Services — 3.4%  

AT&T, Inc.:

      

6.38%, 03/01/41

       520       679,486  

5.15%, 03/15/42

       2,400       2,794,088  

4.75%, 05/15/46

       2,710       3,026,587  

CenturyLink, Inc.:

      

5.63%, 04/01/25

       107       109,407  

Series P, 7.60%, 09/15/39

       86       82,560  

Series U, 7.65%, 03/15/42

       86       82,130  

Series W, 6.75%, 12/01/23

       497       538,624  

Series Y, 7.50%, 04/01/24

       534       592,729  

Cincinnati Bell, Inc., 7.00%, 07/15/24(a)

       195       177,937  

Embarq Corp., 8.00%, 06/01/36

       277       271,560  

Frontier Communications Corp., 8.00%, 04/01/27(a)

       1,116       1,163,430  

GCI LLC, 6.63%, 06/15/24(a)

       93       99,278  

Level 3 Financing, Inc.:

      

5.38%, 08/15/22

       127       127,476  

5.63%, 02/01/23

       93       94,601  

5.13%, 05/01/23

       95       96,548  

5.38%, 05/01/25

       36       37,440  

5.25%, 03/15/26

       665       693,262  

Qwest Corp., 6.75%, 12/01/21

       3       3,236  

SoftBank Group Corp., 4.00%, 04/20/23

     EUR       100       119,768  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       74       78,255  

6.00%, 09/30/34

       176       180,400  

7.20%, 07/18/36

       12       13,380  

7.72%, 06/04/38

       40       46,200  

Telecom Italia SpA:

      

4.00%, 04/11/24

     EUR       100       121,765  

5.30%, 05/30/24(a)

     USD       200       214,000  

Verizon Communications, Inc.:

      

6.40%, 02/15/38

       5,700       7,776,103  

6.55%, 09/15/43

       6,751       9,942,158  
   

 

 

  
        29,162,408  
 

 

 

SCHEDULES OF INVESTMENTS      15  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Electric Utilities — 5.4%  

Berkshire Hathaway Energy Co., 6.50%, 09/15/37

     USD       5,515     $ 7,910,449  

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

       434       563,976  

CMS Energy Corp., 5.05%, 03/15/22

       1,832       1,948,632  

Duke Energy Carolinas LLC:

      

6.10%, 06/01/37

       640       896,157  

6.00%, 01/15/38

       1,675       2,338,584  

4.25%, 12/15/41

       750       883,999  

Duke Energy Florida LLC, 6.40%, 06/15/38

       770       1,156,508  

E.ON International Finance BV, 6.65%, 04/30/38(a)

       3,100       4,312,952  

Electricite de France SA, 5.60%, 01/27/40(a)

       2,800       3,577,935  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(a)

       201       211,301  

Energuate Trust, 5.88%, 05/03/27(a)

       201       202,005  

Florida Power Corp., 6.35%, 09/15/37

       2,775       4,041,490  

NextEra Energy Operating Partners LP(a):

      

4.25%, 07/15/24

       321       329,827  

4.25%, 09/15/24

       58       60,146  

4.50%, 09/15/27

       79       81,173  

Ohio Power Co., Series D, 6.60%, 03/01/33

       3,000       4,229,860  

PacifiCorp, 6.25%, 10/15/37

       1,225       1,758,034  

Public Service Co. of Colorado, Series 17, 6.25%, 09/01/37

       2,550       3,667,432  

Southern California Edison Co., 5.63%, 02/01/36

       1,300       1,617,088  

Southern Co., 4.40%, 07/01/46

       1,000       1,129,009  

Talen Energy Supply LLC:

      

6.50%, 06/01/25

       30       22,800  

10.50%, 01/15/26(a)

       30       27,270  

Virginia Electric & Power Co., Series A, 6.00%, 05/15/37

       3,920       5,365,450  
   

 

 

  
        46,332,077  
Electronic Equipment, Instruments & Components — 0.3%  

CDW LLC/CDW Finance Corp., 5.00%, 09/01/25

       490       512,050  

Corning, Inc., 4.38%, 11/15/57

       2,000       2,088,412  

Itron, Inc., 5.00%, 01/15/26(a)

       18       18,405  
   

 

 

  
        2,618,867  
Energy Equipment & Services — 0.5%  

Apergy Corp., 6.38%, 05/01/26

       146       146,730  

Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(a)

       182       190,645  

Enterprise Products Operating LLC, 6.13%, 10/15/39

       1,400       1,816,685  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(a)

       327       325,365  

Halliburton Co., 5.00%, 11/15/45

       500       559,774  

Pattern Energy Group, Inc., 5.88%,
02/01/24(a)

       250       258,750  

Transocean, Inc.(a):

      

9.00%, 07/15/23

       422       436,234  

7.50%, 01/15/26

       89       81,213  

USA Compression Partners LP/USA Compression Finance Corp.:

      

6.88%, 04/01/26

       272       278,800  

6.88%, 09/01/27(a)

       283       291,088  
   

 

 

  
        4,385,284  
Environmental, Maintenance, & Security Service — 0.1%  

GFL Environmental, Inc., 7.00%, 06/01/26(a)

       323       335,113  

Tervita Corp., 7.63%, 12/01/21(a)

       199       201,985  

Waste Pro USA, Inc., 5.50%, 02/15/26(a)

       184       191,360  
   

 

 

  
        728,458  
Security   Par
(000)		     Value  
Equity Real Estate Investment Trusts (REITs) — 1.4%  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(a)

     USD       102     $ 107,355  

ERP Operating LP, 4.50%, 06/01/45

       1,155       1,426,525  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(a)

       150       150,469  

GLP Capital LP/GLP Financing II, Inc.:

      

5.25%, 06/01/25

       71       78,063  

5.38%, 04/15/26

       98       107,571  

HCP, Inc., 4.00%, 06/01/25

       2,000       2,141,575  

Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24

       156       159,120  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

       92       94,990  

Iron Mountain, Inc., 4.88%, 09/15/27(a)

       234       240,290  

iStar, Inc.:

      

4.63%, 09/15/20

       25       25,313  

6.00%, 04/01/22

       48       49,260  

5.25%, 09/15/22

       17       17,425  

Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26

       24       25,901  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

      

5.63%, 05/01/24

       895       977,787  

4.50%, 09/01/26

       343       359,292  

5.75%, 02/01/27(a)

       16       17,663  

4.50%, 01/15/28

       236       241,310  

MPT Operating Partnership LP/MPT Finance Corp.:

      

5.50%, 05/01/24

       30       30,862  

5.00%, 10/15/27

       584       623,420  

4.63%, 08/01/29

       278       289,120  

NH Hotel Group SA, 3.75%, 10/01/23

     EUR       115       129,297  

SBA Communications Corp.:

      

4.88%, 07/15/22

       14       14,218  

4.88%, 09/01/24

       1,110       1,148,850  

Simon Property Group LP, 4.75%, 03/15/42

       1,670       2,098,162  

Starwood Property Trust, Inc., 5.00%, 12/15/21

       115       119,312  

Trust F/1401, 6.95%, 01/30/44

       476       551,714  

Ventas Realty LP, 4.13%, 01/15/26

       870       942,744  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

       100       109,359  
   

 

 

  
        12,276,967  
Food & Staples Retailing — 0.2%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

      

6.63%, 06/15/24

       59       61,803  

5.75%, 03/15/25

       48       49,200  

Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC(a):

      

7.50%, 03/15/26

       65       72,313  

5.88%, 02/15/28

       184       193,910  

Post Holdings, Inc., 5.50%, 12/15/29(a)

       190       200,870  

Tesco Corporate Treasury Services PLC, 2.50%, 05/02/25

     GBP       100       124,722  

Walgreens Boots Alliance, Inc., 4.80%, 11/18/44

     USD       1,000       1,060,375  
   

 

 

  
        1,763,193  
Food Products — 0.5%  

Aramark Services, Inc.:

      

5.00%, 04/01/25(a)

       218       225,227  

4.75%, 06/01/26

       154       157,850  

5.00%, 02/01/28(a)

       379       393,686  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(a)

       253       233,392  
 

 

 

16    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Food Products (continued)  

Darling Ingredients, Inc., 5.25%, 04/15/27(a)

     USD       75     $ 79,875  

Graphic Packaging International LLC, 4.75%, 07/15/27(a)

       82       86,100  

JBS Investments II GmbH, 5.75%, 01/15/28(a)

       263       276,150  

JBS USA LUX SA/JBS USA Finance, Inc.(a):

      

5.88%, 07/15/24

       370       380,922  

5.75%, 06/15/25

       785       816,891  

6.75%, 02/15/28

       170       187,956  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(a):

      

6.50%, 04/15/29

       187       207,103  

5.50%, 01/15/30

       369       391,140  

MARB BondCo PLC, 7.00%, 03/15/24

       200       204,000  

Marfrig Holdings Europe BV, 8.00%,
06/08/23(a)

       222       230,117  

Post Holdings, Inc.(a):

      

5.50%, 03/01/25

       230       240,637  

5.00%, 08/15/26

       3       3,128  

5.75%, 03/01/27

       268       284,750  

Simmons Foods, Inc., 7.75%, 01/15/24(a)

       157       169,560  
   

 

 

  
        4,568,484  
Health Care Equipment & Supplies — 0.4%  

Avantor, Inc.(a):

      

6.00%, 10/01/24

       1,149       1,232,302  

9.00%, 10/01/25

       774       870,750  

Hologic, Inc., 4.63%, 02/01/28(a)

       96       99,240  

Immucor, Inc., 11.13%, 02/15/22(a)

       60       60,750  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(a)

       1,011       975,615  

Teleflex, Inc.:

      

5.25%, 06/15/24

       170       175,100  

4.88%, 06/01/26

       75       79,010  

4.63%, 11/15/27

       20       21,148  
   

 

 

  
        3,513,915  
Health Care Providers & Services — 1.4%  

Acadia Healthcare Co., Inc., 5.13%, 07/01/22

       45       45,338  

Aetna, Inc., 4.50%, 05/15/42

       575       622,001  

AHP Health Partners, Inc., 9.75%, 07/15/26(a)

       124       133,192  

Centene Corp., 5.38%, 06/01/26(a)

       1,214       1,297,827  

CHS/Community Health Systems, Inc.(a):

      

8.63%, 01/15/24

       344       344,000  

8.00%, 03/15/26

       412       395,520  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(a)(e)

       59       59,590  

Encompass Health Corp., 5.75%, 11/01/24

       24       24,300  

Envision Healthcare Crop., 8.75%, 10/15/26(a)

       197       107,365  

HCA, Inc.:

      

5.38%, 02/01/25

       554       614,940  

5.88%, 02/15/26

       3       3,422  

5.38%, 09/01/26

       275       306,625  

5.63%, 09/01/28

       550       625,797  

5.88%, 02/01/29

       380       437,475  

MEDNAX, Inc., 5.25%, 12/01/23(a)

       107       107,535  

Molina Healthcare, Inc.:

      

5.38%, 11/15/22

       104       111,154  

4.88%, 06/15/25(a)

       146       148,920  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(a)

       311       277,975  

Northwell Healthcare, Inc., 4.26%, 11/01/47

       725       846,446  

NVA Holdings, Inc., 6.88%, 04/01/26(a)

       145       154,831  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(a)(e)

       408       342,720  

Sotera Health Holdings LLC, 6.50%,
05/15/23(a)

       183       186,202  
Security   Par
(000)		     Value  
Health Care Providers & Services (continued)  

Surgery Center Holdings, Inc.(a):

      

6.75%, 07/01/25

     USD       260     $ 222,461  

10.00%, 04/15/27

       165       157,988  

Team Health Holdings, Inc., 6.38%, 02/01/25(a)

       166       111,220  

Tenet Healthcare Corp.:

      

8.13%, 04/01/22

       695       748,793  

4.63%, 07/15/24

       744       765,390  

4.63%, 09/01/24(a)

       230       236,900  

4.88%, 01/01/26(a)

       892       916,619  

6.25%, 02/01/27(a)

       181       187,787  

5.13%, 11/01/27(a)

       611       631,621  

Vizient, Inc., 6.25%, 05/15/27(a)

       248       266,600  

WellCare Health Plans, Inc.:

      

5.25%, 04/01/25

       238       249,198  

5.38%, 08/15/26(a)

       197       210,051  
     

 

 

  
   
        11,897,803  
Health Care Technology — 0.2%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(a)

       527       530,404  

IQVIA, Inc.(a):

      

3.25%, 03/15/25

     EUR       100       113,067  

5.00%, 10/15/26

     USD       280       295,400  

5.00%, 05/15/27

       468       494,325  
     

 

 

  
        1,433,196  
Hotels, Restaurants & Leisure — 1.9%  

1011778 BC ULC/New Red Finance, Inc.(a):

      

4.25%, 05/15/24

       380       392,259  

5.00%, 10/15/25

       1,330       1,373,225  

Boyd Gaming Corp., 6.00%, 08/15/26

       68       71,825  

Boyne USA, Inc., 7.25%, 05/01/25(a)

       109       118,946  

Cedar Fair LP, 5.25%, 07/15/29(a)

       223       241,955  

Churchill Downs, Inc.(a):

      

5.50%, 04/01/27

       421       447,312  

4.75%, 01/15/28

       238       245,140  

Cirsa Finance International Sarl, 7.88%, 12/20/23(a)

       200       211,300  

CPUK Finance Ltd., 4.25%, 02/28/47

     GBP       100       122,821  

Eldorado Resorts, Inc.:

      

6.00%, 04/01/25

     USD       67       71,020  

6.00%, 09/15/26

       70       76,563  

ESH Hospitality, Inc., 5.25%, 05/01/25(a)

       142       146,793  

Golden Nugget, Inc., 6.75%, 10/15/24(a)

       862       881,395  

Hilton Domestic Operating Co., Inc.:

      

5.13%, 05/01/26

       487       514,028  

4.88%, 01/15/30(a)

       612       654,840  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

       124       130,510  

IRB Holding Corp., 6.75%, 02/15/26(a)

       76       76,380  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a):

      

5.25%, 06/01/26

       75       79,313  

4.75%, 06/01/27

       158       165,505  

Lions Gate Capital Holdings LLC(a):

      

6.38%, 02/01/24

       16       16,899  

5.88%, 11/01/24

       109       113,360  

MGM Resorts International:

      

6.63%, 12/15/21

       727       790,612  

7.75%, 03/15/22

       229       257,105  

4.63%, 09/01/26

       12       12,420  

Sabre GLBL, Inc.(a):

      

5.38%, 04/15/23

       62       63,550  

5.25%, 11/15/23

       151       155,153  
 

 

 

SCHEDULES OF INVESTMENTS      17  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Hotels, Restaurants & Leisure (continued)  

Scientific Games International, Inc.:

      

10.00%, 12/01/22

     USD       193     $ 200,237  

5.00%, 10/15/25(a)

       521       538,318  

3.38%, 02/15/26

     EUR       100       112,048  

8.25%, 03/15/26(a)

     USD       516       546,960  

Six Flags Entertainment Corp.(a):

      

4.88%, 07/31/24

       622       643,770  

5.50%, 04/15/27

       211       225,770  

Station Casinos LLC, 5.00%, 10/01/25(a)

       243       247,884  

Unique Pub Finance Co. PLC:

      

Series A4, 5.66%, 06/30/27

     GBP       855       1,141,660  

Series M, 7.40%, 03/28/24

       3,000       4,141,855  

Wyndham Destinations, Inc.:

      

5.40%, 04/01/24

     USD       6       6,298  

5.75%, 04/01/27

       44       46,970  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a)

       130       136,175  

Wynn Macau Ltd., 5.50%, 10/01/27(a)

       400       394,500  

Yum! Brands, Inc.:

      

3.88%, 11/01/23

       27       27,743  

5.35%, 11/01/43

       44       41,800  
   

 

 

  
        15,882,217  
Household Durables — 0.2%  

Algeco Global Finance PLC, 8.00%, 02/15/23(a)

       400       400,300  

Lennar Corp.:

      

6.25%, 12/15/21

       196       207,515  

4.88%, 12/15/23

       85       91,163  

4.75%, 05/30/25

       90       96,300  

5.25%, 06/01/26

       38       41,373  

4.75%, 11/29/27

       239       259,912  

Mattamy Group Corp.(a):

      

6.88%, 12/15/23

       76       79,135  

6.50%, 10/01/25

       96       101,760  

MDC Holdings, Inc., 6.00%, 01/15/43

       72       73,800  

Meritage Homes Corp., 5.13%, 06/06/27

       52       54,730  

PulteGroup, Inc., 6.38%, 05/15/33

       216       234,900  

Taylor Morrison Communities, Inc., 5.88%, 06/15/27(a)

       161       172,672  

Tempur Sealy International, Inc.:

      

5.63%, 10/15/23

       2       2,060  

5.50%, 06/15/26

       67       70,015  

TRI Pointe Group, Inc.:

      

4.88%, 07/01/21

       73       75,281  

5.25%, 06/01/27

       28       28,420  
   

 

 

  
        1,989,336  
Household Products — 0.1%  

ACCO Brands Corp., 5.25%, 12/15/24(a)

       59       60,549  

Energizer Holdings, Inc.(a):

      

6.38%, 07/15/26

       29       30,559  

7.75%, 01/15/27

       267       292,031  
   

 

 

  
        383,139  
Independent Power and Renewable Electricity Producers — 0.5%  

AES Corp.:

      

4.50%, 03/15/23

       3       3,084  

4.88%, 05/15/23

       27       27,371  

6.00%, 05/15/26

       174       186,570  

5.13%, 09/01/27

       124       132,932  

Calpine Corp.:

      

5.38%, 01/15/23

       667       676,118  

5.88%, 01/15/24(a)

       184       187,930  

5.50%, 02/01/24

       39       39,292  

5.75%, 01/15/25

       287       291,305  

5.25%, 06/01/26(a)

       472       477,900  
Security   Par
(000)		     Value  
Independent Power and Renewable Electricity Producers (continued)  

Clearway Energy Operating LLC:

      

5.38%, 08/15/24

     USD       212     $ 217,300  

5.75%, 10/15/25(a)

       146       152,208  

Colbun SA, 3.95%, 10/11/27(a)

       200       207,750  

Genneia SA, 8.75%, 01/20/22(a)

       370       199,800  

NRG Energy, Inc.:

      

6.63%, 01/15/27

       807       871,560  

5.75%, 01/15/28

       198       213,345  

5.25%, 06/15/29(a)

       346       369,206  

TerraForm Power Operating LLC(a):

      

4.25%, 01/31/23

       63       64,553  

6.63%, 06/15/25(g)

       15       15,825  

5.00%, 01/31/28

       128       133,282  

Vistra Energy Corp., 5.88%, 06/01/23

       7       7,140  
   

 

 

  
        4,474,471  
Industrial Conglomerates — 0.1%  

BWX Technologies, Inc., 5.38%, 07/15/26(a)

       248       262,260  

General Electric Co., 6.88%, 01/10/39

       135       171,986  

Smiths Group PLC, 3.63%, 10/12/22(a)

       360       366,516  

Vertiv Group Corp., 9.25%, 10/15/24(a)

       294       277,830  
   

 

 

  
        1,078,592  
Insurance — 2.2%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(a)

       79       85,123  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(a)

       790       806,787  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25

       1,495       1,554,251  

AmWINS Group, Inc., 7.75%, 07/01/26(a)

       143       150,150  

Aon PLC:

      

3.88%, 12/15/25

       1,445       1,566,828  

4.60%, 06/14/44

       500       585,945  

AXA SA(3 mo. Euribor + 3.05%), 5.25%, 04/16/40(d)

     EUR       500       567,165  

CNO Financial Group, Inc., 5.25%, 05/30/29

     USD       214       236,470  

Five Corners Funding Trust, 4.42%, 11/15/23(a)

       2,050       2,225,975  

GTCR AP Finance, Inc., 8.00%, 05/15/27(a)

       171       173,992  

Hartford Financial Services Group, Inc., 5.13%, 04/15/22

       1,860       2,014,280  

HUB International Ltd., 7.00%, 05/01/26(a)

       858       870,870  

Liberty Mutual Group, Inc., 6.50%, 05/01/42(a)

       2,000       2,847,714  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(d)

     EUR       400       486,593  

Nationstar Mortgage Holdings, Inc.(a):

      

8.13%, 07/15/23

     USD       357       369,702  

9.13%, 07/15/26

       143       151,223  

Nationwide Building Society(5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(d)

       720       715,399  

Prudential Financial, Inc.:

      

5.90%, 03/17/36

       500       649,264  

5.70%, 12/14/36

       1,625       2,173,501  

Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(a)

       700       818,839  
   

 

 

  
        19,050,071  
Interactive Media & Services — 0.3%  

Equinix, Inc., 2.88%, 03/15/24

     EUR       100       114,286  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(a)

     USD       184       194,120  

Match Group, Inc., 5.63%, 02/15/29(a)

       107       115,961  

Netflix, Inc.:

      

4.88%, 04/15/28

       31       32,434  
 

 

 

18    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Interactive Media & Services (continued)  

5.88%, 11/15/28

     USD       455     $ 509,031  

3.88%, 11/15/29

     EUR       100       118,753  

5.38%, 11/15/29(a)

     USD       544       591,600  

Rackspace Hosting, Inc., 8.63%, 11/15/24(a)

       99       90,832  

Symantec Corp., 5.00%, 04/15/25(a)

       120       120,791  

Uber Technologies, Inc.(a):

      

7.50%, 11/01/23

       208       217,360  

8.00%, 11/01/26

       112       117,810  

United Group BV, 4.38%, 07/01/22

     EUR       126       141,591  
   

 

 

  
        2,364,569  
IT Services — 0.4%  

Banff Merger Sub, Inc.:

      

8.38%, 09/01/26

       100       98,914  

9.75%, 09/01/26(a)

     USD       855       778,050  

Fidelity National Information Services, Inc., 4.50%, 08/15/46

       1,000       1,174,702  

Gartner, Inc., 5.13%, 04/01/25(a)

       209       219,187  

InterXion Holding NV, 4.75%, 06/15/25

     EUR       100       119,687  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(a)

     USD       508       525,145  

WEX, Inc., 4.75%, 02/01/23(a)

       105       105,787  

Xerox Corp.:

      

4.80%, 03/01/35

       203       176,102  

6.75%, 12/15/39

       2       2,019  
   

 

 

  
        3,199,593  
Leisure Products — 0.1%  

Mattel, Inc., 6.75%, 12/31/25(a)

       528       542,520  
   

 

 

  
Life Sciences Tools & Services — 0.2%  

Thermo Fisher Scientific, Inc., 5.30%, 02/01/44

       1,000       1,304,803  
   

 

 

  
Machinery — 0.3%  

Colfax Corp.(a):

      

6.00%, 02/15/24

       283       301,749  

6.38%, 02/15/26

       201       218,587  

Manitowoc Co., Inc., 9.00%, 04/01/26(a)

       151       150,245  

Mueller Water Products, Inc., 5.50%,
06/15/26(a)

       192       202,080  

Platin 1426 GmbH, 5.38%, 06/15/23

     EUR       100       108,819  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(a)

     USD       406       418,180  

SPX FLOW, Inc.(a):

      

5.63%, 08/15/24

       149       155,519  

5.88%, 08/15/26

       35       36,925  

Terex Corp., 5.63%, 02/01/25(a)

       365       371,413  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(a)

       484       438,020  

Wabash National Corp., 5.50%, 10/01/25(a)

       176       173,564  
   

 

 

  
        2,575,101  
Media — 5.4%  

Altice Financing SA(a):

      

6.63%, 02/15/23

       403       415,594  

7.50%, 05/15/26

       592       630,480  

Altice France SA(a):

      

7.38%, 05/01/26

       1,106       1,180,655  

8.13%, 02/01/27

       678       747,495  

Altice Luxembourg SA(a):

      

7.75%, 05/15/22

       642       658,387  

7.63%, 02/15/25

       448       463,120  

10.50%, 05/15/27

       688       748,200  

AMC Networks, Inc.:

      

4.75%, 12/15/22

       2       2,030  

5.00%, 04/01/24

       2       2,060  

4.75%, 08/01/25

       506       516,752  
Security   Par
(000)		     Value  
Media (continued)  

CCO Holdings LLC/CCO Holdings Capital
Corp.(a):

      

5.38%, 05/01/25

     USD       3     $ 3,116  

5.13%, 05/01/27

       880       930,591  

5.88%, 05/01/27

       18       19,170  

5.00%, 02/01/28

       434       455,700  

5.38%, 06/01/29

       854       912,712  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25

       4,700       5,193,520  

Clear Channel International BV, 8.75%, 12/15/20(a)

       317       323,933  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       1,132       1,156,530  

9.25%, 02/15/24(a)

       1,078       1,181,757  

5.13%, 08/15/27(a)

       1,084       1,134,135  

Series B, 6.50%, 11/15/22

       459       468,947  

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

       2,600       3,198,773  

Comcast Corp.:

      

6.45%, 03/15/37

       790       1,132,527  

4.60%, 08/15/45

       2,000       2,413,419  

4.70%, 10/15/48

       3,000       3,758,863  

CSC Holdings LLC:

      

6.75%, 11/15/21

       137       147,960  

5.38%, 07/15/23(a)

       340       349,438  

5.25%, 06/01/24

       240       256,800  

6.63%, 10/15/25(a)

       200       214,116  

10.88%, 10/15/25(a)

       654       742,290  

5.50%, 05/15/26(a)

       200       211,500  

5.38%, 02/01/28(a)

       200       213,552  

6.50%, 02/01/29(a)

       229       256,623  

5.75%, 01/15/30(a)

       306       320,153  

Series 144S, 5.13%, 12/15/21(a)

       321       321,401  

Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(a)

       516       541,800  

Discovery Communications LLC:

      

3.25%, 04/01/23

       1,850       1,907,656  

3.45%, 03/15/25

       210       216,710  

DISH DBS Corp.:

      

6.75%, 06/01/21

       443       466,612  

5.88%, 07/15/22

       680       703,800  

5.00%, 03/15/23

       284       278,675  

5.88%, 11/15/24

       14       13,318  

eircom Finance DAC, 3.50%, 05/15/26

     EUR       100       117,324  

Entercom Media Corp., 6.50%, 05/01/27(a)

     USD       173       179,055  

Entertainment One Ltd., 4.63%, 07/15/26

     GBP       100       132,376  

Gray Television, Inc.(a):

      

5.13%, 10/15/24

     USD       3       3,098  

7.00%, 05/15/27

       137       149,803  

Hughes Satellite Systems Corp., 5.25%, 08/01/26

       110       116,600  

iHeartCommunications, Inc.:

      

6.38%, 05/01/26

       98       106,038  

5.25%, 08/15/27(a)

       199       209,235  

Intelsat Jackson Holdings SA:

      

5.50%, 08/01/23

       494       449,540  

8.50%, 10/15/24(a)

       464       460,520  

9.75%, 07/15/25(a)

       543       557,254  

Interpublic Group of Cos., Inc., 3.75%, 02/15/23

       2,000       2,102,950  

Lamar Media Corp., 5.75%, 02/01/26

       75       79,500  

Level 3 Parent LLC, 5.75%, 12/01/22

       222       223,665  

MDC Partners, Inc., 6.50%, 05/01/24(a)

       116       105,560  

Meredith Corp., 6.88%, 02/01/26

       110       116,050  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(a)

       108       112,107  
 

 

 

SCHEDULES OF INVESTMENTS      19  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Media (continued)  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, 03/15/25

     USD       32     $ 33,080  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(a)

       104       106,210  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(a)

       43       43,860  

Sable International Finance Ltd., 5.75%, 09/07/27(a)

       200       209,000  

Sirius XM Radio, Inc.(a):

      

4.63%, 07/15/24

       92       96,025  

5.38%, 04/15/25

       3       3,113  

5.38%, 07/15/26

       2       2,113  

5.00%, 08/01/27

       452       476,860  

5.50%, 07/01/29

       298       324,734  

TCI Communications, Inc., 7.88%, 02/15/26

       610       804,294  

TEGNA, Inc., 5.50%, 09/15/24(a)

       45       46,125  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(a)

       200       203,400  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

     EUR       70       84,434  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(a)

     USD       78       84,386  

Univision Communications, Inc.(a):

      

5.13%, 05/15/23

       202       199,475  

5.13%, 02/15/25

       52       50,174  

Viacom, Inc., 5.85%, 09/01/43

       645       813,959  

Videotron Ltd., 5.13%, 04/15/27(a)

       227       238,918  

Virgin Media Finance PLC, 5.75%, 01/15/25(a)

       515       535,451  

Virgin Media Secured Finance PLC, 4.88%, 01/15/27

     GBP       100       126,993  

Walt Disney Co., 7.63%, 11/30/28(a)

     USD       385       544,602  

Ziggo Bond Co. BV(a):

      

5.88%, 01/15/25

       260       268,775  

6.00%, 01/15/27

       150       156,375  

Ziggo BV, 5.50%, 01/15/27(a)

       314       331,254  
   

 

 

  
        45,815,155  
Metals & Mining — 0.9%  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(a)

       197       208,328  

Constellium SE(a):

      

5.75%, 05/15/24

       1,082       1,114,460  

6.63%, 03/01/25

       264       276,375  

5.88%, 02/15/26

       269       280,432  

Freeport-McMoRan, Inc.:

      

3.55%, 03/01/22

       416       417,040  

3.88%, 03/15/23

       924       933,610  

5.00%, 09/01/27

       140       139,650  

5.25%, 09/01/29

       151       149,718  

5.40%, 11/14/34

       245       235,200  

5.45%, 03/15/43

       872       795,700  

Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(a)

       200       213,000  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(a)

       164       155,595  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(a)

       84       88,200  

Nexa Resources SA, 5.38%, 05/04/27(a)

       299       313,090  

Novelis Corp.(a):

      

6.25%, 08/15/24

       881       922,847  

5.88%, 09/30/26

       281       296,806  

Rio Tinto Finance USA PLC, 4.75%, 03/22/42

       400       506,671  

Steel Dynamics, Inc.:

      

5.25%, 04/15/23

       40       40,640  

5.50%, 10/01/24

       48       49,464  

4.13%, 09/15/25

       147       148,103  
Security   Par
(000)		     Value  
Metals & Mining (continued)  

thyssenkrupp AG, 2.88%, 02/22/24

     EUR       51     $ 58,064  

Vale Overseas Ltd., 6.25%, 08/10/26

     USD       237       272,965  
   

 

 

  
        7,615,958  
Multi-Utilities — 0.0%  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(a)

       187       195,883  
   

 

 

  
Offshore Drilling & Other Services — 0.0%  

Entegris, Inc., 4.63%, 02/10/26(a)

       135       139,050  
   

 

 

  
Oil, Gas & Consumable Fuels — 5.7%  

Aker BP ASA, 4.75%, 06/15/24(a)

       310       316,975  

Anadarko Petroleum Corp., 5.55%, 03/15/26

       1,500       1,698,689  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27

       250       264,498  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

       35       32,988  

Antero Resources Corp., 5.38%, 11/01/21

       27       26,224  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(a)

       172       172,430  

Berkshire Hathaway Energy Co., 5.95%, 05/15/37

       750       1,047,987  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(a)

       90       82,575  

Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25

       120       106,800  

California Resources Corp., 8.00%, 12/15/22(a)

       77       44,275  

Callon Petroleum Co.:

      

6.13%, 10/01/24

       129       125,130  

Series WI, 6.38%, 07/01/26

       165       160,050  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       169       161,648  

8.25%, 07/15/25

       128       124,160  

Cenovus Energy, Inc., 4.25%, 04/15/27

       400       417,602  

Centennial Resource Production LLC, 6.88%, 04/01/27(a)

       134       134,000  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 06/30/24

       378       436,117  

5.88%, 03/31/25

       335       373,525  

5.13%, 06/30/27

       545       601,544  

Cheniere Energy Partners LP:

      

5.63%, 10/01/26

       135       142,425  

Series WI, 5.25%, 10/01/25

       33       34,114  

Chesapeake Energy Corp.:

      

6.63%, 08/15/20

       179       178,561  

4.88%, 04/15/22

       112       92,820  

5.75%, 03/15/23

       45       36,000  

7.00%, 10/01/24

       108       82,350  

8.00%, 03/15/26(a)

       100       71,500  

8.00%, 06/15/27

       304       219,643  

CNX Resources Corp., 5.88%, 04/15/22

       732       708,210  

Comstock Resources, Inc., 9.75%, 08/15/26

       93       69,982  

ConocoPhillips, 6.50%, 02/01/39

       600       881,251  

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

       685       938,400  

CONSOL Energy, Inc., 11.00%, 11/15/25(a)

       286       294,580  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(a)

       127       90,170  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.25%, 04/01/23

       11       11,193  

5.63%, 05/01/27(a)

       238       237,924  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(a)

       664       657,360  

DCP Midstream Operating LP:

      

5.38%, 07/15/25

       118       124,785  
 

 

 

20    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

5.13%, 05/15/29

     USD       97     $ 99,430  

6.45%, 11/03/36(a)

       148       155,030  

6.75%, 09/15/37(a)

       222       233,100  

Denbury Resources, Inc.(a):

      

9.00%, 05/15/21

       48       43,680  

9.25%, 03/31/22

       198       166,320  

Devon Energy Corp., 5.85%, 12/15/25

       1,000       1,197,668  

eG Global Finance PLC:

      

4.38%, 02/07/25

     EUR       100       106,745  

6.75%, 02/07/25(a)

     USD       241       232,565  

Enbridge, Inc.(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(d)

       1,935       2,017,237  

Endeavor Energy Resources LP/EER Finance, Inc.(a):

      

5.50%, 01/30/26

       337       350,059  

5.75%, 01/30/28

       222       232,545  

Energy Transfer Operating LP:

      

4.05%, 03/15/25

       500       526,437  

4.75%, 01/15/26

       1,250       1,366,525  

5.30%, 04/15/47

       540       586,844  

EnLink Midstream LLC, 5.38%, 06/01/29

       50       48,925  

EnLink Midstream Partners LP:

      

4.40%, 04/01/24

       144       142,560  

4.15%, 06/01/25

       14       13,370  

4.85%, 07/15/26

       22       21,560  

5.60%, 04/01/44

       122       103,090  

5.05%, 04/01/45

       147       121,275  

5.45%, 06/01/47

       16       13,520  

EOG Resources, Inc., 5.10%, 01/15/36

       200       247,997  

Extraction Oil & Gas, Inc.(a):

      

7.38%, 05/15/24

       120       90,000  

5.63%, 02/01/26

       221       145,860  

Frontera Energy Corp., 9.70%, 06/25/23(a)

       384       407,280  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.00%, 05/15/23

       48       47,640  

5.63%, 06/15/24

       23       21,965  

6.50%, 10/01/25

       59       57,451  

6.25%, 05/15/26

       74       70,699  

GNL Quintero SA, 4.63%, 07/31/29(a)

       200       214,750  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(a)

       396       347,490  

Hess Corp., 4.30%, 04/01/27

       1,100       1,151,495  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(a)

       128       132,480  

Impulsora Pipeline LLC, 6.05%, 01/01/43(c)

       1,762       1,893,034  

Indigo Natural Resources LLC, 6.88%, 02/15/26(a)

       216       178,200  

KeySpan Gas East Corp., 5.82%, 04/01/41(a)

       1,010       1,375,019  

Kinder Morgan, Inc.:

      

4.30%, 06/01/25

       1,750       1,899,111  

5.05%, 02/15/46

       1,750       1,967,264  

Marathon Petroleum Corp., 6.50%, 03/01/41

       2,049       2,605,778  

Matador Resources Co., 5.88%, 09/15/26

       214       207,312  

MEG Energy Corp.(a):

      

6.38%, 01/30/23

       105       99,225  

7.00%, 03/31/24

       37       35,196  

6.50%, 01/15/25

       494       496,470  

Murphy Oil Corp.:

      

5.75%, 08/15/25

       65       65,793  

5.63%, 12/01/42

       63       54,810  

Nabors Industries, Inc.:

      

5.00%, 09/15/20

       18       17,910  

4.63%, 09/15/21

       116       110,490  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(a)

       53       54,352  
Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

NGPL PipeCo LLC, 7.77%, 12/15/37(a)

     USD       254     $ 331,160  

Noble Holding International Ltd.:

      

7.75%, 01/15/24

       14       9,310  

7.88%, 02/01/26(a)

       390       314,925  

Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 8.50%, 05/15/23(e)

       33       33,619  

NuStar Logistics LP, 6.00%, 06/01/26

       99       106,177  

Pacific Drilling SA, 8.38%, 10/01/23(a)

       463       422,487  

Parsley Energy LLC/Parsley Finance Corp.(a):

      

6.25%, 06/01/24

       94       97,525  

5.38%, 01/15/25

       134       136,680  

5.25%, 08/15/25

       40       40,600  

5.63%, 10/15/27

       222       228,660  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25

       123       127,417  

PDC Energy, Inc.:

      

6.13%, 09/15/24

       69       68,827  

5.75%, 05/15/26

       79       77,215  

Petrobras Global Finance BV:

      

5.30%, 01/27/25

       178       192,676  

8.75%, 05/23/26

       222       277,389  

7.38%, 01/17/27

       150       178,066  

6.00%, 01/27/28

       239       261,765  

7.25%, 03/17/44

       220       260,219  

Petroleos Mexicanos:

      

6.38%, 02/04/21

       200       205,600  

5.38%, 03/13/22

       27       27,608  

6.50%, 03/13/27

       148       151,159  

QEP Resources, Inc.:

      

6.88%, 03/01/21

       113       112,152  

5.38%, 10/01/22

       169       152,100  

5.25%, 05/01/23

       67       58,625  

5.63%, 03/01/26

       101       81,810  

Range Resources Corp.:

