UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10635
Name of Fund: BlackRock Strategic Bond Trust (BHD)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Strategic Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2011
Date of reporting period: 08/31/2011
Item 1 – Report to Stockholders
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August 31, 2011 |
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Annual Report |
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BlackRock Core Bond Trust (BHK) |
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BlackRock Corporate High Yield Fund V, Inc. (HYV) |
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BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
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BlackRock High Income Shares (HIS) |
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BlackRock High Yield Trust (BHY) |
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BlackRock Income Opportunity Trust, Inc. (BNA) |
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BlackRock Income Trust, Inc. (BKT) |
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BlackRock Strategic Bond Trust (BHD) |
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Not FDIC Insured § No Bank Guarantee § May Lose Value |
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Table of Contents |
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Page |
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3 |
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Annual Report: |
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4 |
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20 |
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20 |
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Financial Statements: |
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21 |
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100 |
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104 |
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106 |
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108 |
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110 |
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117 |
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131 |
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131 |
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
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132 |
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136 |
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137 |
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140 |
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2 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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Market volatility has been extraordinary in recent months. Government debt and deficit issues in both the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic data raised concerns of another recession. Political instability and concerns that central banks have nearly exhausted their stimulus measures have further compounded investor uncertainty. Although markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.
The pages that follow reflect your funds reporting period ended August 31, 2011. Accordingly, the following discussion is intended to provide you with additional perspective on the performance of your investments during that period.
One year ago, the global economy appeared to solidly be in recovery mode and investors were optimistic given the anticipated second round of quantitative easing from the US Federal Reserve (the Fed). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary pressures looming over emerging markets. Fixed income markets, however, saw yields move sharply upward (pushing prices down) especially on the long end of the historically steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond program would not be extended and municipal finance troubles abounded.
The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed well early in the year, however, as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.
However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis continued to escalate. Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader debt crisis and its further contagion among peripheral European countries. Concurrently, it became evident that the pace of global economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt ceiling debate revealed the degree of polarization in Washington, DC. The downgrade of the US governments credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme volatility persisted as Europes debt and banking crisis deepened and US economic data continued to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative territory for the six-month period ended August 31, while lower-risk investments including US Treasuries, municipal securities and investment grade corporate bonds posted gains. Twelve-month returns on all asset classes remained positive. Continued low short-term interest rates kept yields on money market securities near their all-time lows.
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Sincerely, |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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BlackRock remains focused on managing risk and finding opportunities in all market environments. |
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Rob Kapito |
President, BlackRock
Advisors, LLC |
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Total Returns as of August 31, 2011 |
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6-month |
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12-month |
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US large cap equities |
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(7.23 |
)% |
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18.50 |
% |
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(S&P 500 Index) |
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US small cap equities |
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(11.17 |
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22.19 |
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(Russell 2000 Index) |
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International equities |
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(11.12 |
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10.01 |
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(MSCI Europe, Australasia, |
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Far East Index) |
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Emerging market |
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(5.11 |
) |
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9.07 |
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equities (MSCI Emerging |
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Markets Index) |
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3-month Treasury |
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0.08 |
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0.15 |
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bill (BofA Merrill Lynch |
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3-Month Treasury |
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Bill Index) |
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US Treasury securities |
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13.04 |
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6.21 |
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(BofA Merrill Lynch 10- |
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Year US Treasury Index) |
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US investment grade |
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5.49 |
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4.62 |
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bonds (Barclays |
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Capital US Aggregate |
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Bond Index) |
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Tax-exempt municipal |
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6.39 |
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2.66 |
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bonds (Barclays Capital |
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Municipal Bond Index) |
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US high yield bonds |
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(1.57 |
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8.32 |
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(Barclays Capital US |
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Corporate High Yield 2% |
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Issuer Capped Index) |
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Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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THIS PAGE NOT PART OF YOUR FUND REPORT |
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BlackRock Core Bond Trust |
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Investment Objective |
BlackRock Core Bond Trusts (BHK) (the Trust) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trusts investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
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Portfolio Management Commentary |
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How did the Trust perform? |
