Schedule of Investments (unaudited) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
1 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
2 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
3 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
4 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
5 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
6 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
7 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
8 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
9 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
10 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
11 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
12 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
13 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
14 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
15 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
16 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
17 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
18 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
20 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
22 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 12/31/19 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 09/30/20 |
Shares Held at 09/30/20 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 13,516,974 | $ | 13,733,065 | (a) | $ | | $ | | $ | | $ | 27,250,039 | 27,250,039 | $ | 104,490 | $ | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
For Trust compliance purposes, the Trusts 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) |
| ||||||||||||
BNP Paribas S.A. |
0.16 | %(b) | 05/30/19 | Open | $ | 2,547,469 | $ | 2,597,737 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||
BNP Paribas S.A. |
0.16 | (b) | 05/30/19 | Open | 2,250,000 | 2,294,399 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
BNP Paribas S.A. |
0.16 | (b) | 05/30/19 | Open | 1,555,469 | 1,586,163 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
BNP Paribas S.A. |
0.14 | (b) | 01/02/20 | Open | 68,921,500 | 69,250,734 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
0.14 | (b) | 01/02/20 | Open | 25,875,000 | 25,998,604 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
0.14 | (b) | 01/02/20 | Open | 2,912,000 | 2,924,149 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.77 | (b) | 08/20/20 | Open | 2,650,000 | 2,650,363 | U.S. Treasury Obligations | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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) |
| ||||||||||||
Nomura Securities International, Inc. |
0.14 | %(b) | 08/20/20 | Open | $ | 2,912,000 | $ | 2,912,399 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 1,855,125 | 1,855,379 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 16,455,173 | 16,457,426 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 10,875,250 | 10,876,739 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 1,183,750 | 1,183,912 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 3,648,750 | 3,649,250 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 50,930,269 | 50,937,243 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 2,757,000 | 2,757,378 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/01/20 | Open | 3,187,500 | 3,188,695 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Bofa Securities, Inc. |
1.25 | (b) | 09/02/20 | Open | 69,795 | 69,725 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
0.18 | (b) | 09/11/20 | 10/14/20 | 3,853,546 | 3,853,874 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
BNP Paribas S.A. |
0.18 | (b) | 09/11/20 | 10/14/20 | 1,822,847 | 1,823,002 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
BNP Paribas S.A. |
0.18 | (b) | 09/11/20 | 10/14/20 | 5,537,673 | 5,538,144 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.19 | (b) | 09/11/20 | 10/14/20 | 9,308,232 | 9,309,067 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.19 | (b) | 09/11/20 | 10/14/20 | 10,032,762 | 10,033,662 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.19 | (b) | 09/11/20 | 10/14/20 | 14,228,787 | 14,230,063 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Nomura Securities International, Inc. |
0.19 | (b) | 09/11/20 | 10/14/20 | 6,858,680 | 6,859,295 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 5,007,355 | 5,007,805 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 490,634 | 490,678 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 1,657,293 | 1,657,442 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 1,813,337 | 1,813,500 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 1,173,162 | 1,173,267 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 1,309,548 | 1,309,666 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 5,009,295 | 5,009,744 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 591,550 | 591,603 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
Royal Bank of Canada |
0.19 | (b) | 09/11/20 | 10/14/20 | 1,669,628 | 1,669,777 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/11/20 | Open | 639,375 | 639,535 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/11/20 | Open | 3,951,406 | 3,952,394 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/11/20 | Open | 2,367,575 | 2,368,167 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/11/20 | Open | 2,210,000 | 2,210,553 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.40 | (b) | 09/21/20 | Open | 5,474,000 | 5,474,608 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
0.40 | (b) | 09/21/20 | Open | 7,516,875 | 7,517,710 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | 293,109,610 | $ | 293,723,851 | |||||||||||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
24 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
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 |
||||||||||||||||
Short Term Euro BTP |
558 | 12/08/20 | $ | 74,104 | $ | 204,946 | ||||||||||
90-Day Euro-Dollar |
605 | 12/14/20 | 150,879 | 91,415 | ||||||||||||
10-Year U.S. Ultra Note |
154 | 12/21/20 | 24,628 | 59,066 | ||||||||||||
U.S. Ultra Treasury Bond |
157 | 12/21/20 | 34,825 | (122,305 | ) | |||||||||||
5-Year U.S. Treasury Note |
149 | 12/31/20 | 18,779 | 13,336 | ||||||||||||
|
|
|||||||||||||||
246,458 | ||||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
Euro-Schatz Futures |
641 | 12/08/20 | 84,390 | (26,867 | ) | |||||||||||
10-Year U.S. Treasury Note |
671 | 12/21/20 | 93,625 | (313,255 | ) | |||||||||||
Long U.S. Treasury Bond |
33 | 12/21/20 | 5,817 | (8,359 | ) | |||||||||||
2-Year U.S. Treasury Note |
639 | 12/31/20 | 141,194 | (88,443 | ) | |||||||||||
90-Day Euro-Dollar |
605 | 12/19/22 | 150,849 | (149,022 | ) | |||||||||||
|
|
|||||||||||||||
(585,946 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (339,488 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
EUR | 3,049,500 | USD | 3,570,964 | UBS AG | 10/05/20 | $ | 4,643 | |||||||||||||||
GBP | 396,000 | USD | 509,249 | BNP Paribas S.A. | 10/05/20 | 1,736 | ||||||||||||||||
GBP | 4,121,000 | USD | 5,295,073 | HSBC Bank PLC | 10/05/20 | 22,527 | ||||||||||||||||
USD | 118,473 | EUR | 100,000 | State Street Bank and Trust Co. | 10/05/20 | 1,220 | ||||||||||||||||
USD | 226,888 | EUR | 191,000 | State Street Bank and Trust Co. | 10/05/20 | 2,936 | ||||||||||||||||
USD | 6,954,488 | EUR | 5,816,000 | UBS AG | 10/05/20 | 135,096 | ||||||||||||||||
USD | 5,486,209 | GBP | 4,121,000 | Bank of America N.A. | 10/05/20 | 168,609 | ||||||||||||||||
USD | 529,746 | GBP | 398,000 | Citibank N.A. | 10/05/20 | 16,180 | ||||||||||||||||
USD | 133,071 | NZD | 198,000 | Bank of America N.A. | 10/05/20 | 2,084 | ||||||||||||||||
USD | 3,582,324 | EUR | 3,049,500 | BNP Paribas S.A. | 11/04/20 | 4,503 | ||||||||||||||||
EUR | 5,510,000 | NOK | 60,127,056 | Goldman Sachs International | 12/16/20 | 23,636 | ||||||||||||||||
EUR | 5,610,000 | USD | 6,576,480 | Natwest Markets PLC | 12/16/20 | 12,050 | ||||||||||||||||
NZD | 9,756,941 | AUD | 8,960,000 | Barclays Bank PLC | 12/16/20 | 35,401 | ||||||||||||||||
USD | 6,506,032 | EUR | 5,520,000 | JPMorgan Chase Bank N.A. | 12/16/20 | 23,201 | ||||||||||||||||
|
|
|||||||||||||||||||||
453,822 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||
EUR | 3,049,500 | USD | 3,580,099 | BNP Paribas S.A. | 10/05/20 | (4,491 | ) | |||||||||||||||
USD | 7,731 | JPY | 819,000 | JPMorgan Chase Bank N.A. | 10/05/20 | (35 | ) | |||||||||||||||
USD | 3,573,175 | EUR | 3,049,500 | UBS AG | 11/04/20 | (4,646 | ) | |||||||||||||||
USD | 509,330 | GBP | 396,000 | BNP Paribas S.A. | 11/04/20 | (1,736 | ) | |||||||||||||||
USD | 5,295,909 | GBP | 4,121,000 | HSBC Bank PLC | 11/04/20 | (22,532 | ) | |||||||||||||||
AUD | 8,960,000 | NZD | 9,754,200 | JPMorgan Chase Bank N.A. | 12/16/20 | (33,588 | ) | |||||||||||||||
EUR | 5,520,000 | USD | 6,523,873 | Bank of America N.A. | 12/16/20 | (41,042 | ) | |||||||||||||||
NOK | 58,916,982 | EUR | 5,510,000 | JPMorgan Chase Bank N.A. | 12/16/20 | (153,393 | ) | |||||||||||||||
USD | 6,541,114 | EUR | 5,610,000 | Bank of America N.A. | 12/16/20 | (47,415 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
(308,878 | ) | |||||||||||||||||||||
|
|
|||||||||||||||||||||
$ | 144,944 | |||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
Interest Rate Caps Purchased
Description | Exercise Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.30 | % | Citibank N.A. | 02/14/22 | USD | 77,750 | $ | 388,761 | $ | 136,820 | $ | 251,941 | ||||||||||||||||||
5Y-30Y CMS Index Cap |