      

5.75%, 06/01/21

       76       75,240  

5.88%, 07/01/22

       38       36,385  

5.00%, 08/15/22

       45       41,963  

4.88%, 05/15/25

       124       101,680  

Rowan Cos., Inc., 4.88%, 06/01/22

       318       259,170  

Sabine Pass Liquefaction LLC, 5.88%, 06/30/26

       1,750       2,011,225  

SM Energy Co.:

      

6.13%, 11/15/22

       63       58,590  

5.00%, 01/15/24

       170       148,750  

5.63%, 06/01/25

       35       29,750  

6.75%, 09/15/26

       9       7,650  

Southwestern Energy Co.:

      

6.20%, 01/23/25

       99       86,625  

7.75%, 10/01/27

       52       45,240  

SRC Energy, Inc., 6.25%, 12/01/25

       34       33,703  

Suncor Energy, Inc., 6.50%, 06/15/38

       1,000       1,406,224  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26

       310       320,687  

Sunoco LP/Sunoco Finance Corp.:

      

6.00%, 04/15/27

       85       89,462  

Series WI, 4.88%, 01/15/23

       127       129,857  

Series WI, 5.50%, 02/15/26

       21       21,788  

Series WI, 5.88%, 03/15/28

       4       4,160  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a):

      

4.75%, 10/01/23

       15       14,869  

5.50%, 09/15/24

       238       232,050  

5.50%, 01/15/28

       406       382,147  
 

 

 

SCHEDULES OF INVESTMENTS      21  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

5.13%, 02/01/25

     USD       95     $ 97,375  

5.88%, 04/15/26

       254       266,065  

5.38%, 02/01/27

       2       2,064  

6.50%, 07/15/27(a)

       195       211,575  

5.00%, 01/15/28

       98       98,490  

6.88%, 01/15/29(a)

       566       625,430  

TransCanada PipeLines Ltd., 4.63%, 03/01/34

       500       571,397  

Transocean Pontus Ltd., 6.13%, 08/01/25(a)

       48       48,728  

Transocean Poseidon Ltd., 6.88%,
02/01/27(a)

       173       180,569  

Transocean Sentry Ltd., 5.38%, 05/15/23(a)

       79       78,210  

Transocean, Inc., 7.25%, 11/01/25(a)

       117       106,470  

Western Midstream Operating LP, 5.38%, 06/01/21

       1,425       1,473,414  

Williams Cos., Inc.:

      

3.90%, 01/15/25

       1,150       1,210,124  

4.00%, 09/15/25

       750       799,583  

WPX Energy, Inc.:

      

8.25%, 08/01/23

       74       82,325  

5.25%, 09/15/24

       75       76,125  

5.75%, 06/01/26

       6       6,225  

YPF SA, 8.50%, 07/28/25

       316       210,140  
   

 

 

  
        48,607,336  
Paper & Forest Products — 0.1%  

International Paper Co., 6.00%, 11/15/41

       870       1,080,973  

Norbord, Inc., 6.25%, 04/15/23(a)

       111       117,660  
   

 

 

  
        1,198,633  
Personal Products — 0.0%  

Coty, Inc., 6.50%, 04/15/26(a)

       46       43,470  
   

 

 

  
Pharmaceuticals — 2.4%  

AbbVie, Inc.:

      

3.60%, 05/14/25

       870       907,051  

3.20%, 05/14/26(h)

       500       511,793  

4.45%, 05/14/46

       2,095       2,216,469  

Allergan Funding SCS:

      

3.80%, 03/15/25

       3,250       3,413,764  

4.55%, 03/15/35

       2,140       2,301,451  

Allergan Sales LLC, 5.00%, 12/15/21(a)

       758       797,327  

Bausch Health Americas, Inc.(a):

      

8.50%, 01/31/27

       777       862,454  

9.25%, 04/01/26

       91       103,058  

Bausch Health Cos., Inc.:

      

5.50%, 03/01/23(a)

       131       132,310  

4.50%, 05/15/23

     EUR       276       307,129  

5.88%, 05/15/23(a)

     USD       384       388,800  

7.00%, 03/15/24(a)

       475       501,676  

6.13%, 04/15/25(a)

       157       161,710  

5.50%, 11/01/25(a)

       906       950,149  

9.00%, 12/15/25(a)

       394       441,773  

5.75%, 08/15/27(a)

       216       231,660  

7.00%, 01/15/28(a)

       274       287,133  

7.25%, 05/30/29(a)

       341       360,608  

Catalent Pharma Solutions, Inc., 5.00%, 07/15/27(a)

       167       174,951  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(a)

       234       250,357  

CVS Health Corp.:

      

5.13%, 07/20/45

       700       813,357  

5.05%, 03/25/48(h)

       1,221       1,422,100  

Eagle Holding Co. II LLC, (7.75% Cash), 7.75%, 05/15/22(a)(e)

       209       211,351  
Security   Par
(000)		     Value  
Pharmaceuticals (continued)  

Elanco Animal Health, Inc., 4.90%, 08/28/28

     USD       184     $ 200,508  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(a)

       907       936,477  

MEDNAX, Inc., 6.25%, 01/15/27(a)

       375       367,500  

Mylan NV, 3.95%, 06/15/26

       750       779,307  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(a)

       417       388,853  

Rossini Sarl, 6.75%, 10/30/25

     EUR       112       134,456  
   

 

 

  
        20,555,532  
Professional Services — 0.0%  

Dun & Bradstreet Corp., 10.25%, 02/15/27(a)

     USD       128       139,840  
   

 

 

  
Real Estate Management & Development — 0.1%  

ADLER Real Estate AG, 3.00%, 04/27/26

     EUR       100       118,148  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(a)

     USD       124       127,143  

Howard Hughes Corp., 5.38%, 03/15/25(a)

       83       85,490  

Newmark Group, Inc., 6.13%, 11/15/23

       64       69,498  

Residomo SRO, 3.38%, 10/15/24

     EUR       100       114,404  
   

 

 

  
        514,683  
Road & Rail — 1.1%  

Burlington Northern Santa Fe LLC, 5.75%, 05/01/40

     USD       1,890       2,592,622  

CSX Corp., 4.75%, 05/30/42

       350       420,525  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(a)

       122       119,255  

Herc Holdings, Inc., 5.50%, 07/15/27(a)

       262       271,170  

Hertz Corp., 7.63%, 06/01/22(a)

       307       319,679  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

     EUR       100       115,568  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(a)

     USD       5,000       5,457,812  

United Rentals North America, Inc.:

      

5.88%, 09/15/26

       135       144,788  

5.25%, 01/15/30

       142       151,762  
   

 

 

  
        9,593,181  
Semiconductors & Semiconductor Equipment — 0.5%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

       51       57,568  

Analog Devices, Inc., 3.90%, 12/15/25

       470       506,181  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27

       2,850       2,851,255  

Qorvo, Inc., 5.50%, 07/15/26

       368       392,847  

QUALCOMM, Inc., 4.65%, 05/20/35

       250       294,306  

Sensata Technologies BV, 5.00%, 10/01/25(a)

       370       392,200  
   

 

 

  
        4,494,357  
Software — 2.0%  

ACI Worldwide, Inc., 5.75%, 08/15/26(a)

       429       450,450  

CA, Inc., 3.60%, 08/15/22

       705       718,731  

CDK Global, Inc.:

      

4.88%, 06/01/27

       440       454,626  

5.25%, 05/15/29(a)

       84       86,730  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(a)

       790       853,200  

Infor US, Inc., 6.50%, 05/15/22

       1,519       1,543,684  

Informatica LLC, 7.13%, 07/15/23(a)

       589       599,307  

Microsoft Corp., 3.50%, 11/15/42

       4,000       4,509,512  

Nuance Communications, Inc.:

      

6.00%, 07/01/24

       59       61,360  

5.63%, 12/15/26

       163       171,761  

Oracle Corp., 5.38%, 07/15/40

       3,025       4,054,782  

PTC, Inc., 6.00%, 05/15/24

       125       130,938  

RP Crown Parent LLC, 7.38%, 10/15/24(a)

       461       480,459  

Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(a)

       1,120       1,187,200  
 

 

 

22    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Software (continued)  

Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(a)

     USD       177     $ 181,868  

SS&C Technologies, Inc., 5.50%, 09/30/27(a)

       936       982,800  

TIBCO Software, Inc., 11.38%, 12/01/21(a)

       478       501,900  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(a)

       200       198,000  
   

 

 

  
        17,167,308  
Specialty Retail — 0.7%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24

       159       164,366  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(a)

       234       237,510  

Group 1 Automotive, Inc.:

      

5.00%, 06/01/22

       110       111,100  

5.25%, 12/15/23(a)

       13       13,325  

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

       1,660       2,342,443  

IAA, Inc., 5.50%, 06/15/27(a)

       225       239,625  

L Brands, Inc.:

      

6.88%, 11/01/35

       215       181,675  

6.75%, 07/01/36

       49       41,160  

Lowe’s Cos., Inc., 4.38%, 09/15/45

       1,000       1,115,067  

Penske Automotive Group, Inc., 5.50%, 05/15/26

       22       23,045  

PetSmart, Inc.(a):

      

7.13%, 03/15/23

       99       92,070  

5.88%, 06/01/25

       498       488,040  

Staples, Inc.(a):

      

7.50%, 04/15/26

       734       741,340  

10.75%, 04/15/27

       121       122,210  
   

 

 

  
        5,912,976  
Technology Hardware, Storage & Peripherals — 0.7%  

Apple, Inc., 4.65%, 02/23/46

       2,400       3,063,373  

Dell International LLC/EMC Corp., 7.13%, 06/15/24(a)

       535       564,008  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25

       1,500       1,660,908  

NCR Corp.(a):

      

5.75%, 09/01/27

       134       141,512  

6.13%, 09/01/29

       134       142,224  

Western Digital Corp., 4.75%, 02/15/26

       356       364,348  
   

 

 

  
        5,936,373  
Textiles, Apparel & Luxury Goods — 0.0%  

William Carter Co., 5.63%, 03/15/27(a)

       97       103,303  
   

 

 

  
Thrifts & Mortgage Finance — 0.0%  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(a):

      

5.25%, 03/15/22

       17       17,680  

5.25%, 10/01/25

       139       141,780  
   

 

 

  
        159,460  
Tobacco — 1.1%  

Altria Group, Inc.:

      

9.95%, 11/10/38

       516       868,783  

10.20%, 02/06/39

       894       1,533,579  

5.38%, 01/31/44

       2,000       2,365,162  

3.88%, 09/16/46

       1,250       1,227,293  

Reynolds American, Inc.:

      

4.45%, 06/12/25

       635       687,250  

7.00%, 08/04/41

       1,000       1,262,300  

5.85%, 08/15/45

       1,500       1,688,676  
   

 

 

  
        9,633,043  
Transportation Infrastructure — 0.2%  

I 595 Express LLC, 3.31%, 12/31/31(c)

       819       842,428  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(a)

       370       398,212  
Security   Par
(000)		     Value  
Transportation Infrastructure (continued)  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(a)

     USD       580     $ 622,048  
   

 

 

  
        1,862,688  
Utilities — 0.2%  

AES Argentina Generacion SA, 7.75%, 02/02/24(a)

       370       225,656  

AES Panama SRL, 6.00%, 06/25/22(a)

       228       234,341  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

     EUR       100       114,139  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(a)

     USD       370       185,000  

Orano SA, 3.38%, 04/23/26

     EUR       100       119,863  

Stoneway Capital Corp., 10.00%, 03/01/27(a)

     USD       491       269,785  

Vistra Operations Co. LLC(a):

      

5.50%, 09/01/26

       56       58,800  

5.63%, 02/15/27

       196       207,515  

5.00%, 07/31/27

       107       110,477  
   

 

 

  
        1,525,576  
Wireless Telecommunication Services — 1.0%  

C&W Senior Financing DAC, 6.88%,
09/15/27(a)

       423       450,448  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(a)

       1,000       1,032,813  

CyrusOne LP/CyrusOne Finance Corp.:

      

5.00%, 03/15/24

       26       26,845  

5.38%, 03/15/27

       115       122,044  

Matterhorn Telecom SA, 4.00%, 11/15/27

     EUR       100       112,653  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(a)

     USD       74       73,445  

Rogers Communications, Inc., 7.50%, 08/15/38

       2,325       3,521,668  

Sprint Capital Corp.:

      

6.88%, 11/15/28

       175       194,031  

8.75%, 03/15/32

       82       102,703  

Sprint Corp.:

      

7.88%, 09/15/23

       292       328,500  

7.13%, 06/15/24

       558       616,847  

7.63%, 02/15/25

       197       220,394  

7.63%, 03/01/26

       587       659,641  

T-Mobile USA, Inc.:

      

5.13%, 04/15/25

       77       80,220  

6.50%, 01/15/26

       42       45,150  

4.50%, 02/01/26

       402       417,075  

4.75%, 02/01/28

       314       330,479  
   

 

 

  
        8,334,956  
   

 

 

  

Total Corporate Bonds — 61.4%
(Cost — $475,133,857)

 

     523,149,213  
 

 

 

  

Floating Rate Loan Interests — 1.6%

 

Aerospace & Defense — 0.0%  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 12/06/25(b)(c)

       33       32,999  
 

 

 

  
Air Freight & Logistics — 0.0%  

WestJet Airlines Ltd., Term Loan B,
08/06/26(b)(i)

       179       179,392  
 

 

 

  
Auto Components — 0.0%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 04/30/26(b)

       200       197,180  
 

 

 

  
Capital Markets — 0.0%  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 6.00%, 06/03/26(b)

       119       118,666  
 

 

 

SCHEDULES OF INVESTMENTS      23  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Capital Markets (continued)  

Travelport Finance (Luxembourg) Sarl, 2019 Term Loan, (3 mo. LIBOR + 5.00%), 7.54%, 05/29/26(b)

     USD       219     $ 201,285  
 

 

 

  
        319,951  
Chemicals — 0.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24(b)

       337       327,310  

Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 05/16/24(b)

       51       50,905  

Invictus US LLC, 2nd Lien Term Loan, (2 mo. LIBOR + 6.75%), 8.90%, 03/30/26(b)

       37       36,428  

Momentive Performance Materials, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 05/15/24(b)

       40       39,026  
 

 

 

  
        453,669  
Commercial Services & Supplies — 0.1%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.61%, 08/04/25(b)

       261       264,605  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/30/25(b)

       181       179,741  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 08/27/25(b)

       666       666,699  
 

 

 

  
        1,111,045  
Construction & Engineering — 0.1%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.51%, 06/21/24(b)

       987       934,913  
 

 

 

  
Containers & Packaging — 0.0%  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 04/03/24(b)

       100       96,862  
 

 

 

  
Energy Equipment & Services — 0.1%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.11%, 03/01/24(b)

       70       29,617  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.90%, 11/08/22(b)(c)

       516       490,200  
 

 

 

  
        519,817  
Food & Staples Retailing — 0.0%  

US Foods, Inc., 2019 Term Loan B, 08/14/26(b)(i)

       92       92,154  
 

 

 

  
Gas Utilities — 0.0%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.83%, 07/31/25(b)

       21       20,688  
 

 

 

  
Health Care Equipment & Supplies — 0.1%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.33%, 06/15/21(b)

       415       412,843  
 

 

 

  
Health Care Providers & Services — 0.1%  

Concentra, Inc., 2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 8.96%, 06/01/23(b)

       99       99,413  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/10/25(b)

       509       392,653  

Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.88%, 07/02/25(b)

       101       100,653  

Sotera Health Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/15/22(b)

       424       415,668  
   

 

 

  
        1,008,387  
Security   Par
(000)		     Value  
Health Care Services — 0.0%  

Emerald TopCo., Inc., Term Loan, (PRIME + 2.50%), 5.61%, 07/24/26(b)

     USD       215     $ 213,747  
   

 

 

  
Health Care Technology — 0.1%  

Athenahealth, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.50%), 6.68%, 02/11/26(b)

       482       479,752  
   

 

 

  
Hotels, Restaurants & Leisure — 0.1%  

NASCAR Holdings, Inc., Term Loan B,
07/26/26(b)(i)

       115       115,551  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25(b)

       298       298,752  
   

 

 

  
        414,303  
Independent Power and Renewable Electricity Producers — 0.0%  

Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.61%, 08/12/26(b)

       49       48,924  
   

 

 

  
Industrial Conglomerates — 0.1%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/30/23(b)

       390       366,323  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21(b)

       113       111,256  
   

 

 

  
        477,579  
Insurance — 0.0%  

Sedgwick Claims Management Services, Inc.(b):

      

2019 Incremental Term Loan B, 08/07/26(i)

       144       143,399  

Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/31/25

       241       233,562  
   

 

 

  
        376,961  
IT Services — 0.0%  

DigiCert Holdings, Inc., 2019 Term Loan B, 08/31/26(b)(i)

       129       128,462  
   

 

 

  
Machinery — 0.1%  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 03/28/25(b)

       413       395,536  
   

 

 

  
Media — 0.2%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.20%, 08/14/26(b)

       97       95,638  

Clear Channel Outdoor Holdings, Inc., Term Loan B, 08/21/26(b)(i)

       507       506,366  

Intelsat Jackson Holdings SA (b):

      

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.90%, 11/27/23

       64       64,331  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.65%, 01/02/24

       198       198,972  

2017 Term Loan B5, (Fixed + 6.62%), 6.63%, 01/02/24

       1,071       1,080,313  
   

 

 

  
        1,945,620  
Oil & Gas Equipment & Services — 0.1%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.11%, 05/09/25(b)

       1,173       1,074,192  
   

 

 

  
Oil, Gas & Consumable Fuels — 0.1%  

BCP Raptor II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.86%, 11/03/25(b)

       45       39,801  

California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.49%, 12/31/21(b)

       211       187,206  
 

 

 

24    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

CITGO Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.24%, 07/24/23(b)

     USD       159     $ 160,987  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 09/27/24(b)

       127       126,366  
   

 

 

  
        514,360  
Pharmaceuticals — 0.0%  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24(b)

       150       136,349  
   

 

 

  
Professional Services — 0.0%  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 7.15%, 02/06/26(b)

       184       184,383  
   

 

 

  
Software — 0.2%  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/01/25(b)

       1,105       1,109,743  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 02/01/22(b)

       83       82,680  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.50%, 11/01/24(b)

       352       360,255  

Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 11/29/24(b)

       129       120,698  

Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.25%, 06/30/26(b)

       122       121,885  

Ultimate Software Group, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.08%, 05/04/26(b)

       54       53,973  

Veritas Bermuda Ltd., Repriced Term Loan B, 01/27/23(b)(i)

       52       49,533  
   

 

 

  
        1,898,767  
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, 08/15/26(b)(i)

       257       256,679  
   

 

 

  
Wireless Telecommunication Services — 0.0%  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 09/09/21(b)(c)

       94       94,164  
   

 

 

  

Total Floating Rate Loan Interests — 1.6%
(Cost — $14,375,799)

 

     14,019,678  
 

 

 

  
Foreign Agency Obligations — 2.3%  

Argentine Republic Government International Bond:

      

6.88%, 04/22/21

       150       62,625  

4.63%, 01/11/23

       67       25,628  

Colombia Government International Bond:

      

8.13%, 05/21/24

       290       363,225  

4.50%, 01/28/26

       200       221,313  

3.88%, 04/25/27

       268       290,194  

Cyprus Government International Bond, 4.63%, 02/03/20(a)

     EUR       1,210       1,356,101  

Egypt Government International Bond, 5.75%, 04/29/20

     USD       626       632,260  

Iceland Government International Bond, 5.88%, 05/11/22

       3,555       3,932,293  

Indonesia Government International Bond, 4.75%, 01/08/26

       380       424,056  

Indonesia Treasury Bond, 6.13%, 05/15/28

     IDR       6,679,000       431,063  

Italian Government International Bond, 5.38%, 06/15/33

     USD       2,925       3,393,596  
Security   Par
(000)		     Value  
Foreign Agency Obligations (continued)  

Mexico Government International Bond:

      

4.15%, 03/28/27

     USD       260     $ 278,200  

3.75%, 01/11/28

       200       208,800  

Nigeria Government International Bond, 7.63%, 11/21/25

       400       438,250  

Portugal Government International Bond, 5.13%, 10/15/24(a)

       3,970       4,545,475  

Qatar Government International Bond:

      

4.50%, 04/23/28

       660       773,850  

4.00%, 03/14/29(a)

       440       502,562  

Republic of South Africa Government International Bond, 5.88%, 05/30/22

       220       235,400  

Russian Foreign Bond — Eurobond:

      

4.75%, 05/27/26

       400       438,000  

4.25%, 06/23/27

       400       426,000  

Saudi Government International Bond, 4.50%, 04/17/30

       278       324,843  

Turkey Government International Bond, 6.25%, 09/26/22

       200       202,000  

Ukraine Government International Bond, 9.75%, 11/01/28

       200       235,750  
   

 

 

  

Total Foreign Agency Obligations — 2.3%
(Cost — $18,990,394)

 

     19,741,484  
   

 

 

  

Municipal Bonds — 3.2%

 

California — 0.9%  

East Bay Municipal Utility District Water System Revenue, RB, Build America Bonds, 5.87%, 06/01/40

       1,900       2,740,579  

State of California, GO, Build America Bonds, Various Purpose, 7.63%, 03/01/40

       1,720       2,869,338  

University of California, RB, Build America Bonds, 5.95%, 05/15/45

       885       1,250,514  

State of California, GO, Build America Bonds, Various Purpose, 7.55%, 04/01/39

       280       469,437  
   

 

 

  
        7,329,868  
Georgia — 0.3%        

Municipal Electric Authority of Georgia, Refunding RB, Build America Bonds, Series A, 7.06%, 04/01/57

       1,989       2,808,926  
   

 

 

  
Illinois — 0.3%        

State of Illinois, GO, Pension, 5.10%, 06/01/33(h)

       2,000       2,176,000  
   

 

 

  
Indiana — 0.4%        

Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 01/15/40

       2,535       3,571,080  
   

 

 

  
New York — 1.3%        

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

       1,295       2,137,799  

City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:

      

Series GG, Build America Bonds, 5.72%, 06/15/42

       1,390       2,065,415  

Series EE, 5.50%, 06/15/43(j)

       930       982,498  

New York State Dormitory Authority, RB, Build America Bonds:

      

5.60%, 03/15/40

       1,900       2,570,149  

5.63%, 03/15/39

       1,100       1,436,820  

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

       780       1,047,906  
 

 

 

SCHEDULES OF INVESTMENTS      25  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
New York (continued)        

New York City Water & Sewer System, RB, 2nd General Resolution:

      

5.38%, 06/15/43(j)

     USD       510     $ 538,703  

5.38%, 06/15/43

       260       272,613  
   

 

 

  
        11,051,903  
   

 

 

  

Total Municipal Bonds — 3.2%
(Cost — $20,424,060)

 

     26,937,777  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 4.4%

 

Collateralized Mortgage Obligations — 0.3%

 

  

Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 03/25/37

       447       402,502  

Countrywide Alternative Loan Trust:

      

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

       878       875,453  

Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 2.36%, 03/20/47(b)

       698       602,340  

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 4.31%, 06/19/35(k)

       239       243,789  

GSR Mortgage Loan Trust:

      

Series 2006-4F, Class 1A1, 5.00%, 05/25/36

       32       70,835  

Series 2007-4F, Class 3A1, 6.00%, 07/25/37

       141       124,629  

JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36

       60       42,316  

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 4.56%, 05/25/36(k)

       383       347,721  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 3.25%, 05/25/47(b)

       160       152,616  
   

 

 

  
        2,862,201  
Commercial Mortgage-Backed Securities — 4.1%        

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(a)(k)

       4,170       4,428,733  

Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.39%, 09/10/46(k)

       7,183       7,884,699  

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

       1,131       1,176,318  

Commercial Mortgage Trust(k):

      

Series 2013-CR11, Class B, 5.28%, 08/10/50

       7,000       7,654,355  

Series 2015-CR22, Class C, 4.25%, 03/10/48

       5,000       5,344,683  

Series 2015-LC19, Class C, 4.39%, 02/10/48

       3,500       3,735,248  

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.42%, 04/15/50(k)

       1,000       1,063,235  

Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.56%, 07/13/29(a)(k)

       3,200       3,208,812  
   

 

 

  
        34,496,083  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 4.4%
(Cost — $35,116,315)

 

     37,358,284  
   

 

 

  

Preferred Securities — 10.4%

 

Capital Trusts — 9.7%

 

Banks — 2.3%  

Banco Bilbao Vizcaya Argentaria SA, 6.13%(d)(f)

       2,000       1,882,500  

Bankia SA, 6.38%(d)(f)

       200       227,839  

BNP Paribas SA, 7.20%(a)(d)(f)

       2,000       2,215,000  

Capital One Financial Corp., Series E, 5.55%(d)(f)

       3,500       3,539,375  

CIT Group, Inc., Series A, 5.80%(d)(f)

       163       165,724  
Security   Par
(000)		     Value  
Banks (continued)  

Credit Agricole SA(a)(d)(f):

      

6.63%

     USD       1,400     $ 1,402,593  

7.88%

       1,000       1,105,350  

Nordea Bank AB, 6.13%(a)(d)(f)

       2,960       3,052,500  

Wells Fargo & Co.,(d)(f):

      

Series Q, 5.85%

       75       1,980,000  

Series S, 5.90%

       3,390       3,618,825  

Series U, 5.88%

       645       711,299  
   

 

 

  
        19,901,005  
Building Materials — 0.0%  

Holcim Finance Luxembourg SA, 3.00%(d)(f)

       100       115,618  
   

 

 

  
Capital Markets — 0.6%  

Goldman Sachs Group, Inc., Series P, 5.00%(d)(f)

       74       73,214  

Morgan Stanley, Series H, 5.91%(d)(f)

       2,627       2,633,567  

State Street Corp., Series F, 5.25%(d)(f)

       2,000       2,037,500  
   

 

 

  
        4,744,281  
Diversified Financial Services — 4.2%  

Bank of America Corp.,(d)(f):

      

Series AA, 6.10%

       409       445,810  

Series DD, 6.30%

       45       50,794  

Series FF, 5.88%

       3,500       3,805,200  

Series V, 5.80%

       24       24,053  

Series X, 6.25%

       4,620       5,035,800  

Series Z, 6.50%

       87       97,440  

Bank of New York Mellon Corp.,(d)(f):

      

Series D, 4.50%

       2,000       1,965,000  

Series E, 4.95%

       2,000       2,039,080  

Credit Suisse Group AG, 6.38%(a)(d)(f)

       300       309,900  

HBOS Capital Funding LP, 6.85%(f)

       100       101,682  

HSBC Holdings PLC(d)(f):

      

6.00%

       435       436,087  

6.50%

       1,090       1,120,193  

JPMorgan Chase & Co.,(d)(f):

      

Series 1, 5.74%

       5,079       5,105,411  

Series FF, 5.00%

       820       850,750  

Series Q, 5.15%

       3,000       3,075,000  

Series R, 6.00%

       70       74,550  

Series S, 6.75%

       90       100,237  

Series U, 6.13%

       500       538,125  

Series V, 5.64%

       6,430       6,417,140  

Royal Bank of Scotland Group PLC, 8.63%(d)(f)

       200       211,750  

Societe Generale SA(a)(d)(f):

      

6.00%

       3,000       3,006,678  

7.88%

       1,000       1,078,750  
   

 

 

  
        35,889,430  
Diversified Telecommunication Services — 0.0%  

Telefonica Europe BV, 5.88%(d)(f)

       100       128,177  
   

 

 

  
Electric Utilities — 0.9%  

ComEd Financing III, 6.35%, 03/15/33

       300       332,290  

Electricite de France SA, 5.25%(a)(d)(f)

       4,200       4,362,750  

NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(d)

       2,750       2,933,785  

RWE AG, 2.75%, 04/21/75(d)

       10       11,226  
   

 

 

  
        7,640,051  
Insurance — 1.7%  

Allstate Corp.(d):

      

6.50%, 05/15/67

       4,100       4,786,750  

Series B, 5.75%, 08/15/53

       2,000       2,130,000  

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

       2,554       2,980,033  

Voya Financial, Inc., 5.65%, 05/15/53(d)

       4,500       4,724,415  
   

 

 

  
        14,621,198  
 

 

 

26    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels — 0.0%  

Naturgy Finance BV, 3.38%(d)(f)

     USD       100     $ 117,162  
   

 

 

  
Utilities — 0.0%  

Electricite de France SA, 4.00%(d)(f)

       100       120,483  
   

 

 

  
Wireless Telecommunication Services — 0.0%  

Vodafone Group PLC, 3.10%, 01/03/79(k)

       100       115,525  
   

 

 

  

Total Capital Trusts — 9.7%
(Cost — $80,457,613)

 

     83,392,930  
   

 

 

  
     Shares         
Preferred Stocks — 0.6%  
Capital Markets — 0.6%  

Goldman Sachs Group, Inc., Series J, 5.50%(d)(f)

       92,000       2,407,640  

Morgan Stanley, Series K, 5.85%(d)(f)

       66,567       1,797,309  

SCE Trust III, Series H, 5.75%(d)(f)

       25,314       635,128  
   

 

 

  
        4,840,077  
Thrifts & Mortgage Finance — 0.0%  

Federal Home Loan Mortgage Corp.,
Series S, 8.25%(f)(k)

       10,000       121,200  
   

 

 

  

Total Preferred Stocks — 0.6%
(Cost — $4,614,025)

 

     4,961,277  
   

 

 

  

Trust Preferred — 0.1%

 

Diversified Financial Services — 0.1%  

Citigroup Capital XIII, 8.64%(d)

       29,583       808,799  
   

 

 

  

Total Trust Preferreds — 0.1%
(Cost — $779,529)

 

     808,799  
   

 

 

  

Total Preferred Securities— 10.4%
(Cost — $85,851,167)

 

     89,163,006  
   

 

 

  
     Par
(000)		         

U.S. Government Sponsored Agency Securities — 16.8%

 

Agency Obligations — 1.6%  

Fannie Mae, 5.63%, 07/15/37(h)

     USD       1,600       2,423,063  

Federal Home Loan Bank(h):

      

5.25%, 12/09/22

       1,375       1,534,193  

5.37%, 09/09/24

       4,025       4,753,092  

Residual Funding Corp., 0.00%, 04/15/30(l)

       6,055       4,912,673  
   

 

 

  
        13,623,021  
Collateralized Mortgage Obligations — 4.4%  

Fannie Mae Mortgage-Backed Securities:

      

Series 2015-47, Class GL, 3.50%, 07/25/45

       1,636       1,846,997  

Series 2005-5, Class PK, 5.00%, 12/25/34

       11       10,901  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 21.00%, 08/25/21(b)

       1       658  

Series G-17, Class S, 848.09%, 06/25/21(k)

       — (m)      —  

Series G-07, Class S, (1 mo. LIBOR + 1144.57%), 888.98%, 03/25/21(b)

       — (m)      7  

Series G-33, Class PV, 1,078.42%, 10/25/21

       — (m)      —  

Series 1991-46, Class S, (1 mo. LIBOR + 2519.00%), 2,027.74%, 05/25/21(b)

       — (m)      —  

Freddie Mac Mortgage-Backed Securities:

      

Series 4350, Class DY, 4.00%, 06/15/44

       2,830       3,224,626  

Series 4480, Class ZX, 4.00%, 11/15/44

       6,496       7,440,376  

Series 4549, Class TZ, 4.00%, 11/15/45

       2,846       3,254,835  

Series 4398, Class ZX, 4.00%, 09/15/54

       9,339       11,279,987  
     Par
(000)		     Value  
Collateralized Mortgage Obligations (continued)  

Series 1057, Class J, 1,008.00%, 03/15/21

     USD       — (m)    $ —  

Series 0192, Class U, (1 mo. LIBOR + 17.25%), 1,009.03%

       — (m)      —  

Ginnie Mae Mortgage-Backed Securities, Series 2014-72, Class MQ, 4.00%, 02/20/44

       8,858       10,220,627  
   

 

 

  
        37,279,014  
Interest Only Collateralized Mortgage Obligations — 0.4%  

Fannie Mae Mortgage-Backed Securities:

      

Series 1997-50, Class SI, (1 mo. LIBOR + 9.20%), 1.20%, 04/25/23(b)

       18       278  

Series 2012-96, Class DI, 4.00%, 02/25/27

       2,721       124,245  

Series 2012-47, Class NI, 4.50%, 04/25/42

       3,700       528,018  

Series G92-05, Class H, 9.00%, 01/25/22

       — (m)      2  

Series 094, Class 2, 9.50%, 08/25/21

       — (m)      4  

Series 1990-136, Class S, (1 mo. LIBOR + 17.60%), 17.82%, 11/25/20(b)

       — (m)      —  

Series 1991-139, Class PT, 648.35%, 10/25/21

       — (m)      —  

Series G-10, Class S, (1 mo. LIBOR + 1107.27%), 860.07%, 05/25/21(b)

       — (m)      —  

Series 1991-099, Class L, 930.00%, 08/25/21

       — (m)      —  

Series 1990-123, Class M, 1,009.50%, 10/25/20

       — (m)      —  

Freddie Mac Mortgage-Backed Securities:

      

Series 1254, Class Z, 8.50%, 04/15/22

       8       647  

Series 1054, Class I, (1 mo. LIBOR + 881.40%), 679.03%, 03/15/21(b)

       — (m)      —  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 908.00%, 02/15/21(b)

       — (m)      —  

Series 1056, Class KD, 1,084.50%, 03/15/21

       — (m)      —  

Ginnie Mae Mortgage-Backed Securities:

      

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 4.03%, 09/20/32(b)

       3,907       448,824  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.27%, 12/16/39(b)

       1,356       188,823  

Series 2011-52, Class NS, 4.47%, 04/16/41

       11,714       2,210,380  
     

 

 

  
        3,501,221  
Mortgage-Backed Securities — 10.4%  

Fannie Mae Mortgage-Backed Securities(h):

      

3.00%, 09/01/43

       11,941       12,303,311  

3.50%, 08/01/49

       8,001       8,331,656  

4.00%, 12/01/41 - 04/01/56

       26,431       28,265,213  

4.50%, 07/01/41 - 07/01/55

       13,808       14,942,598  

5.00%, 08/01/34

       1,330       1,480,026  

5.50%, 06/01/38

       654       735,860  

6.00%, 12/01/38

       524       599,913  

Freddie Mac Mortgage-Backed Securities(h):

      

3.00%, 04/01/33

       7,290       7,485,642  

3.50%, 07/01/49

       11,800       12,323,467  

4.50%, 03/01/47

       1,639       1,768,111  

Ginnie Mae Mortgage-Backed Securities:

      

5.50%, 08/15/33(h)

       43       45,678  

8.00%, 07/15/24

       — (m)      64  
     

 

 

  
        88,281,539  
Principal Only Collateralized Mortgage Obligations — 0.0%  

Fannie Mae Mortgage-Backed Securities(l):

      

Series 203, Class 1, 0.00%, 02/25/23

       1       952  

Series 1993-51, Class E, 0.00%, 02/25/23

       3       3,119  

Series 1993-70, Class A, 0.00%, 05/25/23

       1       531  

Series 0228, Class 1, 0.00%, 06/25/23

       1       859  
     

 

 

  
        5,461  
     

 

 

  

Total U.S. Government Sponsored Agency Securities — 16.8%
(Cost — $133,188,010)

 

     142,690,256  
 

 

 

  
 

 

 

SCHEDULES OF INVESTMENTS      27  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

     Par
(000)		     Value  
U.S. Treasury Obligations — 22.9%  

U.S. Treasury Bonds(h):

      

3.00%, 11/15/44

     USD       61,400     $ 74,226,844  

2.50%, 02/15/46(n)

       66,500       73,830,586  

2.75%, 11/15/47

       2,000       2,338,359  

U.S. Treasury Note, 3.00%, 09/30/25(h)

       2,400       2,615,625  

U.S. Treasury Notes:

      

2.75%, 09/30/20(h)

       2,880       2,910,150  

2.75%, 09/15/21

       2,800       2,869,125  

2.75%, 04/30/23(h)

       2,800       2,931,359  

2.75%, 08/31/23(h)

       1,700       1,786,926  

7.50%, 11/15/24(h)

       8,200       10,695,875  

2.75%, 08/31/25(h)(n)

       14,800       15,903,063  

2.88%, 08/15/28(h)

       1,000       1,114,492  

3.13%, 11/15/28(h)

       3,000       3,415,430  
     

 

 

  

Total U.S. Treasury Obligations — 22.9%
(Cost — $172,888,772)

 

     194,637,834  
 

 

 

  

Total Long-Term Investments — 129.0%
(Cost — $1,008,064,705)

 

     1,098,901,650  
 

 

 

  
Short-Term Securities — 2.1%  

Foreign Agency Obligations — 0.0%

 

Nigeria Treasury Bill(l):

      

11.50%, 02/27/20

     NGN       12,934       33,415  

11.65%, 02/27/20

       87,369       225,721  
     

 

 

  

Total Foreign Agency Obligations — 0.0%
(Cost — $261,998)

 

     259,136  
   

 

 

  
       Shares         
Money Market Funds — 2.1%  

BlackRock Liquidity Funds, T-Fund, Institutional Class,
1.99%(o)(p)

 

     17,476,265       17,476,265  
     

 

 

  

Total Money Market Funds — 2.1%
(Cost — $17,476,265)

 

     17,476,265  
 

 

 

  

Total Short-Term Securities — 2.1%
(Cost — $17,738,263)

 

     17,735,401  
 

 

 

  

Options Purchased — 1.0%
(Cost — $5,787,452)

 

     8,630,824  
 

 

 

  

Total Investments Before Options Written — 132.1%
(Cost — $1,031,590,420)

 

     1,125,267,875  
   

 

 

  

Options Written — (1.0)%
(Premiums Received — $8,608,351)

 

     (8,654,296 ) 
   

 

 

  

Total Investments, Net of Options Written — 131.1%
(Cost — $1,022,982,069)

 

     1,116,613,579  

Liabilities in Excess of Other Assets — (31.1)%

 

     (264,963,552 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 851,650,027  
   

 

 

  

 

(a) 

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

(b) 

Variable rate security. Rate shown is the rate in effect as of period end.