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For the 12 months ended August 31, 2011, the Trust returned (2.35)% based on market price and 4.02% based on net asset value (NAV). For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 3.09% based on market price and 5.36% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
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What factors influenced performance? |
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The largest individual factor impacting performance relative to its Lipper category competitors, many of which carry a lower average credit quality and/or a higher allocation to spread assets (those driven by movements in credit risk), is the Trusts high-quality bias. This bias hurt performance for the period as spread sectors and lower-quality risk assets generally outperformed US Treasuries and government-related assets for the 12-month period. |
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Early in reporting period, the Trusts exposure to non-government spread sectors, such as investment grade credit, non-agency residential mortgage-backed securities (MBS) and asset-backed securities (ABS) contributed positively to performance on an absolute basis. The Trusts allocation to high yield corporate credit and commercial mortgage-backed securities (CMBS) also had a positive impact. During the second half of the reporting period, the Trusts allocation to high-quality, government-related debt benefited performance, as did its longer duration (greater sensitivity to interest rates) and yield curve-flattening stance as interest rates rallied in the final month of the period. |
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TheTrust uses interest rate derivatives, including futures contracts,options, swaps and swaptions, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. The Trust also uses credit default swaps against both individual names and broad indices to manage credit risk in the portfolio. Credit default swaps against indices help to manage market risk as well. In addition, the Trust trades foreign currency exchange contracts and uses foreign currency derivatives to manage currency risk in the portfolio. Overall, derivative usage during period had a negative effect on performance. |
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Describe recent portfolio activity. |
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During the period, the Trust gradually reduced its exposure to non-agency residential MBS and CMBS. The proceeds from these transactions were rotated into more liquid corporate credit bonds that offer compelling carry yields (income) and strong fundamentals. Investment grade and high yield corporate bonds became the two largest credit spread sector allocations in the Trust. The Trust tactically managed its duration and yield curve positioning throughout the period. |
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Describe portfolio positioning at period end. |
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At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, ABS and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the period with leverage at 29% of its total managed assets. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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4 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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BlackRock Core Bond Trust |
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Trust Information |
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Symbol on New York Stock Exchange (NYSE) |
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BHK |
Initial Offering Date |
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November 27, 2001 |
Yield on Closing Market Price as of August 31, 2011 ($12.69)1 |
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6.34% |
Current Monthly Distribution per Common Share2 |
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$0.067 |
Current Annualized Distribution per Common Share2 |
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$0.804 |
Leverage as of August 31, 20113 |
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29% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
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8/31/11 |
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8/31/10 |
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Change |
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High |
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Low |
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Market Price |
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$ |
12.69 |
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$ |
13.92 |
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(8.84 |
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$ |
13.99 |
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$ |
11.98 |
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Net Asset Value |
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$ |
13.78 |
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$ |
14.19 |
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(2.89 |
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$ |
14.30 |
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$ |
13.19 |
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The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond and US Government securities:
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Portfolio Composition |
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8/31/11 |
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8/31/10 |
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Corporate Bonds |
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52 |
% |
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38 |
% |
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US Treasury Obligations |
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16 |
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19 |
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US Government Sponsored Agency Securities |
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13 |
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23 |
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Non-Agency Mortgage-Backed Securities |
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12 |
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10 |
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Asset-Backed Securities |
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4 |
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5 |
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Preferred Securities |
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1 |
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1 |
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Taxable Municipal Bonds |
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1 |
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2 |
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Foreign Agency Obligations |
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1 |
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2 |
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Credit Quality Allocations4 |
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8/31/11 |
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8/31/10 |
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AAA/Aaa5 |
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40 |
% |
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43 |
% |
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AA/Aa |
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8 |
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11 |
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A |
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17 |
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17 |
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BBB/Baa |
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16 |
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11 |
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BB/Ba |
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6 |
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8 |
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B |
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11 |
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7 |
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CCC/Caa |
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2 |
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2 |
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Not Rated |
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1 |
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4 |
Using the higher of Standard & Poors (S&Ps) or Moodys Investors Service (Moodys) ratings. |
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5 |
Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
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ANNUAL REPORT |
AUGUST 31, 2011 |
5 |
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Trust Summary as of August 31, 2011 |
BlackRock Corporate High Yield Fund V, Inc. |
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Investment Objective |