0.30 | Citibank N.A. | 02/14/22 | USD | 31,100 | 155,504 | 120,357 | 35,147 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 544,265 | $ | 257,177 | $ | 287,088 | |||||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
90-Day Euro Future |
684 | 12/13/21 | USD | 99.75 | USD | 170,573 | $ | 171,000 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||
10-Year U.S. Treasury Note |
232 | 11/20/20 | USD | 139.50 | USD | 32,364 | 166,750 | |||||||||||||||||||||
10-Year U.S. Treasury Note |
232 | 11/20/20 | USD | 138.00 | USD | 32,016 | 68,875 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
235,625 | ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | 406,625 | |||||||||||||||||||||||||||
|
|
OTC Credit Default Swaptions Purchased
|
|
Paid by the Trust | Received by the Trust | Counterparty | Expiration Date |
Exercise |
Notional Amount (000) |
Value |
| |||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/29/38 |
3.05 | % | Semi-Annual | 3-Month LIBOR | Quarterly | Deutsche Bank AG | 06/27/28 | USD | 3.05 | USD | 3,125 | $ | 313,904 | |||||||||||||||||||||||||||||
|
|
26 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
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 |
||||||||||||||||||||||||||||
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 | $ | 103,915 | ||||||||||||||||
1-Year Interest Rate Swap, 05/22/24 |
3-Month LIBOR, 0.23% | Quarterly | 0.39% | Semi-Annual | Bank of America N.A. |
05/22/23 | 0.39 | USD | 13,770 | 32,124 | ||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 |
3-Month LIBOR, 0.23% | Quarterly | 2.98% | Semi-Annual | Barclays Bank PLC |
03/07/24 | 2.98 | USD | 3,510 | 652,890 | ||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 |
3-Month LIBOR, 0.23% | Quarterly | 2.95% | Semi-Annual | Barclays Bank PLC |
03/12/24 | 2.95 | USD | 3,510 | 643,622 | ||||||||||||||||||
1-Year Interest Rate Swap, 11/07/25 |
3-Month LIBOR, 0.23% | Quarterly | 1.77% | Semi-Annual | JPMorgan Chase Bank N.A. |
11/05/24 | 1.77 | USD | 23,790 | 293,826 | ||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 |
3-Month LIBOR, 0.23% | Quarterly | 1.49% | Semi-Annual | Citibank N.A. |
02/25/25 | 1.49 | USD | 2,570 | 172,012 | ||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 |
3-Month LIBOR, 0.23% | Quarterly | 0.89% | Semi-Annual | Deutsche Bank AG |
04/30/25 | 0.89 | USD | 1,640 | 61,888 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 |
3-Month LIBOR, 0.23% | Quarterly | 1.28% | Semi-Annual | Goldman Sachs Bank USA |
06/04/25 | 1.28 | USD | 1,120 | 62,211 | ||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 |
3-Month LIBOR, 0.23% | Quarterly | 1.43% | Semi-Annual | UBS AG |
06/05/25 | 1.43 | USD | 1,120 | 70,941 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
3-Month LIBOR, 0.23% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 1,930 | 75,405 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
3-Month LIBOR, 0.23% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 620 | 24,223 | ||||||||||||||||||
10-Year Interest Rate Swap, 01/02/39 |
3-Month LIBOR, 0.23% | Quarterly | 3.04% | Semi-Annual | Nomura International Plc |
01/10/29 | 3.04 | USD | 1,000 | 169,747 | ||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 |
3-Month LIBOR, 0.23% | Quarterly | 3.04% | Semi-Annual | Morgan Stanley & Co. International PLC |
01/11/29 | 3.04 | USD | 1,000 | 169,544 | ||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 |
3-Month LIBOR, 0.23% | Quarterly | 3.08% | Semi-Annual | Barclays Bank PLC |
01/29/29 | 3.08 | USD | 1,020 | 176,468 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 |
3-Month LIBOR, 0.23% | Quarterly | 1.05% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/30 | 1.05 | USD | 1,210 | 65,650 | ||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 |
3-Month LIBOR, 0.23% | Quarterly | 2.99% | Semi-Annual | JPMorgan Chase Bank N.A. |
04/27/38 | 2.99 | USD | 910 | 152,605 | ||||||||||||||||||
10-Year Interest Rate Swap, 03/02/39 |
3-Month LIBOR, 0.23% | Quarterly | 2.86% | Semi-Annual | JPMorgan Chase Bank N.A. |
02/22/39 | 2.86 | USD | 933 | 149,203 | ||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 |
3-Month LIBOR, 0.23% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/40 | 0.91 | USD | 730 | 47,284 | ||||||||||||||||||
|
|
|||||||||||||||||||||||||||
3,123,558 | ||||||||||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 |
||||||||||||||||||||||||||||||||||
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 | $ | 435 | ||||||||||||||||||||
30-Year Interest Rate Swap, 06/09/51 |
3.80% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Barclays Bank PLC |
06/07/21 | 3.80 | USD | 3,780 | 1,993 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/29/31 |
1.20% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Deutsche Bank AG |
08/27/21 | 1.20 | USD | 182,200 | 1,794,309 | ||||||||||||||||||||||
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 | 38 | ||||||||||||||||||||||
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 | 22 | ||||||||||||||||||||||
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 | 23 | ||||||||||||||||||||||
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 | 42 | ||||||||||||||||||||||
15-Year Interest Rate Swap, 05/05/37 |
3.25% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Goldman Sachs Bank USA |
05/03/22 | 3.25 | USD | 4,050 | 6,839 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 05/11/52 |
2.85% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Nomura International Plc |
05/09/22 | 2.85 | USD | 4,750 | 36,032 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
2.25% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | JPMorgan Chase Bank N.A. |
08/02/22 | 2.25 | USD | 4,160 | 17,339 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
2.25% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Barclays Bank PLC |
08/08/22 | 2.25 | USD | 4,270 | 18,050 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 |
2.98% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Barclays Bank PLC |
03/07/24 | 2.98 | USD | 3,510 | 18,997 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 |
2.95% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Barclays Bank PLC |
03/12/24 | 2.95 | USD | 3,510 | 19,715 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
2.50% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
06/13/24 | 2.50 | USD | 3,950 | 41,769 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/26 |
2.50% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
06/20/24 | 2.50 | USD | 3,950 | 42,126 | ||||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/25 |
1.77% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | JPMorgan Chase Bank N.A. |
11/05/24 | 1.77 | USD | 23,790 | 21,612 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 |
1.49% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Citibank N.A. |
02/25/25 | 1.49 | USD | 2,570 | 98,253 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 |
0.89% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Deutsche Bank AG |
04/30/25 | 0.89 | USD | 1,640 | 110,912 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 |
1.28% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Goldman Sachs Bank USA |
06/04/25 | 1.28 | USD | 1,120 | 54,769 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 |
1.43% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | UBS AG |
06/05/25 | 1.43 | USD | 1,120 | 48,002 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
0.91% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 620 | 42,670 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
0.91% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 1,930 | 132,827 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/14/37 |
3.00% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | JPMorgan Chase Bank N.A. |
04/12/27 | 3.00 | USD | 2,590 | 39,498 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 |
3.04% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Nomura International Plc |
01/10/29 | 3.04 | USD | 1,000 | 19,551 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 |
3.04% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
01/11/29 | 3.04 | USD | 1,000 | 19,620 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 |
3.08% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Barclays Bank PLC |
01/29/29 | 3.08 | USD | 1,020 | 19,442 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 |
1.05% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/30 | 1.05 | USD | 1,210 | 105,133 | ||||||||||||||||||||||
20-Year Interest Rate Swap, 08/11/53 |
4.00% | Annual | |
6-Month EURIBOR, (0.48%) |
|
Annual | Barclays Bank PLC |
08/09/33 | 4.00 | EUR | 2,410 | 31,838 |
28 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 (continued) |
||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 |
2.99% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | JPMorgan Chase Bank N.A. |
04/27/38 | 2.99 | % | USD | 910 | $ | 29,790 | ||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 |
2.86% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | JPMorgan Chase Bank N.A. |
02/22/39 | 2.86 | USD | 933 | 32,827 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 |
0.91% | Semi-Annual | |
3-Month LIBOR, 0.23% |
|
Semi-Annual | Morgan Stanley & Co. International PLC |
08/07/40 | 0.91 | USD | 730 | 67,660 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
2,872,133 | ||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
$ | 5,995,691 | |||||||||||||||||||||||||||||||||
|
|
Interest Rate Caps Sold