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(e) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(f) 

Perpetual security with no stated maturity date.

(g) 

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(h) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(i) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(j) 

U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par.

(k) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(l) 

Zero-coupon bond.

(m) 

Amount is less than $500.

(n) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(o) 

Annualized 7-day yield as of period end.

 

 

(p) 

During the year ended August 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares
Held at
08/31/18		     Net
Activity		     Shares
Held at
08/31/19		     Value at
08/31/19		     Income     Net
Realized
Gain (Loss) (a)		     Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     14,487,097       2,989,168       17,476,265     $ 17,476,265     $ 264,839     $ —     $ —  
       

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

 

28    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

For Trust compliance purposes, the Trust’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate		     Trade
Date		      Maturity
Date (a)		      Face Value      Face Value
Including
Accrued Interest		      Type of Non-Cash
Underlying Collateral		    Remaining Contractual
Maturity of the Agreements (a)

Barclays Capital, Inc.

      0.00 %      08/29/19        Open      $ 89,640      $ 89,640      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      0.92       08/29/19        Open        7,560        7,560      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      1.25       08/29/19        Open        252,225        252,243      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      (1.75 )      08/29/19        Open        75,983        75,975      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      2.05       08/29/19        Open        63,363        63,370      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      2.25       05/07/19        Open        176,500        178,001      Foreign Agency Obligations    Open/Demand

BNP Paribas S.A.

      2.52       05/30/19        Open        65,544,500        65,981,718      U.S. Treasury Obligations    Open/Demand

BNP Paribas S.A.

      2.52       05/30/19        Open        2,912,400        2,931,827      U.S. Treasury Obligations    Open/Demand

BNP Paribas S.A.

      2.52       05/30/19        Open        2,880,500        2,889,590      U.S. Treasury Obligations    Open/Demand

BNP Paribas S.A.

      2.57       05/30/19        Open        2,547,469        2,564,767      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas S.A.

      2.57       05/30/19        Open        2,250,000        2,265,279      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas S.A.

      2.57       05/30/19        Open        1,555,469        1,566,031      U.S. Government Sponsored Agency Securities    Open/Demand

Nomura Securities International, Inc.

      2.52       05/30/19        Open        2,880,500        2,899,715      U.S. Treasury Obligations    Open/Demand

Deutsche Bank AG

      2.19       07/17/19        Open        24,937,500        25,016,102      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        2,077,500        2,084,056      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        2,574,000        2,582,122      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        1,778,625        1,784,238      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        753,830        756,209      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        14,578,988        14,624,992      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        3,288,750        3,299,128      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        1,081,250        1,084,662      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        10,639,500        10,673,074      U.S. Treasury Obligations    Open/Demand

Nomura Securities International, Inc.

      2.27       07/17/19        Open        40,632,054        40,760,271      U.S. Treasury Obligations    Open/Demand

BNP Paribas S.A.

      2.25       07/19/19        Open        482,500        483,874      Corporate Bonds    Open/Demand

BNP Paribas S.A.

      2.25       07/19/19        Open        1,263,735        1,267,333      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        6,022,000        6,029,469      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        4,164,000        4,169,165      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        8,110,000        8,120,059      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        1,719,000        1,721,132      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        584,000        584,724      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        2,052,000        2,054,545      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        1,755,000        1,757,177      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        2,338,000        2,340,900      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        1,406,000        1,407,744      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        705,000        705,874      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        17,006,000        17,027,092      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        2,000,000        2,002,481      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      2.35       08/12/19        9/12/19        6,337,000        6,344,860      U.S. Government Sponsored Agency Securities    Up to 30 Days

Nomura Securities International, Inc.

      2.34       08/12/19        9/12/19        11,891,000        11,905,685      U.S. Government Sponsored Agency Securities    Up to 30 Days

 

 

SCHEDULES OF INVESTMENTS      29  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate		     Trade
Date		      Maturity
Date (a)		      Face Value      Face Value
Including
Accrued Interest		      Type of Non-Cash
Underlying Collateral		    Remaining Contractual
Maturity of the Agreements (a)

TD Securities (USA) LLC

      2.33 %       08/12/19        9/12/19      $ 11,919,000      $ 11,933,657      U.S. Government Sponsored Agency Securities    Up to 30 Days

Citigroup Global Markets, Inc.

      2.36       08/16/19        9/17/19        7,251,066        7,257,246      U.S. Government Sponsored Agency Securities    Up to 30 Days

Citigroup Global Markets, Inc.

      2.36       08/16/19        9/17/19        47,059        47,099      U.S. Government Sponsored Agency Securities    Up to 30 Days

Barclays Bank PLC

      0.25       08/27/19        Open        2,030,000        2,030,070      Municipal Bonds    Open/Demand
          

 

 

     

 

 

        
   $ 272,660,466      $ 273,620,756        
  

 

 

     

 

 

        

 

  (a) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description      Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Long Contracts

                    

10-Year Canada Bond Future

        47          12/18/19        $ 5,122        $ (16,658 ) 

10-Year U.S. Ultra Long Treasury Note

        442          12/19/19          63,841          39,571  

Ultra Long U.S. Treasury Bond

        265          12/19/19          52,321          692,690  

5-Year U.S. Treasury Note

        1,679          12/31/19          201,441          (1,949 ) 

Euro Stoxx 600 Index

        1          09/20/19          7          (507 ) 
                   

 

 

  
                      713,147  
                   

 

 

  

Short Contracts

                    

10-Year U.S. Treasury Note

        604          12/19/19          79,558          (38,285 ) 

Long U.S. Treasury Bond

        58          12/19/19          9,585          (30,664 ) 

Long Gilt

        1          12/27/19          163          (1,035 ) 

2-Year U.S. Treasury Note

        1,083          12/31/19          234,055          (17,494 ) 

Euro-BOBL

        1          09/06/19          150          (2,595 ) 
                   

 

 

  
                      (90,073 ) 
                   

 

 

  
                    $ 623,074  
                   

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		        Currency
Sold		        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD     4,346,897        EUR     3,890,000        BNP Paribas S.A.        09/05/19        $ 71,272  
USD     9,401,101        EUR     8,413,000        Goldman Sachs Bank USA        09/05/19          154,099  
USD     125,695        EUR     113,200        JPMorgan Chase Bank N.A.        09/05/19          1,273  
USD     423,460        GBP     347,000        BNP Paribas S.A.        09/05/19          1,212  
USD     3,899,079        GBP     3,195,000        Nomura International PLC        09/05/19          11,240  
USD     130,730        NZD     198,000        HSBC Bank PLC        09/05/19          5,966  
CAD     5,286,343        EUR     3,590,000        Deutsche Bank AG        09/18/19          21,595  
JPY     431,554,416        USD     4,040,000        Bank of America N.A.        09/18/19          26,361  
JPY     428,598,917        USD     3,980,000        State Street Bank and Trust Co.        09/18/19          58,512  
USD     4,040,000        SEK     37,821,769        JPMorgan Chase Bank N.A.        09/18/19          182,741  
USD     3,980,000        SEK     37,457,516        State Street Bank and Trust Co.        09/18/19          159,889  
USD     55,111        EUR     50,000        State Street Bank and Trust Co.        10/03/19          32  
USD     4,243,527        EUR     3,850,000        State Street Bank and Trust Co.        10/03/19          2,478  
USD     672,886        GBP     551,000        Standard Chartered Bank        10/03/19          1,557  
USD     3,854,231        GBP     3,156,000        Standard Chartered Bank        10/03/19          9,012  
USD     125,604        NZD     198,000        State Street Bank and Trust Co.        10/03/19          739  
                       

 

 

  
                          707,978  
                       

 

 

  

 

 

30    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased		        Currency
Sold		        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
EUR     50,000        USD     54,988        State Street Bank and Trust Co.        09/05/19        $ (31 ) 
EUR     3,850,000        USD     4,234,049        State Street Bank and Trust Co.        09/05/19          (2,389 ) 
GBP     551,000        USD     672,042        Standard Chartered Bank        09/05/19          (1,557 ) 
GBP     3,156,000        USD     3,849,397        Standard Chartered Bank        09/05/19          (9,015 ) 
NZD     198,000        USD     125,505        State Street Bank and Trust Co.        09/05/19          (741 ) 
USD     124,217        GBP     102,700        Citibank N.A.        09/05/19          (753 ) 
USD     124,078        GBP     102,000        JPMorgan Chase Bank N.A.        09/05/19          (41 ) 
EUR     3,590,000        CAD     5,277,196        Morgan Stanley & Co. International PLC        09/18/19          (14,723 ) 
JPY     452,437,927        USD     4,270,000        Citibank N.A.        09/18/19          (6,863 ) 
SEK     37,251,750        USD     4,040,000        JPMorgan Chase Bank N.A.        09/18/19          (240,874 ) 
SEK     37,496,607        USD     3,980,000        JPMorgan Chase Bank N.A.        09/18/19          (155,903 ) 
USD     4,040,000        JPY     430,819,540        Bank of America N.A.        09/18/19          (19,436 ) 
USD     3,980,000        JPY     428,059,746        Standard Chartered Bank        09/18/19          (53,432 ) 
                       

 

 

  
                          (505,758 ) 
                       

 

 

  
    Net Unrealized Appreciation        $ 202,220  
                       

 

 

  

Interest Rate Caps/Floors — Purchased

 

Description    Exercise
Rate		      Counterparty    Expiration
Date		      Notional
Amount (000)		      Value      Premiums
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

Call

                       

5Y-30Y CMS Index Cap

      0.45 %     Goldman Sachs Bank USA      10/03/19        USD       14,625      $ 513      $ 12,256      $ (11,743 ) 

5Y-30Y CMS Index Cap

      0.35      Nomura International PLC      11/01/19        USD       19,160        6,900        15,328        (8,428 ) 
                

 

 

     

 

 

     

 

 

  
                 $ 7,413      $ 27,584      $ (20,171 ) 
                

 

 

     

 

 

     

 

 

  

Put

 

5Y-30Y CMS Index Floor

      0.40      Nomura International PLC      6/29/20        USD       19,780      $ 93,514      $ 21,233      $ 72,281  

5Y-30Y CMS Index Floor

      0.35      Nomura International PLC      7/08/20        USD       20,060        73,999        18,054        55,945  
                

 

 

     

 

 

     

 

 

  
                 $ 167,513      $ 39,287      $ 128,226  
                

 

 

     

 

 

     

 

 

  
                 $ 174,926      $ 66,871      $ 108,055  
                

 

 

     

 

 

     

 

 

  

Exchange-Traded Options Purchased

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  

Call

 

10-Year U.S. Treasury Note

      8          09/06/19        USD     132.50        USD     1,054        $ 875  

10-Year U.S. Treasury Note

      28          11/22/19        USD     132.00        USD     3,688          31,063  

90-Day Euro Future

      332          03/16/20        USD     97.75        USD     32,685          589,300  
                          

 

 

  
                             621,238  
                          

 

 

  

Put

 

10-Year U.S. Treasury Note

      8          09/06/19        USD     131.50        USD     1,054          2,000  
                          

 

 

  
     $ 623,238  
    

 

 

  

OTC Interest Rate Swaptions Purchased

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
Description   Rate     Frequency   Rate     Frequency

Call

                                                                    

30-Year Interest Rate
Swap, 11/07/49

     3-Month LIBOR, 2.14%     Quarterly     1.85%     Semi-Annual   Citibank N.A.     11/05/19       1.85 %      USD       1,188     $ 101,344  

5-Year Interest Rate
Swap, 11/29/24

     3-Month LIBOR, 2.14%     Quarterly     3.09     Semi-Annual   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       1,658,730  

10-Year Interest Rate
Swap, 02/20/30

     3-Month LIBOR, 2.14%     Quarterly     1.41     Semi-Annual   Citibank N.A.     02/18/20       1.41       USD       2,210       47,190  

10-Year Interest Rate
Swap, 02/23/30

     3-Month LIBOR, 2.14%     Quarterly     1.46     Semi-Annual   Goldman Sachs Bank USA     02/21/20       1.46       USD       6,650       160,980  

 

 

SCHEDULES OF INVESTMENTS      31  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

     Paid by the Trust   Received by the Trust        Expiration     Exercise     Notional         
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Call

                                                                    

5-Year Interest Rate Swap, 02/28/25

    
 3-Month LIBOR,
2.14 % 		 
 		   Quarterly     2.52 %     Semi-Annual   Citibank N.A.     02/26/20       2.52 %       USD       9,630     $ 591,277  

10-Year Interest Rate Swap, 02/28/30

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.41     Semi-Annual   JPMorgan Chase Bank N.A.     02/27/20       1.41       USD       6,650       146,632  

1-Year Interest Rate Swap, 05/15/21

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     2.09     Semi-Annual   UBS AG     05/13/20       2.09       USD       42,093       328,972  

2-Year Interest Rate Swap, 06/03/22

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.50     Semi-Annual   Barclays Bank PLC     06/01/20       1.50       USD       39,190       313,113  

15-Year Interest Rate Swap, 06/10/35

    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual     0.65     Semi-Annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       118,304  

30-Year Interest Rate Swap, 06/13/50

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.60     Semi-Annual   Barclays Bank PLC     06/11/20       1.60       USD       3,292       236,380  

2-Year Interest Rate Swap, 08/12/22

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.25     Semi-Annual   Bank of America N.A.     08/10/20       1.25       USD       42,990       257,091  

15-Year Interest Rate Swap, 09/16/35

    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual     0.66     Semi-Annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       47,705  

15-Year Interest Rate Swap, 09/16/35

    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual     0.66     Semi-Annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       47,705  

20-Year Interest Rate Swap, 04/18/41

    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual     0.78     Semi-Annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       146,529  

10-Year Interest Rate Swap, 08/15/31

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.65     Semi-Annual   Barclays Bank PLC     08/13/21       1.65       USD       4,390       212,032  

10-Year Interest Rate Swap, 08/18/31

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     1.46     Semi-Annual   Citibank N.A.     08/16/21       1.46       USD       4,430       170,837  

10-Year Interest Rate Swap, 03/09/34

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     2.98     Semi-Annual   Barclays Bank PLC     03/07/24       2.98       USD       3,511       498,369  

10-Year Interest Rate Swap, 03/14/34

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     2.95     Semi-Annual   Barclays Bank PLC     03/12/24       2.95       USD       3,510       490,710  

10-Year Interest Rate Swap, 06/29/38(a)

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     3.05     Semi-Annual   Deutsche Bank AG     06/27/28       3.05       USD       3,125       253,919  

10-Year Interest Rate Swap, 01/12/39

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     3.04     Semi-Annual   Nomura International PLC     01/10/29       3.04       USD       1,000       141,430  

10-Year Interest Rate Swap, 01/13/39

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     3.04     Semi-Annual   Morgan Stanley & Co. International PLC     01/11/29       3.04       USD       1,000       141,256  

10-Year Interest Rate Swap, 01/31/39

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     3.08     Semi-Annual   Barclays Bank PLC     01/29/29       3.08       USD       1,020       147,196  

10-Year Interest Rate Swap, 04/29/48

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     2.99     Semi-Annual   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       124,874  

10-Year Interest Rate Swap, 02/24/49

    
 3-Month LIBOR,
2.14%		  
 		   Quarterly     2.86     Semi-Annual   JPMorgan Chase Bank N.A.     02/22/39       2.86       USD       933       121,669  
                   

 

 

  
                      6,504,244  
                   

 

 

  

Put

 

30-Year Interest Rate Swap, 10/09/49

     4.00     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Deutsche Bank AG     10/07/19       4.00       USD       2,620       —  

1-Year Interest Rate Swap, 11/03/20

     2.10     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     11/01/19       2.10       USD       20,220       1,469  

5-Year Interest Rate Swap, 11/29/24

     3.09     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       39  

30-Year Interest Rate Swap, 02/05/50

     4.00     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Goldman Sachs Bank USA     02/03/20       4.00       USD       1,600       69  

10-Year Interest Rate Swap, 02/20/30

     1.41     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Citibank N.A.     02/18/20       1.41       USD       2,210       39,818  

10-Year Interest Rate Swap, 02/23/30

     1.46     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Goldman Sachs Bank USA     02/21/20       1.46       USD       6,650       104,846  

5-Year Interest Rate Swap, 02/28/25

     2.52     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Citibank N.A.     02/26/20       2.52       USD       9,630       1,387  

10-Year Interest Rate Swap, 02/28/30

     1.41     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     02/27/20       1.41       USD       6,650       120,586  

1-Year Interest Rate Swap, 05/15/21

     2.09     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   UBS AG     05/13/20       2.09       USD       42,093       10,814  

 

 

32    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

     Paid by the Trust   Received by the Trust        Expiration     Exercise     Notional         
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Put

                                                                    

15-Year Interest Rate Swap, 05/17/35

     1.10%     Semi-Annual    
 6-Month JPYLIBOR,
(0.05)%		  
 		   Semi-Annual   Barclays Bank PLC     05/15/20       1.10 %      JPY       250,000       107  

15-Year Interest Rate Swap, 06/10/35

     0.65     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       361  

15-Year Interest Rate Swap, 09/16/35

     0.66     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       206  

15-Year Interest Rate Swap, 09/16/35

     0.66     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       206  

20-Year Interest Rate Swap, 04/18/41

     0.78     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       1,794  

30-Year Interest Rate Swap, 06/09/51

     3.80     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     06/07/21       3.80       USD       3,780       7,318  

10-Year Interest Rate Swap, 08/15/31

     1.65     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     08/13/21       1.65       USD       4,390       114,522  

10-Year Interest Rate Swap, 08/18/31

     1.46     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Citibank N.A.     08/16/21       1.46       USD       4,430       150,162  

10-Year Interest Rate Swap, 01/13/32

     1.25     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   Credit Suisse International     01/11/22       1.25       JPY       250,000       662  

10-Year Interest Rate Swap, 02/24/32

     1.55     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   Credit Suisse International     02/22/22       1.55       JPY       250,000       443  

10-Year Interest Rate Swap, 03/18/32

     1.60     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   JPMorgan Chase Bank N.A.     03/16/22       1.60       JPY       250,000       443  

10-Year Interest Rate Swap, 04/06/32

     1.45     Semi-Annual    
 6-Month JPY LIBOR,
(0.05)%		  
 		   Semi-Annual   JPMorgan Chase Bank N.A.     04/04/22       1.45       JPY       250,000       623  

15-Year Interest Rate Swap, 05/05/37

     3.25     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Goldman Sachs Bank USA     05/03/22       3.25       USD       4,050       23,613  

30-Year Interest Rate Swap, 05/11/52

     2.85     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Nomura International PLC     05/09/22       2.85       USD       4,750       87,053  

10-Year Interest Rate Swap, 08/04/32

     2.25     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     08/02/22       2.25       USD       4,160       70,940  

10-Year Interest Rate Swap, 08/10/32

     2.25     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     08/08/22       2.25       USD       4,270       73,274  

10-Year Interest Rate Swap, 03/09/34

     2.98     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     03/07/24       2.98       USD       3,511       44,683  

10-Year Interest Rate Swap, 03/14/34

     2.95     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     03/12/24       2.95       USD       3,510       46,092  

10-Year Interest Rate Swap, 06/15/34

     2.50     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Morgan Stanley & Co. International PLC     06/13/24       2.50       USD       3,950       86,490  

10-Year Interest Rate Swap, 06/22/34

     2.50     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Morgan Stanley & Co. International PLC     06/20/24       2.50       USD       3,950       86,847  

10-Year Interest Rate Swap, 04/14/37

     3.00     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     04/12/27       3.00       USD       2,590       58,800  

10-Year Interest Rate Swap, 01/12/39

     3.04     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Nomura International PLC     01/10/29       3.04       USD       1,000       26,504  

10-Year Interest Rate Swap, 01/13/39

     3.04     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Morgan Stanley & Co. International PLC     01/11/29       3.04       USD       1,000       26,581  

10-Year Interest Rate Swap, 01/31/39

     3.08     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   Barclays Bank PLC     01/29/29       3.08       USD       1,020       26,408  

20-Year Interest Rate Swap,

     4.00     Annual    
 6-Month EURIBOR,
(0.43)%		  
 		   Semi-Annual   Barclays Bank PLC     08/09/33       4.00       EUR       2,410       40,577  

10-Year Interest Rate Swap, 04/29/48

     2.99     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       35,697  

10-Year Interest Rate Swap, 02/24/49

     2.86     Semi-Annual    
 6-Month LIBOR,
2.04%		  
 		   Quarterly   JPMorgan Chase Bank N.A.     02/22/39       2.86       USD       933       38,982  
                   

 

 

  
                      1,328,416  
                   

 

 

  
  $ 7,832,660  
 

 

 

  

 

  (a) 

Forward settling swaption.

 

 

 

SCHEDULES OF INVESTMENTS      33  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Interest Rate Caps/Floor — Sold

 

Description    Exercise
Rate		      Counterparty    Expiration
Date		     

Notional
Amount (000)

      Value      Premiums
Paid
(Received)		      Unrealized
Appreciation		  

Call

 

5Y-30Y CMS Index Cap

      0.55 %     Goldman Sachs Bank USA      10/03/19        USD       14,625      $ (82 )     $ (6,997 )     $ 6,915  

5Y-30Y CMS Index Cap

      0.45      Nomura International PLC      11/01/19        USD       19,160        (2,712 )       (7,089 )       4,377  
                

 

 

     

 

 

     

 

 

  
                 $ (2,794 )     $ (14,086 )     $ 11,292  
                

 

 

     

 

 

     

 

 

  

Put

 

5Y-30Y CMS Index Floor

      0.30      Nomura International PLC      6/29/20        USD       39,570      $ (111,150 )     $ (26,111 )     $ (85,039 ) 

5Y-30Y CMS Index Floor

      0.25      Nomura International PLC      7/08/20        USD       40,130        (84,425 )       (20,065 )       (64,360 ) 
                

 

 

     

 

 

     

 

 

  
                   (195,575 )       (46,176 )       (149,399 ) 
                

 

 

     

 

 

     

 

 

  
                 $ (198,369 )     $ (60,262 )     $ (138,107 ) 
                

 

 

     

 

 

     

 

 

  

Exchange-Traded Options Written

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  

Call

 

90-Day Euro Future

      332          03/16/20        USD     97.88        USD     32,685        $ (493,850 ) 
                          

 

 

  

OTC Interest Rate Swaptions Written

 

  

 

   Paid by the Trust   Received by the Trust     

 

   Expiration     Exercise     Notional       

 

  
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Call

                                                                    

2-Year Interest Rate Swap, 09/05/21

     2.15%     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Nomura International PLC     09/03/19       2.15 %      USD       9,280     $ (117,402 ) 

2-Year Interest Rate Swap, 09/25/21

     2.00     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   JPMorgan Chase Bank N.A.     09/23/19       2.00       USD       12,400       (127,219 ) 

10-Year Interest Rate Swap, 11/03/29

     2.30     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Morgan Stanley & Co. International PLC     11/01/19       2.30       USD       2,600       (225,488 ) 

2-Year Interest Rate Swap, 11/09/21

     3.30     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Deutsche Bank AG     11/07/19       3.30       USD       11,440       (422,139 ) 

10-Year Interest Rate Swap, 11/17/29

     1.41     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Citibank N.A.     11/15/19       1.41       USD       2,210       (34,162 ) 

10-Year Interest Rate Swap, 11/23/29

     1.46     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Goldman Sachs Bank USA     11/21/19       1.46       USD       6,650       (124,368 ) 

10-Year Interest Rate Swap, 11/29/29

     1.42     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   JPMorgan Chase Bank N.A.     11/27/19       1.42       USD       6,650       (111,349 ) 

10-Year Interest Rate Swap, 12/12/29

     1.90     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     12/10/19       1.90       USD       2,950       (152,006 ) 

2-Year Interest Rate Swap, 02/23/22

     2.35     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   UBS AG     02/21/20       2.35       USD       10,600       (218,497 ) 

5-Year Interest Rate Swap, 02/26/25

     (0.58)     Annual    
 6-Month EURIBOR,
(0.43)%		  
 		   Semi-Annual   Barclays Bank PLC     02/24/20       (0.58 )      EUR       6,630       (25,667 ) 

2-Year Interest Rate Swap, 02/28/22

     2.46     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Citibank N.A.     02/26/20       2.46       USD       23,260       (531,732 ) 

1-Year Interest Rate Swap, 04/08/21

     1.50     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Deutsche Bank AG     04/06/20       1.50       USD       46,770       (137,086 ) 

1-Year Interest Rate Swap, 04/08/21

     1.50     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Deutsche Bank AG     04/06/20       1.50       USD       46,770       (137,086 ) 

2-Year Interest Rate Swap, 04/16/22

     2.88     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Deutsche Bank AG     04/14/20       2.88       USD       16,840       (535,392 ) 

2-Year Interest Rate Swap, 04/19/22

     2.94     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Bank of America N.A.     04/17/20       2.94       USD       16,540       (545,809 ) 

2-Year Interest Rate Swap, 06/03/22

     1.00     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     06/01/20       1.00       USD       78,380       (258,780 ) 

1-Year Interest Rate Swap, 06/12/21

     1.76     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Nomura International PLC     06/10/20       1.76       USD       48,320       (258,281 ) 

10-Year Interest Rate Swap, 06/13/30

     2.20     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     06/11/20       2.20       USD       5,250       (427,840 ) 

10-Year Interest Rate Swap, 07/08/30

     2.01     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Morgan Stanley & Co. International PLC     07/06/20       2.01       USD       2,653       (174,218 ) 

1-Year Interest Rate Swap, 08/07/21

     1.33     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   JPMorgan Chase Bank N.A.     08/05/20       1.33       USD       4,190       (12,991 ) 

2-Year Interest Rate Swap, 08/12/22

     0.75     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Bank of America N.A.     08/10/20       0.75       USD       85,970       (213,245 ) 

10-Year Interest Rate Swap, 08/15/30

     1.61     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     08/13/20       1.61       USD       4,390       (168,734 ) 

10-Year Interest Rate Swap, 08/19/30

     1.20     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   JPMorgan Chase Bank N.A.     08/17/20       1.20       USD       5,570       (108,234 ) 

10-Year Interest Rate Swap, 08/19/30

     1.42     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Citibank N.A.     08/17/20       1.42       USD       4,430       (126,784 ) 

10-Year Interest Rate Swap, 08/21/30

     1.25     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Bank of America N.A.     08/19/20       1.25       USD       5,560       (118,568 ) 

10-Year Interest Rate Swap, 03/10/31

     2.79     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     03/08/21       2.79       USD       5,266       (697,470 ) 

10-Year Interest Rate Swap, 03/14/39

     3.05     Semi-Annual     6-Month LIBOR, 2.04%     Quarterly   Barclays Bank PLC     03/12/29       3.05       USD       2,840       (403,411 ) 
                   

 

 

  
                      (6,413,958 ) 
                   

 

 

  

 

 

34    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

  

 

   Paid by the Trust   Received by the
Trust		     

 

   Expiration     Exercise     Notional       

 

  
Description   Rate   Frequency   Rate   Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Put

                    

2-Year Interest Rate Swap, 09/05/21

   3-Month LIBOR, 2.14 %   Quarterly   2.55 %   Semi-Annual   Nomura International PLC     09/03/19       2.55 %     USD     9,280     $ —  

2-Year Interest Rate Swap, 09/08/21

   3-Month LIBOR, 2.14%   Quarterly   3.30   Semi-Annual   Goldman Sachs Bank USA     09/06/19       3.30     USD     12,140       —  

2-Year Interest Rate Swap, 09/14/21

   3-Month LIBOR, 2.14%   Quarterly   3.35   Semi-Annual   Deutsche Bank AG     09/12/19       3.35     USD     58,330       (1 ) 

10-Year Interest Rate Swap, 09/25/29

   3-Month LIBOR, 2.14%   Quarterly   2.65   Semi-Annual   Barclays Bank PLC     09/23/19       2.65     USD     2,555       —  

2-Year Interest Rate Swap, 09/25/21

   3-Month LIBOR, 2.14%   Quarterly   2.60   Semi-Annual   JPMorgan Chase Bank N.A.     09/23/19       2.60     USD     12,400       —  

2-Year Interest Rate Swap, 10/05/21

   3-Month LIBOR, 2.14%   Quarterly   2.55   Semi-Annual   JPMorgan Chase Bank N.A.     10/03/19       2.55     USD     19,030       (1 ) 

2-Year Interest Rate Swap, 10/12/21

   3-Month LIBOR, 2.14%   Quarterly   2.55   Semi-Annual   Morgan Stanley & Co. International PLC     10/10/19       2.55     USD     7,220       (1 ) 

2-Year Interest Rate Swap, 10/13/21

   3-Month LIBOR, 2.14%   Quarterly   2.55   Semi-Annual   Morgan Stanley & Co. International PLC     10/11/19       2.55     USD     7,220       (1 ) 

10-Year Interest Rate Swap, 11/03/29

   3-Month LIBOR, 2.14%   Quarterly   2.80   Semi-Annual   Morgan Stanley & Co. International PLC     11/01/19       2.80     USD     2,600       (36 ) 

2-Year Interest Rate Swap, 11/06/21

   3-Month LIBOR, 2.14%   Quarterly   2.70   Semi-Annual   Barclays Bank PLC     11/04/19       2.70     USD     11,900       (9 ) 

2-Year Interest Rate Swap, 11/08/21

   3-Month LIBOR, 2.14%   Quarterly   2.70   Semi-Annual   JPMorgan Chase Bank N.A.     11/06/19       2.70     USD     20,000       (17 ) 

2-Year Interest Rate Swap, 11/09/21

   3-Month LIBOR, 2.14%   Quarterly   3.30   Semi-Annual   Deutsche Bank AG     11/07/19       3.30     USD     11,440       —  

10-Year Interest Rate Swap, 11/10/29

   3-Month LIBOR, 2.14%   Quarterly   2.55   Semi-Annual   JPMorgan Chase Bank N.A.     11/08/19       2.55     USD     4,440       (256 ) 

10-Year Interest Rate Swap, 11/15/29

   3-Month LIBOR, 2.14%   Quarterly   2.75   Semi-Annual   Barclays Bank PLC     11/13/19       2.75     USD     14,260       (445 ) 

10-Year Interest Rate Swap, 11/17/29

   3-Month LIBOR, 2.14%   Quarterly   1.41   Semi-Annual   Citibank N.A.     11/15/19       1.41     USD     2,210       (27,540 ) 

10-Year Interest Rate Swap, 11/23/29

   3-Month LIBOR, 2.14%   Quarterly   1.46   Semi-Annual   Goldman Sachs Bank USA     11/21/19       1.46     USD     6,650       (70,675 ) 

10-Year Interest Rate Swap, 11/29/29

   3-Month LIBOR, 2.14%   Quarterly   1.42   Semi-Annual   JPMorgan Chase Bank N.A.     11/27/19       1.42     USD     6,650       (86,352 ) 

10-Year Interest Rate Swap, 12/12/29

   3-Month LIBOR, 2.14%   Quarterly   2.40   Semi-Annual   Barclays Bank PLC     12/10/19       2.40     USD     2,950       (844 ) 

2-Year Interest Rate Swap, 01/04/22

   3-Month LIBOR, 2.14%   Quarterly   2.90   Semi-Annual   JPMorgan Chase Bank N.A.     01/02/20       2.90     USD     10,000       (37 ) 

2-Year Interest Rate Swap, 01/05/22

   3-Month LIBOR, 2.14%   Quarterly   2.80   Semi-Annual   Goldman Sachs Bank USA     01/03/20       2.80     USD     8,790       (52 ) 

2-Year Interest Rate Swap, 01/23/22

   3-Month LIBOR, 2.14%   Quarterly   2.85   Semi-Annual   JPMorgan Chase Bank N.A.     01/21/20       2.85     USD     18,900       (135 ) 

2-Year Interest Rate Swap, 01/25/22

   6-Month EURIBOR,
(0.43)%		   Semi-Annual   0.20   Annual   Barclays Bank PLC     01/23/20       0.20     EUR     10,300       (30 ) 

2-Year Interest Rate Swap, 02/05/22

   3-Month LIBOR, 2.14%   Quarterly   3.15   Semi-Annual   Barclays Bank PLC     02/03/20       3.15     USD     35,510       (95 ) 

2-Year Interest Rate Swap, 02/09/22

   3-Month LIBOR, 2.14%   Quarterly   3.20   Semi-Annual   Deutsche Bank AG     02/07/20       3.20     USD     10,790       (25 ) 

2-Year Interest Rate Swap, 02/16/22

   3-Month LIBOR, 2.14%   Quarterly   3.35   Semi-Annual   Deutsche Bank AG     02/14/20       3.35     USD     10,690       (16 ) 

2-Year Interest Rate Swap, 02/23/22

   3-Month LIBOR, 2.14%   Quarterly   3.35   Semi-Annual   UBS AG     02/21/20       3.35     USD     10,600       (17 ) 

5-Year Interest Rate Swap, 02/26/25

   6-Month EURIBOR,
(0.43)%		   Semi-Annual   (0.38)   Annual   Barclays Bank PLC     02/24/20       (0.38 )    EUR     11,040       (30,336 ) 

2-Year Interest Rate Swap, 02/28/22

   3-Month LIBOR, 2.14%   Quarterly   2.46   Semi-Annual   Citibank N.A.     02/26/20       2.46     USD     23,260       (1,362 ) 

1-Year Interest Rate Swap, 04/08/21

   3-Month LIBOR, 2.14%   Quarterly   2.32   Semi-Annual   Goldman Sachs Bank USA     04/06/20       2.32     USD     46,770       (4,225 ) 

1-Year Interest Rate Swap, 04/08/21

   3-Month LIBOR, 2.14%   Quarterly   2.35   Semi-Annual   Goldman Sachs Bank USA     04/06/20       2.35     USD     46,770       (3,721 ) 

2-Year Interest Rate Swap, 04/16/22

   3-Month LIBOR, 2.14%   Quarterly   2.88   Semi-Annual   Deutsche Bank AG     04/14/20       2.88     USD     16,840       (379 ) 

2-Year Interest Rate Swap, 04/19/22

   3-Month LIBOR, 2.14%   Quarterly   2.94   Semi-Annual   Bank of America N.A.     04/17/20       2.94     USD     16,540       (307 ) 

2-Year Interest Rate Swap, 05/07/22

   3-Month LIBOR, 2.14%   Quarterly   3.15   Semi-Annual   Goldman Sachs Bank USA     05/05/20       3.15     USD     8,800       (106 ) 

15-Year Interest Rate Swap, 05/17/35

   6-Month JPY LIBOR,
(0.05)%		   Semi-Annual   2.10   Semi-Annual   Barclays Bank PLC     05/15/20       2.10     JPY     250,000       (7 ) 

2-Year Interest Rate Swap, 05/20/22

   3-Month LIBOR, 2.14%   Quarterly   3.50   Semi-Annual   JPMorgan Chase Bank N.A.     05/18/20       3.50     USD     10,000       (49 ) 

2-Year Interest Rate Swap, 05/24/22

   3-Month LIBOR, 2.14%   Quarterly   3.55   Semi-Annual   Deutsche Bank AG     05/22/20       3.55     USD     16,000       (71 ) 

 

 

SCHEDULES OF INVESTMENTS      35  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

  

 

   Paid by the Trust   Received by the
Trust		     

 

   Expiration     Exercise     Notional       

 

  
Description   Rate   Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Put

                    

2-Year Interest Rate Swap, 05/31/22

   3-Month LIBOR, 2.14%   Quarterly     2.90 %    Semi-Annual   Deutsche Bank AG     05/29/20       2.90 %    USD     9,270     $ (320 ) 

2-Year Interest Rate Swap, 05/31/22

   3-Month LIBOR, 2.14%   Quarterly     3.35     Semi-Annual   Goldman Sachs Bank USA     05/29/20       3.35     USD     13,040       (116 ) 

2-Year Interest Rate Swap, 06/10/22

   3-Month LIBOR, 2.14%   Quarterly     3.45     Semi-Annual   Goldman Sachs Bank USA     06/08/20       3.45     USD     13,000       (95 ) 

1-Year Interest Rate Swap, 06/12/21

   3-Month LIBOR, 2.14%   Quarterly     1.76     Semi-Annual   Nomura International PLC     06/10/20       1.76     USD     48,320       (38,992 ) 

10-Year Interest Rate Swap, 06/13/30

   3-Month LIBOR, 2.14%   Quarterly     2.20     Semi-Annual   Barclays Bank PLC     06/11/20       2.20     USD     5,250       (17,546 ) 

30-Year Interest Rate Swap, 06/13/50

   3-Month LIBOR, 2.14%   Quarterly     2.85     Semi-Annual   Barclays Bank PLC     06/11/20       2.85     USD     3,950       (10,821 ) 

10-Year Interest Rate Swap, 06/17/30

   3-Month LIBOR, 2.14%   Quarterly     2.30     Semi-Annual   Citibank N.A.     06/15/20       2.30     USD     3,950       (10,482 ) 

2-Year Interest Rate Swap, 06/17/22

   3-Month LIBOR, 2.14%   Quarterly     3.35     Semi-Annual   Goldman Sachs Bank USA     06/15/20       3.35     USD     8,300       (87 ) 