BlackRock Corporate High Yield Fund V, Inc.s (HYV) (the Trust) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (BB or lower by S&P or Ba or lower by Moodys) or in unrated securities considered by the Trusts investment adviser to be of comparable quality. The Trust also seeks to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield debt instruments, including high yield bonds (commonly referred to as junk bonds) and high yield corporate loans which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
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Portfolio Management Commentary |
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How did the Trust perform? |
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For the 12 months ended August 31, 2011, the Trust returned 10.79% based on market price and 10.29% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 11.37% based on market price and 9.65% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
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What factors influenced performance? |
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High yield bonds outperformed higher-quality fixed income assets by a sizeable margin during the period due to the high yield markets prevalence of solid technicals, strong credit fundamentals and substantial income in a low-interest-rate environment. More recently, however, these positives have been upstaged by escalating macroeconomic concerns, which continued to fuel investor uncertainty and risk aversion. Across the high yield credit spectrum, security selection in the mid- to lower-quality tiers benefited Trust performance, as did the Trusts exposure to non-rated credits (i.e., preferred securities, warrants). Among fixed income sectors, positive security selection in the electric, metals & mining and media non-cable sectors boosted gains. Allocations to equity-related instruments also aided performance. |
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Over the period, an underexposure to higher-quality securities hurt Trust performance. Higher-quality securities exhibit more interest rate sensitivity than their lower-quality counterparts, so they reacted positively to a rally in US Treasury rates touched off by higher market volatility and a resulting flight to quality. Within sectors, security selection in the independent energy, non-captive diversified and consumer service sectors impeded Trust gains. Another notable detractor was the Trusts allocation to senior secured bank loans, which underperformed high yield bonds over the period. The Trust pursued a higher-quality bias in bank loans over the last several months of the period. |
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Describe recent portfolio activity. |
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During the first half of the period, the Trust shifted its overall positioning from a more conservative stance to one that was more consistent with a gradually improving economy. As the US economic outlook worsened and the potential for contagion from the continued debt crisis in Europe increased, Trust positioning once again became more conservative. The Trust continued to purchase new issues, albeit cautiously, seeking more stable industries with companies offering good cash flows, earnings and revenue visibility, as well as attractive downside protection. More recently, the Trust has reduced exposure to riskier credits that typically require significant economic growth or expansion to realize a boost in valuations. While selling down higher-beta names (i.e., those with higher sensitivity to market volatility), the Trust began actively hedging its equity exposure by taking short positions in S&P 500® Index futures. Furthermore, the Trust increased exposure to names in the independent energy sector, while significantly reducing exposure to the wireless sector. |
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Describe portfolio positioning at period end. |
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At period end, the Trust held 79% of its total portfolio in corporate bonds, 13% in floating rate loan interests (bank loans), 3% in common stocks, 3% in other interests with the remainder in preferred stocks. The Trusts cash equivalent position was negligible for most of the period. The Trust ended the period with leverage at 25% of its total managed assets. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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6 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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BlackRock Corporate High Yield Fund V, Inc. |
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Trust Information |
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Symbol on NYSE |
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HYV |
Initial Offering Date |
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November 30, 2001 |
Yield on Closing Market Price as of August 31, 2011 ($11.55)1 |
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8.83% |
Current Monthly Distribution per Common Share2 |
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$0.085 |
Current Annualized Distribution per Common Share2 |
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$1.020 |
Leverage as of August 31, 20113 |
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25% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
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8/31/11 |
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8/31/10 |
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Change |
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High |
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Low |
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Market Price |
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$ |
11.55 |
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$ |
11.40 |
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1.32 |
% |
$ |
12.58 |
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$ |
10.10 |
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Net Asset Value |
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$ |
11.71 |
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$ |
11.61 |
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0.86 |
% |
$ |
12.87 |
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$ |
11.52 |
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The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:
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Portfolio Composition |
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8/31/11 |
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8/31/10 |
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Corporate Bonds |
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79 |
% |
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80 |
% |
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Floating Rate Loan Interests |
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13 |
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15 |
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Common Stocks |
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3 |
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2 |
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Other Interests |
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3 |
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2 |
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Preferred Stocks |
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2 |
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1 |
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Credit Quality Allocations4 |
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8/31/11 |
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8/31/10 |
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BBB/Baa |
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7 |
% |
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3 |
% |
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BB/Ba |
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34 |
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35 |
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B |
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45 |
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46 |
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CCC/Caa |
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11 |
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11 |
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CC/Ca |
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1 |
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D |
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1 |
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Not Rated |
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2 |
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4 |
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4 |
Using the higher of S&Ps or Moodys ratings. |
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ANNUAL REPORT |
AUGUST 31, 2011 |
7 |
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Trust Summary as of August 31, 2011 |
BlackRock Corporate High Yield Fund VI, Inc. |
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Investment Objective |
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BlackRock Corporate High Yield Fund VI, Inc.s (HYT) (the Trust) primary investment objective is to provide shareholders with current income. The Trusts secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as junk bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objectives will be achieved.