Description | Excercise Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | % | Citibank N.A. | 02/14/22 | USD | 38,875 | $ | (122,290 | ) | $ | (33,044 | ) | $ | (89,246 | ) | |||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | Citibank N.A. | 02/14/22 | USD | 38,875 | (122,290 | ) | (40,041 | ) | (82,249 | ) | |||||||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | Citibank N.A. | 02/14/22 | USD | 31,100 | (97,832 | ) | (72,152 | ) | (25,680 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | (342,412 | ) | $ | (145,237 | ) | $ | (197,175 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Written
Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
90-Day Euro Future |
342 | 12/13/21 | USD | 99.38 | USD | 84,965 | $ | (369,787 | ) | |||||||||||||||||||
90-Day Euro Future |
171 | 12/13/21 | USD | 100.00 | USD | 42,750 | (14,963 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
(384,750 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||
10-Year U.S. Treasury Note |
232 | 11/20/20 | USD | 138.50 | USD | 32,132 | (94,250 | ) | ||||||||||||||||||||
10-Year U.S. Treasury Note |
232 | 11/20/20 | USD | 139.00 | USD | 32,248 | (123,250 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
(217,500 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | (602,250 | ) | ||||||||||||||||||||||||||
|
|
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 |
||||||||||||||||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/21 |
1.58% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | JPMorgan Chase Bank N.A. |
11/05/20 | 1.58 | % | USD | 23,790 | $ | (326,023) | ||||||||||||||||||||
5-Year Interest Rate Swap, 11/11/25 |
0.15% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
11/09/20 | 0.15 | USD | 1,370 | (84) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 11/11/25 |
0.15% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
11/09/20 | 0.15 | USD | 2,220 | (136) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/13/22 |
1.54% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Goldman Sachs Bank USA |
12/11/20 | 1.53 | USD | 12,580 | (333,353) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/16/22 |
1.53% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Citibank N.A. |
12/14/20 | 1.53 | USD | 12,580 | (332,095) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 |
2.79% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Barclays Bank PLC |
03/08/21 | 2.79 | USD | 5,266 | (1,051,883) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 03/19/22 |
0.41% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Morgan Stanley & Co. International PLC |
03/17/21 | 0.41 | USD | 23,790 | (52,492) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
0.69% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Barclays Bank PLC |
04/06/21 | 0.69 | USD | 1,210 | (16,919) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
0.69% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
04/06/21 | 0.69 | USD | 1,210 | (16,686) |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 | |||||||||||||||||||||||||
Call (continued) |
||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
0.71% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Barclays Bank PLC |
04/06/21 | 0.71 | % | USD | 2,420 | $ | (35,966) | ||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
0.73% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Morgan Stanley & Co. International PLC |
04/06/21 | 0.73 | USD | 1,440 | (22,557) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/31 |
0.85% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Morgan Stanley & Co. International PLC |
04/07/21 | 0.85 | USD | 965 | (21,271) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/11/31 |
0.87% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Morgan Stanley & Co. International PLC |
04/09/21 | 0.87 | USD | 2,430 | (56,484) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/16/31 |
0.88% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Barclays Bank PLC |
04/14/21 | 0.88 | USD | 1,220 | (29,094) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 |
0.77% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
04/15/21 | 0.76 | USD | 1,155 | (20,326) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 |
0.79% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Citibank N.A. |
04/15/21 | 0.79 | USD | 1,360 | (25,678) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 |
0.72% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
04/16/21 | 0.72 | USD | 1,155 | (17,750) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
0.74% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Morgan Stanley & Co. International PLC |
04/19/21 | 0.74 | USD | 3,820 | (63,624) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/13/31 |
0.69% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Goldman Sachs Bank USA |
05/13/21 | 0.69 | USD | 2,470 | (36,421) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31 |
0.75% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
06/02/21 | 0.75 | USD | 4,800 | (86,513) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 |
0.74% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
06/25/21 | 0.74 | USD | 2,450 | (45,002) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 |
0.72% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | BNP Paribas S.A. |
06/29/21 | 0.72 | USD | 2,450 | (42,291) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
0.67% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
07/14/21 | 0.67 | USD | 2,490 | (38,647) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/31 |
0.75% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
08/05/21 | 0.75 | USD | 1,195 | (23,407) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
0.63% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
08/09/21 | 0.63 | USD | 14,190 | (210,999) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/29/31 |
0.60% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
08/27/21 | 0.60 | USD | 182,200 | (2,550,151) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 10/02/31 |
0.45% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Bank of America N.A. |
09/30/21 | 0.45 | USD | 3,280 | (33,334) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 |
(0.12%) | Semi-Annual | |
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | Barclays Bank PLC |
04/04/22 | (0.12) | EUR | 5,250 | (100,474) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 |
(0.02%) | Semi-Annual | |
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | Barclays Bank PLC |
04/07/22 | (0.02) | EUR | 6,030 | (142,358) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 |
0.74% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
05/02/22 | 0.74 | USD | 2,540 | (59,829) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 06/17/27 |
0.61% | Quarterly | |
3-Month LIBOR, 0.23% |
Quarterly | Morgan Stanley & Co. International PLC |
06/15/22 | 0.61 | USD | 6,790 | (88,374) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
0.72% | Quarterly | |
3-Month LIBOR, 0.23% |
Quarterly | Deutsche Bank AG |
08/08/22 | 0.72 | USD | 970 | (23,041) | |||||||||||||||||||||||
5-Year Interest Rate Swap, 08/10/27 |
(0.02%) | Semi-Annual | |
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | Barclays Bank PLC |
08/08/22 | (0.02) | EUR | 6,690 | (159,524) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 |
(0.14%) | Semi-Annual | |
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | Barclays Bank PLC |
09/12/22 | (0.14) | EUR | 2,720 | (51,184) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 |
(0.04%) | Semi-Annual | |
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | Barclays Bank PLC |
09/13/22 | (0.04) | EUR | 2,720 | (63,216) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 04/08/24 |
0.61% | Quarterly | |
3-Month LIBOR, 0.23% |
Quarterly | Bank of America N.A. |
04/06/23 | 0.61 | USD | 8,740 | (31,365) |
30 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 | |||||||||||||||||||||||||
Call (continued) |
||||||||||||||||||||||||||||||||||
1-Year Interest Rate Swap, 04/11/24 |
0.69% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Deutsche Bank AG |
04/11/23 | 0.69 | % | USD | 13,770 | $ | (57,547) | ||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 |
3.05% | Quarterly | |
3-Month LIBOR, 0.23% |
|
Quarterly | Barclays Bank PLC |
03/12/29 | 3.05 | USD | 2,840 | (483,688) | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
(6,749,786) | ||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 10/04/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.05% | Semi-Annual | Goldman Sachs Bank USA |
10/02/20 | 1.05 | USD | 12,050 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/04/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.05% | Semi-Annual | Goldman Sachs Bank USA |
10/02/20 | 1.05 | USD | 12,050 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/07/20 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.00% | Semi-Annual | Deutsche Bank AG |
10/05/20 | 1.00 | USD | 12,050 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/07/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.00% | Semi-Annual | Deutsche Bank AG |
10/05/20 | 1.00 | USD | 11,215 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.70% | Semi-Annual | Deutsche Bank AG |
10/13/20 | 0.70 | USD | 9,825 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.70% | Semi-Annual | Deutsche Bank AG |
10/13/20 | 0.70 | USD | 14,160 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.70% | Semi-Annual | Deutsche Bank AG |
10/13/20 | 0.70 | USD | 9,425 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/15/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.75% | Semi-Annual | Deutsche Bank AG |