2-Year Interest Rate Swap, 07/01/22

   3-Month LIBOR, 2.14%   Quarterly     3.20     Semi-Annual   Nomura International PLC     06/29/20       3.20     USD     23,185       (425 ) 

10-Year Interest Rate Swap, 07/08/30

   3-Month LIBOR, 2.14%   Quarterly     2.01     Semi-Annual   Morgan Stanley & Co. International PLC     07/06/20       2.01     USD     2,653       (15,952 ) 

10-Year Interest Rate Swap, 07/12/30

   3-Month LIBOR, 2.14%   Quarterly     2.35     Semi-Annual   Nomura International PLC     07/10/20       2.35     USD     2,870       (7,487 ) 

10-Year Interest Rate Swap, 07/12/30

   3-Month LIBOR, 2.14%   Quarterly     2.35     Semi-Annual   Nomura International PLC     07/10/20       2.35     USD     2,870       (7,487 ) 

10-Year Interest Rate Swap, 07/29/30

   3-Month LIBOR, 2.14%   Quarterly     2.30     Semi-Annual   Goldman Sachs Bank USA     07/27/20       2.30     USD     4,040       (12,686 ) 

5-Year Interest Rate Swap, 07/29/25

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.00     Annual   Barclays Bank PLC     07/27/20       0.00     EUR     7,510       (8,717 ) 

10-Year Interest Rate Swap, 08/05/30

   3-Month LIBOR, 2.14%   Quarterly     2.00     Semi-Annual   Barclays Bank PLC     08/03/20       2.00     USD     2,250       (14,974 ) 

1-Year Interest Rate Swap, 08/07/21

   3-Month LIBOR, 2.14%   Quarterly     1.33     Semi-Annual   JPMorgan Chase Bank N.A.     08/05/20       1.33     USD     4,190       (10,065 ) 

10-Year Interest Rate Swap, 08/09/30

   3-Month LIBOR, 2.14%   Quarterly     1.75     Semi-Annual   Bank of America N.A.     08/07/20       1.75     USD     2,040       (24,443 ) 

10-Year Interest Rate Swap, 08/15/30

   3-Month LIBOR, 2.14%   Quarterly     1.61     Semi-Annual   Barclays Bank PLC     08/13/20       1.61     USD     4,390       (72,744 ) 

10-Year Interest Rate Swap, 08/19/30

   3-Month LIBOR, 2.14%   Quarterly     1.42     Semi-Annual   Citibank N.A.     08/17/20       1.42     USD     4,430       (106,473 ) 

10-Year Interest Rate Swap, 08/19/30

   3-Month LIBOR, 2.14%   Quarterly     1.60     Semi-Annual   JPMorgan Chase Bank N.A.     08/17/20       1.60     USD     5,570       (93,785 ) 

10-Year Interest Rate Swap, 08/21/30

   3-Month LIBOR, 2.14%   Quarterly     1.65     Semi-Annual   Bank of America N.A.     08/19/20       1.65     USD     5,560       (84,612 ) 

2-Year Interest Rate Swap, 08/26/22

   3-Month LIBOR, 2.14%   Quarterly     3.50     Semi-Annual   Barclays Bank PLC     08/24/20       3.50     USD     16,370       (190 ) 

2-Year Interest Rate Swap, 12/16/22

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.60     Annual   JPMorgan Chase Bank N.A.     12/14/20       0.60     EUR     17,280       (390 ) 

2-Year Interest Rate Swap, 12/23/22

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.55     Annual   Barclays Bank PLC     12/21/20       0.55     EUR     8,130       (237 ) 

2-Year Interest Rate Swap, 12/23/22

   3-Month LIBOR, 2.14%   Quarterly     3.05     Semi-Annual   Nomura International PLC     12/21/20       3.05     USD     9,510       (966 ) 

2-Year Interest Rate Swap, 12/31/22

   3-Month LIBOR, 2.14%   Quarterly     3.25     Semi-Annual   Citibank N.A.     12/29/20       3.25     USD     14,110       (936 ) 

10-Year Interest Rate Swap, 03/10/31

   3-Month LIBOR, 2.14%   Quarterly     2.79     Semi-Annual   Barclays Bank PLC     03/08/21       2.79     USD     5,266       (14,395 ) 

2-Year Interest Rate Swap, 03/10/23

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.30     Annual   JPMorgan Chase Bank N.A.     03/08/21       0.30     EUR     12,880       (1,716 ) 

2-Year Interest Rate Swap, 03/31/23

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.10     Annual   Barclays Bank PLC     03/29/21       0.10     EUR     18,360       (5,614 ) 

2-Year Interest Rate Swap, 04/10/23

   6-Month EURIBOR,
(0.43)%		   Semi-Annual     0.12     Annual   Barclays Bank PLC     04/08/21       0.12     EUR     28,360       (8,497 ) 

 

 

36    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

  

 

   Paid by the Trust   Received by the
Trust		     

 

   Expiration     Exercise     Notional       

 

  
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Put

                    

2-Year Interest Rate Swap, 04/14/23

     6-Month EURIBOR, (0.43) %     Semi-Annual     0.10 %     Annual   Citibank N.A.     04/12/21       0.10 %       EUR       14,250     $ (4,667 ) 

2-Year Interest Rate Swap, 04/14/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.16     Annual   Goldman Sachs Bank USA     04/12/21       0.16       EUR       14,250       (3,781 ) 

10-Year Interest Rate Swap, 04/21/31

     6-Month EURIBOR, (0.43)%     Semi-Annual     2.15     Annual   JPMorgan Chase Bank N.A.     04/19/21       2.15       EUR       4,400       (1,029 ) 

2-Year Interest Rate Swap, 04/21/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.15     Annual   Morgan Stanley & Co. International PLC     04/19/21       0.15       EUR       14,050       (3,997 ) 

10-Year Interest Rate Swap, 05/06/31

     6-Month EURIBOR, (0.43)%     Semi-Annual     2.00     Annual   Barclays Bank PLC     05/04/21       2.00       EUR       2,700       (917 ) 

1-Year Interest Rate Swap, 05/19/22

     3-Month LIBOR, 2.14%     Quarterly     2.35     Semi-Annual   Citibank N.A.     05/17/21       2.35       USD       45,470       (17,721 ) 

2-Year Interest Rate Swap, 05/19/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.11     Annual   Barclays Bank PLC     05/17/21       0.11       EUR       9,299       (3,463 ) 

1-Year Interest Rate Swap, 05/29/22

     3-Month LIBOR, 2.14%     Quarterly     2.15     Semi-Annual   Barclays Bank PLC     05/27/21       2.15       USD       62,210       (37,984 ) 

2-Year Interest Rate Swap, 06/02/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.08     Annual   Morgan Stanley & Co. International PLC     05/31/21       0.08       EUR       6,270       (2,745 ) 

1-Year Interest Rate Swap, 06/03/22

     3-Month LIBOR, 2.14%     Quarterly     2.40     Semi-Annual   Morgan Stanley & Co. International PLC     06/01/21       2.40       USD       77,400       (28,166 ) 

10-Year Interest Rate Swap, 06/09/31

     3-Month LIBOR, 2.14%     Semi-Annual     3.87     Quarterly   Barclays Bank PLC     06/07/21       3.87       USD       8,000       (4,567 ) 

2-Year Interest Rate Swap, 06/12/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.05     Annual   Barclays Bank PLC     06/10/21       0.05       EUR       9,800       (4,947 ) 

2-Year Interest Rate Swap, 06/16/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Barclays Bank PLC     06/14/21       0.00       EUR       4,310       (2,605 ) 

2-Year Interest Rate Swap, 06/16/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Bank of America N.A.     06/14/21       0.00       EUR       4,430       (2,678 ) 

2-Year Interest Rate Swap, 06/20/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Goldman Sachs Bank USA     06/18/21       0.00       EUR       4,460       (2,741 ) 

2-Year Interest Rate Swap, 06/23/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Citibank N.A.     06/21/21       0.00       EUR       5,200       (3,228 ) 

2-Year Interest Rate Swap, 06/27/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Nomura International PLC     06/25/21       0.00       EUR       4,880       (3,079 ) 

2-Year Interest Rate Swap, 07/03/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Barclays Bank PLC     07/01/21       0.00       EUR       5,230       (3,375 ) 

2-Year Interest Rate Swap, 07/04/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     (0.05)     Annual   Barclays Bank PLC     07/02/21       (0.05 )      EUR       5,120       (3,901 ) 

2-Year Interest Rate Swap, 07/21/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     0.00     Annual   Barclays Bank PLC     07/19/21       0.00       EUR       5,270       (3,629 ) 

2-Year Interest Rate Swap, 08/11/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     (0.15)     Annual   Barclays Bank PLC     08/09/21       (0.15 )      EUR       12,480       (14,761 ) 

2-Year Interest Rate Swap, 08/11/23

     6-Month EURIBOR, (0.43)%     Semi-Annual     (0.15)     Annual   Barclays Bank PLC     08/09/21       (0.15 )      EUR       6,990       (8,268 ) 

5-Year Interest Rate Swap, 05/05/27

     3-Month LIBOR, 2.14%     Semi-Annual     3.25     Quarterly   Goldman Sachs Bank USA     05/03/22       3.25       USD       10,130       (15,724 ) 

10-Year Interest Rate Swap, 05/11/32

     3-Month LIBOR, 2.14%     Quarterly     2.75     Semi-Annual   Nomura International PLC     05/09/22       2.75       USD       10,350       (81,626 ) 

10-Year Interest Rate Swap, 08/04/32

     3-Month LIBOR, 2.14%     Quarterly     2.75     Semi-Annual   JPMorgan Chase Bank N.A.     08/02/22       2.75       USD       4,160       (37,377 ) 

10-Year Interest Rate Swap, 08/04/32

     3-Month LIBOR, 2.14%     Quarterly     3.25     Semi-Annual   JPMorgan Chase Bank N.A.     08/02/22       3.25       USD       4,160       (19,504 ) 

10-Year Interest Rate Swap, 08/10/32

     3-Month LIBOR, 2.14%     Quarterly     2.75     Semi-Annual   Barclays Bank PLC     08/08/22       2.75       USD       4,270       (38,694 ) 

10-Year Interest Rate Swap, 08/10/32

     3-Month LIBOR, 2.14%     Quarterly     3.25     Semi-Annual   Barclays Bank PLC     08/08/22       3.25       USD       4,270       (20,238 ) 

10-Year Interest Rate Swap, 06/15/34

     3-Month LIBOR, 2.14%     Quarterly     3.00     Semi-Annual   Morgan Stanley & Co. International PLC     06/13/24       3.00       USD       3,950       (53,066 ) 

10-Year Interest Rate Swap, 06/15/34

     3-Month LIBOR, 2.14%     Quarterly     3.50     Semi-Annual   Morgan Stanley & Co. International PLC     06/13/24       3.50       USD       3,950       (32,516 ) 

10-Year Interest Rate Swap, 06/22/34

     3-Month LIBOR, 2.14%     Quarterly     3.00     Semi-Annual   Morgan Stanley & Co. International PLC     06/20/24       3.00       USD       3,950       (53,343 ) 

10-Year Interest Rate Swap, 06/22/34

     3-Month LIBOR, 2.14%     Quarterly     3.50     Semi-Annual   Morgan Stanley & Co. International PLC     06/20/24       3.50       USD       3,950       (32,720 ) 

10-Year Interest Rate Swap, 08/22/34

     3-Month LIBOR, 2.14%     Quarterly     2.25     Semi-Annual   Morgan Stanley & Co. International PLC     08/20/24       2.25       USD       4,410       (126,813 ) 

10-Year Interest Rate Swap, 03/14/39

     3-Month LIBOR, 2.14%     Quarterly     3.05     Semi-Annual   Barclays Bank PLC     03/12/29       3.05       USD       2,840       (75,851 ) 
                   

 

 

  
                      (1,548,119 ) 
                   

 

 

  
                    $ (7,962,077 ) 
                   

 

 

  

 

 

SCHEDULES OF INVESTMENTS      37  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust		      Payment
Frequency		      Termination
Date		      Notional
Amount (000)		      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

CDX.NA.IG.32.V1

      1.00 %       Quarterly        06/20/24        USD        90,700      $ (2,106,175 )     $ (1,740,916 )     $ (365,259 ) 

CDX.NA.HY.32.V1

      5.00        Quarterly        06/20/24        USD        3,762        (291,452 )       (265,114 )       (26,338 ) 
                 

 

 

     

 

 

     

 

 

  
                  $ (2,397,627 )     $ (2,006,030 )     $ (391,597 ) 
  

 

 

     

 

 

     

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust		      Payment
Frequency		      Termination
Date		      Credit
Rating (a)		    Notional
Amount (000) (b)		      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

iTraxx.XO.31.V1

      5.00 %       Quarterly        06/20/24      B      EUR        50      $ 6,645      $ 5,486      $ 1,159  
                    

 

 

     

 

 

     

 

 

  

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

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

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust  

Received by the Trust

   Effective
Date		     Termination
Date		     Notional
Amount (000)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Rate   Frequency
6-Month LIBOR, 2.04%   Quarterly   1.53%   Semi-Annual     11/22/19       11/22/20     USD     11,880     $ (7,745 )    $ 127     $ (7,872 ) 
1.77   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     06/15/20       06/15/21     USD     45,350       (209,817 )      484       (210,301 ) 
3-Month LIBOR, 2.14%   Quarterly   1.85   Semi-Annual     06/20/19       06/20/21     USD     6,130       23,839       64       23,775  
1.72   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     07/07/20       07/07/21     USD     6,350       (27,205 )      68       (27,273 ) 
1.70   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     07/07/20       07/07/21     USD     6,350       (26,304 )      68       (26,372 ) 
2.15   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     07/10/19       07/10/21     USD     4,060       (42,699 )      44       (42,743 ) 
6-Month LIBOR, 2.04%   Quarterly   1.72   Semi-Annual     07/14/20       07/14/21     USD     37,430       162,965       400       162,565  
3-Month LIBOR, 2.14%   Quarterly   1.88   Semi-Annual     08/01/19       08/01/21     USD     6,000       35,831       67       35,764  
6-Month LIBOR, 2.04%   Quarterly   1.53   Semi-Annual     08/04/20       08/04/21     USD     7,860       20,834       84       20,750  
3-Month LIBOR, 2.14%   Quarterly   1.61   Semi-Annual     08/07/19       08/07/21     USD     6,340       6,150       72       6,078  
6-Month LIBOR, 2.04%   Quarterly   1.33   Semi-Annual     08/07/20       08/07/21     USD     6,390       4,494       68       4,426  
3-Month LIBOR, 2.14%   Quarterly   1.53   Semi-Annual     08/09/19       08/09/21     USD     1,635       (949 )      19       (968 ) 
3-Month LIBOR, 2.14%   Quarterly   1.53   Semi-Annual     08/09/19       08/09/21     USD     1,635       (836 )      19       (855 ) 
6-Month LIBOR, 2.04%   Quarterly   1.30   Semi-Annual     08/18/20       08/18/21     USD     6,560       3,036       70       2,966  
6-Month LIBOR, 2.04%   Quarterly   1.34   Semi-Annual     08/18/20       08/18/21     USD     9,650       8,760       103       8,657  
2.58   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/29/19       08/29/21     USD     180       (3,779 )      2       (3,781 ) 
2.25   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/29/19       08/29/21     USD     4,973       (71,803 )      58       (71,861 ) 
6-Month LIBOR, 2.04%   Quarterly   1.22   Semi-Annual     09/02/20       09/02/21     USD     6,680       (1,163 )      71       (1,234 ) 
6-Month LIBOR, 2.04%   Quarterly   1.23   Semi-Annual     09/02/20       09/02/21     USD     6,680       (673 )      71       (744 ) 
6-Month LIBOR, 2.04%   Quarterly   1.21   Semi-Annual     09/02/20       09/02/21     USD     3,340       (1,087 )      36       (1,123 ) 
1.10   Annual   6-Month LIBOR, 2.04%   Annual     01/06/20       09/15/21     USD     41,900       30       (4,813 )      4,843  
6-Month LIBOR, 2.04%   Quarterly   2.31   Semi-Annual     11/04/19       11/04/21     USD     1,550       27,030       18       27,012  
6-Month LIBOR, 2.04%   Quarterly   1.59   Semi-Annual     12/24/19       12/24/21     USD     1,950       8,276       23       8,253  
6-Month LIBOR, 2.04%   Quarterly   2.53   Semi-Annual     01/06/20       01/06/22     USD     9,195       211,425       107       211,318  
6-Month LIBOR, 2.04%   Quarterly   2.34   Semi-Annual     01/07/20       01/07/22     USD     14,500       281,006       169       280,837  
6-Month LIBOR, 2.04%   Quarterly   1.76   Semi-Annual     01/10/20       01/10/22     USD     3,140       25,359       37       25,322  
6-Month LIBOR, 2.04%   Quarterly   2.51   Semi-Annual     02/11/20       02/11/22     USD     1,855       43,277       22       43,255  
6-Month LIBOR, 2.04%   Quarterly   2.48   Semi-Annual     02/11/20       02/11/22     USD     1,855       42,369       22       42,347  
2.56   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     02/14/20       02/14/22     USD     640       (15,613 )      7       (15,620 ) 
6-Month LIBOR, 2.04%   Quarterly   2.03   Semi-Annual     03/30/20       03/30/22     USD     10,454       155,916       122       155,794  
6-Month LIBOR, 2.04%   Quarterly   2.25   Semi-Annual     04/27/20       04/27/22     USD     21,850       425,915       256       425,659  
6-Month LIBOR, 2.04%   Quarterly   2.01   Semi-Annual     05/17/21       05/17/22     USD     756       6,245       2,243       4,002  
1.87   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     06/03/21       06/03/22     USD     3,450       (23,944 )      37       (23,981 ) 
6-Month LIBOR, 2.04%   Quarterly   1.74   Semi-Annual     06/16/20       06/16/22     USD     7,810       78,894       91       78,803  
6-Month LIBOR, 2.04%   Quarterly   1.71   Semi-Annual     07/13/21       07/13/22     USD     39,790       215,711       425       215,286  
1.77   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     07/12/22       07/12/23     USD     40,440       (230,735 )      432       (231,167 ) 
(0.30)   Annual   6-Month EURIBOR, (0.43)%   Semi-Annual     07/26/21       07/25/23     EUR     12,900       (74,027 )      202       (74,229 ) 
(0.29)   Annual   6-Month EURIBOR, (0.43)%   Semi-Annual     07/26/21       07/26/23     EUR     14,350       (85,935 )      226       (86,161 ) 

 

 

38    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust  

Received by the Trust

   Effective     Termination     Notional
       

 

     Upfront
Premium
Paid		     Unrealized
Appreciation		  
Rate   Frequency   Rate   Frequency   Date     Date     Amount (000)     Value     (Received)     (Depreciation)  
6-Month EURIBOR, (0.43)%   Semi-Annual   (0.45)%   Annual     08/11/21       08/11/23     EUR     1,730     $ 3,830     $ 27     $ 3,803  
6-Month EURIBOR, (0.43)%   Semi-Annual   (0.58)   Annual     08/17/21       08/17/23     EUR     1,760       (1,025 )      28       (1,053 ) 
1.79   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     06/20/19       06/20/24     USD     2,510       (50,265 )      31       (50,296 ) 
1.80   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     10/10/19       10/10/24     USD     1,280       (30,905 )      17       (30,922 ) 
2.95   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/05/19       12/05/24     USD     1,429       (115,653 )      19       (115,672 ) 
2.86   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/13/19       12/13/24     USD     4,520       (345,005 )      60       (345,065 ) 
1.87   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/16/19       12/16/24     USD     3,180       (91,837 )      41       (91,878 ) 
2.57   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     01/06/20       01/06/25     USD     3,810       (238,233 )      49       (238,282 ) 
2.56   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     01/06/20       01/06/25     USD     3,810       (237,589 )      49       (237,638 ) 
2.16   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     03/31/20       03/31/25     USD     780       (34,453 )      10       (34,463 ) 
2.35   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     04/27/20       04/27/25     USD     5,870       (313,856 )      77       (313,933 ) 
1.32   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/31/19       07/31/26     USD     2,800       (4,830 )      613       (5,443 ) 
6-Month JPY LIBOR,
(0.05)%		   Semi-Annual   0.37   Semi-Annual     01/29/18       01/29/28     JPY     181,730       75,039       24       75,015  
6-Month JPY LIBOR,
(0.05)%		   Semi-Annual   0.36   Semi-Annual     07/31/18       07/31/28     JPY     113,000       48,157       16       48,141  
0.19   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     01/04/19       01/04/29     JPY     100,000       (28,698 )      15       (28,713 ) 
1.37   Annual   6-Month EURIBOR, (0.43)%   Semi-Annual     02/20/19       02/20/29     EUR     1,970       (373,395 )      42       (373,437 ) 
1.38%   Annual   6-Month EURIBOR, (0.43)%   Semi-Annual     02/22/19       02/22/29     EUR     590       (112,473 )      13       (112,486 ) 
6-Month EURIBOR, (0.43)%   Semi-Annual   0.56   Annual     03/12/19       03/12/29     EUR     1,640       160,383       30       160,353  
1.40   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/31/19       05/15/29     USD     4,570       (17,553 )      1,276       (18,829 ) 
3-Month LIBOR, 2.14%   Quarterly   1.99   Semi-Annual     07/05/19       07/05/29     USD     805       44,480       12       44,468  
3-Month LIBOR, 2.14%   Quarterly   1.92   Semi-Annual     07/05/19       07/05/29     USD     1,380       66,393       21       66,372  
6-Month EURIBOR, (0.43)%   Semi-Annual   0.06   Annual     07/26/19       07/26/29     EUR     930       36,053       18       36,035  
3-Month LIBOR, 2.14%   Quarterly   1.98   Semi-Annual     07/30/19       07/30/29     USD     1,320       72,592       20       72,572  
3-Month LIBOR, 2.14%   Quarterly   1.82   Semi-Annual     08/05/19       08/05/29     USD     1,350       53,582       21       53,561  
3-Month LIBOR, 2.14%   Quarterly   1.78   Semi-Annual     08/06/19       08/06/29     USD     1,730       62,040       27       62,013  
3-Month LIBOR, 2.14%   Quarterly   1.65   Semi-Annual     08/08/19       08/08/29     USD     1,740       40,981       27       40,954  
3-Month LIBOR, 2.14%   Quarterly   1.52   Semi-Annual     08/09/19       08/09/29     USD     710       8,380       11       8,369  
3-Month LIBOR, 2.14%   Quarterly   1.53   Semi-Annual     08/09/19       08/09/29     USD     355       4,391       5       4,386  
1.55   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/09/19       08/09/29     USD     760       (10,515 )      12       (10,527 ) 
1.56   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/28/19       08/28/29     USD     430       (6,707 )      7       (6,714 ) 
3-Month LIBOR, 2.14%   Quarterly   1.42   Semi-Annual     08/28/19       08/28/29     USD     1,890       4,473       29       4,444  
3-Month LIBOR, 2.14%   Quarterly   1.42   Semi-Annual     08/28/19       08/28/29     USD     860       2,279       13       2,266  
6-Month LIBOR, 2.04%   Quarterly   1.40   Semi-Annual     09/03/19       09/03/29     USD     1,300       709       20       689  
6-Month LIBOR, 2.04%   Quarterly   2.45   Semi-Annual     05/18/21       05/18/31     USD     860       83,514       13       83,501  
6-Month LIBOR, 2.04%   Quarterly   2.10   Semi-Annual     06/22/21       06/22/31     USD     430       27,816       7       27,809  
0.52   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     11/30/21       11/30/31     JPY     95,000       (52,918 )      16       (52,934 ) 
0.36   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     02/04/19       02/04/34     JPY     30,720       (16,454 )      5       (16,459 ) 
0.34   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     02/08/19       02/08/34     JPY     50,250       (25,588 )      9       (25,597 ) 
0.34   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     03/14/19       03/14/34     JPY     24,760       (12,944 )      4       (12,948 ) 
2.33   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     06/24/24       06/24/34     USD     310       (21,551 )      5       (21,556 ) 
1.65   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     08/22/24       08/22/34     USD     1,355       (11,320 )      21       (11,341 ) 
6-Month LIBOR, 2.04%   Quarterly   3.18   Semi-Annual     05/09/28       05/09/38     USD     1,590       203,880       24       203,856  
3.08   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     06/29/28       06/29/38     USD     230       (27,472 )      3       (27,475 ) 
0.66   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     12/06/18       12/06/38     JPY     40,000       (46,757 )      8       (46,765 ) 
0.62%   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     12/14/18       12/14/38     JPY     25,000       (27,337 )      5       (27,342 ) 
0.41   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     04/03/19       04/03/39     JPY     26,190       (18,863 )      5       (18,868 ) 
2.82   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     04/04/29       04/04/39     USD     3,000       (287,315 )      46       (287,361 ) 
0.33   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     06/10/19       06/10/39     JPY     27,540       (15,510 )      6       (15,516 ) 
0.30   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     06/17/19       06/17/39     JPY     25,860       (12,874 )      6       (12,880 ) 
0.17   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     08/08/19       08/08/39     JPY     22,870       (5,722 )      5       (5,727 ) 
0.72   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     03/21/24       03/21/44     JPY     19,000       (18,555 )      4       (18,559 ) 
0.20   Semi-Annual   6-Month JPY LIBOR, (0.05)%   Semi-Annual     08/28/24       08/28/44     JPY     12,720       (1,581 )      3       (1,584 ) 
6-Month LIBOR, 2.04%   Quarterly   1.63   Semi-Annual     12/31/19       05/15/45     USD     960       18,025       708       17,317  
3.02   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     12/08/38       12/08/48     USD     400       (40,078 )      6       (40,084 ) 
2.38   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     07/05/39       07/05/49     USD     620       (33,347 )      10       (33,357 ) 
1.89   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/08/19       08/08/49     USD     670       (56,602 )      15       (56,617 ) 
1.86   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/12/19       08/12/49     USD     705       (53,368 )      16       (53,384 ) 
3-Month LIBOR, 2.14%   Quarterly   1.73   Semi-Annual     08/15/19       08/15/49     USD     600       25,545       13       25,532  
1.78   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     08/16/39       08/16/49     USD     500       (5,588 )      8       (5,596 ) 

 

 

SCHEDULES OF INVESTMENTS      39  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust  

Received by the Trust

   Effective
Date		     Termination
Date		     Notional
Amount (000)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Rate   Frequency
1.71 %   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     08/16/39       08/16/49     USD     600     $ (3,478 )    $ 9     $ (3,487 ) 
1.64   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/16/19       08/16/49     USD     170       (3,507 )      4       (3,511 ) 
1.63   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/16/19       08/16/49     USD     570       (11,335 )      57       (11,392 ) 
1.67   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     08/17/39       08/17/49     USD     460       (1,266 )      7       (1,273 ) 
1.54   Semi-Annual   3-Month LIBOR, 2.14%   Quarterly     08/30/19       08/30/49     USD     170       534       4       530  
1.57   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     09/03/19       09/03/49     USD     500       (2,354 )      11       (2,365 ) 
6-Month LIBOR, 2.04%   Quarterly   1.86   Semi-Annual     11/07/19       11/07/49     USD     370       28,974       8       28,966  
2.37   Semi-Annual   6-Month LIBOR, 2.04%   Quarterly     06/15/20       06/15/50     USD     1,580       (322,470 )      35       (322,505 ) 
               

 

 

    

 

 

    

 

 

  
                $ (1,114,048 )    $ 5,407     $ (1,119,455 ) 
               

 

 

    

 

 

    

 

 

  

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust		     Payment
Frequency		     Counterparty   Termination
Date		     Notional
Amount
(000)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

UPC Holding BV

      5.00 %      Quarterly     JPMorgan Chase Bank N.A.     06/20/24       EUR       20     $ (4,869 )    $ (4,551 )    $ (318 ) 

UPC Holding BV

      5.00       Quarterly     BNP Paribas S.A.     06/20/24       EUR       2       (503 )      (496 )      (7 ) 

UPC Holding BV

      5.00       Quarterly     Bank of America N.A.     06/20/24       EUR       10       (2,434 )      (2,375 )      (59 ) 
              

 

 

    

 

 

    

 

 

  
               $ (7,806 )    $ (7,422 )    $ (384 ) 
              

 

 

    

 

 

    

 

 

  

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Trust		     Payment
Frequency		     Counterparty     Termination
Date		     Credit
Rating (a)		  

Notional
Amount
(000) (b)

     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Casino Guichard Perrachon SA

     1.00 %      Quarterly       Barclays Bank PLC       12/20/23     B     EUR       30     $ (7,350 )    $ (4,158 )    $ (3,192 ) 

Chesapeake Energy Corp.

     5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       48       (9,604 )      80       (9,684 ) 

Chesapeake Energy Corp.

     5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       208       (41,619 )      1,745       (43,364 ) 

Garfunkelux Holdco 2 SA

     5.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/23     B-     EUR       3       (63 )      (16 )      (47 ) 

Garfunkelux Holdco 2 SA

     5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       4       (93 )      63       (156 ) 

Garfunkelux Holdco 2 SA

     5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       16       (401 )      272       (673 ) 

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/24     BB+     EUR       3       (83 )      (86 )      3  

Telecom Italia SpA

     1.00       Quarterly       Bank of America N.A.       06/20/24     BB+     EUR       2       (81 )      (84 )      3  

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/24     BB+     EUR       3       (83 )      (88 )      5  

Telecom Italia SpA

     1.00       Quarterly       Morgan Stanley & Co. International PLC       06/20/24     BB+     EUR       2       (80 )      (87 )      7  

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/26     BB+     EUR       5       (459 )      (741 )      282  

Tesco PLC

     1.00       Quarterly       Morgan Stanley & Co. International PLC       12/20/28     B     EUR       30       (2,122 )      (2,853 )      731  

CMBX.NA.8

     3.00       Monthly       Barclays Bank PLC       10/17/57     BB+     USD       5,000       (254,802 )      (506,217 )      251,415  

CMBX.NA.8

     3.00       Monthly       Credit Suisse International       10/17/57     N/R     USD       2,500       (127,401 )      (250,179 )      122,778  

CMBX.NA.8

     3.00       Monthly       Morgan Stanley & Co. International PLC       10/17/57     N/R     USD       5,550       (284,680 )      (738,377 )      453,697  

CMBX.NA.9

     3.00       Monthly       Morgan Stanley & Co. International PLC       09/17/58     N/R     USD       9,450       (323,028 )      (1,163,001 )      839,973  

CMBX.NA.9

     3.00       Monthly       Credit Suisse International       09/17/58     N/R     USD       5,000       (170,914 )      (541,682 )      370,768  

CMBX.NA.9

     3.00       Monthly       Credit Suisse International       09/17/58     N/R     USD       5,000       (170,914 )      (541,682 )      370,768  

CMBX.NA.9

     3.00       Monthly       Credit Suisse International       09/17/58     N/R     USD       5,000       (170,913 )      (535,765 )      364,852  

CMBX.NA.9

     3.00       Monthly       Credit Suisse International       09/17/58     N/R     USD       5,000       (170,914 )      (541,631 )      370,717  
               

 

 

    

 

 

    

 

 

  
                $ (1,735,604 )    $ (4,824,487 )    $ 3,088,883  
               

 

 

    

 

 

    

 

 

  

 

  (a) 

Using Standard & Poor’s (“S&P”) rating of the issuer or the underlying securities of the index, as applicable.

 
  (b) 

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

 

 

 

40    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

      Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		      Value  

Centrally Cleared Swaps(a)

    $ 15,706      $ (2,010,843 )     $ 2,859,823      $ (4,369,716 )     $ —  

OTC Swaps

      2,160        (4,834,069 )       3,145,999        (57,500 )       —  

Options Written

      —        —       
 4,759,499
  
      (4,805,444 )       (8,654,296 ) 

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized appreciation on futures contracts(a)

    $ —      $ —      $ —      $ —        732,261      $ —      $ 732,261  

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

      —        —        —        707,978        —        —        707,978  

Options purchased(b)

                     

Investments at value — unaffiliated(c)

      —        —        —        —        8,630,824        —        8,630,824  

Swaps — centrally cleared

                     

Unrealized appreciation on centrally cleared swaps(a)

      —        1,159        —        —        2,858,664        —        2,859,823  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        3,148,159        —        —        —        —        3,148,159  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 3,149,318      $ —      $ 707,978      $ 12,221,749      $ —      $ 16,079,045  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

    $ —      $ —      $ 507      $ —      $ 108,680      $ —      $ 109,187  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        505,758        —        —        505,758  

Options written

                     

Options written at value

      —        —        —        —        8,654,296        —        8,654,296  

Swaps — centrally cleared

                     

Unrealized depreciation on centrally cleared swaps(a)

      —        391,597        —        —        3,978,119        —        4,369,716  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        4,891,569        —        —        —        —        4,891,569  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 5,283,166      $ 507      $ 505,758      $ 12,741,095      $ —      $ 18,530,526  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 
  (b) 

Includes options purchased at value as reported in the Schedule of Investments.

 
  (c) 

Includes forward settling swaptions.

 

 

 

SCHEDULES OF INVESTMENTS      41  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

For the year ended August 31, 2019, the effect of derivative financial instruments in the Statements of Operations were as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ (1,381 )     $ —      $ 7,730,781      $ —      $ 7,729,400  

Forward foreign currency exchange contracts

      —        —        —        1,730,292        —        —        1,730,292  

Options purchased(a)

      —        —        —        —        1,315,481        —        1,315,481  

Options written

      —        —        —        —        (2,009,180 )       —        (2,009,180 ) 

Swaps

      —        965,913        —        —        3,200,740        1,905        4,168,558  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 965,913      $ (1,381 )     $ 1,730,292      $ 10,237,822      $ 1,905      $ 12,934,551  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

    $ —      $ —      $ (58 )     $ —      $ 799,678      $ —      $ 799,620  

Forward foreign currency exchange contracts

      —        —        —        (98,874 )       —        —        (98,874 ) 

Options purchased(b)

      —        —        —        —        3,363,504        —        3,363,504  

Options written

      —        —        —        —        159,851        —        159,851  

Swaps

      —        1,279,349        —        —        (2,160,585 )       —        (881,236 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 1,279,349      $ (58 )     $ (98,874 )     $ 2,162,448      $ —      $ 3,342,865  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 
  (b) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

    $ 169,036,950  

Average notional value of contracts — short

    $ 178,262,590  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

    $ 38,255,078  

Average amounts sold — in USD

    $ 21,374,710  

Options:

 

Average value of option contracts purchased

    $ 394,067  

Average value of option contracts written

    $ 306,037  

Average notional value of swaption contracts purchased

    $ 340,565,206  

Average notional value of swaption contracts written

    $ 1,464,993,343  

Credit default swaps:

 

Average notional value — buy protection

    $ 51,847,810  

Average notional value — sell protection

    $ 45,094,676  

Interest rate swaps:

 

Average notional value — pays fixed rate

    $ 391,924,723  

Average notional value — receives fixed rate

    $ 368,470,825  

Inflation swaps:

 

Average notional value — receives fixed rate

    $ — (a) 

 

  (a) 

Derivative not held at quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Swaps — Centrally cleared

    $ —      $ 2,777  

Futures contracts

      271,323        162,844  

Forward foreign currency exchange contracts

      707,978        505,758  

Options(a)

      8,630,824 (b)       8,654,296  

Swaps — OTC(c)

      3,148,159        4,891,569  
  

 

 

     

 

 

  

Total derivative assets and liabilities in the Statements of Assets and Liabilities

    $ 12,758,284      $ 14,217,244  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

      (894,561 )       (659,471 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 11,863,723      $ 13,557,773  
  

 

 

     

 

 

  

 

  (a) 

Includes forward settling swaptions.

 
  (b) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 
  (c) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

 

 

42    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Received		        Cash
Collateral
Received (b)		        Net Amount
of Derivative
Asset  (c)(d)		  

Bank of America N.A.

    $ 283,455        $ (283,455 )       $ —        $ —        $ —  

Barclays Bank PLC

      2,670,597          (2,670,597 )         —          —          —  

BNP Paribas S.A.

      72,484          (503 )         —          —          71,981  

Citibank N.A.

      1,102,306          (873,619 )         —          —          228,687  

Credit Suisse International

      1,601,322          (1,601,322 )         —          —          —  

Deutsche Bank AG

      275,514          (275,514 )         —          —          —  

Goldman Sachs Bank USA

      444,120          (238,459 )         —          —          205,661  

HSBC Bank PLC

      5,966          —          —          —          5,966  

JPMorgan Chase Bank N.A.

      1,053,052          (1,012,256 )         —          (40,796 )         —  

Morgan Stanley & Co. International PLC

      3,342,262          (2,668,102 )         —          (420,000 )         254,160  

Nomura International PLC

      440,640          (440,640 )         —          —          —  

Standard Chartered Bank

      10,569          (10,569 )         —          —          —  

State Street Bank and Trust Co.

      221,650          (3,161 )         —          —          218,489  

UBS AG

      339,786          (218,514 )         —          —          121,272  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 11,863,723        $ (10,296,711 )       $ —        $ (460,796 )       $ 1,106,216  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
                      
Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Pledged (e) 		       Cash
Collateral
Pledged (e)		        Net Amount
of Derivative
Liabilities  (d)(f)		  

Bank of America N.A.

    $ 1,011,616        $ (283,455 )       $ —        $ (640,000 )       $ 88,161  

Barclays Bank PLC

      3,109,224          (2,670,597 )         —          (108,000 )         330,627  

BNP Paribas S.A.

      503          (503 )         —          —          —  

Citibank N.A.