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Portfolio Management Commentary |
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How did the Trust perform? |
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For the 12 months ended August 31, 2011, the Trust returned 9.09% based on market price and 9.95% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 11.37% based on market price and 9.65% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
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|
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What factors influenced performance? |
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|
High yield bonds outperformed higher-quality fixed income assets by a sizeable margin during the period due to the high yield markets prevalence of solid technicals, strong credit fundamentals and substantial income in a low-interest-rate environment. More recently, however, these positives have been upstaged by escalating macroeconomic concerns, which continued to fuel investor uncertainty and risk aversion. Across the high yield credit spectrum, security selection in the mid- to lower-quality tiers benefited Trust performance, as did the Trusts exposure to non-rated credits (i.e., preferred securities, warrants). Among fixed income sectors, positive security selection in the electric, metals & mining and media non-cable sectors boosted gains. Allocations to equity-related instruments also aided performance. |
|
|
|
Over the period, an underexposure to higher-quality securities hurt Trust performance. Higher-quality securities exhibit more interest rate sensitivity than their lower-quality counterparts, so they reacted positively to a rally in US Treasury rates touched off by higher market volatility and a resulting flight to quality. Within sectors, security selection in the independent energy, non-captive diversified and consumer service sectors impeded Trust gains. Another notable detractor was the Trusts allocation to senior secured bank loans, which underperformed high yield bonds over the period. The Trust pursued a higher-quality bias in bank loans over the last several months of the period. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the first half of the period, the Trust shifted its overall positioning from a more conservative stance to one that was more consistent with a gradually improving economy. As the US economic outlook worsened and the potential for contagion from the continued debt crisis in Europe increased, Trust positioning once again became more conservative. The Trust continued to purchase new issues, albeit cautiously, seeking more stable industries with companies offering good cash flows, earnings and revenue visibility, as well as attractive downside protection. More recently, the Trust has reduced exposure to riskier credits that typically require significant economic growth or expansion to realize a boost in valuations. While selling down higher-beta names (i.e., those with higher sensitivity to market volatility), the Trust began actively hedging its equity exposure by taking short positions in S&P 500® Index futures. Furthermore, the Trust increased exposure to names in the independent energy sector, while significantly reducing exposure to the wireless sector. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust held 79% of its total portfolio in corporate bonds, 13% in floating rate loan interests (bank loans), 3% in common stocks, 3% in other interests with the remainder in preferred stocks. The Trusts cash equivalent position was negligible for most of the period. The Trust ended the period with leverage at 24% of its total managed assets. |
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
|
|
|
8 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
BlackRock Corporate High Yield Fund VI, Inc. |
|
Trust Information |
|
|
Symbol on NYSE |
HYT |
Initial Offering Date |
May 30, 2003 |
Yield on Closing Market Price as of August 31, 2011 ($11.21)1 |
8.83% |
Current Monthly Distribution per Common Share2 |
$0.0825 |
Current Annualized Distribution per Common Share2 |
$0.9900 |
Leverage as of August 31, 20113 |
24% |
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
11.21 |
|
$ |
11.19 |
|
|
0.18 |
% |
$ |
12.23 |
|
$ |
10.00 |
|
Net Asset Value |
|
$ |
11.49 |
|
$ |
11.38 |
|
|
0.97 |
% |
$ |
12.60 |
|
$ |
11.31 |
|
The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
Corporate Bonds |
|
79 |
% |
|
81 |
% |
|