10/13/20 | 0.75 | USD | 12,770 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 10/16/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.65% | Semi-Annual | Barclays Bank PLC |
10/14/20 | 0.65 | USD | 11,365 | | ||||||||||||||||||||||
10-Year Interest Rate Swap, 11/04/30 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.63% | Semi-Annual | Bank of America N.A. |
11/02/20 | 1.62 | USD | 2,680 | (3) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 11/04/30 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.64% | Semi-Annual | UBS AG |
11/02/20 | 1.63 | USD | 2,680 | (3) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 11/07/21 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.58% | Semi-Annual | JPMorgan Chase Bank N.A. |
11/05/20 | 1.58 | USD | 23,790 | | ||||||||||||||||||||||
5-Year Interest Rate Swap, 11/11/25 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.45% | Semi-Annual | Bank of America N.A. |
11/09/20 | 0.45 | USD | 2,740 | (1,401) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 11/11/25 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.45% | Semi-Annual | Bank of America N.A. |
11/09/20 | 0.45 | USD | 2,220 | (1,135) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 11/29/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.00% | Semi-Annual | Barclays Bank PLC |
11/27/20 | 2.00 | USD | 25,750 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/13/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.54% | Semi-Annual | Goldman Sachs Bank USA |
12/11/20 | 1.53 | USD | 12,580 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/16/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.53% | Semi-Annual | Citibank N.A. |
12/14/20 | 1.53 | USD | 12,580 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/23/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.05% | Semi-Annual | Nomura International Plc |
12/21/20 | 3.05 | USD | 9,510 | | ||||||||||||||||||||||
2-Year Interest Rate Swap, 12/31/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.25% | Semi-Annual | Citibank N.A. |
12/29/20 | 3.25 | USD | 14,110 | | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.79% | Semi-Annual | Barclays Bank PLC |
03/08/21 | 2.79 | USD | 5,266 | (471) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 03/10/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.30% | Annual | JPMorgan Chase Bank N.A. |
03/08/21 | 0.30 | EUR | 12,880 | (133) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 03/19/22 |
|
3-Month LIBOR, 0.23% |
Quarterly | 0.41% | Semi-Annual | Morgan Stanley & Co. International PLC |
03/17/21 | 0.41 | USD | 23,790 | (1,202) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 03/31/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.10% | Annual | Barclays Bank PLC |
03/29/21 | 0.10 | EUR | 18,360 | (532) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.69% | Semi-Annual | Barclays Bank PLC |
04/06/21 | 0.69 | USD | 1,210 | (25,464) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.69% | Semi-Annual | Deutsche Bank AG |
04/06/21 | 0.69 | USD | 1,210 | (25,766) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.71% | Semi-Annual | Barclays Bank PLC |
04/06/21 | 0.71 | USD | 2,420 | (48,303) |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 (continued) |
||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/08/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.73% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/06/21 | 0.73 | % | USD | 1,440 | $ | (27,424) | ||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.85% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/07/21 | 0.85 | USD | 965 | (13,194) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 04/10/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.12% | Annual | Barclays Bank PLC |
04/08/21 | 0.12 | EUR | 28,360 | (863) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/11/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.87% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/09/21 | 0.87 | USD | 2,430 | (31,748) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.10% | Annual | Citibank N.A. |
04/12/21 | 0.10 | EUR | 14,250 | (500) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.16% | Annual | Goldman Sachs Bank USA |
04/12/21 | 0.16 | EUR | 14,250 | (388) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/16/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.88% | Semi-Annual | Barclays Bank PLC |
04/14/21 | 0.88 | USD | 1,220 | (15,919) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.77% | Semi-Annual | Bank of America N.A. |
04/15/21 | 0.76 | USD | 1,155 | (20,704) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/17/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.79% | Semi-Annual | Citibank N.A. |
04/15/21 | 0.79 | USD | 1,360 | (22,783) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.72% | Semi-Annual | Bank of America N.A. |
04/16/21 | 0.72 | USD | 1,155 | (23,536) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.74% | Semi-Annual | Morgan Stanley & Co. International PLC |
04/19/21 | 0.74 | USD | 3,820 | (73,443) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 2.15% | Annual | JPMorgan Chase Bank N.A. |
04/19/21 | 2.15 | EUR | 4,400 | (150) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 04/21/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.15% | Annual | Morgan Stanley & Co. International PLC |
04/19/21 | 0.15 | EUR | 14,050 | (440) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/06/31 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 2.00% | Annual | Barclays Bank PLC |
05/04/21 | 2.00 | EUR | 2,700 | (149) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/13/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.69% | Semi-Annual | Goldman Sachs Bank USA |
05/13/21 | 0.69 | USD | 2,470 | (58,871) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 05/19/22 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.11% | Annual | Barclays Bank PLC |
05/17/21 | 0.11 | EUR | 9,299 | (471) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 05/19/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.35% | Semi-Annual | Citibank N.A. |
05/17/21 | 2.35 | USD | 45,470 | (9) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 05/29/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.15% | Semi-Annual | Barclays Bank PLC |
05/27/21 | 2.15 | USD | 62,210 | (22) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 06/02/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.08% | Annual | Morgan Stanley & Co. International PLC |
05/31/21 | 0.08 | EUR | 6,270 | (407) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/03/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.00% | Semi-Annual | Bank of America N.A. |
06/01/21 | 1.00 | USD | 10,670 | (122,417) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 06/03/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.40% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/01/21 | 2.40 | USD | 77,400 | (20) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.75% | Semi-Annual | Deutsche Bank AG |
06/02/21 | 0.75 | USD | 4,800 | (103,989) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.87% | Semi-Annual | Barclays Bank PLC |
06/07/21 | 3.87 | USD | 8,000 | (407) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 06/12/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.05% | Annual | Barclays Bank PLC |
06/10/21 | 0.05 | EUR | 9,800 | (777) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/13/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.05% | Semi-Annual | Bank of America N.A. |
06/11/21 | 1.05 | USD | 2,390 | (25,201) |
32 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 (continued) |
||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Barclays Bank PLC |
06/14/21 | | EUR | 4,310 | $ | (433) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Bank of America N.A. |
06/14/21 | | EUR | 4,430 | (445) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 06/20/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Goldman Sachs Bank USA |
06/18/21 | | EUR | 4,460 | (461) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 06/23/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Citibank N.A. |
06/21/21 | | EUR | 5,200 | (548) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.74% | Semi-Annual | Bank of America N.A. |
06/25/21 | 0.74 | % | USD | 2,450 | (56,855) | |||||||||||||||||||||
2-Year Interest Rate Swap, 06/27/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Nomura International Plc |
06/25/21 | | EUR | 4,880 | (528) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.72% | Semi-Annual | BNP Paribas S.A. |
06/29/21 | 0.72 | USD | 2,450 | (60,803) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 07/03/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Barclays Bank PLC |
07/01/21 | | EUR | 5,230 | (589) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 07/04/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.05%) | Annual | Barclays Bank PLC |
07/02/21 | (0.05) | EUR | 5,120 | (720) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.67% | Semi-Annual | Bank of America N.A. |
07/14/21 | 0.67 | USD | 2,490 | (70,863) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.10% | Semi-Annual | Citibank N.A. |
07/14/21 | 1.10 | USD | 1,530 | (16,207) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/18/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.10% | Semi-Annual | Citibank N.A. |
07/16/21 | 1.10 | USD | 1,570 | (16,792) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 07/21/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | 0.00% | Annual | Barclays Bank PLC |