      873,619          (873,619 )         —          —          —  

Credit Suisse International

      2,411,768          (1,601,322 )         —          (810,446 )         —  

Deutsche Bank AG

      1,232,515          (275,514 )         (793,793 )         —          163,208  

Goldman Sachs Bank USA

      238,459          (238,459 )         —          —          —  

JPMorgan Chase Bank N.A.

      1,012,256          (1,012,256 )         —          —          —  

Morgan Stanley & Co. International PLC

      2,668,102          (2,668,102 )         —          —          —  

Nomura International PLC

      714,032          (440,640 )         —          —          273,392  

Standard Chartered Bank

      64,004          (10,569 )         —          —          53,435  

State Street Bank and Trust Co.

      3,161          (3,161 )         —          —          —  

UBS AG

      218,514          (218,514 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 13,557,773        $ (10,296,711 )       $ (793,793 )       $ (1,558,446 )       $ 908,823  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

 
  (b) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (c) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (d) 

Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

 
  (e) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (f) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

SCHEDULES OF INVESTMENTS      43  

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $ —        $ 47,288,078        $ 3,916,040        $ 51,204,118  

Corporate Bonds

     —          514,190,789          8,958,424          523,149,213  

Floating Rate Loan Interests

     —          13,402,315          617,363          14,019,678  

Foreign Agency Obligations

      —          19,741,484          —          19,741,484  

Municipal Bonds

      —          26,937,777          —          26,937,777  

Non-Agency Mortgage-Backed Securities

      —          37,358,284          —          37,358,284  

Preferred Securities(a)

      7,628,877          81,534,129               89,163,006  

U.S. Government Sponsored Agency Securities

     —          142,690,256          —          142,690,256  

U.S. Treasury Obligations

      —          194,637,834          —          194,637,834  

Options Purchased

                  

Interest Rate Contracts(a)

      623,237          8,007,587          —          8,630,824  

Short-Term Securities

                 

Foreign Agency Obligations

      —          259,136          —          259,136  

Money Market Funds

      17,476,265          —          —          17,476,265  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 25,728,379        $ 1,086,047,669        $ 13,491,827        $ 1,125,267,875  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments (b)

 

Assets:

 

Credit contracts

   $ —        $ 3,147,158        $             —        $ 3,147,158  

Forward foreign currency contracts

     —          707,978          —          707,978  

Interest rate contracts

     732,261          2,858,664          —          3,590,925  

Liabilities:

 

Credit contracts

     —          (449,097 )         —          (449,097 ) 

Equity contracts

      (507 )         —          —          (507 ) 

Forward foreign currency contracts

     —          (505,758 )         —          (505,758 ) 

Interest rate contracts

     (602,530 )         (12,138,565 )         —          (12,741,095 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 129,224        $ (6,379,620 )       $ —        $ (6,250,396 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) and options written are shown at value.

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statements purposes. As of period end, reverse repurchase agreements of $273,620,756 are categorized as level 2 within the disclosure hierarchy.

A reconciliation of Level 3 investments is presented when the Trust’s had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Asset-Backed
Securities		     

Corporate

Bonds

      Floating Rate
Loan Interests		      U.S. Government
Sponsored Agency
Securities		      Total  

Assets:

               

Opening balance, as of August 31, 2018

    $ 248,806      $ 8,366,900      $ 1,241,580      $ 1      $ 9,857,287  

Transfers into Level 3

      3,794,679        —        —        —        3,794,679  

Transfers out of Level 3

      —        —        (342,718 )       —        (342,718 ) 

Accrued discounts/premiums

      (147,050 )       —        1,101        —        (145,949 ) 

Net realized gain (loss)

      (88,825 )       —        125        —        (88,700 ) 

Net change in unrealized

appreciation (depreciation)(a)(b)

      168,654        697,126        (40,153 )       (1 )       825,626  

Purchases

      —        —        177,360        —        177,360  

Sales

      (60,224 )       (105,602 )       (419,932 )       —        (585,758 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing balance, as of August 31, 2019

    $ 3,916,040      $ 8,958,424      $ 617,363      $ —      $ 13,491,827  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019(b)

    $ 168,654      $ 697,126      $ (38,285 )     $ —      $ 827,495  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

 

44    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Core Bond Trust (BHK)

 

Fair Value Hierarchy as of Period End (continued)

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $4,533,403. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value      Valuation
Approch		      Unobservable
Inputs		      Range of
unobservable
Inputs
Utilized  (a)		      Weighted Average of
Unobservable Inputs Based
on Fair Value		  

Assets:

               

Corporate Bonds

    $ 8,958,424        Income        Credit Spread        135-315        267  

 

  (a) 

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      45  

Consolidated Schedule of Investments

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security         
Shares		     Value  

Common Stocks — 1.3%

 

Chemicals — 0.4%  

Element Solutions, Inc.(a)

       572,739     $ 5,343,655  
   

 

 

  
Consumer Finance — 0.0%  

Ally Financial, Inc.

       1       31  
   

 

 

  
Containers & Packaging — 0.1%  

Crown Holdings, Inc.(a)

       19,566       1,288,225  
   

 

 

  
Diversified Financial Services — 0.1%  

Kcad Holdings I Ltd.(a)(b)

       2,223,465,984       1,556,426  
   

 

 

  
Diversified Telecommunication Services — 0.0%  

Telecom Italia SpA(a)

       135,737       72,564  
   

 

 

  
Energy Equipment & Services — 0.0%  

Osum Oil Sands Corp.(a)(b)(c)

       400,000       630,915  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) — 0.2%  

Gaming and Leisure Properties, Inc.

       57,580       2,252,530  
   

 

 

  
Hotels, Restaurants & Leisure — 0.2%  

Stars Group, Inc.(a)

       147,423       2,240,023  
   

 

 

  
Media — 0.1%  

Clear Channel Outdoor Holdings, Inc.(a)

       527,174       1,370,652  

Emmis Communications Corp., Class A(a)

       7,210       35,690  
   

 

 

  
        1,406,342  
Metals & Mining — 0.2%  

Constellium SE, Class A(a)

       285,624       3,438,913  
   

 

 

  
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(a)

       1,025       12,833  
   

 

 

  

Total Common Stocks — 1.3%
(Cost — $46,901,826)

 

     18,242,457  
 

 

 

  
            Par
(000)		         
Asset-Backed Securities — 1.5%  

AIMCO CLO, Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 4.73%, 07/20/29(d)(e)

     USD       250       248,567  

Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 4.43%, 10/21/28(d)(e)

       250       247,805  

Allegro CLO VIII Ltd., Series 2018-2A, Class C, (3 mo. LIBOR US + 2.15%), 4.45%, 07/15/31(d)(e)

       250       243,593  

ALM VII R Ltd.(d)(e):

      

Series 2013-7R2A, Class BR2, (3 mo. LIBOR US + 2.20%), 4.50%, 10/15/27

       250       245,272  

Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 5.00%, 10/15/28

       500       498,419  

ALM VIII Ltd., Series 2013-8A, Class CR, (3 mo. LIBOR US + 3.95%), 6.25%, 10/15/28(d)(e)

       1,400       1,390,194  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A(d)(e):

      

Class BR2, (3 mo. LIBOR US + 1.90%), 4.20%, 07/15/27

       500       493,116  

Class CR2, (3 mo. LIBOR US + 2.70%), 5.00%, 07/15/27

       743       732,772  

AMMC CLO Ltd.(d)(e):

      

Series 2016-19A, Class C, (3 mo. LIBOR US + 2.80%), 5.10%, 10/15/28

       413       412,223  

Series 2018-22A, Class D, (3 mo. LIBOR US + 2.70%), 4.98%, 04/25/31

       250       233,453  
Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

Anchorage Capital CLO Ltd., Series 2X, Class E, (3 mo. EURIBOR + 5.66%), 5.66%, 05/15/31(e)

     EUR       203     $ 220,192  

Apidos CLO XV, Series 2013-15A, Class CRR, (3 mo. LIBOR US + 1.85%), 4.13%, 04/20/31(d)(e)

     USD       500       483,910  

Apidos CLO XX, Series 2015-20A, Class BRR, (3 mo. LIBOR US + 1.95%), 4.27%, 07/16/31(d)(e)

       250       243,195  

Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.95%), 8.25%, 01/15/27(d)(e)

       750       738,628  

Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3 mo. LIBOR US + 1.80%), 3.96%, 05/15/30(d)(e)

       500       478,790  

Atlas Senior Loan Fund X Ltd., Series 2018-10A, Class B, (3 mo. LIBOR US + 1.50%), 3.80%, 01/15/31(d)(e)

       400       391,080  

Atrium XIV LLC, Series 14A, Class C, (3 mo. LIBOR US + 1.95%), 4.27%, 08/23/30(d)(e)

       266       258,901  

Cairn CLO IV BV, Series 2014-4X, Class ERR, (3 mo. EURIBOR + 5.88%), 5.88%, 04/30/31(e)

     EUR       1,000       1,098,275  

Cairn CLO VII BV, Series 2016-7X, Class E, (3 mo. EURIBOR + 6.35%), 6.35%, 01/31/30(e)

       900       992,426  

Carlyle Global Market Strategies CLO Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.85%), 4.13%, 04/20/27(d)(e)

     USD       250       246,649  

Carlyle US CLO Ltd., Series 2016-4A, Class BR, (3 mo. LIBOR US + 2.10%), 4.38%, 10/20/27(d)(e)

       250       248,330  

CBAM Ltd., Series 2017-2A, Class C1, (3 mo. LIBOR US + 2.40%), 4.70%, 10/17/29(d)(e)

       500       495,924  

CIFC Funding I Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.50%), 5.78%, 04/23/29(d)(e)

       500       496,663  

CIFC Funding Ltd., Series 2014-4RA, Class B, (3 mo. LIBOR US + 2.20%), 4.50%, 10/17/30(d)(e)

       250       248,222  

Dryden Senior Loan Fund, Series 2017-50A, Class C, (3 mo. LIBOR US + 2.25%), 4.55%, 07/15/30(d)(e)

       500       496,742  

Fillmore Park CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.90%), 5.20%, 07/15/30(d)(e)

       500       473,110  

Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, (3 mo. LIBOR US + 1.95%), 4.25%, 07/15/31(d)(e)

       250       241,267  

Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, (3 mo. LIBOR US + 1.70%), 3.85%, 11/22/31(d)(e)

       250       248,570  

Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class C, (3 mo. LIBOR US + 1.90%), 4.18%, 04/20/30(d)(e)

       550       534,823  

LCM XV LP, Series 15A, Class CR, (3 mo. LIBOR US + 2.40%), 4.68%, 07/20/30(d)(e)

       500       497,104  

Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.45%), 5.71%, 01/27/26(d)(e)

       500       498,482  

Madison Park Funding XXV Ltd., Series 2017-25A, Class B, 4.63%, 04/25/29

       550       550,227  
 

 

 

46    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

Madison Park Funding XXXI Ltd., Series 2018-31A, Class B, (3 mo. LIBOR US + 1.70%), 3.96%, 01/23/31(d)(e)

     USD       250     $ 247,935  

Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class CR, (3 mo. LIBOR US + 2.15%), 4.45%, 10/17/27(d)(e)

       500       493,367  

Oak Hill Credit Partners X-R Ltd., Series 2014-10RA, Class C, (3 mo. LIBOR US + 2.20%), 4.48%, 12/12/30(d)(e)

       508       495,527  

Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 4.15%, 07/15/27(d)(e)

       250       247,566  

OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, (3 mo. LIBOR US + 2.95%), 5.23%, 01/20/32(d)(e)

       266       249,327  

OZLM VI Ltd., Series 2014-6A, Class B1S, (3 mo. LIBOR US + 2.10%), 4.40%, 04/17/31(d)(e)

       500       483,301  

OZLM XIX Ltd., Series 2017-19A, Class C, (3 mo. LIBOR US + 3.10%), 5.40%, 11/22/30(d)(e)

       500       479,076  

Palmer Square CLO Ltd., Series 2015-1A, Class BR2, (3 mo. LIBOR US + 2.25%), 4.40%, 05/21/29(d)(e)

       500       499,435  

Regatta VII Funding Ltd., Series 2016-1A(d)(e):

      

Class CR, (3 mo. LIBOR US + 2.00%), 4.39%, 12/20/28

       250       245,821  

Class DR, (3 mo. LIBOR US + 2.75%), 5.14%, 12/20/28

       500       474,145  

Rockford Tower CLO Ltd.(d)(e):

      

Series 2018-2A, Class C, (3 mo. LIBOR US + 2.20%), 4.48%, 10/20/31

       250       247,226  

Series 2019-1A, Class C, (3 mo. LIBOR US + 2.75%), 5.37%, 04/20/32

       334       332,590  

Series 2019-1A, Class D, (3 mo. LIBOR US + 3.85%), 6.47%, 04/20/32

       522       512,145  

TIAA CLO IV Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.70%), 3.98%, 01/20/32(d)(e)

       500       493,108  

TICP CLO XII Ltd., Series 2018-12A, Class D, (3 mo. LIBOR US + 2.80%), 5.10%, 01/15/31(d)(e)

       500       479,529  

Treman Park CLO Ltd., Series 2015-1A, Class C3RR, (3 mo. LIBOR US + 2.00%), 4.28%, 10/20/28(d)(e)

       250       247,399  

York CLO 1 Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 2.10%), 4.38%, 10/22/29(d)(e)

       500       490,154  
   

 

 

  

Total Asset-Backed Securities — 1.5%
(Cost — $21,993,218)

 

     21,644,575  
   

 

 

  

Corporate Bonds — 112.3%

 

Aerospace & Defense — 5.6%  

Amsted Industries, Inc., 5.63%, 07/01/27(d)

       890       950,075  

Arconic, Inc.:

      

6.15%, 08/15/20

       1,540       1,592,268  

5.40%, 04/15/21

       45       46,373  

5.87%, 02/23/22

       1,363       1,455,629  

5.13%, 10/01/24

       5,571       5,936,712  

BBA US Holdings, Inc., 5.38%, 05/01/26(d)

       1,733       1,810,985  

Bombardier, Inc.(d):

      

8.75%, 12/01/21

       2,292       2,486,820  

5.75%, 03/15/22

       404       407,535  

6.13%, 01/15/23

       1,200       1,194,000  
Security          Par
(000)		     Value  
Aerospace & Defense (continued)  

7.50%, 12/01/24

     USD       3,409     $ 3,396,557  

7.50%, 03/15/25

       3,596       3,501,605  

7.88%, 04/15/27

       11,432       11,074,750  

Global Aircraft Leasing Co. Ltd., 6.50%, 09/15/24(d)(f)

       3,104       3,088,480  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(d)

       1,810       1,941,225  

TransDigm UK Holdings PLC, 6.88%, 05/15/26

       1,423       1,490,592  

TransDigm, Inc.:

      

6.00%, 07/15/22

       1,779       1,807,909  

6.50%, 05/15/25

       1,411       1,470,967  

6.25%, 03/15/26(d)

       33,805       36,466,468  
   

 

 

  
        80,118,950  
Air Freight & Logistics — 0.0%  

XPO Logistics, Inc., 6.75%, 08/15/24(d)

       110       118,525  
   

 

 

  
Airlines — 0.2%            

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/21

       2,617       2,731,538  
   

 

 

  
Auto Components — 1.7%  

Allison Transmission, Inc.(d):

      

5.00%, 10/01/24

       827       850,859  

5.88%, 06/01/29

       2,109       2,261,902  

GKN Holdings Ltd., 4.63%, 05/12/32

     GBP       205       255,813  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

     USD       471       466,290  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.25%, 02/01/22

       1,452       1,495,560  

6.75%, 02/01/24

       1,286       1,345,478  

6.38%, 12/15/25

       982       1,039,693  

6.25%, 05/15/26(d)

       1,741       1,817,169  

IHO Verwaltungs GmbH(f):

      

(4.38% PIK), 3.63%, 05/15/25

     EUR       125       140,472  

(4.63% PIK), 3.88%, 05/15/27

       152       167,482  

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.:

      

4.38%, 05/15/26

       401       449,533  

6.25%, 05/15/26(d)

     USD       4,953       5,138,737  

8.50%, 05/15/27(d)

       7,281       7,098,975  

Tesla, Inc., 5.30%, 08/15/25(d)

       1,571       1,402,117  
   

 

 

  
        23,930,080  
Banks — 0.8%  

Allied Irish Banks PLC (5 year EUR Swap + 3.95%), 4.13%, 11/26/25(g)

     EUR       300       343,316  

Banco BPM SpA:

      

1.75%, 04/24/23

       150       166,970  

2.50%, 06/21/24

       300       340,155  

Banco de Sabadell SA (5 year EUR Swap + 5.10%), 5.38%, 12/12/28(g)

       100       120,762  

Banco Espirito Santo SA(a)(h):

      

4.75%, 01/15/20

       1,900       438,521  

4.00%, 01/21/21

       1,100       253,880  

Barclays PLC:

      

4.38%, 09/11/24

     USD       3,020       3,102,757  

5.20%, 05/12/26

       800       849,318  

CIT Group, Inc.:

      

5.00%, 08/15/22

       278       296,373  

5.00%, 08/01/23

       404       437,835  

5.25%, 03/07/25

       1,127       1,262,240  

6.13%, 03/09/28

       634       758,423  

6.00%, 04/01/36

       2,800       2,667,000  

Deutsche Pfandbriefbank AG, 4.60%, 02/22/27

     EUR       100       121,496  
   

 

 

  
        11,159,046  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      47  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Building Materials — 0.1%  

Cemex SAB de CV, 3.13%, 03/19/26

     EUR       150     $ 170,314  

Jeld-Wen, Inc., 4.63%, 12/15/25(d)

     USD       823       806,540  
   

 

 

  
        976,854  
Building Products — 0.9%  

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23(d)

       860       891,175  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(d)

       78       76,928  

Builders FirstSource, Inc., 6.75%, 06/01/27(d)

       941       1,028,042  

CPG Merger Sub LLC, 8.00%, 10/01/21(d)

       2,165       2,167,706  

Jeld-Wen, Inc., 4.88%, 12/15/27(d)

       129       124,808  

Masonite International Corp.(d):

      

5.75%, 09/15/26

       701       742,184  

5.38%, 02/01/28

       426       449,430  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(d)

       665       716,537  

Standard Industries, Inc.(d):

      

5.50%, 02/15/23

       768       787,200  

5.38%, 11/15/24

       2,374       2,442,252  

6.00%, 10/15/25

       3,311       3,480,689  
   

 

 

  
        12,906,951  
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(d)

       703       617,079  
   

 

 

  
Capital Markets — 0.3%  

Intertrust Group BV, 3.38%, 11/15/25

     EUR       281       327,974  

LABL Escrow Issuer LLC, 6.75%, 07/15/26(d)

     USD       1,585       1,628,587  

LPL Holdings, Inc., 5.75%, 09/15/25(d)

       323       339,958  

Owl Rock Capital Corp., 5.25%, 04/15/24

       1,108       1,164,273  

Stevens Holding Co., Inc., 6.13%, 10/01/26(d)

       813       845,520  
   

 

 

  
        4,306,312  
Chemicals — 2.8%  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(d)(f)

       1,632       1,576,920  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d)

       8,925       8,858,062  

Axalta Coating Systems LLC, 4.88%, 08/15/24(d)

       1,451       1,501,930  

Blue Cube Spinco LLC:

      

9.75%, 10/15/23

       3,228       3,542,730  

10.00%, 10/15/25

       2,292       2,572,770  

Chemours Co.:

      

6.63%, 05/15/23

       1,276       1,298,330  

4.00%, 05/15/26

     EUR       700       712,873  

5.38%, 05/15/27

     USD       761       675,388  

Element Solutions, Inc., 5.88%, 12/01/25(d)

       5,919       6,177,956  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(d)

       791       808,798  

INEOS Group Holdings SA, 5.38%, 08/01/24

     EUR       150       169,399  

NOVA Chemicals Corp., 4.88%, 06/01/24(d)

     USD       456       467,970  

OCI NV, 5.00%, 04/15/23

     EUR       290       333,800  

PQ Corp.(d):

      

6.75%, 11/15/22

     USD       2,337       2,425,105  

5.75%, 12/15/25

       3,478       3,564,950  

Solvay SA (5 year EUR Swap + 3.92%), 4.25%(g)(i)

     EUR       100       121,418  

TPC Group, Inc., 10.50%, 08/01/24(d)

     USD       1,794       1,883,700  

Versum Materials, Inc., 5.50%, 09/30/24(d)

       1,190       1,282,225  

WR Grace & Co-Conn(d):

      

5.13%, 10/01/21

       2,483       2,576,113  

5.63%, 10/01/24

       559       603,720  
   

 

 

  
        41,154,157  
Security          Par
(000)		     Value  
Commercial Services & Supplies — 2.4%  

ADT Security Corp.:

      

3.50%, 07/15/22

     USD       424     $ 425,060  

4.13%, 06/15/23

       471       478,507  

4.88%, 07/15/32(d)

       3,409       2,970,091  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(d)

       1,104       1,156,440  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(d)

       1,792       1,841,280  

Clean Harbors, Inc.(d):

      

4.88%, 07/15/27

       1,570       1,660,275  

5.13%, 07/15/29

       881       938,265  

Core & Main LP, 6.13%, 08/15/25(d)

       4,369       4,434,535  

Fortress Transportation & Infrastructure Investors LLC(d):

      

6.75%, 03/15/22

       444       461,760  

6.50%, 10/01/25

       470       484,100  

GFL Environmental, Inc., 8.50%, 05/01/27(d)

       2,056       2,251,320  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(d)

       2,648       2,098,540  

KAR Auction Services, Inc., 5.13%, 06/01/25(d)

       3,235       3,332,050  

Mobile Mini, Inc., 5.88%, 07/01/24

       3,503       3,634,362  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(d)

       1,289       1,342,171  

United Rentals North America, Inc.:

      

4.63%, 10/15/25

       2,982       3,066,838  

5.50%, 05/15/27

       2,464       2,643,897  

Waste Pro USA, Inc., 5.50%, 02/15/26(d)

       760       790,400  

WeWork Cos., Inc., 7.88%, 05/01/25(d)

       1,114       1,136,280  
   

 

 

  
        35,146,171  
Commercial Services & Supplies — 0.0%  

Diocle SpA (3 mo. EURIBOR + 3.88%), 3.88%, 06/30/26(e)

     EUR       109       122,043  
   

 

 

  
Communications Equipment — 2.2%  

CommScope, Inc.(d):

      

5.50%, 03/01/24

     USD       4,911       4,978,526  

6.00%, 03/01/26

       2,212       2,252,922  

Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(d)

       2,302       2,402,712  

Nokia OYJ:

      

3.38%, 06/12/22

       714       722,925  

4.38%, 06/12/27

       439       455,463  

6.63%, 05/15/39

       3,486       4,026,330  

Telefonaktiebolaget LM Ericsson, Series 7Y, 1.88%, 03/01/24

     EUR       100       116,802  

ViaSat, Inc., 5.63%, 04/15/27(d)

     USD       3,974       4,222,375  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 04/01/23

       2,128       2,194,777  

6.38%, 05/15/25

       3,004       3,090,365  

5.75%, 01/15/27(d)

       6,993       7,132,860  
   

 

 

  
        31,596,057  
Construction & Engineering — 0.3%  

Brand Industrial Services, Inc., 8.50%, 07/15/25(d)

       1,580       1,392,375  

frontdoor, Inc., 6.75%, 08/15/26(d)

       1,265       1,372,525  

SRS Distribution, Inc., 8.25%, 07/01/26(d)

       1,015       994,700  
   

 

 

  
        3,759,600  
Construction Materials — 1.4%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(d)

       1,961       2,078,660  

HD Supply, Inc., 5.38%, 10/15/26(d)

       10,802       11,506,290  

Navistar International Corp., 6.63%, 11/01/25(d)

       2,509       2,540,363  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(d)

       1,002       1,024,545  
 

 

 

48    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Construction Materials (continued)  

Williams Scotsman International, Inc.(d):

      

7.88%, 12/15/22

     USD       771     $ 811,959  

6.88%, 08/15/23

       2,344       2,455,340  
   

 

 

  
        20,417,157  
Consumer Discretionary — 1.0%  

Dun & Bradstreet Corp., 6.88%, 08/15/26(d)

       4,502       4,879,043  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(d)

       296       306,730  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(d)

       500       493,750  

ServiceMaster Co. LLC, 5.13%, 11/15/24(d)

       2,307       2,421,496  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

     EUR       100       119,343  

Viking Cruises Ltd., 5.88%, 09/15/27(d)

     USD       5,975       6,199,062  
   

 

 

  
        14,419,424  
Consumer Finance — 3.6%  

Ally Financial, Inc.:

      

3.88%, 05/21/24

       1,179       1,242,371  

5.13%, 09/30/24

       517       579,686  

8.00%, 11/01/31

       12,354       17,264,715  

Credit Acceptance Corp., 6.63%, 03/15/26(d)

       993       1,074,307  

Iron Mountain UK PLC, 3.88%, 11/15/25

     GBP       100       121,514  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(f)

     EUR       252       222,314  

Navient Corp.:

      

6.63%, 07/26/21

     USD       1,454       1,555,780  

6.50%, 06/15/22

       463       501,198  

5.50%, 01/25/23

       718       754,115  

7.25%, 09/25/23

       1,100       1,221,000  

6.13%, 03/25/24

       257       272,741  

5.88%, 10/25/24

       1,653       1,738,939  

6.75%, 06/25/25

       423       454,725  

6.75%, 06/15/26

       572       612,040  

Refinitiv US Holdings, Inc.:

      

4.50%, 05/15/26

     EUR       595       707,858  

4.50%, 05/15/26(d)

       2,465       2,932,555  

6.25%, 05/15/26(d)

     USD       107       116,496  

8.25%, 11/15/26(d)

       5,980       6,727,500  

Springleaf Finance Corp.:

      

6.13%, 05/15/22

       490       527,975  

6.88%, 03/15/25

       2,077       2,354,799  

7.13%, 03/15/26

       1,564       1,783,742  

6.63%, 01/15/28

       1,679       1,842,703  

Verscend Escrow Corp., 9.75%, 08/15/26(d)

       6,985       7,478,001  
   

 

 

  
        52,087,074  
Containers & Packaging — 2.8%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.13%, 05/15/23

     EUR       100       112,349  

4.63%, 05/15/23(d)

     USD       5,069       5,187,919  

6.75%, 05/15/24

     EUR       100       115,950  

4.13%, 08/15/26(d)

     USD       1,449       1,465,272  

4.75%, 07/15/27(d)

     GBP       427       524,987  

4.75%, 07/15/27

       212       260,649  

Berry Global, Inc., 4.88%, 07/15/26(d)

     USD       2,530       2,656,500  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

       1,290       1,338,375  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26

       3,052       3,204,600  

Crown European Holdings SA, 3.38%, 05/15/25

     EUR       100       122,681  

Greif, Inc., 6.50%, 03/01/27(d)

     USD       268       281,400  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(d)

       747       775,013  
Security          Par
(000)		     Value  
Containers & Packaging (continued)  

Mauser Packaging Solutions Holding Co.:

      

4.75%, 04/15/24

     EUR       223     $ 253,176  

5.50%, 04/15/24(d)

     USD       6,087       6,254,392  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(d):

      

5.13%, 07/15/23

       749       770,009  

7.00%, 07/15/24

       4,220       4,362,425  

Sealed Air Corp.:

      

4.50%, 09/15/23

     EUR       160       200,868  

5.13%, 12/01/24(d)

     USD       142       152,118  

6.88%, 07/15/33(d)

       700       815,500  

Trivium Packaging Finance BV:

      

(3 mo. EURIBOR + 3.75%), 3.75%, 08/15/26(e)

     EUR       100       112,515  

3.75%, 08/15/26

       420       492,759  

5.50%, 08/15/26(d)

     USD       5,539       5,857,493  

8.50%, 08/15/27(d)

       4,788       5,147,100  
   

 

 

  
        40,464,050  
County/City/Special District/School District — 0.0%  

European TopSoho Sarl, Series SMCP, 4.00%, 09/21/21(j)

     EUR       200       203,241  
   

 

 

  
Diversified Consumer Services — 1.3%  

APX Group, Inc.:

      

8.75%, 12/01/20

     USD       1,281       1,216,950  

7.88%, 12/01/22

       1,649       1,568,611  

Ascend Learning LLC, 6.88%, 08/01/25(d)

       4,958       5,137,728  

Graham Holdings Co., 5.75%, 06/01/26(d)

       1,087       1,163,090  

Laureate Education, Inc., 8.25%, 05/01/25(d)

       591       643,451  

Matthews International Corp., 5.25%, 12/01/25(d)

       274       260,985  

Pinnacle Bidco PLC, 6.38%, 02/15/25

     GBP       192       247,063  

Prime Security Services Borrower LLC/Prime Finance, Inc.(d):

      

5.25%, 04/15/24

     USD       2,486       2,567,814  

5.75%, 04/15/26

       1,261       1,314,593  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(d)

       1,664       1,713,920  

Service Corp. International, 5.13%, 06/01/29

       2,161       2,312,270  

Verisure Holding AB, 3.50%, 05/15/23

     EUR       245       280,988  
   

 

 

  
        18,427,463  
Diversified Financial Services — 1.3%  

Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(d)

     USD       6,269       6,660,812  

Arrow Global Finance PLC, 5.13%, 09/15/24

     GBP       225       270,768  

Barclays PLC(g):

      

(5 year EUR Swap + 2.45%), 2.63%, 11/11/25

     EUR       200       222,781  

(5 year EUR Swap + 1.90%), 2.00%, 02/07/28

       100       108,193  

Cabot Financial Luxembourg II SA (3 mo. EURIBOR + 6.38%), 6.38%, 06/14/24(e)

       148       167,715  

Cabot Financial Luxembourg SA, 7.50%, 10/01/23

     GBP       100       126,182  

DPL, Inc., 7.25%, 10/15/21

     USD       112       120,120  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d)

       1,173       1,190,595  

Fairstone Financial, Inc., 7.88%, 07/15/24(d)

       560       583,800  

FS Energy & Power Fund, 7.50%, 08/15/23(d)

       277       274,922  

Garfunkelux Holdco 3 SA:

      

7.50%, 08/01/22

     EUR       430       449,633  

(3 mo. EURIBOR + 4.50%), 4.50%, 09/01/23(e)

       120       115,651  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      49  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Financial Services (continued)  

Intrum AB:

      

2.75%, 07/15/22

     EUR       137     $ 153,081  

3.50%, 07/15/26

       301       346,114  

Lehman Brothers Holding Escrow, 1.00%, 09/22/18(a)(h)

     USD       430       5,805  

Lehman Brothers Holdings, Inc.(a)(h)(k):

      

5.38%, 10/17/17

     EUR       350       5,385  

4.75%, 01/16/18(b)

       1,890       29,081  

1.00%, 02/05/18

       3,950       60,777  

1.00%, 12/31/49

     USD       1,535       20,723  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(f)

     EUR       220       249,284  

MSCI, Inc., 5.25%, 11/15/24(d)

     USD       683       709,091  

Pershing Square Holdings Ltd., 5.50%, 07/15/22(d)

       2,100       2,211,825  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(d)

       3,756       3,858,539  

Verisure Midholding AB, 5.75%, 12/01/23

     EUR       100       113,752  

WMG Acquisition Corp.:

      

4.13%, 11/01/24

       180       205,008  

5.50%, 04/15/26(d)

     USD       918       961,605  
   

 

 

  
        19,221,242  
Diversified Telecommunication Services — 3.1%  

CenturyLink, Inc.:

      

5.63%, 04/01/25

       1,453       1,485,693  

Series P, 7.60%, 09/15/39

       932       894,720  

Series U, 7.65%, 03/15/42

       932       890,060  

Series W, 6.75%, 12/01/23

       5,280       5,722,200  

Series Y, 7.50%, 04/01/24

       2,178       2,417,536  

Cincinnati Bell, Inc., 7.00%, 07/15/24(d)

       2,099       1,915,338  

DKT Finance ApS, 7.00%, 06/17/23

     EUR       100       118,416  

Embarq Corp., 8.00%, 06/01/36

     USD       2,334       2,288,160  

Frontier Communications Corp., 8.00%, 04/01/27(d)

       9,832       10,249,860  

GCI LLC, 6.63%, 06/15/24(d)

       869       927,658  

Level 3 Financing, Inc.:

      

5.38%, 08/15/22

       243       243,911  

5.63%, 02/01/23

       969       985,677  

5.13%, 05/01/23

       1,292       1,313,047  

5.38%, 05/01/25

       760       790,400  

5.25%, 03/15/26

       4,892       5,099,910  

Qwest Corp., 6.75%, 12/01/21

       680       733,550  

SoftBank Group Corp.:

      

4.00%, 04/20/23

     EUR       400       479,073  

4.75%, 07/30/25

       415       519,919  

3.13%, 09/19/25

       100       116,242  

5.00%, 04/15/28

       300       381,181  

4.00%, 09/19/29

       100       119,290  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       572       604,890  

6.00%, 09/30/34

       1,445       1,481,125  

7.20%, 07/18/36

       116       129,340  

7.72%, 06/04/38

       371       428,505  

Telecom Italia SpA:

      

5.88%, 05/19/23

     GBP       200       269,067  

4.00%, 04/11/24

     EUR       639       778,077  

5.30%, 05/30/24(d)

     USD       2,504       2,679,280  

2.75%, 04/15/25

     EUR       439       506,020  

Telecom Italia SpA/Milano, 3.00%, 09/30/25

       100       116,507  
   

 

 

  
        44,684,652  
Electric Utilities — 0.4%  

AES Corp., 5.50%, 04/15/25

     USD       130       135,691  
Security          Par
(000)		     Value  
Electric Utilities (continued)  

Edison International, 5.75%, 06/15/27

     USD       265     $ 300,686  

EDP - Energias de Portugal SA (5 year EUR Swap + 4.29%), 4.50%, 04/30/79(g)

     EUR       100       122,544  

NextEra Energy Operating Partners LP(d):

      

4.25%, 07/15/24

     USD       3,007       3,089,693  

4.25%, 09/15/24

       617       639,829  

4.50%, 09/15/27

       654       671,985  

Talen Energy Supply LLC:

      

6.50%, 06/01/25

       294       223,440  

10.50%, 01/15/26(d)

       294       267,246  
   

 

 

  
        5,451,114  
Electronic Equipment, Instruments & Components — 0.7%  

CDW LLC/CDW Finance Corp.:

      

5.00%, 09/01/23

       3,624       3,696,480  

5.50%, 12/01/24

       5,100       5,552,625  

5.00%, 09/01/25

       714       746,130  

Itron, Inc., 5.00%, 01/15/26(d)

       231       236,197  
   

 

 

  
        10,231,432  
Energy Equipment & Services — 0.8%  

Apergy Corp., 6.38%, 05/01/26

       1,109       1,114,545  

Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(d)

       932       976,270  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(d)

       1,716       1,707,420  

Pattern Energy Group, Inc., 5.88%, 02/01/24(d)

       935       967,725  

Transocean, Inc.:

      

8.38%, 12/15/21

       275       284,281  

9.00%, 07/15/23(d)

       3,153       3,259,351  

USA Compression Partners LP/USA Compression Finance Corp.:

      

6.88%, 04/01/26

       1,557       1,595,925  

6.88%, 09/01/27(d)

       1,624       1,670,414  
   

 

 

  
        11,575,931  
Environmental, Maintenance, & Security Service — 0.3%  

GFL Environmental, Inc., 7.00%, 06/01/26(d)

       2,652       2,751,450  

Tervita Corp., 7.63%, 12/01/21(d)

       1,577       1,600,655  
   

 

 

  
        4,352,105  
Equity Real Estate Investment Trusts (REITs) — 2.8%  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(d)

       966       1,016,715  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(d)

       1,436       1,440,488  

GLP Capital LP/GLP Financing II, Inc.:

      

5.25%, 06/01/25

       1,008       1,108,276  

5.38%, 04/15/26

       602       660,791  

Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24

       2,468       2,517,360  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

       350       361,375  

Iron Mountain, Inc., 4.88%, 09/15/27(d)

       1,763       1,810,389  

iStar, Inc.:

      

4.63%, 09/15/20

       221       223,763  

6.00%, 04/01/22

       529       542,886  

5.25%, 09/15/22

       596       610,900  

Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26

       386       416,571  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

      

5.63%, 05/01/24

       7,968       8,705,040  

4.50%, 09/01/26

       2,451       2,567,422  

5.75%, 02/01/27(d)

       117       129,162  

4.50%, 01/15/28

       1,691       1,729,048  
 

 

 

50    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Equity Real Estate Investment Trusts (REITs) (continued)  

MPT Operating Partnership LP/MPT Finance Corp.:

      

5.50%, 05/01/24

     USD       271     $ 278,791  

5.00%, 10/15/27

       4,688       5,004,440  

4.63%, 08/01/29

       3,215       3,343,600  

SBA Communications Corp., 4.88%, 09/01/24

       6,011       6,221,385  

Starwood Property Trust, Inc., 5.00%, 12/15/21

       1,695       1,758,563  

Vivion Investments Sarl, 3.00%, 08/08/24

     EUR       200       218,986  
   

 

 

  
        40,665,951  
Food & Staples Retailing — 0.5%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

      

6.63%, 06/15/24

     USD       285       298,538  

5.75%, 03/15/25

       606       621,150  

5.88%, 02/15/28(d)

       1,957       2,062,404  

B&M European Value Retail SA, 4.13%, 02/01/22

     GBP       225       277,457  

Distribuidora Internacional de Alimentacion SA, 1.00%, 04/28/21

     EUR       300       262,042  

Iceland Bondco PLC, 4.63%, 03/15/25

     GBP       100       104,715  

Nomad Foods Bondco PLC, 3.25%, 05/15/24

     EUR       200       227,480  

Picard Groupe SAS (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(e)