Floating Rate Loan Interests |
|
13 |
|
|
15 |
|
|
Common Stocks |
|
3 |
|
|
2 |
|
|
Other Interests |
|
3 |
|
|
1 |
|
|
Preferred Stocks |
|
2 |
|
|
1 |
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
BBB/Baa |
|
7 |
% |
|
3 |
% |
|
BB/Ba |
|
35 |
|
|
36 |
|
|
B |
|
45 |
|
|
47 |
|
|
CCC/Caa |
|
11 |
|
|
11 |
|
|
D |
|
1 |
|
|
|
|
|
Not Rated |
|
1 |
|
|
3 |
|
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
9 |
|
|
|
|
Trust Summary as of August 31, 2011 |
BlackRock High Income Shares |
|
Investment Objective |
BlackRock High Income Shares (HIS) (the Trust) primary investment objective is to provide the highest current income attainable consistent with reasonable risk as determined by the Trusts investment adviser, through investment in a professionally managed, diversified portfolio of high yield, high risk fixed income securities (commonly referred to as junk bonds). The Trusts secondary objective is to provide capital appreciation, but only when consistent with its primary objective. The Trust seeks to achieve its objectives by investing primarily in high yield, high risk debt instruments rated in the medium to lower categories by nationally recognized rating services (BBB or lower by S&P or Baa or lower by Moodys) or non-rated securities, which, in the investment advisers opinion, are of comparable quality. Under normal market conditions, the average maturity of the Trusts portfolio is between eight and twelve years. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objectives will be achieved.
|
Portfolio Management Commentary |
|
|
|
How did the Trust perform? |
|
|
|
For the 12 months ended August 31, 2011, the Trust returned 10.59% based on market price and 9.56% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 11.37% based on market price and 9.65% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
High yield bonds outperformed higher-quality fixed income assets by a sizeable margin during the period due to the high yield markets prevalence of solid technicals, strong credit fundamentals and substantial income in a low-interest-rate environment. More recently, however, these positives have been upstaged by escalating macroeconomic concerns, which continued to fuel investor uncertainty and risk aversion. Across the high yield credit spectrum, security selection in the mid- to lower-quality tiers benefited Trust performance, as did the Trusts exposure to non-rated credits (i.e., preferred securities, warrants). Among fixed income sectors, positive security selection in the electric, metals & mining and media non-cable sectors boosted gains. Allocations to equity-related instruments also aided performance. |
|
|
|
Over the period, an underexposure to higher-quality securities hurt Trust performance. Higher-quality securities exhibit more interest rate sensitivity than their lower-quality counterparts, so they reacted positively to a rally in US Treasury rates touched off by higher market volatility and a resulting flight to quality. Within sectors, security selection in the independent energy, non-captive diversified and consumer service sectors impeded Trust gains. Another notable detractor was the Trusts allocation to senior secured bank loans, which underperformed high yield bonds over the period. The Trust pursued a higher-quality bias in bank loans over the last several months of the period. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the first half of the period, the Trust shifted its overall positioning from a more conservative stance to one that was more consistent with a gradually improving economy. As the US economic outlook worsened and the potential for contagion from the continued debt crisis in Europe increased, Trust positioning once again became more conservative. The Trust continued to purchase new issues, albeit cautiously, seeking more stable industries with companies offering good cash flows, earnings and revenue visibility, as well as attractive downside protection. More recently, the Trust has reduced exposure to riskier credits that typically require significant economic growth or expansion to realize a boost in valuations. While selling down higher-beta names (i.e., those with higher sensitivity to market volatility), the Trust began actively hedging its equity exposure by taking short positions in S&P 500® Index futures. Furthermore, the Trust increased exposure to names in the independent energy sector, while significantly reducing exposure to the wireless sector. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust held 83% of its total portfolio in corporate bonds, 14% in floating rate loan interests (bank loans), 2% in preferred stocks and 1% in common stocks. The Trusts cash equivalent position was negligible for most of the period. The Trust ended the period with leverage at 20% of its total managed assets. |