07/19/21 | | EUR | 5,270 | (675) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/06/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.95% | Semi-Annual | Barclays Bank PLC |
08/04/21 | 0.95 | USD | 2,190 | (35,252) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.95% | Semi-Annual | Deutsche Bank AG |
08/05/21 | 0.95 | USD | 2,390 | (38,684) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.63% | Semi-Annual | Deutsche Bank AG |
08/09/21 | 0.63 | USD | 14,190 | (450,386) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.00% | Semi-Annual | Deutsche Bank AG |
08/09/21 | 1.00 | USD | 7,350 | (107,219) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.25%) | Annual | Barclays Bank PLC |
08/09/21 | (0.25) | EUR | 30,000 | (13,950) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.15%) | Annual | Barclays Bank PLC |
08/09/21 | (0.15) | EUR | 12,480 | (3,522) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.15%) | Annual | Barclays Bank PLC |
08/09/21 | (0.15) | EUR | 6,990 | (1,973) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 09/05/23 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.25%) | Annual | Barclays Bank PLC |
09/03/21 | (0.25) | EUR | 22,950 | (12,022) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/05/26 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.60% | Semi-Annual | Deutsche Bank AG |
09/03/21 | 0.60 | USD | 10,390 | (49,722) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 10/02/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.45% | Semi-Annual | Bank of America N.A. |
09/30/21 | 1.45 | USD | 6,560 | (41,686) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.15% | Semi-Annual | Bank of America N.A. |
01/10/22 | 1.15 | USD | 1,400 | (22,558) |
S C H E D U L E O F I N V E S T M E N T S |
33 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 (continued) |
||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/30/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.95% | Semi-Annual | Morgan Stanley & Co. International PLC |
01/28/22 | 1.95 | % | USD | 4,010 | $ | (15,637) | ||||||||||||||||||||
10-Year Interest Rate Swap, 02/09/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.68% | Semi-Annual | Deutsche Bank AG |
02/07/22 | 0.68 | USD | 2,870 | (108,940) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.85% | Semi-Annual | Bank of America N.A. |
02/22/22 | 1.85 | USD | 2,970 | (15,045) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/02/22 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.60% | Semi-Annual | Deutsche Bank AG |
02/28/22 | 1.60 | USD | 2,840 | (22,815) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/05/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.60% | Semi-Annual | Deutsche Bank AG |
03/03/22 | 1.60 | USD | 2,840 | (23,050) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.60% | Semi-Annual | Deutsche Bank AG |
03/04/22 | 1.60 | USD | 4,485 | (36,485) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 1.60% | Semi-Annual | Barclays Bank PLC |
03/04/22 | 1.60 | USD | 2,818 | (22,924) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.12%) | Annual | Barclays Bank PLC |
04/04/22 | (0.12) | EUR | 5,250 | (28,676) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.02%) | Annual | Barclays Bank PLC |
04/07/22 | (0.02) | EUR | 6,030 | (25,692) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.74% | Semi-Annual | Deutsche Bank AG |
05/02/22 | 0.74 | USD | 2,540 | (97,818) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 05/05/27 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.25% | Semi-Annual | Goldman Sachs Bank USA |
05/03/22 | 3.25 | USD | 10,130 | (728) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/11/31 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.75% | Semi-Annual | Nomura International Plc |
05/09/22 | 2.75 | USD | 10,350 | (16,136) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 06/17/27 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.61% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/15/22 | 0.61 | USD | 6,790 | (74,188) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.75% | Semi-Annual | JPMorgan Chase Bank N.A. |
08/02/22 | 2.75 | USD | 4,160 | (8,236) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.25% | Semi-Annual | JPMorgan Chase Bank N.A. |
08/02/22 | 3.25 | USD | 4,160 | (4,111) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.72% | Semi-Annual | Deutsche Bank AG |
08/08/22 | 0.72 | USD | 970 | (42,790) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.75% | Semi-Annual | Barclays Bank PLC |
08/08/22 | 2.75 | USD | 4,270 | (8,577) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.25% | Semi-Annual | Barclays Bank PLC |
08/08/22 | 3.25 | USD | 4,270 | (4,280) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 08/10/27 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.02%) | Annual | Barclays Bank PLC |
08/08/22 | (0.02) | EUR | 6,690 | (39,544) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.14%) | Annual | Barclays Bank PLC |
09/12/22 | (0.14) | EUR | 2,720 | (22,947) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 |
|
6-Month EURIBOR, (0.48%) |
|
Semi-Annual | (0.04%) | Annual | Barclays Bank PLC |
09/13/22 | (0.04) | EUR | 2,720 | (18,094) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 04/08/24 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.61% | Semi-Annual | Bank of America N.A. |
04/06/23 | 0.61 | USD | 8,740 | (10,473) | ||||||||||||||||||||||
1-Year Interest Rate Swap, 04/11/24 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 0.69% | Semi-Annual | Deutsche Bank AG |
04/11/23 | 0.69 | USD | 13,770 | (14,099) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/13/24 | 3.00 | USD | 3,950 | (24,077) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.50% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/13/24 | 3.50 | USD | 3,950 | (14,116) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/26 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.00% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/20/24 | 3.00 | USD | 3,950 | (24,309) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/26 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.50% | Semi-Annual | Morgan Stanley & Co. International PLC |
06/20/24 | 3.50 | USD | 3,950 | (14,265) |
34 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
|
Paid by the Trust |
Received by the Trust |
Counterparty | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value | |||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||||||||
Put (continued) | ||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/22/34 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 2.25% | Semi-Annual | Morgan Stanley & Co. International PLC |
08/20/24 | 2.25 | % | USD | 4,410 | $ | (66,272 | ) | |||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 |
|
3-Month LIBOR, 0.23% |
|
Quarterly | 3.05% | Semi-Annual | Barclays Bank PLC |
03/12/29 | 3.05 | USD | 2,840 | (56,329 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||
(2,511,791 | ) | |||||||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||
$ | (9,261,577 | ) | ||||||||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Trust |
Payment Frequency |
Termination Date |
Notional |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
CDX.NA.HY.34.V9 |
5.00 | % | Quarterly | 06/20/25 | USD | 2,001 | $ | (101,127 | ) | $ | (81,555 | ) | $ | (19,572 | ) | |||||||||||||||||
CDX.NA.IG.34.V1 |
1.00 | Quarterly | 06/20/25 | USD | 16,814 | (120,603 | ) | (247,474 | ) | 126,871 | ||||||||||||||||||||||
CDX.NA.HY.35.V1 |
5.00 | Quarterly | 12/20/25 | USD | 3,700 | (156,743 | ) | (151,673 | ) | (5,070 | ) | |||||||||||||||||||||
CDX.NA.IG.35.V1 |
1.00 | Quarterly | 12/20/25 | USD | 26,500 | (559,647 | ) | (605,653 | ) | 46,006 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (938,120 | ) | $ | (1,086,355 | ) | $ | 148,235 | |||||||||||||||||||||||||
|
|
|
|
|
|
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.34.V1 |
5.00 | % | Quarterly | 12/20/25 | B | EUR | 20 | $ | 1,710 | $ | 1,614 | $ | 96 | |||||||||||||||||||||
|
|
|
|
|
|
(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 | Termination | Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
|||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 1.53% |
Semi-Annual | N/A | 11/23/20 | USD | 11,880 | $ | 83,985 | $ | 18 | $ | 83,967 | |||||||||||||||||||
1.56% |
Semi-Annual | 3-Month LIBOR, 0.23% |
Quarterly | N/A | 03/29/21 | USD | 5,660 | (37,752 | ) | 30 | (37,782 | ) | ||||||||||||||||||||
1.77% |
Semi-Annual | 3-Month LIBOR, 0.23% |
Quarterly | N/A | 06/15/21 | USD | 8,210 | (131,227 | ) | 62 | (131,289 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 1.36% |
Semi-Annual | N/A | 09/28/21 | USD | 3,500 | 40,084 | 37 | 40,047 | ||||||||||||||||||||||
(0.45%) |
Annual | 6-Month EURIBOR, (0.48%) |
Semi-Annual | N/A | 12/16/21 | EUR | 5,440 | 19,085 | 44 | 19,041 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.30%) |
Annual | N/A | 01/17/22 | EUR | 11,040 | 9,165 | 208 | 8,957 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.48%) |
Annual | N/A | 03/07/22 | EUR | 5,950 | (16,227 | ) | 57 | (16,284 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.48%) |
Annual | N/A | 03/07/22 | EUR | 7,180 | (19,660 | ) | 70 | (19,730 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.49%) |
Annual | N/A | 03/09/22 | EUR | 4,550 | (13,664 | ) | 45 | (13,709 | ) | ||||||||||||||||||||
(0.35%) |
Annual | 6-Month EURIBOR, (0.48%) |