       100       107,674  

Post Holdings, Inc.(d):

      

5.63%, 01/15/28

     USD       484       515,460  

5.50%, 12/15/29

       2,099       2,219,084  

Premier Foods Finance PLC, 6.25%, 10/15/23

     GBP       100       125,271  

Tesco Corporate Treasury Services PLC, 2.50%, 05/02/25

       141       175,859  
   

 

 

  
        6,997,134  
Food Products — 1.9%  

Aramark Services, Inc.(d):

      

5.00%, 04/01/25

     USD       148       152,906  

5.00%, 02/01/28

       3,317       3,445,534  

Boparan Finance PLC, 5.50%, 07/15/21

     GBP       100       60,830  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(d)

     USD       2,258       2,083,005  

Darling Ingredients, Inc., 5.25%, 04/15/27(d)

       882       939,330  

Graphic Packaging International LLC, 4.75%, 07/15/27(d)

       772       810,600  

JBS USA LUX SA/JBS USA Finance, Inc.(d):

      

5.88%, 07/15/24

       1,419       1,460,889  

5.75%, 06/15/25

       5,499       5,722,397  

6.75%, 02/15/28

       1,180       1,304,637  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d):

      

6.50%, 04/15/29

       4,550       5,039,125  

5.50%, 01/15/30

       2,773       2,939,380  

Post Holdings, Inc.(d):

      

5.50%, 03/01/25

       2,014       2,107,147  

5.75%, 03/01/27

       207       219,938  

Simmons Foods, Inc., 7.75%, 01/15/24(d)

       1,306       1,410,480  
   

 

 

  
        27,696,198  
Health Care Equipment & Supplies — 2.1%  

Avantor, Inc.:

      

4.75%, 10/01/24

     EUR       126       148,735  

6.00%, 10/01/24(d)

     USD       8,547       9,166,657  

9.00%, 10/01/25(d)

       7,606       8,556,750  

Hologic, Inc.(d):

      

4.38%, 10/15/25

       204       208,590  

4.63%, 02/01/28

       714       738,098  

Immucor, Inc., 11.13%, 02/15/22(d)

       1,380       1,397,250  
Security          Par
(000)		     Value  
Health Care Equipment & Supplies (continued)  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(d)

     USD       9,878     $ 9,532,270  

Teleflex, Inc.:

      

4.88%, 06/01/26

       826       870,158  

4.63%, 11/15/27

       101       106,795  
   

 

 

  
        30,725,303  
Health Care Providers & Services — 6.5%  

Acadia Healthcare Co., Inc., 5.13%, 07/01/22

       782       787,865  

AHP Health Partners, Inc., 9.75%, 07/15/26(d)

       1,052       1,129,979  

Centene Corp.:

      

4.75%, 05/15/22

       2       2,050  

5.38%, 06/01/26(d)

       10,220       10,925,691  

CHS/Community Health Systems, Inc.(d):

      

8.63%, 01/15/24

       3,435       3,435,000  

8.00%, 03/15/26

       3,624       3,479,040  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(d)(f)

       601       607,010  

Encompass Health Corp., 5.75%, 11/01/24

       1,072       1,085,400  

Envision Healthcare Crop., 8.75%, 10/15/26(d)

       1,687       919,415  

HCA, Inc.:

      

5.38%, 02/01/25

       2,604       2,890,440  

5.88%, 02/15/26

       142       161,986  

5.38%, 09/01/26

       2,251       2,509,865  

5.63%, 09/01/28

       5,303       6,033,820  

5.88%, 02/01/29

       4,772       5,493,765  

MEDNAX, Inc., 5.25%, 12/01/23(d)

       933       937,665  

Molina Healthcare, Inc.:

      

5.38%, 11/15/22

       774       827,243  

4.88%, 06/15/25(d)

       1,633       1,665,660  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(d)

       2,526       2,257,764  

NVA Holdings, Inc., 6.88%, 04/01/26(d)

       1,005       1,073,139  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(d)(f)

       3,701       3,108,560  

Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(d)

       3,351       3,582,387  

Sotera Health Holdings LLC, 6.50%, 05/15/23(d)

       1,538       1,564,915  

Surgery Center Holdings, Inc.(d):

      

6.75%, 07/01/25

       1,193       1,020,755  

10.00%, 04/15/27

       2,057       1,969,577  

Tenet Healthcare Corp.:

      

6.00%, 10/01/20

       3,670       3,813,130  

8.13%, 04/01/22

       4,174       4,497,068  

4.63%, 07/15/24

       4,695       4,829,981  

4.63%, 09/01/24(d)

       2,078       2,140,340  

4.88%, 01/01/26(d)

       8,285       8,513,666  

6.25%, 02/01/27(d)

       824       854,900  

5.13%, 11/01/27(d)

       5,521       5,707,334  

Vizient, Inc., 6.25%, 05/15/27(d)

       2,533       2,722,975  

WellCare Health Plans, Inc.:

      

5.25%, 04/01/25

       1,404       1,470,058  

5.38%, 08/15/26(d)

       2,015       2,148,494  
   

 

 

  
        94,166,937  
Health Care Technology — 0.7%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(d)

       4,094       4,120,447  

IQVIA, Inc.:

      

3.25%, 03/15/25

     EUR       1,200       1,356,803  

3.25%, 03/15/25(d)

       100       113,067  

5.00%, 10/15/26(d)

     USD       1,254       1,322,970  

5.00%, 05/15/27(d)

       2,482       2,621,613  
   

 

 

  
        9,534,900  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      51  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Hotels, Restaurants & Leisure — 5.3%  

1011778 BC ULC/New Red Finance, Inc.(d):

      

4.25%, 05/15/24

     USD       3,317     $ 3,424,006  

5.00%, 10/15/25

       9,436       9,742,670  

Boyne USA, Inc., 7.25%, 05/01/25(d)

       1,014       1,106,527  

Cedar Fair LP, 5.25%, 07/15/29(d)

       1,547       1,678,495  

Churchill Downs, Inc.(d):

      

5.50%, 04/01/27

       4,820       5,121,250  

4.75%, 01/15/28

       1,391       1,432,730  

Cirsa Finance International Sarl, 7.88%, 12/20/23(d)

       200       211,300  

Codere Finance 2 Luxembourg SA:

      

6.75%, 11/01/21

     EUR       100       106,933  

7.63%, 11/01/21(d)

     USD       200       194,068  

CPUK Finance Ltd., 4.25%, 02/28/47

     GBP       174       213,709  

Eldorado Resorts, Inc.:

      

6.00%, 04/01/25

     USD       812       860,720  

6.00%, 09/15/26

       717       784,219  

ESH Hospitality, Inc., 5.25%, 05/01/25(d)

       1,388       1,434,845  

Golden Nugget, Inc., 6.75%, 10/15/24(d)

       6,652       6,801,670  

Hilton Domestic Operating Co., Inc.:

      

5.13%, 05/01/26

       1,114       1,175,827  

4.88%, 01/15/30(d)

       5,570       5,959,900  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

       529       556,772  

International Game Technology PLC, 3.50%, 06/15/26

     EUR       115       134,634  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(d):

      

5.00%, 06/01/24

     USD       255       263,606  

5.25%, 06/01/26

       1,878       1,985,985  

4.75%, 06/01/27

       790       827,525  

Lions Gate Capital Holdings LLC(d):

      

6.38%, 02/01/24

       147       155,260  

5.88%, 11/01/24

       1,096       1,139,840  

MGM Resorts International:

      

6.63%, 12/15/21

       2,010       2,185,875  

7.75%, 03/15/22

       2,666       2,993,198  

4.63%, 09/01/26

       3,124       3,233,340  

Sabre GLBL, Inc.(d):

      

5.38%, 04/15/23

       1,516       1,553,900  

5.25%, 11/15/23

       882       906,255  

Scientific Games International, Inc.:

      

5.00%, 10/15/25(d)

       3,859       3,987,273  

3.38%, 02/15/26

     EUR       800       896,385  

8.25%, 03/15/26(d)

     USD       5,344       5,664,640  

Sisal Group SpA, 7.00%, 07/31/23

     EUR       100       113,917  

Six Flags Entertainment Corp.(d):

      

4.88%, 07/31/24

     USD       4,025       4,165,875  

5.50%, 04/15/27

       1,784       1,908,880  

Station Casinos LLC, 5.00%, 10/01/25(d)

       1,500       1,530,150  

Stonegate Pub Co. Financing PLC(e):

      

(3 mo. LIBOR GBP + 6.25%), 7.04%, 03/15/22

     GBP       100       122,662  

(3 mo. LIBOR GBP + 4.38%), 5.16%, 03/15/22

       150       183,343  

Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32

       400       542,130  

Wyndham Destinations, Inc.:

      

5.40%, 04/01/24

     USD       100       104,969  

5.75%, 04/01/27

       306       326,655  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(d)

       527       552,033  
Security          Par
(000)		     Value  
Hotels, Restaurants & Leisure (continued)  

Yum! Brands, Inc.:

      

3.88%, 11/01/23

     USD       721     $ 740,827  

5.35%, 11/01/43

       30       28,500  
   

 

 

  
        77,053,298  
Household Durables — 1.3%  

Algeco Global Finance PLC, 8.00%, 02/15/23(d)

       2,867       2,869,150  

Lennar Corp.:

      

6.63%, 05/01/20

       1,160       1,191,088  

8.38%, 01/15/21

       2,810       3,020,750  

4.88%, 12/15/23

       968       1,038,180  

5.25%, 06/01/26

       302       328,803  

4.75%, 11/29/27

       2,510       2,729,625  

Mattamy Group Corp.(d):

      

6.88%, 12/15/23

       924       962,115  

6.50%, 10/01/25

       388       411,280  

MDC Holdings, Inc., 6.00%, 01/15/43

       716       733,900  

Meritage Homes Corp., 5.13%, 06/06/27

       404       425,210  

PulteGroup, Inc., 6.38%, 05/15/33

       2,805       3,050,437  

Taylor Morrison Communities, Inc., 5.88%, 06/15/27(d)

       1,505       1,614,113  

Tempur Sealy International, Inc., 5.50%, 06/15/26

       822       858,990  

TRI Pointe Group, Inc., 4.88%, 07/01/21

       292       301,125  
   

 

 

  
        19,534,766  
Household Products — 0.2%  

Diamond (BC) BV, 5.63%, 08/15/25

     EUR       100       93,311  

Energizer Holdings, Inc.(d):

      

6.38%, 07/15/26

     USD       365       384,619  

7.75%, 01/15/27

       1,661       1,816,719  
   

 

 

  
        2,294,649  
Independent Power and Renewable Electricity Producers — 2.5%  

AES Corp.:

      

4.50%, 03/15/23

       1,021       1,049,486  

4.88%, 05/15/23

       281       284,864  

6.00%, 05/15/26

       283       303,444  

Calpine Corp.:

      

6.00%, 01/15/22(d)

       251       252,765  

5.38%, 01/15/23

       6,175       6,259,412  

5.88%, 01/15/24(d)

       1,312       1,340,024  

5.75%, 01/15/25

       3,294       3,343,410  

5.25%, 06/01/26(d)

       3,360       3,402,000  

Clearway Energy Operating LLC:

      

5.38%, 08/15/24

       2,005       2,055,125  

5.75%, 10/15/25(d)

       1,149       1,197,855  

NRG Energy, Inc.:

      

3.75%, 06/15/24(d)

       845       874,284  

6.63%, 01/15/27

       4,203       4,539,240  

5.75%, 01/15/28

       2,537       2,733,618  

4.45%, 06/15/29(d)

       2,668       2,802,766  

5.25%, 06/15/29(d)

       2,355       2,512,950  

TerraForm Power Operating LLC(d):

      

4.25%, 01/31/23

       1,191       1,220,358  

6.63%, 06/15/25(l)

       140       147,700  

5.00%, 01/31/28

       2,208       2,299,124  
   

 

 

  
        36,618,425  
Industrial Conglomerates — 0.9%  

Algeco Global Finance PLC, 6.50%, 02/15/23

     EUR       500       569,496  

BWX Technologies, Inc., 5.38%, 07/15/26(d)

     USD       855       904,162  

Vertiv Group Corp.:

      

9.25%, 10/15/24(d)

       2,835       2,679,075  
 

 

 

52    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Industrial Conglomerates (continued)  

(Aquired 05/09/19, cost $8,648,806), 10.00%, 06/30/24(b)(m)

     USD       8,900     $ 8,944,500  
   

 

 

  
        13,097,233  
Insurance — 1.9%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(d)

       737       794,117  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(d)

       8,047       8,217,999  

AmWINS Group, Inc., 7.75%, 07/01/26(d)

       953       1,000,650  

Ardonagh Midco 3 PLC, 8.63%, 07/15/23(d)

       950       919,125  

Assicurazioni Generali SpA (3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47(g)

     EUR       300       396,482  

Caisse Nationale de Reassurance Mutuelle Agricole Groupama, 6.00%, 01/23/27

       100       141,006  

CNO Financial Group, Inc., 5.25%, 05/30/29

     USD       2,006       2,216,630  

Galaxy Bidco Ltd., 6.50%, 07/31/26

     GBP       100       116,509  

GTCR AP Finance, Inc., 8.00%, 05/15/27(d)

     USD       1,244       1,265,770  

HUB International Ltd., 7.00%, 05/01/26(d)

       6,841       6,943,615  

Nationstar Mortgage Holdings, Inc.(d):

      

8.13%, 07/15/23

       3,994       4,136,107  

9.13%, 07/15/26

       977       1,033,177  
   

 

 

  
        27,181,187  
Interactive Media & Services — 1.1%  

Equinix, Inc., 2.88%, 03/15/24

     EUR       345       394,286  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(d)

     USD       1,726       1,820,930  

Match Group, Inc., 5.63%, 02/15/29(d)

       318       344,633  

Netflix, Inc.:

      

4.88%, 04/15/28

       496       518,940  

5.88%, 11/15/28

       3,589       4,015,194  

3.88%, 11/15/29

     EUR       396       470,261  

5.38%, 11/15/29(d)

     USD       3,247       3,531,112  

Symantec Corp., 5.00%, 04/15/25(d)

       1,107       1,114,295  

Uber Technologies, Inc.(d):

      

7.50%, 11/01/23

       1,894       1,979,230  

8.00%, 11/01/26

       1,179       1,240,161  

United Group BV, 4.38%, 07/01/22

     EUR       258       289,923  
   

 

 

  
        15,718,965  
IT Services — 1.4%  

Banff Merger Sub, Inc.:

      

8.38%, 09/01/26

       200       197,829  

9.75%, 09/01/26(d)

     USD       8,696       7,913,360  

Gartner, Inc., 5.13%, 04/01/25(d)

       1,176       1,233,318  

InterXion Holding NV, 4.75%, 06/15/25

     EUR       164       196,286  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(d)

     USD       4,268       4,412,045  

WEX, Inc., 4.75%, 02/01/23(d)

       3,891       3,920,182  

Xerox Corp.:

      

4.80%, 03/01/35

       2,281       1,978,768  

6.75%, 12/15/39

       178       179,691  
   

 

 

  
        20,031,479  
Leisure Products — 0.3%  

Mattel, Inc., 6.75%, 12/31/25(d)

       3,689       3,790,448  
   

 

 

  
Machinery — 1.3%  

Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/24(d)

       1,004       1,041,650  

Colfax Corp.(d):

      

6.00%, 02/15/24

       2,626       2,799,972  

6.38%, 02/15/26

       1,416       1,539,900  

Manitowoc Co., Inc., 9.00%, 04/01/26(d)

       801       796,995  
Security          Par
(000)		     Value  
Machinery (continued)  

Mueller Water Products, Inc., 5.50%, 06/15/26(d)

     USD       1,246     $ 1,311,415  

Platin 1426 GmbH, 5.38%, 06/15/23

     EUR       158       171,934  

SPX FLOW, Inc.(d):

      

5.63%, 08/15/24

     USD       727       758,806  

5.88%, 08/15/26

       623       657,265  

Terex Corp., 5.63%, 02/01/25(d)

       3,708       3,773,150  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(d)

       4,327       3,915,935  

Wabash National Corp., 5.50%, 10/01/25(d)

       1,510       1,489,102  
   

 

 

  
        18,256,124  
Media — 15.2%  

Altice Financing SA(d):

      

6.63%, 02/15/23

       3,688       3,803,250  

7.50%, 05/15/26

       2,595       2,763,675  

Altice Finco SA, 7.63%, 02/15/25(d)

       240       247,200  

Altice France SA:

      

6.25%, 05/15/24(d)

       409       421,646  

7.38%, 05/01/26(d)

       8,792       9,385,460  

5.88%, 02/01/27

     EUR       300       364,747  

8.13%, 02/01/27(d)

     USD       5,777       6,369,142  

Altice Luxembourg SA:

      

7.75%, 05/15/22(d)

       1,469       1,506,496  

7.63%, 02/15/25(d)

       3,883       4,014,051  

8.00%, 05/15/27

     EUR       200       235,821  

10.50%, 05/15/27(d)

     USD       4,206       4,574,025  

AMC Networks, Inc., 4.75%, 08/01/25

       3,441       3,514,121  

Block Communications, Inc., 6.88%, 02/15/25(d)

       685       719,250  

Capital Stage Finance BV (5 year EUR Swap + 1.10%), 5.25%(g)(i)(j)

     EUR       100       129,652  

CCO Holdings LLC/CCO Holdings Capital Corp.(d):

      

4.00%, 03/01/23

     USD       1,937       1,956,370  

5.13%, 05/01/27

       11,305       11,954,924  

5.88%, 05/01/27

       142       151,230  

5.00%, 02/01/28

       465       488,250  

5.38%, 06/01/29

       7,950       8,496,562  

Clear Channel International BV, 8.75%, 12/15/20(d)

       4,201       4,292,876  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       4,835       4,939,774  

9.25%, 02/15/24(d)

       7,526       8,250,377  

5.13%, 08/15/27(d)

       9,976       10,437,390  

Series B, 6.50%, 11/15/22

       10,424       10,649,888  

CSC Holdings LLC:

      

5.38%, 07/15/23(d)

       5,009       5,148,050  

5.25%, 06/01/24

       3,073       3,288,110  

7.75%, 07/15/25(d)

       1,484       1,593,445  

6.63%, 10/15/25(d)

       1,611       1,724,704  

10.88%, 10/15/25(d)

       11,138       12,641,630  

5.50%, 05/15/26(d)

       1,179       1,246,793  

5.38%, 02/01/28(d)

       1,000       1,067,760  

6.50%, 02/01/29(d)

       2,031       2,275,989  

5.75%, 01/15/30(d)

       2,990       3,128,288  

Series 144S, 5.13%, 12/15/21(d)

       6,425       6,433,032  

Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(d)

       4,946       5,193,300  

DISH DBS Corp.:

      

6.75%, 06/01/21

       2,450       2,580,585  

5.88%, 07/15/22

       4,649       4,811,715  

5.00%, 03/15/23

       1,948       1,911,475  

5.88%, 11/15/24

       2,621       2,493,357  

eircom Finance DAC, 3.50%, 05/15/26

     EUR       142       166,599  

Entercom Media Corp., 6.50%, 05/01/27(d)

     USD       1,411       1,460,385  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      53  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Media (continued)  

Entertainment One Ltd., 4.63%, 07/15/26

     GBP       191     $ 252,837  

Gray Television, Inc., 7.00%, 05/15/27(d)

     USD       1,060       1,159,057  

Hughes Satellite Systems Corp., 5.25%, 08/01/26

       916       970,960  

iHeartCommunications, Inc.:

      

6.38%, 05/01/26

       929       1,003,525  

5.25%, 08/15/27(d)

       1,801       1,893,625  

Intelsat Jackson Holdings SA:

      

5.50%, 08/01/23

       3,724       3,388,840  

8.50%, 10/15/24(d)

       4,863       4,826,528  

9.75%, 07/15/25(d)

       4,483       4,600,679  

Level 3 Parent LLC, 5.75%, 12/01/22

       1,939       1,953,543  

MDC Partners, Inc., 6.50%, 05/01/24(d)

       1,545       1,405,950  

Meredith Corp., 6.88%, 02/01/26

       1,046       1,103,530  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(d)

       972       1,008,965  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(d)

       1,450       1,480,813  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(d)

       390       397,800  

Sable International Finance Ltd., 5.75%, 09/07/27(d)

       600       627,000  

Sirius XM Radio, Inc.(d):

      

4.63%, 05/15/23

       230       234,025  

4.63%, 07/15/24

       953       994,694  

5.00%, 08/01/27

       1,764       1,861,020  

5.50%, 07/01/29

       4,134       4,504,861  

Summer BidCo BV, (9.0% Cash or 9.75% PIK), 9.00%, 11/15/25(f)

     EUR       175       204,932  

TEGNA, Inc.:

      

5.13%, 10/15/19

     USD       457       457,503  

5.50%, 09/15/24(d)

       344       352,600  

Tele Columbus AG, 3.88%, 05/02/25

     EUR       100       105,967  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(d)

     USD       2,400       2,440,800  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

     EUR       140       168,869  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(d)

     USD       679       734,590  

Tribune Media Co., 5.88%, 07/15/22

       1,962       1,990,822  

United Group BV, 4.88%, 07/01/24

     EUR       299       343,404  

Unitymedia GmbH, 3.75%, 01/15/27

       100       117,324  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

3.50%, 01/15/27

       100       116,775  

6.25%, 01/15/29

       270       330,677  

Univision Communications, Inc.(d):

      

5.13%, 05/15/23

     USD       2,007       1,981,913  

5.13%, 02/15/25

       1,200       1,157,868  

UPC Holding BV:

      

5.50%, 01/15/28(d)

       220       229,350  

3.88%, 06/15/29

     EUR       100       116,087  

UPCB Finance VII Ltd., 3.63%, 06/15/29

       260       305,041  

Videotron Ltd., 5.13%, 04/15/27(d)

     USD       2,383       2,508,108  

Virgin Media Finance PLC, 5.75%, 01/15/25(d)

       4,988       5,186,073  

Virgin Media Secured Finance PLC:

      

5.00%, 04/15/27

     GBP       200       254,920  

6.25%, 03/28/29

       360       465,308  

5.50%, 05/15/29(d)

     USD       1,914       2,000,130  

WMG Acquisition Corp., 3.63%, 10/15/26

     EUR       100       117,324  

Ziggo Bond Co. BV:

      

4.63%, 01/15/25

       100       113,823  

5.88%, 01/15/25(d)

     USD       2,843       2,938,951  

6.00%, 01/15/27(d)

       640       667,200  
Security          Par
(000)		     Value  
Media (continued)  

Ziggo BV:

      

4.25%, 01/15/27

     EUR       257     $ 307,090  

5.50%, 01/15/27(d)

     USD       2,575       2,716,496  
   

 

 

  
        218,929,591  
Metals & Mining — 3.8%  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(d)

       1,549       1,638,068  

CONSOL Energy, Inc., 11.00%, 11/15/25(d)

       2,871       2,957,130  

Constellium SE:

      

5.75%, 05/15/24(d)

       1,752       1,804,560  

6.63%, 03/01/25(d)

       941       985,109  

4.25%, 02/15/26

     EUR       200       229,882  

5.88%, 02/15/26(d)

     USD       5,703       5,945,377  

Freeport-McMoRan, Inc.:

      

3.55%, 03/01/22

       3,348       3,356,370  

3.88%, 03/15/23

       6,360       6,426,144  

5.00%, 09/01/27

       662       660,345  

5.25%, 09/01/29

       1,261       1,250,294  

5.45%, 03/15/43

       8,474       7,732,525  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(d)

       2,203       2,090,096  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(d)

       791       830,550  

Kaiser Aluminum Corp., 5.88%, 05/15/24

       773       801,988  

New Gold, Inc., 6.25%, 11/15/22(d)

       2,920       2,861,600  

Novelis Corp.(d):

      

6.25%, 08/15/24

       8,359       8,756,052  

5.88%, 09/30/26

       2,046       2,161,088  

Steel Dynamics, Inc.:

      

5.25%, 04/15/23

       949       964,184  

5.50%, 10/01/24

       1,540       1,586,970  

4.13%, 09/15/25

       365       367,738  

5.00%, 12/15/26

       470       491,150  

thyssenkrupp AG, 2.88%, 02/22/24

     EUR       438       498,665  
   

 

 

  
        54,395,885  
Multi-Utilities — 0.1%  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(d)

     USD       1,963       2,056,243  
   

 

 

  
Multiline Retail — 0.0%  

Hipercor SA, 3.88%, 01/19/22

     EUR       200       236,108  
   

 

 

  
Offshore Drilling & Other Services — 0.1%  

Entegris, Inc., 4.63%, 02/10/26(d)

     USD       1,250       1,287,500  
   

 

 

  
Oil, Gas & Consumable Fuels — 10.7%  

Aker BP ASA, 4.75%, 06/15/24(d)

       1,990       2,034,775  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

       385       362,863  

Antero Resources Corp., 5.38%, 11/01/21

       303       294,289  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(d)

       1,610       1,614,025  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(d)

       743       681,702  

Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25

       1,138       1,012,820  

California Resources Corp., 8.00%, 12/15/22(d)

       656       377,200  

Callon Petroleum Co.:

      

6.13%, 10/01/24

       2,070       2,007,900  

Series WI, 6.38%, 07/01/26

       1,204       1,167,880  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       1,865       1,783,872  

8.25%, 07/15/25

       739       716,830  

Centennial Resource Production LLC, 6.88%, 04/01/27(d)

       886       886,000  
 

 

 

54    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 06/30/24

     USD       2,328     $ 2,685,930  

5.88%, 03/31/25

       2,553       2,846,595  

5.13%, 06/30/27

       6,893       7,608,149  

Cheniere Energy Partners LP:

      

5.63%, 10/01/26

       1,956       2,063,580  

Series WI, 5.25%, 10/01/25

       329       340,104  

Chesapeake Energy Corp.:

      

6.63%, 08/15/20

       958       955,653  

4.88%, 04/15/22

       2,059       1,706,396  

5.75%, 03/15/23

       628       502,400  

7.00%, 10/01/24

       1,290       983,625  

8.00%, 03/15/26(d)

       956       683,540  

8.00%, 06/15/27

       3,243       2,343,100  

CNX Resources Corp., 5.88%, 04/15/22

       5,805       5,616,337  

Comstock Resources, Inc., 9.75%, 08/15/26

       843       634,357  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(d)

       1,054       748,340  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.25%, 04/01/23

       385       391,738  

5.63%, 05/01/27(d)

       1,695       1,694,458  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d)

       4,857       4,808,430  

DCP Midstream Operating LP:

      

5.38%, 07/15/25

       1,417       1,498,477  

5.13%, 05/15/29

       334       342,367  

6.45%, 11/03/36(d)

       1,282       1,342,895  

6.75%, 09/15/37(d)

       2,344       2,461,200  

Denbury Resources, Inc.(d):

      

9.00%, 05/15/21

       465       423,150  

9.25%, 03/31/22

       1,900       1,596,000  

eG Global Finance PLC:

      

3.63%, 02/07/24

     EUR       175       186,643  

4.38%, 02/07/25

       333       355,462  

6.75%, 02/07/25(d)

     USD       2,283       2,203,095  

Endeavor Energy Resources LP/EER Finance, Inc.(d):

      

5.50%, 01/30/26

       2,899       3,011,336  

5.75%, 01/30/28

       1,691       1,771,322  

EnLink Midstream LLC, 5.38%, 06/01/29

       474       463,809  

EnLink Midstream Partners LP:

      

4.40%, 04/01/24

       1,638       1,621,620  

4.15%, 06/01/25

       150       143,250  

4.85%, 07/15/26

       325       318,500  

5.60%, 04/01/44

       1,228       1,037,660  

5.05%, 04/01/45

       1,622       1,338,150  

5.45%, 06/01/47

       16       13,520  

Extraction Oil & Gas, Inc.(d):

      

7.38%, 05/15/24

       1,944       1,458,000  

5.63%, 02/01/26

       2,661       1,756,260  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.00%, 05/15/23

       350       347,375  

5.63%, 06/15/24

       190       181,450  

6.50%, 10/01/25

       716       697,205  

6.25%, 05/15/26

       735       702,212  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(d)

       1,860       1,632,150  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(d)

       1,075       1,112,625  
Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Indigo Natural Resources LLC, 6.88%, 02/15/26(d)

     USD       1,817     $ 1,499,025  

Ithaca Energy North Sea PLC, 9.38%, 07/15/24(d)

       200       206,260  

Matador Resources Co., 5.88%, 09/15/26

       2,174       2,106,062  

MEG Energy Corp.(d):

      

6.38%, 01/30/23

       1,039       981,855  

7.00%, 03/31/24

       182       173,128  

6.50%, 01/15/25

       4,241       4,262,205  

Murphy Oil Corp.:

      

5.75%, 08/15/25

       955       966,651  

5.63%, 12/01/42

       507       441,090  

Nabors Industries, Inc.:

      

5.00%, 09/15/20

       142       141,290  

4.63%, 09/15/21

       1,110       1,057,275  

5.50%, 01/15/23

       306       272,723  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(d)

       480       492,240  

NGPL PipeCo LLC, 7.77%, 12/15/37(d)

       3,002       3,913,948  

Noble Holding International Ltd.:

      

7.75%, 01/15/24

       113       75,145  

7.88%, 02/01/26(d)

       3,375       2,725,312  

Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 8.50%, 05/15/23(f)

       398       409,803  

NuStar Logistics LP, 6.00%, 06/01/26

       931       998,497  

Pacific Drilling SA, 8.38%, 10/01/23(d)

       4,233       3,862,612  

Parkland Fuel Corp., 5.88%, 07/15/27(d)

       1,241       1,303,050  

Parsley Energy LLC/Parsley Finance Corp.(d):

      

6.25%, 06/01/24

       696       722,100  

5.38%, 01/15/25

       2,126       2,168,520  

5.25%, 08/15/25

       408       414,120  

5.63%, 10/15/27

       1,130       1,163,900  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25

       1,607       1,664,707  

PDC Energy, Inc.:

      

1.13%, 09/15/21(j)

       40       37,063  

6.13%, 09/15/24

       263       262,343  

5.75%, 05/15/26

       957       935,372  

QEP Resources, Inc.:

      

6.88%, 03/01/21

       482       478,385  

5.38%, 10/01/22

       2,452       2,206,800  

5.25%, 05/01/23

       380       332,500  

5.63%, 03/01/26

       680       550,800  

Range Resources Corp.:

      

5.75%, 06/01/21

       1,230       1,217,700  

5.88%, 07/01/22

       454       434,705  

5.00%, 08/15/22

       463       431,747  

4.88%, 05/15/25

       867       710,940  

Rowan Cos., Inc., 4.88%, 06/01/22

       3,132       2,552,580  

SM Energy Co.:

      

6.13%, 11/15/22

       1,563       1,453,590  

5.00%, 01/15/24

       440       385,000  

5.63%, 06/01/25

       304       258,400  

6.75%, 09/15/26

       104       88,400  

Southwestern Energy Co.:

      

6.20%, 01/23/25

       594       519,750  

7.75%, 10/01/27

       741       644,670  

SRC Energy, Inc., 6.25%, 12/01/25

       298       295,393  

Sunoco LP/Sunoco Finance Corp.:

      

6.00%, 04/15/27

       791       832,527  

Series WI, 4.88%, 01/15/23

       1,170       1,196,325  

Series WI, 5.50%, 02/15/26

       200       207,500  

Series WI, 5.88%, 03/15/28

       808       840,320  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      55  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(d):

      

4.75%, 10/01/23

     USD       158     $ 156,618  

5.50%, 09/15/24

       2,321       2,262,975  

5.50%, 01/15/28

       4,474       4,211,152  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

4.25%, 11/15/23

       637       636,204  

5.13%, 02/01/25

       245       251,125  

5.88%, 04/15/26

       1,406       1,472,785  

5.38%, 02/01/27

       48       49,526  

6.50%, 07/15/27(d)

       2,173       2,357,705  

5.00%, 01/15/28

       2,359       2,370,795  

6.88%, 01/15/29(d)

       5,317       5,875,285  

Transocean Pontus Ltd., 6.13%, 08/01/25(d)

       498       504,425  

Transocean Poseidon Ltd., 6.88%, 02/01/27(d)

       1,831       1,911,106  

Transocean Sentry Ltd., 5.38%, 05/15/23(d)

       744       736,560  

Transocean, Inc.(d):

      

7.25%, 11/01/25

       1,343       1,222,130  

7.50%, 01/15/26

       1,096       1,000,100  

WPX Energy, Inc.:

      

8.25%, 08/01/23

       1,760       1,958,000  

5.75%, 06/01/26

       225       233,438  
   

 

 

  
        153,672,878  
Paper & Forest Products — 0.1%  

Norbord, Inc., 6.25%, 04/15/23(d)

       1,566       1,659,960  
   

 

 

  
Personal Products — 0.1%  

Avon International Capital PLC, 6.50%, 08/15/22(d)

       634       653,020  

Coty, Inc.:

      

4.00%, 04/15/23

     EUR       100       109,443  

6.50%, 04/15/26(d)

     USD       340       321,300  
   

 

 

  
        1,083,763  
Pharmaceuticals — 4.5%  

Bausch Health Americas, Inc.(d):

      

8.50%, 01/31/27

       4,792       5,319,024  

9.25%, 04/01/26

       1,183       1,339,748  

Bausch Health Cos., Inc.:

      

5.50%, 03/01/23(d)

       1,642       1,658,420  

4.50%, 05/15/23

     EUR       2,715       3,021,219  

5.88%, 05/15/23(d)

     USD       1,743       1,764,787  

7.00%, 03/15/24(d)

       3,210       3,390,274  

6.13%, 04/15/25(d)

       3,758       3,870,740  

5.50%, 11/01/25(d)

       6,464       6,778,991  

9.00%, 12/15/25(d)

       1,758       1,971,157  

5.75%, 08/15/27(d)

       1,922       2,061,345  

7.00%, 01/15/28(d)

       2,258       2,366,226  

7.25%, 05/30/29(d)

       3,764       3,980,430  

Catalent Pharma Solutions, Inc., 5.00%, 07/15/27(d)

       1,572       1,646,843  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(d)

       1,963       2,100,214  

Eagle Holding Co. II LLC, (7.75% Cash), 7.75%, 05/15/22(d)(f)

       1,972       1,994,185  

Elanco Animal Health, Inc., 4.90%, 08/28/28

       1,088       1,185,615  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(d)

       8,068       8,330,210  

MEDNAX, Inc., 6.25%, 01/15/27(d)

       4,830       4,733,400  

Nidda BondCo GmbH:

      

7.25%, 09/30/25

     EUR       337       394,806  

5.00%, 09/30/25

       100       112,255  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(d)

     USD       3,873       3,611,572  

Rossini Sarl, 6.75%, 10/30/25

     EUR       501       601,451  
Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(d)

     USD       1,020     $ 1,060,800  

Team Health Holdings, Inc., 6.38%, 02/01/25(d)

       1,972       1,321,240  

Teva Pharmaceutical Finance Netherlands II BV, 4.50%, 03/01/25

     EUR       100       98,090  
   

 

 

  
        64,713,042  
Professional Services — 0.1%  

Dun & Bradstreet Corp., 10.25%, 02/15/27(d)

     USD       1,174       1,282,595  

House of Finance NV, 4.38%, 07/15/26

     EUR       166       188,598  
   

 

 

  
        1,471,193  
Real Estate Management & Development — 0.3%  

ADLER Real Estate AG, 3.00%, 04/27/26

       200       236,296  

Consus Real Estate AG, 9.63%, 05/15/24

       100       105,289  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(d)

     USD       1,158       1,187,355  

Howard Hughes Corp., 5.38%, 03/15/25(d)

       1,426       1,468,780  

Newmark Group, Inc., 6.13%, 11/15/23

       642       697,146  

Residomo SRO, 3.38%, 10/15/24

     EUR       220       251,689  

Summit Germany Ltd., 2.00%, 01/31/25

       145       155,080  
   

 

 

  
        4,101,635  
Restaurants — 0.1%  

IRB Holding Corp., 6.75%, 02/15/26(d)

     USD       829       833,145  
   

 

 

  
Road & Rail — 0.8%  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.75%, 07/15/27(d)

       933       950,214  

Avis Budget Finance PLC, 4.75%, 01/30/26

     EUR       307       361,870  

Europcar Mobility Group, 4.00%, 04/30/26

       195       222,287  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(d)

     USD       1,094       1,069,385  

Herc Holdings, Inc., 5.50%, 07/15/27(d)

       2,682       2,775,870  

Hertz Corp., 7.63%, 06/01/22(d)

       2,991       3,114,528  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

     EUR       243       280,830  

Loxam SAS:

      

3.25%, 01/14/25

       268       308,168  

3.75%, 07/15/26

       115       132,761  

United Rentals North America, Inc.:

      

4.63%, 07/15/23

     USD       485       495,609  

5.88%, 09/15/26

       567       608,108  

5.25%, 01/15/30

       960       1,026,000  
   

 

 

  
        11,345,630  
Semiconductors & Semiconductor Equipment — 0.6%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

       422       476,345  

Qorvo, Inc., 5.50%, 07/15/26

       2,652       2,831,063  

Sensata Technologies BV(d):

      

5.63%, 11/01/24

       1,260       1,367,100  

5.00%, 10/01/25

       3,439       3,645,340  
   

 

 

  
        8,319,848  
Software — 5.2%  

ACI Worldwide, Inc., 5.75%, 08/15/26(d)

       3,872       4,065,600  

CDK Global, Inc.:

      

4.88%, 06/01/27

       4,031       4,164,990  

5.25%, 05/15/29(d)

       795       820,838  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(d)