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
10 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
BlackRock High Income Shares |
|
|
|
|
|
Trust Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
HIS |
|
Initial Offering Date |
|
August 10, 1988 |
|
|
Yield on Closing Market Price as of August 31, 2011 ($2.10)1 |
|
|
8.11% |
|
Current Monthly Distribution per Common Share2 |
|
|
$0.0142 |
|
Current Annualized Distribution per Common Share2 |
|
|
$0.1704 |
|
Leverage as of August 31, 20113 |
|
|
20% |
|
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
2.10 |
|
$ |
2.09 |
|
|
0.48 |
% |
$ |
2.25 |
|
$ |
1.85 |
|
Net Asset Value |
|
$ |
2.18 |
|
$ |
2.19 |
|
|
(0.46 |
)% |
$ |
2.36 |
|
$ |
2.14 |
|
The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
||||
|
|
||||||||||
|
|
8/31/11 |
|
8/31/10 |
|
||||||
Corporate Bonds |
|
|
|
83 |
% |
|
|
|
84 |
% |
|
Floating Rate Loan Interests |
|
|
|
14 |
|
|
|
|
13 |
|
|
Preferred Stocks |
|
|
|
2 |
|
|
|
|
2 |
|
|
Common Stocks |
|
|
|
1 |
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
8/31/11 |
|
8/31/10 |
|
||||||
BBB/Baa |
|
|
|
7 |
% |
|
|
|
3 |
% |
|
BB/Ba |
|
|
|
34 |
|
|
|
|
35 |
|
|
B |
|
|
|
45 |
|
|
|
|
46 |
|
|
CCC/Caa |
|
|
|
12 |
|
|
|
|
11 |
|
|
D |
|
|
|
1 |
|
|
|
|
|
|
|
Not Rated |
|
|
|
1 |
|
|
|
|
5 |
|
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
11 |
|
|
|
|
Trust Summary as of August 31, 2011 |
BlackRock High Yield Trust |
|
Investment Objective |
BlackRock High Yield Trusts (BHY) (the Trust) primary investment objective is to provide high current income. The Trusts secondary investment objective is to provide capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in high-risk, high yield bonds and other such securities, such as preferred stocks, which are rated below investment grade. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objectives will be achieved.
|
Portfolio Management Commentary |
|
|
|
How did the Trust perform? |
|
|
|
For the 12 months ended August 31, 2011, the Trust returned 10.73% based on market price and 9.66% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 11.37% based on market price and 9.65% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
High yield bonds outperformed higher-quality fixed income assets by a sizeable margin during the period due to the high yield markets prevalence of solid technicals, strong credit fundamentals and substantial income in a low-interest-rate environment. More recently, however, these positives have been upstaged by escalating macroeconomic concerns, which continued to fuel investor uncertainty and risk aversion. Across the high yield credit spectrum, security selection in the mid- to lower-quality tiers benefited Trust performance, as did the Trusts exposure to non-rated credits (i.e., preferred securities, warrants). Among fixed income sectors, positive security selection in the electric, metals & mining and media non-cable sectors boosted gains. Allocations to equity-related instruments also aided performance. |
|
|
|
Over the period, an underexposure to higher-quality securities hurt Trust performance. Higher-quality securities exhibit more interest rate sensitivity than their lower-quality counterparts, so they reacted positively to a rally in US Treasury rates touched off by higher market volatility and a resulting flight to quality. Within sectors, security selection in the independent energy, non-captive diversified and consumer service sectors impeded Trust gains. Another notable detractor was the Trusts allocation to senior secured bank loans, which underperformed high yield bonds over the period. The Trust pursued a higher-quality bias in bank loans over the last several months of the period. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the first half of the period, the Trust shifted its overall positioning from a more conservative stance to one that was more consistent with a gradually improving economy. As the US economic outlook worsened and the potential for contagion from the continued debt crisis in Europe increased, Trust positioning once again became more conservative. The Trust continued to purchase new issues, albeit cautiously, seeking more stable industries with companies offering good cash flows, earnings and revenue visibility, as well as attractive downside protection. More recently, the Trust has reduced exposure to riskier credits that typically require significant economic growth or expansion to realize a boost in valuations. Furthermore, the Trust increased exposure to names in the independent energy sector, while significantly reducing exposure to the wireless sector. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust held 82% of its total portfolio in corporate bonds, 15% in floating rate loan interests (bank loans), 2% in other interests and 1% in preferred stocks. The Trusts cash equivalent position was negligible for most of the period. The Trust ended the period with leverage at 12% of its total managed assets. |
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
12 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
BlackRock High Yield Trust |
|
|
|
|
|
Trust Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
BHY |
|
Initial Offering Date |
|
December 23, 1998 |
|
|
Yield on Closing Market Price as of August 31, 2011 ($6.60)1 |
|
|
7.91% |
|
Current Monthly Distribution per Common Share2 |
|
|
$0.0435 |
|
Current Annualized Distribution per Common Share2 |
|
|
$0.5220 |
|
Leverage as of August 31, 20113 |
|
|
12% |
|
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
6.60 |
|
$ |
6.44 |
|
|
2.48 |
% |
$ |
7.00 |
|
$ |
5.94 |
|
Net Asset Value |
|
$ |
6.79 |
|
$ |
6.69 |
|
|
1.49 |
% |
$ |
7.33 |
|
$ |
6.66 |
|
The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond investments:
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||||||
Corporate Bonds |
|
|
|
82 |
% |
|
|
|
84 |
% |
|
Floating Rate Loan Interests |
|
|
|
15 |
|
|
|
|
13 |
|
|
Other Interests |
|
|
|
2 |
|
|
|
|
1 |
|
|
Preferred Stocks |
|
|
|
1 |
|
|
|
|
1 |
|
|
Common Stocks |
|
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||||||
BBB/Baa |
|
|
|
8 |
% |
|
|
|
3 |
% |
|
BB/Ba |
|
|
|
35 |
|
|
|
|
38 |
|
|
B |
|
|
|
46 |
|
|
|
|
42 |
|
|
CCC/Caa |
|
|
|
9 |
|
|
|
|
12 |
|
|
D |
|
|
|
1 |
|
|
|
|
|
|
|
Not Rated |
|
|
|
1 |
|
|
|
|
5 |
|
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
13 |
|
|
|
|
Trust Summary as of August 31, 2011 |
BlackRock Income Opportunity Trust, Inc. |
|
Investment Objective |
BlackRock Income Opportunity Trust, Inc.s (BNA) (the Trust) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trusts investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
|
|
Portfolio Management Commentary |
|
|
|
|
How did the Trust perform? |
|
|
|
For the 12 months ended August 31, 2011, the Trust returned (0.37)% based on market price and 3.91% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 3.09% based on market price and 5.36% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
The largest individual factor impacting performance relative to its Lipper category competitors, many of which carry a lower average credit quality and/or a higher allocation to spread assets (those driven by movements in credit risk), is the Trusts high-quality bias. This bias hurt performance for the period as spread sectors and lower-quality risk assets generally outperformed US Treasuries and government-related assets for the 12-month period. |
|
|
|
Early in the reporting period, the Trusts exposure to non-government spread sectors, such as investment grade credit, non-agency residential MBS and ABS contributed positively to performance on an absolute basis. The Trusts allocation to high yield corporate credit and CMBS also had a positive impact. During the second half of the reporting period, the Trusts allocation to high-quality, government-related debt benefited performance, as did its longer duration (greater sensitivity to interest rates) and yield curve-flattening stance as interest rates rallied in the final month of the period. |
|
|
|