Semi-Annual | N/A | 03/21/22 | EUR | 2,820 | (680 | ) | 28 | (708 | ) | ||||||||||||||||||||
(0.34%) |
Annual | 6-Month EURIBOR, (0.48%) |
Semi-Annual | N/A | 03/21/22 | EUR | 2,830 | (1,943 | ) | 28 | (1,971 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 2.03% |
Semi-Annual | N/A | 03/30/22 | USD | 1,914 | 52,471 | 17 | 52,454 | ||||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 0.33% |
Semi-Annual | 04/06/21 | (a) | 04/06/22 | USD | 37,775 | 51,868 | 406 | 51,462 | |||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 0.28% |
Semi-Annual | 05/06/21 | (a) | 05/06/22 | USD | 6,000 | 4,791 | 64 | 4,727 | |||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 2.01% |
Semi-Annual | 05/17/21 | (a) | 05/17/22 | USD | 756 | 13,674 | 2,243 | 11,431 | |||||||||||||||||||||
1.87% |
Semi-Annual | 3-Month LIBOR, 0.23% |
Quarterly | 06/03/21 | (a) | 06/03/22 | USD | 3,450 | (57,670 | ) | 36 | (57,706 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.25%) |
Annual | N/A | 06/24/22 | EUR | 2,499 | 10,719 | 28 | 10,691 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.29%) |
Annual | N/A | 06/27/22 | EUR | 937 | 3,180 | 10 | 3,170 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.28%) |
Annual | N/A | 06/27/22 | EUR | 937 | 3,455 | 11 | 3,444 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.28%) |
Annual | N/A | 06/30/22 | EUR | 938 | 3,602 | 11 | 3,591 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.32%) |
Annual | N/A | 07/18/22 | EUR | 4,580 | 14,132 | 55 | 14,077 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.31%) |
Annual | N/A | 07/18/22 | EUR | 4,580 | 15,045 | 1,137 | 13,908 | ||||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 0.32% |
Semi-Annual | N/A | 07/18/22 | USD | 810 | 1,599 | 9 | 1,590 |
S C H E D U L E O F I N V E S T M E N T S |
35 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 | |||||||||||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.30%) | Annual | N/A | 07/20/22 | EUR | 5,250 | $ | 18,821 | $ | 63 | $ | 18,758 | |||||||||||||||||||||||
(0.40%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 07/21/22 | EUR | 5,460 | (7,384 | ) | 68 | (7,452 | ) | ||||||||||||||||||||||||
0.21% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 01/06/21 | (a) | 09/15/22 | USD | 40,540 | (5,893 | ) | 530 | (6,423 | ) | |||||||||||||||||||||||
(0.26%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 09/22/22 | EUR | 5,170 | (27,688 | ) | 68 | (27,756 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.34% | Semi-Annual | N/A | 09/28/22 | USD | 6,240 | 140,867 | 73 | 140,794 | ||||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.33%) | Annual | 10/02/20 | (a) | 10/03/22 | EUR | 6,310 | 23,526 | 85 | 23,441 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.25% | Semi-Annual | 10/06/20 | (a) | 10/06/22 | USD | 7,335 | 151,817 | 86 | 151,731 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.35%) | Annual | 11/02/20 | 11/02/22 | EUR | 3,570 | 11,768 | 47 | 11,721 | ||||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.33%) | Annual | 02/12/21 | (a) | 02/13/23 | EUR | 1,390 | 4,945 | 19 | 4,926 | |||||||||||||||||||||||||
(0.41%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 02/16/21 | (a) | 02/16/23 | EUR | 7,530 | (13,878 | ) | 108 | (13,986 | ) | |||||||||||||||||||||||
(0.40%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 02/16/21 | (a) | 02/16/23 | EUR | 7,440 | (14,418 | ) | 107 | (14,525 | ) | |||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.05% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 55,629 | 39 | 55,590 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.06% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 55,894 | 39 | 55,855 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.07% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,350 | 57,085 | 40 | 57,045 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.10% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 13,390 | 235,797 | 159 | 235,638 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.41%) | Annual | 03/02/21 | (a) | 03/02/23 | EUR | 2,450 | 3,999 | 33 | 3,966 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 44,424 | 40 | 44,384 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,665 | 88,916 | 79 | 88,837 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,700 | 88,915 | 80 | 88,835 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.90% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 46,198 | 40 | 46,158 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.98% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 51,372 | 40 | 51,332 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.99% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 51,943 | 40 | 51,903 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.47%) | Annual | 03/04/21 | (a) | 03/06/23 | EUR | 2,970 | 609 | 40 | 569 | |||||||||||||||||||||||||
(0.18%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (85,986 | ) | 155 | (86,141 | ) | |||||||||||||||||||||||
(0.18%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,800 | (84,477 | ) | 154 | (84,631 | ) | |||||||||||||||||||||||
(0.17%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (87,731 | ) | 155 | (87,886 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.31%) | Annual | 04/29/21 | (a) | 04/28/23 | EUR | 2,660 | 10,967 | 35 | 10,932 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.34%) | Annual | 05/03/21 | (a) | 05/03/23 | EUR | 3,560 | 11,685 | 47 | 11,638 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.38%) | Annual | 05/04/21 | (a) | 05/04/23 | EUR | 3,410 | 7,989 | 45 | 7,944 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.37%) | Annual | 05/06/21 | (a) | 05/08/23 | EUR | 1,570 | 4,204 | 21 | 4,183 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.42%) | Annual | 06/24/21 | (a) | 06/26/23 | EUR | 2,720 | 4,075 | 88 | 3,987 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.40%) | Annual | 06/25/21 | (a) | 06/26/23 | EUR | 2,700 | 5,326 | (20 | ) | 5,346 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.42%) | Annual | 07/02/21 | (a) | 07/03/23 | EUR | 5,690 | 7,954 | 206 | 7,748 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.40%) | Annual | 07/08/21 | (a) | 07/10/23 | EUR | 2,610 | 4,800 | 105 | 4,695 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.25% | Semi-Annual | 07/08/22 | (a) | 07/10/23 | USD | 5,380 | (2,068 | ) | 58 | (2,126 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.41%) | Annual | 07/20/21 | (a) | 07/20/23 | EUR | 5,730 | 9,151 | 80 | 9,071 | |||||||||||||||||||||||||
(0.30%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 07/26/21 | (a) | 07/25/23 | EUR | 12,900 | (54,059 | ) | 202 | (54,261 | ) | |||||||||||||||||||||||
(0.29%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 07/26/21 | (a) | 07/26/23 | EUR | 14,350 | (63,610 | ) | 226 | (63,836 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.41%) | Annual | 07/27/21 | (a) | 07/27/23 | EUR | 2,700 | 4,191 | 38 | 4,153 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.43%) | Annual | 08/05/21 | (a) | 08/07/23 | EUR | 2,050 | 2,302 | 30 | 2,272 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.43%) | Annual | 08/09/21 | (a) | 08/09/23 | EUR | 1,590 | 1,702 | (142 | ) | 1,844 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.45%) | Annual | 08/11/21 | (a) | 08/11/23 | EUR | 1,730 | 897 | 27 | 870 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.58%) | Annual | 08/17/21 | (a) | 08/17/23 | EUR | 1,760 | (4,253 | ) | 28 | (4,281 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.44%) | Annual | 08/24/21 | (a) | 08/24/23 | EUR | 620 | 517 | 9 | 508 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.47%) | Annual | 09/13/21 | (a) | 09/13/23 | EUR | 6,690 | 823 | 97 | 726 | |||||||||||||||||||||||||
1.61% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 11/01/21 | (a) | 11/01/23 | USD | 3,260 | (86,709 | ) | 38 | (86,747 | ) | |||||||||||||||||||||||
(0.17%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 12/13/21 | (a) | 12/13/23 | EUR | 5,190 | (36,854 | ) | 81 | (36,935 | ) | |||||||||||||||||||||||
(0.12%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 12/27/21 | (a) | 12/27/23 | EUR | 770 | (6,385 | ) | 12 | (6,397 | ) | |||||||||||||||||||||||
(0.06%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (26,475 | ) | 43 | (26,518 | ) | |||||||||||||||||||||||
(0.05%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (26,899 | ) | 43 | (26,942 | ) | |||||||||||||||||||||||
(0.17%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 11/11/24 | EUR | 1,160 | (13,903 | ) | 15 | (13,918 | ) | ||||||||||||||||||||||||
(0.22%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 11/21/24 | EUR | 3,890 | (37,046 | ) | 51 | (37,097 | ) | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.23%) | Annual | N/A | 12/02/24 | EUR | 6,710 | 60,912 | 95 | 60,817 | ||||||||||||||||||||||||||
0.30% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 01/06/21 | (a) | 02/28/25 | USD | 6,260 | 4,842 | 964 | 3,878 | |||||||||||||||||||||||||
0.30% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 01/06/21 | (a) | 02/28/25 | USD | 11,270 | 7,121 | 151 | 6,970 | |||||||||||||||||||||||||
(0.18%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 03/18/25 | EUR | 270 | (3,586 | ) | 4 | (3,590 | ) | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.43%) | Annual | N/A | 09/22/25 | EUR | 1,330 | (215 | ) | (506 | ) | 291 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.44%) | Annual | N/A | 09/23/25 | EUR | 500 | (438 | ) | 8 | (446 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.33% | Semi-Annual | N/A | 09/23/25 | USD | 1,180 | (1,246 | ) | 16 | (1,262 | ) | ||||||||||||||||||||||||