       5,864       6,333,120  

Infor US, Inc., 6.50%, 05/15/22

       12,873       13,082,186  

Informatica LLC, 7.13%, 07/15/23(d)

       5,614       5,712,245  

MSCI, Inc., 4.75%, 08/01/26(d)

       181       189,371  

Nuance Communications, Inc.:

      

6.00%, 07/01/24

       1,512       1,572,480  

5.63%, 12/15/26

       1,410       1,485,788  
 

 

 

56    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Software (continued)  

PTC, Inc., 6.00%, 05/15/24

     USD       1,996     $ 2,090,810  

Rackspace Hosting, Inc., 8.63%, 11/15/24(d)

       1,189       1,090,908  

RP Crown Parent LLC, 7.38%, 10/15/24(d)

       4,230       4,408,548  

Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(d)

       11,061       11,724,660  

Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(d)

       1,440       1,479,600  

SS&C Technologies, Inc., 5.50%, 09/30/27(d)

       8,438       8,859,900  

TIBCO Software, Inc., 11.38%, 12/01/21(d)

       7,252       7,614,600  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(d)

       937       927,630  
   

 

 

  
        75,623,274  
Specialty Retail — 1.6%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24

       2,505       2,589,544  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(d)

       1,907       1,935,605  

Group 1 Automotive, Inc., 5.25%, 12/15/23(d)

       264       270,600  

IAA, Inc., 5.50%, 06/15/27(d)

       1,961       2,088,465  

L Brands, Inc.:

      

6.88%, 11/01/35

       2,579       2,179,255  

6.75%, 07/01/36

       384       322,560  

Penske Automotive Group, Inc., 5.50%, 05/15/26

       299       313,202  

PetSmart, Inc.(d):

      

7.13%, 03/15/23

       952       885,360  

5.88%, 06/01/25

       3,381       3,313,380  

Shop Direct Funding PLC, 7.75%, 11/15/22

     GBP       100       106,470  

Staples, Inc.(d):

      

7.50%, 04/15/26

     USD       7,398       7,471,980  

10.75%, 04/15/27

       857       865,570  

Tendam Brands SAU, 5.00%, 09/15/24

     EUR       100       111,944  
   

 

 

  
        22,453,935  
Technology Hardware, Storage & Peripherals — 0.8%  

Dell International LLC/EMC Corp., 7.13%, 06/15/24(d)

     USD       5,762       6,074,415  

NCR Corp.(d):

      

5.75%, 09/01/27

       1,207       1,274,664  

6.13%, 09/01/29

       1,207       1,281,074  

Western Digital Corp., 4.75%, 02/15/26

       3,119       3,192,141  
   

 

 

  
        11,822,294  
Textiles, Apparel & Luxury Goods — 0.1%  

William Carter Co., 5.63%, 03/15/27(d)

       932       992,561  
   

 

 

  
Thrifts & Mortgage Finance — 0.2%  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(d):

      

5.25%, 03/15/22

       264       274,560  

5.25%, 10/01/25

       2,176       2,219,520  
   

 

 

  
        2,494,080  
Transportation Infrastructure — 0.0%  

CMA CGM SA, 6.50%, 07/15/22

     EUR       100       94,024  

Ferrovial Netherlands BV (5 year EUR Swap + 2.13%), 2.12%(g)(i)

       200       212,292  

Swissport Financing Sarl, 5.25%, 08/15/24

       176       198,987  
   

 

 

  
        505,303  
Utilities — 0.2%  

ContourGlobal Power Holdings SA:

      

3.38%, 08/01/23

       100       114,139  

4.13%, 08/01/25

       227       266,133  

Orano SA, 3.38%, 04/23/26

       200       239,727  
Security          Par
(000)		     Value  
Utilities (continued)  

Vistra Operations Co. LLC(d):

      

5.50%, 09/01/26

     USD       142     $ 149,100  

5.63%, 02/15/27

       1,069       1,131,804  

5.00%, 07/31/27

       1,229       1,268,943  
   

 

 

  
        3,169,846  
Wireless Telecommunication Services — 3.0%  

CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27

       614       651,608  

Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., 8.75%, 05/25/24(d)

       1,739       1,635,203  

Equinix, Inc., 2.88%, 02/01/26

     EUR       100       114,996  

Matterhorn Telecom SA:

      

3.88%, 05/01/22

       235       260,859  

4.00%, 11/15/27

       100       112,653  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(d)

     USD       773       767,203  

SBA Communications Corp., 4.00%, 10/01/22

       2,644       2,690,270  

Sprint Capital Corp.:

      

6.88%, 11/15/28

       1,285       1,424,744  

8.75%, 03/15/32

       2,842       3,559,548  

Sprint Corp.:

      

7.88%, 09/15/23

       5,198       5,847,750  

7.13%, 06/15/24

       8,699       9,616,397  

7.63%, 02/15/25

       1,642       1,836,987  

7.63%, 03/01/26

       1,435       1,612,581  

T-Mobile USA, Inc.:

      

4.00%, 04/15/22

       591       608,364  

6.50%, 01/15/24

       2,638       2,749,376  

6.38%, 03/01/25

       994       1,029,287  

6.50%, 01/15/26

       1,549       1,665,175  

4.50%, 02/01/26

       1,674       1,736,775  

4.75%, 02/01/28

       3,188       3,355,306  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

       1,327       1,449,847  

Vodafone Group PLC, Series VOD, 0.00%, 11/26/20(j)(n)

     GBP       100       119,695  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22(d)(f)

     USD       785       800,270  
   

 

 

  
        43,644,894  
   

 

 

  

Total Corporate Bonds — 112.3%
(Cost — $1,576,883,949)

 

     1,618,353,853  
 

 

 

  

Floating Rate Loan Interests(e) — 11.7%

 

Aerospace & Defense — 0.0%  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 12/06/25(b)

       253       253,994  

WP CPP Holdings LLC, 2018 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.01%, 04/30/25

       328       326,912  
   

 

 

  
        580,906  
Air Freight & Logistics — 0.1%  

WestJet Airlines Ltd., Term Loan B, 08/06/26(p)

       1,658       1,661,631  
   

 

 

  
Auto Components — 0.1%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 04/30/26

       1,864       1,836,139  
   

 

 

  
Capital Markets — 0.2%  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 6.00%, 06/03/26

       1,116       1,112,864  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      57  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Capital Markets (continued)  

Travelport Finance (Luxembourg) Sarl, 2019 Term Loan, (3 mo. LIBOR + 5.00%), 7.54%, 05/29/26

     USD       2,114     $ 1,941,663  
   

 

 

  
        3,054,527  
Chemicals — 0.3%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24

       3,330       3,227,563  

Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 05/16/24

       480       479,102  

Invictus US LLC, 2nd Lien Term Loan, (2 mo. LIBOR + 6.75%), 8.90%, 03/30/26

       327       324,387  

Momentive Performance Materials, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 05/15/24

       468       457,983  
   

 

 

  
        4,489,035  
Commercial Services & Supplies — 0.9%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.61%, 08/04/25

       2,968       3,008,988  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/30/25

       1,746       1,728,737  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 08/27/25

       8,201       8,214,000  
   

 

 

  
        12,951,725  
Construction & Engineering — 0.8%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(p)

       10,079       9,550,271  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/23/25

       1,802       1,746,905  
   

 

 

  
    11,297,176  
Containers & Packaging — 0.1%  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 04/03/24

       1,597       1,550,759  
   

 

 

  
Diversified Consumer Services — 0.5%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 07/12/24

       597       591,431  

Gol LuxCo SA, 1st Lien Term Loan, (Fixed + 6.50%), 6.50%, 08/31/20(b)

       3,885       3,923,850  

Uber Technologies, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.20%, 04/04/25

       2,859       2,859,120  
   

 

 

  
    7,374,401  
Diversified Telecommunication Services — 0.3%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/25

       4,052       3,991,219  
   

 

 

  
Energy Equipment & Services — 0.3%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.11%, 03/01/24

       547       232,494  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.90%, 11/08/22(b)

       4,819       4,578,050  
   

 

 

  
    4,810,544  
Food & Staples Retailing — 0.1%  

US Foods, Inc., 2019 Term Loan B, 08/14/26(p)

       835       836,394  
   

 

 

  
Food Products — 0.0%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 10/10/23

       491       482,153  
   

 

 

  
Security          Par
(000)		     Value  
Gas Utilities — 0.0%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.83%, 07/31/25

     USD       293     $ 286,258  
   

 

 

  
Health Care Equipment & Supplies — 0.3%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.33%, 06/15/21

       4,270       4,248,261  
   

 

 

  
Health Care Providers & Services — 0.9%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.61%, 06/30/25

       966       966,066  

Concentra, Inc., 2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 8.96%, 06/01/23

       1,338       1,343,574  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/10/25

       5,218       4,027,217  

Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.88%, 07/02/25

       1,591       1,589,660  

Quorum Health Corporation, Term Loan B, (3 mo. LIBOR + 6.75%, 1.00% Floor), 9.01%, 04/29/22

       1,339       1,317,027  

Sotera Health Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/15/22

       3,624       3,551,314  
   

 

 

  
        12,794,858  
Health Care Services — 0.1%  

Emerald TopCo., Inc., Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 07/24/26

       2,033       2,021,148  
   

 

 

  
Health Care Technology — 0.3%  

Athenahealth, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.50%), 6.83%, 02/11/26

       4,453       4,428,026  
   

 

 

  
Hotels, Restaurants & Leisure — 0.3%  

NASCAR Holdings, Inc., Term Loan B, 07/26/26(p)

       1,063       1,068,092  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25

       2,723       2,729,364  
   

 

 

  
        3,797,456  
Independent Power and Renewable Electricity Producers — 0.0%  

Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.61%, 08/12/26

       456       454,481  
   

 

 

  
Industrial Conglomerates — 0.3%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/30/23

       3,498       3,285,277  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21

       1,849       1,825,143  
   

 

 

  
        5,110,420  
Insurance — 0.3%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.15%, 05/09/25

       324       314,248  

Sedgwick Claims Management Services, Inc.:

      

2019 Incremental Term Loan B, 08/07/26(p)

       1,283       1,277,650  

Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/31/25

       2,320       2,247,797  
   

 

 

  
        3,839,695  
 

 

 

58    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Interactive Media & Services — 0.1%  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 05/06/24

     USD       922     $ 856,758  
   

 

 

  
IT Services — 0.2%  

DigiCert Holdings, Inc., 2019 Term Loan B, 08/31/26(p)

       1,189       1,184,042  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 08/01/24

       881       756,551  

Peak 10 Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 9.48%, 08/01/25

       420       338,100  
   

 

 

  
        2,278,693  
Life Sciences Tools & Services — 0.0%  

Albany Molecular Research, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 08/30/24

       722       694,773  
   

 

 

  
Machinery — 0.3%  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 03/28/25

       3,915       3,750,048  
   

 

 

  
Media — 1.3%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.20%, 08/14/26

       1,380       1,366,809  

Charter Communications Operating LLC, 2017 Term Loan A2, (3 mo. LIBOR + 1.50%), 3.83%, 03/31/23

       — (o)      2  

Clear Channel Outdoor Holdings, Inc., Term Loan B, 08/21/26(p)

       4,699       4,693,126  

Intelsat Jackson Holdings SA:

      

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.90%, 11/27/23

       559       558,002  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.65%, 01/02/24

       1,820       1,827,636  

2017 Term Loan B5, (Fixed + 6.63%), 6.63%, 01/02/24

       10,040       10,131,799  
   

 

 

  
        18,577,374  
Multiline Retail — 0.1%  

Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 8.23%, 10/25/23

       1,124       915,863  
   

 

 

  
Oil & Gas Equipment & Services — 0.7%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.11%, 05/09/25

       10,518       9,630,328  
   

 

 

  
Oil, Gas & Consumable Fuels — 0.2%  

BCP Raptor II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.86%, 11/03/25

       451       398,008  

California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor), 12.49%, 12/31/21

       1,575       1,393,713  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 09/27/24

       1,343       1,339,278  
   

 

 

  
        3,130,999  
Pharmaceuticals — 0.2%  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24

       1,149       1,047,433  
Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.20%, 06/02/25

     USD       1,864     $ 1,865,748  
   

 

 

  
        2,913,181  
Professional Services — 0.1%  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 7.15%, 02/06/26

       1,366       1,368,841  
   

 

 

  
Software — 1.6%  

Cypress Intermediate Holdings III, Inc., 1.00% Floor):

      

2017 1st Lien Term Loan, 04/26/24(p)

       865       857,041  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 8.86%, 04/27/25

       212       213,459  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/01/25

       10,360       10,406,020  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 02/01/22

       993       991,907  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.50%, 11/01/24

       3,635       3,714,459  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 11/29/24

       1,547       1,446,870  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.36%, 12/01/25

       613       571,933  

Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/30/25

       504       493,014  

Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.46%, 08/01/25

       725       711,159  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25

       693       693,351  

SS&C Technologies, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25

       1,115       1,115,880  

Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.25%, 06/30/26

       1,164       1,162,906  

Ultimate Software Group, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.08%, 05/04/26

       574       575,138  

Veritas Bermuda Ltd., Repriced Term Loan B, 01/27/23(p)

       483       457,645  
   

 

 

  
        23,410,782  
Textiles, Apparel & Luxury Goods — 0.2%  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, 08/15/26(p)

       2,386       2,383,018  
   

 

 

  
Wireless Telecommunication Services — 0.5%  

Ligado Networks LLC:

      

2015 2nd Lien Term Loan, 0.00%, 12/07/20

       8,250       3,311,683  

PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(f)

       3,230       2,790,662  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 09/09/21(b)

       1,202       1,200,674  
   

 

 

  
        7,303,019  
   

 

 

  

Total Floating Rate Loan Interests — 11.7%
(Cost — $177,158,300)

 

     169,110,889  
 

 

 

  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      59  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security         

Beneficial

Interest
(000)

     Value  

Other Interests(q) — 0.0%

 

United States — 0.0%  

Lear Corp. Escrow(b)

       1,250     $ 12  
   

 

 

  

Total Other Interests — 0.0%
(Cost — $—)

 

     12  
 

 

 

  
            Par
(000)		         

Preferred Securities — 5.6%

 

Capital Trusts — 4.9%

 

Banks — 0.7%  

ABN AMRO Bank NV, 5.75%(g)(i)

     EUR       200       229,200  

Allied Irish Banks PLC, 7.38%(g)(i)

       210       245,515  

Banco Bilbao Vizcaya Argentaria SA, 8.88%(g)(i)

       200       243,985  

Banco de Sabadell SA, 6.50%(g)(i)

       200       217,915  

Bankia SA(g)(i):

      

6.00%

       200       222,832  

6.38%

       200       227,839  

CaixaBank SA(g)(i):

      

5.25%

       200       205,251  

6.75%

       400       474,240  

CIT Group, Inc., Series A, 5.80%(g)(i)

     USD       1,647       1,674,521  

Credit Suisse Group AG, 6.25%(d)(g)(i)

       200       211,054  

Erste Group Bank AG, 6.50%(g)(i)

     EUR       200       251,201  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.50%(e)(i)

     USD       200       143,000  

ING Groep NV, 6.75%(g)(i)

       200       209,884  

Intesa Sanpaolo SpA, 7.75%(g)(i)

     EUR       600       764,939  

National Westminster Bank PLC, Series C, 2.39%(i)(k)

     USD       200       160,250  

Wells Fargo & Co., Series U, 5.88%(g)(i)

       4,627       5,102,609  
   

 

 

  
        10,584,235  
Building Materials — 0.0%  

Holcim Finance Luxembourg SA, 3.00%(g)(i)

     EUR       100       115,618  
   

 

 

  
Capital Markets — 0.3%  

Goldman Sachs Group, Inc., Series P, 5.00%(g)(i)

     USD       712       704,435  

Morgan Stanley,(g)(i):

      

Series H, 5.91%

       3,309       3,317,272  

Series J, 5.55%

       440       444,950  

UBS Group Funding Switzerland AG, 5.75%(g)(i)

     EUR       250       300,787  
   

 

 

  
        4,767,444  
Diversified Financial Services — 3.5%  

Banco Santander SA(g)(i):

      

4.75%

       200       209,434  

6.75%

       200       238,738  

Bank of America Corp.,(g)(i):

      

Series AA, 6.10%

     USD       8,197       8,934,730  

Series DD, 6.30%

       815       919,931  

Series V, 5.80%

       303       303,669  

Series X, 6.25%

       2,874       3,132,660  

Series Z, 6.50%

       2,650       2,968,000  

Credit Agricole SA(g)(i):

      

6.50%

     EUR       200       237,395  

8.13%

     USD       200       233,184  

Credit Suisse Group AG(d)(g)(i):

      

6.38%

       3,145       3,248,785  

7.50%

       750       798,825  

HBOS Capital Funding LP, 6.85%(i)

       800       813,453  
Security              
Par
(000)		     Value  
Diversified Financial Services (continued)  

HSBC Holdings PLC, 6.00%(g)(i)

     USD       2,298     $ 2,303,745  

JPMorgan Chase & Co.,(g)(i):

      

Series 1, 5.74%

       1,535       1,542,982  

Series FF, 5.00%

       6,700       6,951,250  

Series Q, 5.15%

       850       871,250  

Series S, 6.75%

       5,589       6,224,749  

Series U, 6.13%

       4,228       4,550,385  

Series V, 5.64%

       3,075       3,068,850  

Series X, 6.10%

       640       691,200  

Royal Bank of Scotland Group PLC, 8.63%(g)(i)

       607       642,661  

Societe Generale SA, 8.00%(g)(i)

       200       223,500  

Telefonica Europe BV, 4.38%(g)(i)

     EUR       600       728,380  

UniCredit SpA(g)(i):

      

6.75%

       400       462,700  

7.50%

       200       240,967  

9.25%

       225       285,873  
   

 

 

  
        50,827,296  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV(g)(i):

      

2.63%

       300       335,518  

3.75%

       100       116,499  

5.88%

       200       256,354  
   

 

 

  
        708,371  
Electric Utilities — 0.0%  

NGG Finance PLC(g):

      

1.63%, 12/05/79

       100       109,905  

2.13%, 09/05/82

       125       137,409  

RWE AG, 2.75%, 04/21/75(g)

       200       224,526  
   

 

 

  
        471,840  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

       320       371,890  
   

 

 

  
Media — 0.1%  

NBCUniversal Enterprise, Inc., 5.25%(d)(i)

     USD       400       413,000  

SES SA(g)(i):

      

4.63%

     EUR       100       117,598  

5.63%

       200       246,297  
   

 

 

  
        776,895  
Oil, Gas & Consumable Fuels — 0.1%  

Naturgy Finance BV(g)(i):

      

3.38%

       100       117,162  

4.13%

       100       119,668  

Repsol International Finance BV(g):

      

3.88%(i)

       100       115,675  

4.50%, 03/25/75

       178       224,306  
   

 

 

  
        576,811  
Utilities — 0.0%  

Electricite de France SA(g)(i):

      

4.00%

       100       120,483  

6.00%

       100       134,146  
   

 

 

  
        254,629  
Wireless Telecommunication Services — 0.1%  

Vodafone Group PLC(k):

      

4.20%, 10/03/78

       200       248,950  

3.10%, 01/03/79

       300       346,574  
   

 

 

  
        595,524  
   

 

 

  

Total Capital Trusts — 4.9%
(Cost — $67,479,689)

 

     70,050,553  
 

 

 

  
 

 

 

60    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Shares     Value  

Preferred Stocks — 0.2%

 

Auto Components — 0.2%  

UCI International, Inc., 0.00%(b)

       109,729     $ 2,496,335  
   

 

 

  
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Aquired 04/08/15, cost $649,293), 0.00%(m)

       663,678       411,746  
   

 

 

  

Total Preferred Stocks — 0.2%
(Cost — $5,272,976)

 

     2,908,081  
 

 

 

  

Trust Preferred — 0.5%

 

Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2, 7.94%, 2/15/40(g)

       256,246       6,713,645  
   

 

 

  

Total Trust Preferreds — 0.5%
(Cost — $6,729,957)

 

     6,713,645  
 

 

 

  

Total Preferred Securities — 5.6%
(Cost — $79,482,622)

 

     79,672,279  
 

 

 

  

Total Long-Term Investments — 132.4%
(Cost — $1,902,419,915)

 

     1,907,024,065  
 

 

 

  

Options Purchased — 0.0%
(Cost — $5,459)

 

     1,142  
 

 

 

  

Total Investments — 132.4%
(Cost — $1,902,425,374)

 

     1,907,025,207  

Liabilities in Excess of Other Assets — (32.4)%

 

     (466,588,967 ) 
 

 

 

  

Net Assets — 100.0%

 

   $ 1,440,436,240  
 

 

 

  
(a) 

Non-income producing security.

(b) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(c) 

All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary.

(d) 

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

(e) 

Variable rate security. Rate shown is the rate in effect as of period end.

(f) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(g) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) 

Issuer filed for bankruptcy and/or is in default.

(i) 

Perpetual security with no stated maturity date.

(j) 

Convertible security.

(k) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate Trust for purposes in effect as of period end.

(l) 

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(m) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $9,356,246 representing 0.65% of its net assets as of period end, and an original cost of $9,298,099.

(n) 

Zero-coupon bond.

(o) 

Amount is less than $500.

(p) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(q) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      61  

During the year ended August 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows:

 

Affiliate Persons and/or Related Parties   

Shares

Held at
08/31/18

      Shares
Purchased		     

Shares

Sold

    

Shares

Held at
08/31/19

      Value at
08/31/19 (c)		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      —        —        — (b)      —      $ —      $ 57,725      $ —      $ —  

iShares iBoxx USD High Yield Corporate Bond ETF

      —        616,000        (616,000 )      —        —        69,766        (71,960 )       —  
             

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 127,491      $ (71,960 )     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents net shares sold.

 
  (c) 

As of period end, the entity is no longer held by the Trust.

 

For Trust compliance purposes, the Trust’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Long Contracts

                  

Euro Stoxx 50 Index

      3          09/20/19        $ 113        $ 1,532  

Euro Stoxx 600 Index

      6          09/20/19          40          (3,061 ) 
                 

 

 

  
                    (1,529 ) 
                 

 

 

  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Futures Contracts (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Short Contracts

                  

Euro Bund

      6          09/06/19        $ 1,181        $ (53,485 ) 

Euro-BOBL

      6          09/06/19          898          (15,567 ) 

S&P 500 E-Mini Index

      65          09/20/19          9,506          (215,695 ) 

Long Gilt

      1          12/27/19          163          (1,035 ) 
                 

 

 

  
                    (285,782 ) 
                 

 

 

  
                  $ (287,311 ) 
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		        Currency
Sold		        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
GBP     377,900        USD     457,371        Barclays Bank PLC        09/05/19        $ 2,476  
USD     660,030        AUD     957,000        National Australia Bank Ltd.        09/05/19          15,517  
USD     779,451        CAD     1,024,000        Natwest Markets PLC        09/05/19          10,311  
USD     49,395,299        EUR     44,192,000        BNP Paribas S.A.        09/05/19          822,436  
USD     336,215        EUR     300,000        Goldman Sachs International        09/05/19          6,475  
USD     398,817        EUR     356,000        Goldman Sachs International        09/05/19          7,526  
USD     250,246        EUR     223,000        JPMorgan Chase Bank N.A.        09/05/19          5,139  
USD     115,721        EUR     103,000        State Street Bank and Trust Co.        09/05/19          2,511  
USD     4,495,904        GBP     3,683,000        Nomura International PLC        09/05/19          14,242  
USD     645,654        AUD     957,000        State Street Bank and Trust Co.        10/03/19          579  
USD     44,739,517        EUR     40,575,000        State Street Bank and Trust Co.        10/03/19          43,264  
USD     2,033,301        GBP     1,665,000        State Street Bank and Trust Co.        10/03/19          4,692  
                       

 

 

  
                          935,168  
                       

 

 

  
AUD     957,000        USD     645,100        State Street Bank and Trust Co.        09/05/19          (587 ) 
CAD     1,080,000        USD     814,375        Morgan Stanley & Co. International PLC        09/05/19          (3,172 ) 
EUR     3,490,800        USD     3,871,877        Barclays Bank PLC        09/05/19          (35,026 ) 
EUR     40,575,000        USD     44,639,925        State Street Bank and Trust Co.        09/05/19          (42,625 ) 
GBP     1,665,000        USD     2,030,752        State Street Bank and Trust Co.        09/05/19          (4,695 ) 
                       

 

 

  
                          (86,105 ) 
                       

 

 

  
    Net Unrealized Appreciation        $ 849,063  
                       

 

 

  

Exchange-Traded Options Purchased

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  
Call                                                   

Euro Stoxx 50 Index

      27          12/20/19        EUR     3,800.00        EUR     925        $ 1,142  
                          

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust		      Payment
Frequency		      Termination
Date		      Credit
Rating (a)		      Notional
Amount (000) (b)		      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

CDX.NA.HY.32.V1

      5.00 %       Quarterly        06/20/24        B        USD       17,283      $ 1,338,993      $ 1,033,324      $ 305,669  

iTraxx.XO.31.V1

      5.00        Quarterly        06/20/24        B        EUR       380        50,504        41,696        8,808  
                   

 

 

     

 

 

     

 

 

  
                    $ 1,389,497      $ 1,075,020      $ 314,477  
                   

 

 

     

 

 

     

 

 

  

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

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

 

 

 

62    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust		     Payment
Frequency		     Counterparty   Termination
Date		     Notional
Amount
(000)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

UPC Holding BV

      5.00 %      Quarterly     JPMorgan Chase Bank N.A.     06/20/24       EUR       130     $ (31,650 )    $ (29,581 )    $ (2,069 ) 

UPC Holding BV

      5.00       Quarterly     Bank of America N.A.     06/20/24       EUR       80       (19,476 )      (19,002 )      (474 ) 
              

 

 

    

 

 

    

 

 

  
               $ (51,126 )    $ (48,583 )    $ (2,543 ) 
              

 

 

    

 

 

    

 

 

  

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Trust		     Payment
Frequency		     Counterparty     Termination
Date		     Credit
Rating (a)		   Notional
Amount
(000) (b)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Casino Guichard Perrachon SA

     1.00 %      Quarterly       JPMorgan Chase Bank N.A.       06/20/23     B     EUR       90     $ (19,901 )    $ (7,093 )    $ (12,808 ) 

Casino Guichard Perrachon SA

     1.00       Quarterly       Citibank N.A.       06/20/23     B     EUR       88       (19,533 )      (10,124 )      (9,409 ) 

Casino Guichard Perrachon SA

     1.00       Quarterly       Barclays Bank PLC       06/20/23     B     EUR       124       (27,440 )      (12,783 )      (14,657 ) 

Casino Guichard Perrachon SA

     1.00       Quarterly       Goldman Sachs International       12/20/23     B     EUR       60       (14,699 )      (8,316 )      (6,383 ) 

CenturyLink, Inc.

     1.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       856       (45,828 )      (57,201 )      11,373  

Chesapeake Energy Corp.

     5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       368       (73,636 )      612       (74,248 ) 

Chesapeake Energy Corp.

     5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       332       (66,430 )      2,785       (69,215 ) 

Garfunkelux Holdco 2 SA

     5.00       Quarterly       Credit Suisse International       06/20/24     B-     EUR       130       (4,130 )      (11,514 )      7,384  

Telecom Italia SpA

     1.00       Quarterly       Goldman Sachs International       06/20/24     BB+     EUR       100       (3,272 )      (8,850 )      5,578  

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/24     BB+     EUR       23       (747 )      (768 )      21  

Telecom Italia SpA

     1.00       Quarterly       Bank of America N.A.       06/20/24     BB+     EUR       22       (737 )      (758 )      21  

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/24     BB+     EUR       23       (746 )      (790 )      44  

Telecom Italia SpA

     1.00       Quarterly       Morgan Stanley & Co. International PLC       06/20/24     BB+     EUR       22       (717 )      (781 )      64  

CenturyLink, Inc.

     1.00       Quarterly       Barclays Bank PLC       06/20/25     B+     USD       1,221       (137,049 )      (190,972 )      53,923  

Tesco PLC

     1.00       Quarterly       Barclays Bank PLC       12/20/25     BB+     EUR       200       (5,102 )      (5,428 )      326  

Telecom Italia SpA

     1.00       Quarterly       Citibank N.A.       06/20/26     BB+     EUR       51       (4,579 )      (7,412 )      2,833  

Tesco PLC

     1.00       Quarterly       Morgan Stanley & Co. International PLC       12/20/28     BB+     EUR       290       (20,497 )      (27,565 )      7,068  
               

 

 

    

 

 

    

 

 

  
                $ (445,043 )    $ (346,958 )    $ (98,085 ) 
               

 

 

    

 

 

    

 

 

  

 

  (a) 

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

 
  (b) 

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

 

Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

      Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		  

Centrally Cleared Swaps

    $ 1,075,020      $ —      $ 314,477      $ —  

OTC Swaps(a)

      3,397        (398,938 )       88,635        (189,263 ) 

 

  (a) 

Includes cumulative appreciation (depreciation) on OTC swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      63  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized appreciation on futures contracts(a)

    $ —      $ —      $ 1,532      $ —      $ —      $ —      $ 1,532  

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

      —        —        —        935,168        —        —        935,168  

Options purchased

                     

Investments at value — unaffiliated(b)

      —        —        1,142        —        —        —        1,142  

Swaps — centrally cleared

                     

Unrealized appreciation on centrally cleared swaps

      —        314,477        —        —        —        —        314,477  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        92,032        —        —        —        —        92,032  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 406,509      $ 2,674      $ 935,168      $ —      $ —      $ 1,344,351  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

    $ —      $ —      $ 218,756      $ —      $ 70,087      $ —      $ 288,843  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        86,105        —        —        86,105  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        588,201        —        —        —        —        588,201  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 588,201      $ 218,756      $ 86,105      $ 70,087      $ —      $ 963,149  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 
  (b) 

Includes options purchased at value as reported in the Consolidated Schedule of Investments.

 

For the year ended August 31, 2019, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		     

Other

Contracts

      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ (1,787,595 )     $ —      $ 254,039      $ —      $ (1,533,556 ) 

Forward foreign currency exchange contracts

      —        —        —        7,610,620        —        —        7,610,620  

Options purchased(a)

      —        (65,000 )       (1,659,164 )       —        —        —        (1,724,164 ) 

Options written

      —        65,000        813,749        —        —        —        878,749  

Swaps

      —        (75,628 )       (96,386 )       —        1,244,425        —        1,072,411  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ (75,628 )     $ (2,729,396 )     $ 7,610,620      $ 1,498,464      $ —      $ 6,304,060  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 

 

      Commodity
Contracts		     

Credit

Contracts

     

Equity

Contracts

      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		     

Other

Contracts

      Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ 863,036      $ —      $ (50,727 )     $ —      $ 812,309  

Forward foreign currency exchange contracts

      —        —        —        (552,663 )       —        —        (552,663 ) 

Options purchased(a)

      —        —        45,947        —        —        —        45,947  

Swaps

      —        (836,216 )       (30,215 )       —        (538,912 )       —        (1,405,343 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ (836,216 )     $ 878,768      $ (552,663 )     $ (589,639 )     $ —      $ (1,099,750 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

 

 

 

64    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

    $ 189,449  

Average notional value of contracts — short

    $ 11,512,240  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

    $ 159,803,342  

Average amounts sold — in USD

    $ 81,333,869  

Options:

 

Average value of option contracts purchased

    $ 113,637  

Average value of option contracts written

    $ 66,482  

Average notional value of swaption contracts purchased

    $ 6,250,000  

Average notional value of swaption contracts written

    $ 6,250,000  

Credit default swaps:

 

Average notional value — buy protection

    $ 57,700  

Average notional value — sell protection

    $ 21,850,902  

Total return swaps:

 

Average notional value

    $ 14,609,085  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Futures contracts

    $ 7,219        $ 1,649  

Swaps — Centrally cleared

      10,930          —  

Forward foreign currency exchange contracts

      935,168          86,105  

Options(a)

      1,142          —  

Swaps — OTC(b)

      92,032          588,201  
  

 

 

       

 

 

  

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

    $ 1,046,491        $ 675,955  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

      (19,291 )         (1,649 ) 
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 1,027,200        $ 674,306  
  

 

 

       

 

 

  

 

  (a) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments.

 
  (b) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement of Assets and Liabilities.

 

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Received		        Cash
Collateral
Received		        Net Amount
of Derivative
Assets  (b)(c)		  

Bank of America N.A.

    $ 21        $ (21 )       $ —        $ —        $ —  

Barclays Bank PLC

      71,495          (71,495 )         —          —          —  

BNP Paribas S.A.

      822,436          —          —          —          822,436  

Citibank N.A.

      2,898          (2,898 )         —          —          —  

Credit Suisse International

      7,384          (7,384 )         —          —          —  

Goldman Sachs International

      19,579          (19,579 )         —          —          —  

JPMorgan Chase Bank N.A.

      5,139          (5,139 )         —          —          —  

Morgan Stanley & Co. International PLC

      7,132          (7,132 )         —          —          —  

National Australia Bank Ltd.

      15,517          —          —          —          15,517  

Natwest Markets PLC

      10,311          —          —          —          10,311  

Nomura International PLC

      14,242          —          —          —          14,242  

State Street Bank and Trust Co.

      51,046          (47,907 )         —          —          3,139  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 1,027,200        $ (161,555 )       $ —        $ —        $ 865,645  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      65  

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Derivative Financial Instruments — Offsetting as of Period End (continued)

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Pledged		        Cash
Collateral
Pledged (d)		        Net Amount
of Derivative
Liabilities  (c)(e)		  

Bank of America N.A.

    $ 20,234        $ (21 )       $ —        $ —        $ 20,213  

Barclays Bank PLC

      459,530          (71,495 )         —          (388,035 )         —  

Citibank N.A.

      28,503          (2,898 )         —          —          25,605  

Credit Suisse International

      11,514          (7,384 )         —          —          4,130  

Goldman Sachs International

      23,549          (19,579 )         —          —          3,970  

JPMorgan Chase Bank N.A.

      51,551          (5,139 )         —          —          46,412  

Morgan Stanley & Co. International PLC

      31,518          (7,132 )         —          —          24,386  

State Street Bank and Trust Co.

      47,907          (47,907 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 674,306        $ (161,555 )       $ —        $ (388,035 )       $ 124,716  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (e) 

Net amount represents the net amount payable due to counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

                  

Asset-Backed Securities

    $ —        $ 21,644,575        $ —        $ 21,644,575  

Common Stocks(a)

     15,982,552          72,564          2,187,341          18,242,457  

Corporate Bonds(a)

      452,588          1,608,927,684          8,973,581          1,618,353,853  

Floating Rate Loan Interests

     —          159,154,321          9,956,568          169,110,889  

Other Interests

     —          —          12          12  

Preferred Securities(a)

      6,713,645          70,050,553          2,496,335          79,260,533  

Options Purchased

                  

Equity contracts

      1,142          —          —          1,142  
  

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

    $ 23,149,927        $ 1,859,849,697        $ 23,613,837        $ 1,906,613,461  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments valued at NAV(b)

                     411,746  
                 

 

 

  

Total Investments

                   $ 1,907,025,207  
                 

 

 

  

Derivative Financial Instruments(c)

                  

Assets:

                 

Credit contracts

   $ —        $ 403,112        $ —        $ 403,112  

Equity contracts

     1,532          —          —          1,532  

Forward foreign currency contracts

     —          935,168          —          935,168  

Liabilities:

                 

Credit contracts

     —          (189,263 )         —          (189,263 ) 

Equity contracts

     (218,756 )         —          —          (218,756 ) 

Forward foreign currency contracts

     —          (86,105 )         —          (86,105 ) 

Interest rate contracts

     (70,087 )         —          —          (70,087 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (287,311 )       $ 1,062,912        $ —        $ 775,601  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

See above Consolidated Schedule of Investments for values in each industry.

 
  (b) 

Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (c) 

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

 

   

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $486,000,000 are categorized as Level 2 within the disclosure hierarchy.

 

 

 

66    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (continued)

August 31, 2019

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Fair Value Hierarchy as of Period End (continued)

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

    

Common

Stocks

    

Asset-Backed

Securities

    

Corporate

Bonds

    

Floating

Rate Loan

Interests

    

Other

Interests

    

Preferred

Securities

     Warrants     Options
Purchased		     Total  

Assets:

                  

Opening Balance, as of August 31, 2018

   $ 9,168,699     $ 1,000,000     $ —     $ 14,287,373     $ 12     $ 94,980     $ —     $ —     $ 24,551,064  

Transfers into Level 3

     —       —       74,590       3,977,269       —       2,697,437       —       —       6,749,296  

Transfers out of Level 3

     —       (500,000 )      —       (3,619,434 )      —       —       —       —       (4,119,434 ) 

Accrued discounts/premiums

     —       —       15,807       20,284       —       —       —       —       36,091  

Net realized gain (loss)

     (1,911 )      (12,975 )      33,078       (34,526 )      —       (1,622,239 )      (65 )      (38,133 )      (1,676,771 ) 

Net change in unrealized appreciation (depreciation)(a)(b)

     (6,979,447 )      —       250,184       (441,482 )      —       2,500,819       65       38,133       (4,631,728 ) 

Purchases

     —       —       8,633,000       1,513,195       —       —       —       —       10,146,195  

Sales

     —       (487,025 )      (33,078 )      (5,746,111 )      —       (1,174,662 )      —       —       (7,440,876 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Closing Balance, as of August 31, 2019

   $ 2,187,341     $ —     $ 8,973,581     $ 9,956,568     $ 12     $ 2,496,335     $ —     $ —     $ 23,613,837  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019(b)

   $ (6,981,357 )    $ —     $ 250,184     $ (419,996 )    $ —     $ 2,116,448     $ —     $ —     $ (5,034,721 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

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

See notes to financial statements.

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      67  

Statements of Assets and Liabilities

August 31, 2019

 

     BHK      HYT (a)  

ASSETS

 

Investments at value — unaffiliated(b)

   $ 1,107,791,610      $ 1,907,025,207  

Investments at value — affiliated(c)

     17,476,265        —  

Cash

     63,430        —  

Cash pledged:

 

Collateral — OTC derivatives

     1,698,000        410,000  

Centrally cleared swaps

     1,881,940        975,000  

Futures contracts

     2,252,366        454,150  

Foreign currency at value(d)

     11,643,232        2,446,039  

Receivables:

 

Investments sold

     360,258        9,442,271  

Swaps

     —        2,908  

Dividends — affiliated

     35,179        1,747  

Dividends — unaffiliated

     27,421        —  

Interest — unaffiliated

     11,340,955        28,893,632  

Variation margin on futures contracts

     271,323        7,219  

Variation margin on centrally cleared swaps

     —        10,930  

Swap premiums paid

     2,160        3,397  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

     707,978        935,168  

OTC swaps

     3,145,999        88,635  

Prepaid expenses

     9,470        20,347  
 

 

 

     

 

 

  

Total assets

     1,158,707,586        1,950,716,650  
 

 

 

     

 

 

  

LIABILITIES

 

Bank overdraft

     —        883,330  

Cash received:

     

Collateral — reverse repurchase agreements

     14,827,235        —  

Collateral — OTC derivatives

     750,000        —  

Options written at value(e)

     8,654,296        —  

Reverse repurchase agreements at value

     273,620,756        —  

Payables:

 

Investments purchased

     2,087,707        18,760,669  

Bank borrowings

     —        486,000,000  

Income dividend distributions

     69,517        173,705  

Interest expense

     —        1,322,422  

Investment advisory fees

     469,533        976,745  

Trustees’ and Officer’s fees

     224,537        640,691  

Other accrued expenses

     476,804        846,893  

Principal paydowns

     314,226        —  

Variation margin on futures contracts

     162,844        1,649  

Variation margin on centrally cleared swaps

     2,777        —  

Swap premiums received

     4,834,069        398,938  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

     505,758        86,105  

OTC swaps

     57,500        189,263  
 

 

 

     

 

 

  

Total liabilities

     307,057,559        510,280,410  
 

 

 

     

 

 

  

NET ASSETS

   $ 851,650,027      $ 1,440,436,240  
 

 

 

     

 

 

  

NET ASSETS CONSIST OF

     

Paid-in capital(f)(g)(h)

   $ 755,543,973      $ 1,579,610,225  

Accumulated earnings (loss)

     96,106,054        (139,173,985 ) 
 

 

 

     

 

 

  

NET ASSETS

   $ 851,650,027      $ 1,440,436,240  
 

 

 

     

 

 

  

Net asset value

   $ 15.79      $ 11.82  
 

 

 

     

 

 

  

(a) Consolidated Statement of Assets and Liabilities.

     

(b) Investments at cost — unaffiliated

   $ 1,014,114,155      $ 1,902,425,374  

(c) Investments at cost — affiliated

   $ 17,476,265      $ —  

(d) Foreign currency at cost

   $ 11,771,729      $ 2,452,333  

(e) Premiums received

   $ 8,608,351      $ —  

(f)  Par value

   $ 0.001      $ 0.100  

(g) Shares outstanding

     53,935,126        121,904,056  

(h) Shares authorized

     Unlimited        200 million  

See notes to financial statements.

 

 

68    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations

Year Ended August 31, 2019

 

     BHK     HYT (a)  

INVESTMENT INCOME

 

Interest — unaffiliated

   $ 47,922,213     $ 127,091,341  

Dividends — unaffiliated

     440,156       1,067,722  

Dividends — affiliated

     264,839       127,491  

Other income

     36,122       272,337  

Foreign taxes withheld

     (15,805 )      —  
 

 

 

    

 

 

  

Total investment income

     48,647,525       128,558,891  
 

 

 

    

 

 

  

EXPENSES

 

Investment advisory

     5,267,706       11,934,005  

Professional

     166,186       326,628  

Accounting services

     138,617       210,567  

Custodian

     84,185       91,043  

Transfer agent

     76,861       130,751  

Trustees and Officer

     65,147       121,531  

Printing

     23,963       33,742  

Registration

     20,426       47,268  

Miscellaneous

     94,392       190,991  
 

 

 

    

 

 

  

Total expenses excluding interest expense

     5,937,483       13,086,526  

Interest expense

     7,255,286       18,018,998  
 

 

 

    

 

 

  

Total expenses

     13,192,769       31,105,524  

Less fees waived and/or reimbursed by the Manager

     (8,714 )      (17,769 ) 
 

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     13,184,055       31,087,755  
 

 

 

    

 

 

  

Net investment income

     35,463,470       97,471,136  
 

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

     (3,895,014 )      (74,997,996 ) 

Investments — affiliated

     —       (71,960 ) 

Futures contracts

     7,729,400       (1,533,556 ) 

Forward foreign currency exchange contracts

     1,730,292       7,610,620  

Foreign currency transactions

     (428,352 )      (524,937 ) 

Options written

     (2,009,180 )      878,749  

Swaps

     4,168,558       1,072,411  
 

 

 

    

 

 

  
    7,295,704       (67,566,669 ) 
 

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

    

Investments — unaffiliated

     91,139,302       62,153,443  

Futures contracts

     799,620       812,309  

Forward foreign currency exchange contracts

     (98,874 )      (552,663 ) 

Foreign currency translations

     (82,350 )      (186,511 ) 

Options written

     159,851       —  

Swaps

     (881,236 )      (1,405,343 ) 

Unfunded floating rate loan interests

     (19 )      27,234  
 

 

 

    

 

 

  
    91,036,294       60,848,469  
 

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     98,331,998       (6,718,200 ) 
 

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 133,795,468     $ 90,752,936  
 

 

 

    

 

 

  

 

(a) 

Consolidated Statement of Operations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      69  

Statements of Changes in Net Assets

 

    BHK           HYT(a)  
    Year Ended August 31,           Year Ended August 31,  
     2019     2018            2019     2018  

INCREASE (DECREASE) IN NET ASSETS

          

OPERATIONS

          

Net investment income

   $ 35,463,470     $ 38,873,788       $ 97,471,136     $ 104,628,359  

Net realized gain (loss)

     7,295,704       6,290,767         (67,566,669 )      10,579,959  

Net change in unrealized appreciation (depreciation)

     91,036,294       (50,558,303 )        60,848,469       (51,859,315 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     133,795,468       (5,393,748 )        90,752,936       63,349,003  
 

 

 

    

 

 

      

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(b)(c)

 

      

Decrease in net assets resulting from distributions to shareholders

     (41,530,051 )      (42,069,401 )        (106,289,272 )      (106,302,838 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

 

      

Redemption of shares resulting from share repurchase program (including transaction costs)

     —       —         (26,449,511 )      (20,246,228 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

NET ASSETS(c)

 

      

Total increase (decrease) in net assets

     92,265,417       (47,463,149 )        (41,985,847 )      (63,200,063 ) 

Beginning of year

     759,384,610       806,847,759         1,482,422,087       1,545,622,150  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of year

   $ 851,650,027     $ 759,384,610       $ 1,440,436,240     $ 1,482,422,087  
 

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Consolidated Statements of Changes in Net Assets.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

70    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows

Year Ended August 31, 2019

 

     BHK     HYT (a)  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

   $ 133,795,468     $ 90,752,936  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

Proceeds from sales of long-term investments and principal paydowns

     317,922,067       1,473,012,379  

Purchases of long-term investments

     (288,641,451 )      (1,279,647,035 ) 

Net proceeds from sales (purchases) of short-term securities

     (3,152,469 )      —  

Amortization of premium and accretion of discount on investments and other fees

     2,255,643       (9,348 ) 

Paid-in-kind income

     —       (5,337,738 ) 

Premiums paid on closing options written

     (9,102,465 )      (103,558 ) 

Premiums received from options written

     11,279,972       982,307  

Net realized loss on investments and options written

     5,904,194       74,191,207  

Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

     (92,893,529 )      (60,964,997 ) 

(Increase) Decrease in Assets:

 

Receivables:

 

Dividends — affiliated

     (15,710 )      (62 ) 

Dividends — unaffiliated

     1       105,801  

Interest — unaffiliated

     89,608       1,705,181  

Swaps

     —       (2,908 ) 

Variation margin on futures contracts

     (267,648 )      (7,219 ) 

Variation margin on centrally cleared swaps

     13,605       96,103  

Swap premiums paid

     (2,160 )      236,858  

Prepaid expenses

     3,420       7,548  

Other assets

     4,022       —  

Increase (Decrease) in Liabilities:

 

Cash received:

    

Collateral — reverse repurchase agreements

     14,266,843       —  

Collateral — OTC derivatives

     430,000       (760,000 ) 

Payables:

 

Swaps

     —       (30,995 ) 

Interest expense

    (115,474 )      (419,537 ) 

Investment advisory fees

     13,820       (117,454 ) 

Other accrued expenses

     (42,540 )      7,508  

Trustees’ and Officer’s fees

     11,680       9,633  

Variation margin on futures contracts

     35,848       (40,032 ) 

Variation margin on centrally cleared swaps

     (173,630 )      —  

Swap premiums received

     (72,315 )      25,732  
 

 

 

    

 

 

  

Net cash provided by operating activities

     91,546,800       293,692,310  
 

 

 

    

 

 

  

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Cash dividends paid to Common Shareholders

     (41,527,053 )      (106,535,219 ) 

Payments on bank borrowings

     —       (694,000,000 ) 

Payments on Common Shares redeemed

     —       (27,223,380 ) 

Proceeds from bank borrowings

     —       533,000,000  

Increase (decrease) in bank overdraft

     (26,236 )      721,532  

Net borrowing of reverse repurchase agreements

     (42,479,504 )      —  
 

 

 

    

 

 

  

Net cash used for financing activities

     (84,032,793 )      (294,037,067 ) 
 

 

 

    

 

 

  

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

   $ (81,863 )    $ (7,204 ) 
 

 

 

    

 

 

  

CASH AND FOREIGN CURRENCY

 

Net increase (decrease) in restricted and unrestricted cash and foreign currency

     7,432,144       (351,961 ) 

Restricted and unrestricted cash and foreign currency at beginning of year

     10,106,824       4,637,150  
 

 

 

    

 

 

  

Restricted and unrestricted cash and foreign currency at end of year

   $ 17,538,968     $ 4,285,189  
 

 

 

    

 

 

  

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the year for interest expense

   $ 7,370,760     $ 18,438,535  
 

 

 

    

 

 

  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      71  

Statements of Cash Flows  (continued)

Year Ended August 31, 2019

 

 

     BHK      HYT(a)  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

 

Cash

   $ 63,430      $ —  

Cash pledged:

 

Collateral — OTC derivatives

     1,698,000        410,000  

Futures contracts

     2,252,366        454,150  

Centrally cleared swaps

     1,881,940        975,000  

Foreign currency at value

     11,643,232        2,446,039  
 

 

 

     

 

 

  
  $ 17,538,968      $ 4,285,189  
 

 

 

     

 

 

  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

 

Cash pledged:

 

Collateral — reverse repurchase agreements

   $ 1,214,000      $ —  

Collateral — OTC derivatives

     4,520,000        —  

Futures contracts

     983,095        1,295,150  

Centrally cleared swaps

     1,553,940        3,342,000  

Foreign currency at value

     1,835,789        —  
 

 

 

     

 

 

  
  $ 10,106,824      $ 4,637,150  
 

 

 

     

 

 

  

 

(a) 

Consolidated Statement of Cash Flows

See notes to financial statements.

 

 

72    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights

(For a share outstanding throughout each period)

 

    BHK  
    Year Ended August 31,  
     2019      2018      2017      2016      2015  

Net asset value, beginning of year

   $ 14.08      $ 14.96      $ 15.25      $ 14.29      $ 15.24  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income(a)

     0.66        0.72        0.76        0.79        0.86  

Net realized and unrealized gain (loss)

     1.82        (0.82 )       (0.27 )       1.01        (0.73 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     2.48        (0.10 )       0.49        1.80        0.13  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions(b)

 

From net investment income

     (0.73 )       (0.78 )       (0.78 )       (0.84 )       (1.04 ) 

From net realized gain

     (0.04 )       —        —        —        —  

In excess of net investment income(c)

     —        —        —        —        (0.04 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions

     (0.77 )       (0.78 )       (0.78 )       (0.84 )       (1.08 ) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of year

   $ 15.79      $ 14.08      $ 14.96      $ 15.25      $ 14.29  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Market price, end of year

   $ 14.56      $ 12.85      $ 14.10      $ 14.33      $ 12.63  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return(d)

 

Based on net asset value

     18.86 %       (0.24 )%       3.88 %       13.67 %       1.62 % 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Based on market price

     20.09 %       (3.40 )%       4.20 %       20.85 %       0.35 % 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets

 

Total expenses

     1.72 %       1.60 %       1.16 %       0.97 %       0.95 %(e) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     1.72 %       1.60 %       1.16 %       0.97 %       0.95 %(e) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.77 %       0.82 %       0.78 %       0.78 %       0.82 %(e) 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

     4.63 %       4.99 %       5.19 %       5.48 %       5.83 % 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Supplemental Data

 

Net assets, end of year (000)

   $ 851,650      $ 759,385      $ 806,848      $ 822,549      $ 770,822  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Borrowings outstanding, end of year (000)

   $ 273,621      $ 316,216      $ 289,078      $ 288,239      $ 303,651  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Portfolio turnover rate(f)

     27 %       28 %       32 %       35 %       55 % 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Taxable distribution.

(d)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015.

(f) 

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

     Year Ended August 31,  
  2019            2018            2017            2016             2015         

Portfolio turnover rate (excluding MDRs)

     27 %        28 %        32 %        35 %         51 %   
 

 

 

      

 

 

      

 

 

      

 

 

       

 

 

    

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      73  

Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    HYT  
    Year Ended August 31,  
     2019      2018      2017     2016     2015  

Net asset value, beginning of year

   $ 11.90      $ 12.22      $ 11.79     $ 12.06     $ 13.47  
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.79        0.83        0.85       0.82       0.87  

Net realized and unrealized gain (loss)

     (0.01 )       (0.31 )       0.47       (0.10 )      (1.31 ) 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     0.78        0.52        1.32       0.72       (0.44 ) 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Distributions from net investment income(b)

     (0.86 )       (0.84 )       (0.89 )      (0.99 )      (0.97 ) 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of year

   $ 11.82      $ 11.90      $ 12.22     $ 11.79     $ 12.06 (c) 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Market price, end of year

   $ 10.51      $ 10.70      $ 11.13     $ 10.88     $ 9.97  
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total Return(d)

 

Based on net asset value

     8.06 %       5.25 %       12.41 %(e)      7.76 %      (2.40 )%(c) 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Based on market price

     6.86 %       3.91 %       10.94 %      20.29 %      (9.96 )% 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(f)

 

Total expenses

     2.19 %       1.99 %       1.54 %      1.39 %(g)      1.37 % 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     2.19 %       1.99 %       1.54 %      1.39 %      1.37 % 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.92 %       0.94 %       0.91 %      0.93 %      0.96 % 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income

     6.87 %       6.88 %       7.04 %      7.30 %      6.88 % 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Supplemental Data

 

Net assets, end of year (000)

   $ 1,440,436      $ 1,482,422      $ 1,545,622     $ 1,492,948     $ 1,527,307  
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of year (000)

   $ 486,000      $ 647,000      $ 649,000     $ 604,000     $ 631,000  
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Asset coverage, end of year per $1,000

   $ 3,965      $ 3,292      $ 3,382     $ 3,472     $ 3,419  
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Portfolio turnover rate

     64 %       65 %       75 %      66 %      57 % 
 

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

For financial reporting purposes, the market value of certain total return swaps were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on August 31, 2015.

(d) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) 

Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(f) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Year Ended August 31,  
     2019            2018            2017            2016            2015         

Investments in underlying funds

     — %        0.01 %        0.04 %        0.11 %        — %   
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

 

(g) 

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively.

See notes to financial statements.

 

 

74    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Core Bond Trust

   BHK    Delaware    Diversified

BlackRock Corporate High Yield Fund, Inc.

   HYT    Maryland    Diversified

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (collectively, the “Taxable Subsidiaries”), which are wholly-owned taxable subsidiaries of HYT which held shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp., during the period. Gains on the sale of such shares will generally not be subject to capital gains taxes in Canada. Income earned on the investment held by the Taxable Subsidiaries may be taxable to such subsidiary in Luxembourg. An income tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiaries as of period end were $ 441,861, which is less than 0.1% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to HYT.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

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

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

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

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, futures contracts, forward foreign currency exchange contracts, options written, swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the Trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act, (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate

 

 

NOTES TO FINANCIAL STATEMENTS      75  

Notes to Financial Statements  (continued)

 

return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

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

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance on the Trusts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

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

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

  •  

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing 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 may be valued at the last available bid (long positions) or ask (short positions) price.

 

  •  

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

  •  

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

 

  •  

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

  •  

Futures contracts traded on exchanges are valued at their last sale price.

 

  •  

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

76    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

 

  •  

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

 

  •  

Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

  

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii) recapitalizations and other transactions across the capital structure; and

(iii)   market multiples of comparable issuers.

Income approach

  

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii) quoted prices for similar investments or assets in active markets; and

(iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

  

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)   relevant news and other public sources; and

(iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

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

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

  •  

Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

  •  

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by

 

 

NOTES TO FINANCIAL STATEMENTS      77  

Notes to Financial Statements  (continued)

 

Private Companies. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of August 31, 2019, certain investments of HYT were valued using net asset value per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically 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 will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) 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 Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred 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.

 

 

78    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

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

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

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

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund 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. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

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

 

 

NOTES TO FINANCIAL STATEMENTS      79  

Notes to Financial Statements  (continued)

 

For the year ended August 31, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BHK were $287,302,376 and 2.53% respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of BHK’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

Counterparty    Reverse Repurchase
Agreements		        Fair Value of Non-cash Collateral
Pledged  Including Accrued Interest (a)		        Cash Collateral
Pledged/Received		        Net Amount (b)  

Barclays Capital, Inc.

    $ 488,788        $ (488,788 )       $ —        $ —  

Barclays Bank PLC

      2,030,070          (2,030,070 )         —          —  

BNP Paribas S.A.

      79,950,419          (79,950,419 )         —          —  

Citigroup Global Markets, Inc.

      7,304,345          (7,304,345 )         —          —  

Credit Suisse Securities (USA) LLC

      178,001          (178,001 )         —          —  

Deutsche Bank AG

      25,016,102          (24,969,320 )         —          46,782  

HSBC Securities (USA), Inc.

      54,265,222          (54,265,222 )         —          —  

Nomura Securities International, Inc.

      92,454,152          (92,454,152 )         —          —  

TD Securities (USA) LLC

      11,933,657          (11,933,657 )         —          —  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 273,620,756        $ (273,573,974 )       $ —        $ 46,782  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

Net collateral, including accrued interest, with a value of $277,185,415 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the

 

 

80    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amounts reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

  •  

Swaptions — Certain Trusts purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

  •  

Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Trust would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into.

 

  •  

Foreign currency options — Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

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

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

  •  

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

 

 

NOTES TO FINANCIAL STATEMENTS      81  

Notes to Financial Statements  (continued)

 

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

  •  

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

 

  •  

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

  •  

Forward swaps — Certain Trusts enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

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

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

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

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

 

 

82    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

For such services, BHK pays the Manager a monthly fee at an annual rate equal to 0.50% of the average weekly value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” mean the total assets of the Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, HYT pays the Manager a monthly fee at an annual rate equal to 0.60% of the average daily value of the Trust’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” mean the total assets of the Trust minus the sum of its accrued liabilities.

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, HYT pays the Manager based on the HYT’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiaries.

Expense Waivers and Reimbursements: With respect to each Trust, Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended August 31, 2019, the amounts waived were as follows:

 

     BHK      HYT  

Amounts waived

   $ 8,714      $ 1,773  

The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2020. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the year ended August 31, 2019, HYT waived $15,996 in investment advisory fees pursuant to these arrangements.

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

Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended August 31, 2019, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain
(Loss)		  

BHK

   $ 212,014      $ 117,597      $ 10,343  

HYT

     3,374,957        598,543        (11,183 ) 

 

7.

PURCHASES AND SALES

For the year ended August 31, 2019, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BHK      HYT  

Non-U.S. Government Securities

   $ 227,408,070      $ 1,274,369,099  

U.S. Government Securities

     52,229,830        —  
 

 

 

     

 

 

  
  $ 279,637,900      $ 1,274,369,099  
Sales   BHK      HYT  

Non-U.S. Government Securities

   $ 297,393,947      $ 1,475,827,997  

U.S. Government Securities

     11,305,099        —  
 

 

 

     

 

 

  
  $ 308,699,046      $ 1,475,827,997  
 

 

 

     

 

 

  

 

8.

INCOME TAX INFORMATION

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

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2019. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of August 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

 

 

NOTES TO FINANCIAL STATEMENTS      83  

Notes to Financial Statements  (continued)

 

The tax character of distributions paid was as follows:

 

     BHK      HYT  

Ordinary income

     

8/31/19

   $ 41,530,051      $ 106,289,272  

8/31/18

   $ 42,069,401      $ 106,302,838  
 

 

 

     

 

 

  

Total

     

8/31/19

   $ 41,530,051      $ 106,289,272  
 

 

 

     

 

 

  

8/31/18

   $ 42,069,401      $ 106,302,838  
 

 

 

     

 

 

  

As of period end, the tax components of accumulated earnings (loss) were as follows:

 

     BHK      HYT  

Undistributed ordinary income

   $ 2,096,866      $ 1,887,266  

Non-expiring Capital loss carryforwards(a)

     —        (142,310,543 ) 

Net unrealized gains(b)

     94,009,188        1,249,292  
 

 

 

     

 

 

  
  $ 96,106,054      $ (139,173,985 ) 
 

 

 

     

 

 

  

 

  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the accounting for swap agreements, deferral of compensation to trustees, the classification of investments, the investment in a wholly owned subsidiary and dividends recognized for tax purposes.

 

During the year ended August 31, 2019, BHK utilized $1,658,300 of its capital loss carryforward.

As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BHK     HYT  

Tax cost

   $ 1,032,223,293     $ 1,904,264,789  
 

 

 

    

 

 

  

Gross unrealized appreciation

   $ 114,886,106     $ 67,489,110  

Gross unrealized depreciation

     (20,392,643 )      (64,573,747 ) 
 

 

 

    

 

 

  

Net unrealized appreciation

   $ 94,493,463     $ 2,915,363  
 

 

 

    

 

 

  

 

9.

BANK BORROWINGS

HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. As of period end, HYT has not received any notice to terminate. HYT has granted a security interest in substantially all of its assets to SSB.

The SSB Agreement allows for the maximum commitment of $732,000,000 for HYT.

Advances will be made by SSB to HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, HYT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the year ended August 31, 2019, the average amount of bank borrowings and the daily weighted average interest rates for HYT for loans under the revolving credit agreements were $569,558,904 and 3.19%, respectively.

 

10.

PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

 

 

84    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Trust’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that the Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment.

The Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests. The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

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

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: Certain Trusts may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid than, and have more volatile prices than higher quality securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

 

 

NOTES TO FINANCIAL STATEMENTS      85  

Notes to Financial Statements  (continued)

 

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. 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.

 

11.

CAPITAL SHARE TRANSACTIONS

BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued common shares to preferred shares without the approval of Common Shareholders.

Each Trust participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2017 through November 30, 2018, each Trust was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. From December 1, 2018 through November 30, 2019, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in HYT’s Consolidated Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     HYT  
     Shares      Amount  

Year Ended August 31, 2019

     2,645,529      $ 26,449,511  

Year Ended August 31, 2018

     1,909,403      $ 20,246,228  

For the year ended August 31, 2019 and for the year ended August 31, 2018, shares issued and outstanding remained constant for BHK.

 

12.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Trusts have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018, were classified as follows:

 

     Net Investment Income  

BHK

   $ 42,069,401  

HYT

     106,302,838  

Undistributed net investment income as of August 31, 2018, was as follows:

 

     Undistributed
Net Investment Income		  

BHK

   $ 511,188  

HYT

     1,956,326  

 

13.

SUBSEQUENT EVENTS

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

 

     Common Dividend
Per Share		  
     Paid (a)      Declared (b)  

BHK

   $ 0.0600      $ 0.0676  

HYT

     0.0720        0.0779  

 

  (a) 

Net investment income dividend paid on September 30, 2019 to Common Shareholders of record on September 16, 2019.

 
  (b) 

Net investment income dividend declared on October 1, 2019 to Common Shareholders of record on October 15, 2019.

 

 

 

86    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

On September 5, 2019, each Trust announced a continuation of its open market share repurchase program. Commencing on December 1, 2019, each Trust may repurchase through November 30, 2020, up to 5% of its common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.

On September 5, 2019, the Board approved a change in the fiscal year end (“FYE”) of BHK and HYT, effective as of December 31, 2019, as follows:

 

     Current FYE      Approved FYE  

BHK

     August 31        December 31  

HYT

     August 31        December 31  

 

 

NOTES TO FINANCIAL STATEMENTS      87  

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees/Directors of BlackRock Core Bond Trust and BlackRock Corporate High Yield Fund, Inc.:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of BlackRock Core Bond Trust, including the schedule of investments, as of August 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. We have also audited the accompanying consolidated statement of assets and liabilities of BlackRock Corporate High Yield Fund, Inc. (collectively with the BlackRock Core Bond Trust, the “Funds”), including the consolidated schedule of investments, as of August 31, 2019, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2019, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

October 22, 2019

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

88    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Important Tax Information  (unaudited)

 

During the fiscal year ended August 31, 2019, the following information is provided with respect to the ordinary income distributions paid:

 

     Payable Dates    BHK      HYT  

Qualified Dividend Income for Individuals(a)

   September 2018      13.91 %       4.83 % 
  October 2018 — January 2019      13.74        4.74  
  February 2019 — August 2019      12.04        3.42  

Dividends Qualifying for the Dividends Received Deduction for Corporations(a)

   September 2018 — August 2019      9.28        2.72  

Interest-Related Dividends for Non-U.S. Residents(b)

   September 2018 — January 2019      67.17        74.37  
  February 2019 — August 2019      68.47        76.96  

Federal Obligation Interest(c)

   September 2018 — August 2019      8.61        0.00  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

 

 

 

IMPORTANT TAX INFORMATION      89  

Disclosure of Investment Advisory Agreements

 

The Board of Trustees of BlackRock Core Bond Trust (“BHK”) and the Board of Directors of BlackRock Corporate High Yield Fund, Inc. (“HYT” and together with BHK, the “Funds” and each, a “Fund”) (collectively, the “Board,” the members of which are referred to as “Board Members”) met in person on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements” or the “Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.

Activities and Composition of the Board

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

The Agreements

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; accounting, administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of management.

During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analyses of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the May Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) fund expenses and potential fee waivers; (c) differences in services provided and management fees between closed-end funds and other product channels; and (d) BlackRock’s option overwrite strategy.

 

 

90    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements  (continued)

 

At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance and each Fund’s investment objective, strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

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

B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Fund’s performance as of December 31, 2018. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and the performance of BHK as compared with its custom benchmark. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and the Performance Peer funds (for example, the investment objective(s) and investment strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to affect long-term performance disproportionately.

The Board noted that for the one-, three- and five-year periods reported, BHK underperformed, underperformed and outperformed, respectively, its customized benchmark. The Board noted that BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BHK, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BHK’s underperformance during the applicable periods.

The Board noted that for the one-, three- and five-year periods reported, HYT ranked in the third, third and second quartiles, respectively, against its Performance Peers. The Board and BlackRock reviewed HYT’s underperformance during the applicable periods.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS      91  

Disclosure of Investment Advisory Agreements  (continued)

 

reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2018 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is difficult.

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

In addition, the Board considered the estimated cost of the services provided to each Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management of each Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Funds, to each Fund. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that BHK’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to the Expense Peers.

The Board noted that HYT’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

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

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

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

 

 

92    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements  (continued)

 

Conclusion

The Board, including the Independent Board Members, approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2020. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS      93  

Automatic Dividend Reinvestment Plan

 

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

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

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

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

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

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

94    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Trustee and Officer Information

 

Independent Trustees (a)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”)  Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

Richard E. Cavanagh

1946

    Co-Chair of the Board and Trustee
(Since 2007)		    Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    87 RICs consisting of 111 Portfolios    None

Karen P. Robards

1950

    Co-Chair of the Board and Trustee
(Since 2007)		    Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.    87 RICs consisting of 111 Portfolios    Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

    Trustee
(Since 2011)		    Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.    87 RICs consisting of 111 Portfolios    None

Cynthia L. Egan

1955

    Trustee
(Since 2016)		    Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    87 RICs consisting of 111 Portfolios    Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi (d)

1948

   

Trustee
(Since 2007)

    Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011.    88 RICs consisting of 112 Portfolios    None

Henry Gabbay

1947

    Trustee
(Since 2019)		    Board Member, BlackRock Equity-Bond Board from 2007 to 2018; Board Member, BlackRock Equity-Liquidity and BlackRock Closed-End Fund Boards from 2007 through 2014; Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.    87 RICs consisting of 111 Portfolios    None

 

 

TRUSTEE AND OFFICER INFORMATION      95  

Trustee and Officer Information  (continued)

 

Independent Trustees (a) (continued)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”)  Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

R. Glenn Hubbard

1958

    Trustee
(Since 2007)		    Dean, Columbia Business School from 2004-2019; Faculty member, Columbia Business School since 1988.    87 RICs consisting of 111 Portfolios    ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014

W. Carl Kester (d)

1951

    Trustee
(Since 2007)		    George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    88 RICs consisting of 112 Portfolios    None

Catherine A. Lynch (d)

1961

    Trustee
(Since 2016)		    Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    88 RICs consisting of 112 Portfolios    None
Interested Trustees (a)(e)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

Robert Fairbairn

1965

    Trustee
(Since 2018)		    Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.    125 RICs consisting of 293 Portfolios    None

John M. Perlowski (d)

1964

    Trustee
(Since 2015);
President and Chief Executive Officer
(Since 2010)		    Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    126 RICs consisting of 294 Portfolios    None

(a) The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate.

(c) Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Mr. Gabbay became a member of the boards of the open-end funds in the BlackRock Fixed-Income Complex in 2007.

(d) Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund.

(e) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

 

 

96    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Trustee and Officer Information  (continued)

 

 

Officers Who Are Not Trustees (a)
     
Name
Year of Birth (b)		    Position(s) Held
(Length of Service)		    Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

    Vice President
(Since 2015)		    Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.

Neal J. Andrews

1966

    Chief Financial Officer
(Since 2007)		    Chief Financial Officer of the iShares® exchange traded funds since 2019; Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife

1970

    Treasurer
(Since 2007)		    Managing Director of BlackRock, Inc. since 2007.

Charles Park

1967

    Chief Compliance Officer
(Since 2014)		    Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

    Secretary
(Since 2012)		    Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) Officers of the Trust serve at the pleasure of the Board.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

TRUSTEE AND OFFICER INFORMATION      97  

Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 29, 2019 for shareholders of record on May 30, 2019, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Shareholders elected the Class III Trustees as follows:

 

  

 

   Richard E. Cavanagh     Cynthia L. Egan     Robert Fairbairn     Henry Gabbay  
     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

BHK

     46,150,778       2,923,907       47,814,603       1,260,082       47,852,109       1,222,576       47,862,203       1,212,482  

For the Trust listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, R. Glenn Hubbard, Catherine A. Lynch, John M. Perlowski, Karen P. Robards, Frank J. Fabozzi and W. Carl Kester.

Shareholders elected the Class III Trustees as follows:

 

  

 

   Richard E. Cavanagh     Frank J. Fabozzi     Robert Fairbairn     Henry Gabbay  
     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

HYT

     95,356,911       9,979,542       90,334,787       15,001,666       102,184,929       3,151,524       97,124,082       8,212,371  

For the Fund listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Cynthia L. Egan, R. Glenn Hubbard, Catherine A. Lynch, John M. Perlowski, Karen P. Robards and W. Carl Kester.

Trust Certification

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

Dividend Policy

Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.

The distributions paid by each Trust for any particular month may be more or less than the amount of net investment income earned by each Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of the Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.

General Information

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

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

In accordance with Section 23(c) of the Investment Company Act of 1940 the Trusts may from time to time purchase shares of its common stock in the open market or in private transactions.

 

 

98    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Additional Information  (continued)

 

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

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

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

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

Householding

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

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Trusts’ Forms N-PORT and N-Q are available on the SEC’s website at http://www.sec.gov. The Trusts’ Forms N-PORT and N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

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

Availability of Proxy Voting Record

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

Availability of Trust Updates

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

BlackRock Privacy Principles

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

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

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

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

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

 

 

ADDITIONAL INFORMATION      99  

Glossary of Terms Used in this Report

 

Currency
AUD    Australian Dollar
CAD    Canadian Dollar
EGP    Egyptian Pound
EUR    Euro
GBP    British Pound
JPY    Japanese Yen
NGN    Nigerian Naira
NZD    New Zealand Dollar
USD    United States Dollar

 

Portfolio Abbreviations
CLO    Collateralized Loan Obligation
ETF    Exchange-Traded Fund
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
GO    General Obligation Bonds
IO    Interest Only
LIBOR    London Interbank Offered Rate
MTN    Medium-Term Note
PIK    Payment-In-Kind
RB    Revenue Bonds
 

 

 

100    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

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

 

LOGO

 

 

CEFBHK-8/19-AR    LOGO

Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

Henry Gabbay

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

      (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2    (d) All Other Fees
Entity Name    Current
Fiscal Year
End		          Previous
Fiscal Year
End		          Current
Fiscal Year
End		          Previous
Fiscal Year
End		          Current
Fiscal Year
End		          Previous
Fiscal Year
End		          Current
Fiscal Year
End		          Previous    
Fiscal Year    
End      

BlackRock Core

Bond Trust

    $76,602         $76,602         $0         $0         $15,900         $15,900         $0         $0

 

2

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

      Current Fiscal Year End    Previous Fiscal Year End

(b) Audit-Related Fees1

    $0    $0

(c) Tax Fees2

    $0    $0

(d) All Other Fees3

    $2,050,500    $2,274,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,050,500 and $2,274,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement

 

3

of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

Entity Name   

Current Fiscal Year

End

   

Previous Fiscal Year

End

          

BlackRock Core Bond Trust        

    $15,900    $15,900      

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal

Year End

   

Previous Fiscal

Year End

$2,050,500    $2,274,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item  5 – Audit Committee of Listed Registrants

 

  (a)

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

Henry Gabbay

Catherine A. Lynch

Karen P. Robards

 

  (b)

Not Applicable

 

Item 6 –

Investments

 

4

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a)(1)    As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of Thomas Musmanno, Managing Director at BlackRock, James E. Keenan, Managing Director at BlackRock and Scott MacLellan, Director at BlackRock. Messrs. Musmanno, Keenan and MacLellan are the Fund’s co-portfolio managers. Mr. Keenan is responsible for setting the registrant’s overall investment strategy and overseeing the registrant’s investment process and performance. Messrs. Musmanno and MacLellan are responsible for the day-to-day management of the Fund’s portfolio, which includes setting the Fund’s overall investment strategy, overseeing the management of the Fund and/or selection of its investments. Messrs. Musmanno, Keenan and MacLellan have been members of the Fund’s portfolio management team since 2012, 2007 and 2018, respectively.

 

5

             Portfolio Manager    Biography
  Thomas Musmanno     

Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.

 

  James E. Keenan   

Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.

 

  Scott MacLellan   

Director of BlackRock since 2010; Vice President of BlackRock from 2007 to 2009.

 

(a)(2) As of August 31, 2019:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

   

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

   

Other

Registered

Investment

Companies

         

Other Pooled

Investment

Vehicles

         

Other

Accounts

         

Other

Registered

Investment

Companies

         

Other Pooled

Investment

Vehicles

         

Other    

Accounts    

Thomas Musmanno

    12         12         134         0         0         127
     $17.40 Billion         $4.03 Billion         $40.29 Billion         $0         $0         $35.19 Billion

James E. Keenan

    19         32         15         0         11         13
     $29.46 Billion         $15.90 Billion         $7.35 Billion         $0         $9.68 Billion         $7.29 Billion

Scott MacLellan

    12         12         139         0         0         129
     $17.40 Billion         $4.03 Billion         $46.92 Billion         $0         $0         $41.77 Million

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock,

 

6

Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Keenan, Musmanno and MacLellan may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, Musmanno and MacLellan may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2019:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 31, 2019.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year

 

7

periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager    Benchmark
James E. Keenan   

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

 

Thomas Musmanno   Scott MacLellan   

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

 

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. 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. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company

 

8

retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($280,000 for 2019). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of August 31, 2019.

 

Portfolio Manager   

Dollar Range of Equity Securities

of the Fund Beneficially Owned

Thomas Musmanno    $50,001-$100,000
James E. Keenan    $100,001-$500,000
Scott MacLellan    $10,001-$50,000

(b) Not Applicable

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies — Not Applicable

 

Item 13 –

Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

 

9

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

10

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 Core Bond Trust
            By:       /s/ John M. Perlowski                                
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Core Bond Trust
 

Date: November 5, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

            By:       /s/ John M. Perlowski                                
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Core Bond Trust
 

Date: November 5, 2019

 

            By:       /s/ Neal J. Andrews                                
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Core Bond Trust
  Date: November 5, 2019

 

11