0.35% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 10/01/20 | (a) | 10/01/25 | USD | 970 | 471 | 13 | 458 | |||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.34%) | Annual | 07/20/21 | (a) | 07/20/26 | EUR | 2,160 | 6,312 | 38 | 6,274 |
36 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 | |||||||||||||||||||||||||||||||||
0.65% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 530 | $ | (2,589 | ) | $ | 7 | $ | (2,596 | ) | ||||||||||||||||||||
(0.26%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 08/16/22 | (a) | 08/16/27 | EUR | 1,470 | (5,098 | ) | 27 | (5,125 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.25%) | Annual | 08/16/22 | (a) | 08/16/27 | EUR | 5,890 | 23,273 | 107 | 23,166 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.50% | Semi-Annual | 12/31/20 | 08/16/27 | USD | 15,490 | (9,507 | ) | 225 | (9,732 | ) | ||||||||||||||||||||||||
0.50% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/19/27 | USD | 1,310 | (624 | ) | 19 | (643 | ) | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.28%) | Annual | 09/19/22 | (a) | 09/20/27 | EUR | 1,340 | 2,090 | (382 | ) | 2,472 | ||||||||||||||||||||||||
6-Month JPY LIBOR, 0.26% | Semi-Annual | 0.37% | Semi-Annual | N/A | 01/31/28 | JPY | 181,730 | 50,865 | 21 | 50,844 | ||||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.65% | Semi-Annual | 07/12/23 | (a) | 07/12/28 | USD | 7,950 | (37,152 | ) | 106 | (37,258 | ) | |||||||||||||||||||||||
6-Month JPY LIBOR, 0.26% | Semi-Annual | 0.36% | Semi-Annual | N/A | 07/31/28 | JPY | 113,000 | 32,738 | 14 | 32,724 | ||||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.71% | Semi-Annual | 08/14/23 | (a) | 08/14/28 | USD | 6,340 | (17,289 | ) | 85 | (17,374 | ) | |||||||||||||||||||||||
0.19% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 01/04/29 | JPY | 100,000 | (16,234 | ) | 13 | (16,247 | ) | ||||||||||||||||||||||||
1.37% | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 02/20/29 | EUR | 1,970 | (351,790 | ) | 39 | (351,829 | ) | ||||||||||||||||||||||||
1.38% | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 02/22/29 | EUR | 590 | (105,930 | ) | 12 | (105,942 | ) | ||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | 0.56% | Annual | N/A | 03/12/29 | EUR | 1,640 | 148,992 | 28 | 148,964 | ||||||||||||||||||||||||||
6-Month EURIBOR, (0.48%) | Semi-Annual | 0.06% | Annual | N/A | 07/26/29 | EUR | 930 | 34,325 | 16 | 34,309 | ||||||||||||||||||||||||||
0.19% | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | N/A | 01/16/30 | EUR | 2,280 | (117,808 | ) | 447 | (118,255 | ) | ||||||||||||||||||||||||
1.31% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 02/27/30 | USD | 2,770 | (164,693 | ) | 42 | (164,735 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.32% | Semi-Annual | N/A | 02/27/30 | USD | 2,430 | 145,049 | 37 | 145,012 | ||||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.64% | Semi-Annual | N/A | 04/29/30 | USD | 2,160 | (7,052 | ) | 33 | (7,085 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.60% | Semi-Annual | N/A | 05/20/30 | USD | 2,320 | (17,473 | ) | 35 | (17,508 | ) | ||||||||||||||||||||||||
0.68% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/20/30 | USD | 770 | (621 | ) | 12 | (633 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.67% | Semi-Annual | N/A | 06/03/30 | USD | 1,850 | (2,505 | ) | 28 | (2,533 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.64% | Semi-Annual | N/A | 07/10/30 | USD | 780 | (4,580 | ) | 12 | (4,592 | ) | ||||||||||||||||||||||||
1.20% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/19/30 | USD | 30 | (1,454 | ) | | (1,454 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.02% | Semi-Annual | N/A | 09/09/30 | USD | 1,885 | 56,834 | 30 | 56,804 | ||||||||||||||||||||||||||
0.68% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/16/30 | USD | 2,760 | 9,817 | 43 | 9,774 | ||||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.69% | Semi-Annual | N/A | 09/16/30 | USD | 880 | (2,307 | ) | 14 | (2,321 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.69% | Semi-Annual | N/A | 09/23/30 | USD | 880 | (2,850 | ) | 14 | (2,864 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.70% | Semi-Annual | 10/01/20 | (a) | 10/01/30 | USD | 870 | (1,623 | ) | 14 | (1,637 | ) | |||||||||||||||||||||||
0.67% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 10/09/20 | (a) | 10/09/30 | USD | 2,730 | 13,746 | 43 | 13,703 | |||||||||||||||||||||||||
0.65% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 11/04/20 | 11/04/30 | USD | 2,740 | 21,362 | 43 | 21,319 | ||||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.76% | Semi-Annual | 01/11/21 | (a) | 01/13/31 | USD | 760 | 75,310 | 12 | 75,298 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.75% | Semi-Annual | N/A | 04/07/31 | USD | 210 | (613 | ) | 3 | (616 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 2.45% | Semi-Annual | 05/18/21 | (a) | 05/19/31 | USD | 860 | 139,535 | 13 | 139,522 | |||||||||||||||||||||||||
0.76% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/03/21 | (a) | 06/03/31 | USD | 3,648 | 13,495 | 57 | 13,438 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 2.10% | Semi-Annual | 06/22/21 | (a) | 06/23/31 | USD | 430 | 54,683 | 7 | 54,676 | |||||||||||||||||||||||||
0.86% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/06/31 | USD | 290 | (491 | ) | 5 | (496 | ) | ||||||||||||||||||||||||
0.52% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | 11/30/21 | (a) | 11/28/31 | JPY | 95,000 | (41,598 | ) | 16 | (41,614 | ) | |||||||||||||||||||||||
0.80% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 02/08/22 | (a) | 02/09/32 | USD | 1,330 | 10,701 | 21 | 10,680 | |||||||||||||||||||||||||
0.77% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 05/06/22 | (a) | 05/06/32 | USD | 2,650 | 36,538 | 42 | 36,496 | |||||||||||||||||||||||||
1.02% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/07/22 | (a) | 06/07/32 | USD | 500 | (4,630 | ) | 8 | (4,638 | ) | |||||||||||||||||||||||
0.85% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/15/22 | (a) | 08/16/32 | USD | 17,650 | 163,886 | 69,006 | 94,880 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 0.85% | Semi-Annual | 08/15/22 | (a) | 08/16/32 | USD | 19,000 | (176,421 | ) | 304 | (176,725 | ) | |||||||||||||||||||||||
0.85% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/15/22 | (a) | 08/16/32 | USD | 19,000 | 176,421 | (31,130 | ) | 207,551 | ||||||||||||||||||||||||
0.36% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 02/06/34 | JPY | 30,720 | (10,054 | ) | 4 | (10,058 | ) | ||||||||||||||||||||||||
0.34% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 02/08/34 | JPY | 50,250 | (15,175 | ) | 8 | (15,183 | ) | ||||||||||||||||||||||||
0.34% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 03/14/34 | JPY | 24,760 | (7,400 | ) | 4 | (7,404 | ) | ||||||||||||||||||||||||
2.33% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/24/24 | (a) | 06/26/34 | USD | 310 | (34,979 | ) | 5 | (34,984 | ) | |||||||||||||||||||||||
1.65% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/22/24 | (a) | 08/22/34 | USD | 1,355 | (62,398 | ) | 21 | (62,419 | ) | |||||||||||||||||||||||
6-Month JPY LIBOR, 0.26% | Semi-Annual | 0.14% | Semi-Annual | N/A | 06/12/35 | JPY | 250,000 | 1,908 | 43 | 1,865 | ||||||||||||||||||||||||||
0.16% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 07/09/35 | JPY | 107,580 | (4,726 | ) | 19 | (4,745 | ) | ||||||||||||||||||||||||
6-Month JPY LIBOR, 0.26% | Semi-Annual | 0.13% | Semi-Annual | N/A | 09/18/35 | JPY | 50,000 | (615 | ) | 9 | (624 | ) | ||||||||||||||||||||||||
6-Month JPY LIBOR, 0.26% | Semi-Annual | 0.13% | Semi-Annual | N/A | 09/18/35 | JPY | 50,000 | (597 | ) | 9 | (606 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 3.18% | Semi-Annual | 05/09/28 | (a) | 05/10/38 | USD | 1,590 | 260,548 | 24 | 260,524 | |||||||||||||||||||||||||
3.08% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/29/28 | (a) | 06/29/38 | USD | 230 | (35,448 | ) | 3 | (35,451 | ) | |||||||||||||||||||||||
0.66% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 12/06/38 | JPY | 40,000 | (32,024 | ) | 8 | (32,032 | ) | ||||||||||||||||||||||||
0.62% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 12/14/38 | JPY | 25,000 | (18,223 | ) | 5 | (18,228 | ) | ||||||||||||||||||||||||
0.41% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 04/04/39 | JPY | 26,190 | (9,704 | ) | 6 | (9,710 | ) | ||||||||||||||||||||||||
2.82% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 04/04/29 | (a) | 04/04/39 | USD | 3,000 | (382,509 | ) | 46 | (382,555 | ) | |||||||||||||||||||||||
0.33% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 06/10/39 | JPY | 27,540 | (5,975 | ) | 6 | (5,981 | ) | ||||||||||||||||||||||||
0.30% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 06/17/39 | JPY | 25,860 | (4,008 | ) | 5 | (4,013 | ) |
S C H E D U L E O F I N V E S T M E N T S |
37 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
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 | |||||||||||||||||||||||||||||||||
0.17% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | N/A | 08/08/39 | JPY | 22,870 | $ | 1,898 | $ | 5 | $ | 1,893 | |||||||||||||||||||||||
1.01% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 04/02/30 | (a) | 04/03/40 | USD | 4,100 | 152,560 | 66 | 152,494 | |||||||||||||||||||||||||
0.72% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | 03/21/24 | (a) | 03/22/44 | JPY | 19,000 | (13,369 | ) | 4 | (13,373 | ) | |||||||||||||||||||||||
0.20% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | 08/28/24 | (a) | 08/30/44 | JPY | 12,720 | 3,612 | 3 | 3,609 | |||||||||||||||||||||||||
0.37% | Semi-Annual | 6-Month JPY LIBOR, 0.26% | Semi-Annual | 01/30/25 | (a) | 01/30/45 | JPY | 20,250 | (231 | ) | 5 | (236 | ) | |||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.08% | Semi-Annual | 12/31/20 | 02/15/47 | USD | 2,240 | (23,081 | ) | 52 | (23,133 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.09% | Semi-Annual | 12/31/20 | 02/15/47 | USD | 2,080 | (15,041 | ) | 48 | (15,089 | ) | ||||||||||||||||||||||||
3.02% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 12/08/38 | (a) | 12/08/48 | USD | 400 | (54,424 | ) | 6 | (54,430 | ) | |||||||||||||||||||||||
2.38% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 07/05/39 | (a) | 07/06/49 | USD | 620 | (52,578 | ) | 10 | (52,588 | ) | |||||||||||||||||||||||
1.71% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 600 | (18,905 | ) | 9 | (18,914 | ) | |||||||||||||||||||||||
1.78% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 500 | (18,745 | ) | 8 | (18,753 | ) | |||||||||||||||||||||||
1.67% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/17/39 | (a) | 08/17/49 | USD | 460 | (12,936 | ) | 7 | (12,943 | ) | |||||||||||||||||||||||
1.25% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 03/07/50 | USD | 460 | (14,909 | ) | 10 | (14,919 | ) | ||||||||||||||||||||||||
1.10% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/25/50 | USD | 750 | 5,886 | 17 | 5,869 | ||||||||||||||||||||||||||
0.88% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 07/12/23 | (a) | 07/14/53 | USD | 1,470 | 127,338 | 34 | 127,304 | |||||||||||||||||||||||||
1.02% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 08/14/23 | (a) | 08/14/53 | USD | 1,160 | 60,147 | 27 | 60,120 | |||||||||||||||||||||||||
3-Month LIBOR, 0.23% | Quarterly | 1.93% | Semi-Annual | 12/01/26 | (a) | 12/01/56 | USD | 110 | 18,042 | 2 | 18,040 | |||||||||||||||||||||||||
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$ | 546,210 | $ | 49,373 | $ | 496,837 | |||||||||||||||||||||||||||||||
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|
(a) | Forward Swap. |
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 | $ | (8,536 | ) | $ | (3,215 | ) | $ | (5,321 | ) | |||||||||||||||||||
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International |
12/20/24 | B+ | EUR | 20 | (3,430 | ) | 0 | (3,430 | ) | ||||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | Citibank N.A. |
06/20/25 | BB- | EUR | 38 | (1,200 | ) | (1,070 | ) | (130 | ) | |||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | Citibank N.A. |
06/20/25 | BB- | EUR | 82 | (2,631 | ) | (2,353 | ) | (278 | ) | |||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | JPMorgan Chase Bank N.A. |
06/20/25 | BB- | EUR | 90 | (1,916 | ) | (1,395 | ) | (521 | ) | |||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Barclays Bank PLC |
10/17/57 | NR | USD | 5,000 | (1,405,867 | ) | (497,629 | ) | (908,238 | ) | |||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Credit Suisse International |
10/17/57 | NR | USD | 2,500 | (702,934 | ) | (246,140 | ) | (456,794 | ) | |||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
10/17/57 | NR | USD | 5,550 | (1,560,514 | ) | (725,031 | ) | (835,483 | ) | |||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International |
09/17/58 | NR | USD | 5,000 | (1,313,650 | ) | (533,162 | ) | (780,488 | ) | |||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International |
09/17/58 | NR | USD | 5,000 | (1,313,650 | ) | (533,162 | ) | (780,488 | ) | |||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International |
09/17/58 | NR | USD | 5,000 | (1,313,649 | ) | (527,338 | ) | (786,311 | ) | |||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International |
09/17/58 | USD | 5,000 | (1,313,649 | ) | (533,111 | ) | (780,538 | ) | ||||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | NR | USD | 9,450 | (2,482,797 | ) | (1,142,711 | ) | (1,340,086 | ) | |||||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC |
09/17/58 | NR | USD | 8,614 | (2,263,070 | ) | (2,311,201 | ) | 48,131 | ||||||||||||||||||||||||
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$ | (13,687,493 | ) | $ | (7,057,518 | ) | $ | (6,629,975 | ) | ||||||||||||||||||||||||||||
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(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. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access |
| Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs) |
38 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
Fair Value Hierarchy as of Period End (continued)
| Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committees (the Global Valuation Committees) assumptions used in determining the fair value of 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 privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trusts policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following tables summarize the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trusts investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 65,484,336 | $ | 30,604 | $ | 65,514,940 | ||||||||
Common Stocks |
| | 21,047 | 21,047 | ||||||||||||
Corporate Bonds |
| 534,417,170 | 7,189,663 | 541,606,833 | ||||||||||||
Floating Rate Loan Interests |
| 17,091,997 | 435,460 | 17,527,457 | ||||||||||||
Foreign Agency Obligations |
| 30,669,126 | | 30,669,126 | ||||||||||||
Municipal Bonds |
| 27,593,029 | | 27,593,029 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 40,522,067 | | 40,522,067 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
| 63,048,940 | | 63,048,940 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Banks |
1,954,500 | | | 1,954,500 | ||||||||||||
Capital Markets |
4,260,193 | | | 4,260,193 | ||||||||||||
Thrifts & Mortgage Finance |
| 88,800 | | 88,800 | ||||||||||||
Trust Preferred |
798,150 | | | 798,150 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 110,557,318 | | 110,557,318 | ||||||||||||
U.S. Treasury Obligations |
| 237,831,152 | | 237,831,152 | ||||||||||||
Warrants |
| 12,262 | | 12,262 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
27,250,039 | | | 27,250,039 | ||||||||||||
Options Purchased |
||||||||||||||||
Credit Contracts |
| 313,904 | | 313,904 | ||||||||||||
Interest Rate Contracts |
406,625 | 6,539,956 | | 6,946,581 | ||||||||||||
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|||||||||
$ | 34,669,507 | $ | 1,134,170,057 | $ | 7,676,774 | $ | 1,176,516,338 | |||||||||
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Derivative Financial Instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Credit Contracts |
$ | | $ | 221,104 | $ | | $ | 221,104 | ||||||||
Foreign Currency Exchange Contracts |
| 453,822 | | 453,822 | ||||||||||||
Interest Rate Contracts |
368,763 | 3,411,995 | | 3,780,758 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
| (6,702,748 | ) | | (6,702,748 | ) | ||||||||||
Foreign Currency Exchange Contracts |
| (308,878 | ) | | (308,878 | ) | ||||||||||
Interest Rate Contracts |
(1,310,501 | ) | (12,519,147 | ) | | (13,829,648 | ) | |||||||||
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|
|
|
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|
|||||||||
$ | (941,738 | ) | $ | (15,443,852 | ) | $ | | $ | (16,385,590 | ) | ||||||
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|
(a) | 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) on the instrument 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 statement purposes. As of period end, reverse repurchase agreements of $293,723,851 are categorized as Level 2 within the disclosure hierarchy.
S C H E D U L E O F I N V E S T M E N T S |
39 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Core Bond Trust (BHK) |
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Total | ||||||||||||||||
Assets |
||||||||||||||||||||
Opening balance, as of December 31, 2019 |
$ | 1,640,060 | $ | | $ | 8,618,085 | $ | 845,594 | $ | 11,103,739 | ||||||||||
Transfers into Level 3(a) |
| | | 413,762 | 413,762 | |||||||||||||||
Transfers out of Level 3(b) |
(1,500,000 | ) | | | (258,280 | ) | (1,758,280 | ) | ||||||||||||
Accrued discounts/premiums |
(89,816 | ) | | 4,720 | 468 | (84,628 | ) | |||||||||||||
Net realized gain (loss) |
| | | (28,654 | ) | (28,654 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation)(c) |
(19,640 | ) | 13,822 | (1,607,010 | ) | 7,995 | (1,604,833 | ) | ||||||||||||
Purchases |
| 7,225 | 262,448 | 133,724 | 403,397 | |||||||||||||||
Sales |
| | (88,580 | ) | (679,149 | ) | (767,729 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Closing balance, as of September 30, 2020 |
$ | 30,604 | $ | 21,047 | $ | 7,189,663 | $ | 435,460 | $ | 7,676,774 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2020(c) |
$ | (19,639 | ) | $ | 13,823 | $ | (1,607,011 | ) | $ | (8,467 | ) | $ | (1,621,294 | ) | ||||||
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|
(a) | As of December 31, 2019, the Trust used observable inputs in determining the value of certain investments. As of September 30, 2020, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(b) | As of December 31, 2019, the Trust used significant unobservable inputs in determining the value of certain investments. As of September 30, 2020, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
40 |
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