TheTrust uses interest rate derivatives, including futures contracts,options, swaps and swaptions, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. The Trust also uses credit default swaps against both individual names and broad indices to manage credit risk in the portfolio. Credit default swaps against indices help to manage market risk as well. In addition, the Trust trades foreign currency exchange contracts and uses foreign currency derivatives to manage currency risk in the portfolio. Overall, derivative usage during period had a negative effect on performance. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the period, the Trust gradually reduced its exposure to non-agency residential MBS and CMBS. The proceeds from these transactions were rotated into more liquid corporate credit bonds that offer compelling carry yields (income) and strong fundamentals. Investment grade and high yield corporate bonds became the two largest credit spread sector allocations in the Trust. The Trust tactically managed its duration and yield curve positioning throughout the period. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, ABS and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the period with leverage at 29% of its total managed assets. |
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
14 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
BlackRock Income Opportunity Trust, Inc. |
|
|
|
|
|
Trust Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
BNA |
|
Initial Offering Date |
|
|
December 20, 1991 |
|
Yield on Closing Market Price as of August 31, 2011 ($9.85)1 |
|
|
6.21% |
|
Current Monthly Distribution per Common Share2 |
|
|
$0.051 |
|
Current Annualized Distribution per Common Share2 |
|
|
$0.612 |
|
Leverage as of August 31, 20113 |
|
|
29% |
|
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
9.85 |
|
$ |
10.56 |
|
|
(6.72 |
)% |
$ |
10.59 |
|
$ |
9.30 |
|
Net Asset Value |
|
$ |
10.77 |
|
$ |
11.07 |
|
|
(2.71 |
)% |
$ |
11.13 |
|
$ |
10.28 |
|
The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond and US Government securities:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
||||||
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
Corporate Bonds |
|
52 |
% |
|
38 |
% |
|
US Treasury Obligations |
|
16 |
|
|
18 |
|
|
US Government Sponsored Agency Securities |
|
13 |
|
|
23 |
|
|
Non-Agency Mortgage-Backed Securities |
|
12 |
|
|
12 |
|
|
Asset-Backed Securities |
|
4 |
|
|
4 |
|
|
Preferred Securities |
|
1 |
|
|
1 |
|
|
Taxable Municipal Bonds |
|
1 |
|
|
2 |
|
|
Foreign Agency Obligations |
|
1 |
|
|
2 |
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
AAA/Aaa5 |
|
40 |
% |
|
41 |
% |
|
AA/Aa |
|
7 |
|
|
11 |
|
|
A |
|
19 |
|
|
20 |
|
|
BBB/Baa |
|
16 |
|
|
12 |
|
|
BB/Ba |
|
7 |
|
|
9 |
|
|
B |
|
9 |
|
|
6 |
|
|
CCC/Caa |
|
2 |
|
|
1 |
|
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
5 |
Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
15 |
|
|
|
|
|
|
Trust Summary as of August 31, 2011 |
BlackRock Income Trust, Inc. |
|
Investment Objective |
BlackRock Income Trust, Inc.s (BKT) (the Trust) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moodys. Securities issued or guaranteed by the US government or its agencies or instrumentalities are generally considered to be of the same or higher credit or quality as privately issued securities rated AAA or Aaa. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
|
Portfolio Management Commentary |
|
|
|
How did the Trust perform? |
|
|
|
For the 12 months ended August 31, 2011, the Trust returned 8.47% based on market price and 7.70% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 5.28% based on market price and 6.99% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
During the first half of the reporting period, the Trust benefited mostly from its exposure to non-agency residential MBS and security selection within agency MBS. In the latter half of the period, the Trusts high-quality bias had a positive impact as investors fled riskier assets amid increasingly volatile markets. The Trusts active management of its agency MBS holdings and its allocation to US Treasuries benefited performance. Within the Trusts agency MBS allocation, holdings of agency IOs (interest-only) mortgages were particularly beneficial. |
|
|
|
The Trusts exposure to CMBS and non-agency residential MBS was a negative factor in the latter half of the reporting period when concerns about slowing economic growth drove investors to more liquid segments of the mortgage market. |
|
|
|
The Trust uses interest rate derivatives, including futures contracts, options, swaps and swaptions, mainly for the purpose of managing risks relating to portfolio duration and yield curve positioning. Overall, derivative usage during period had a negative effect on performance. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the period, the Trust gradually reduced its exposure to CMBS. The Trust also actively traded agency MBS and mortgage derivatives, seeking to take advantage of a benign pre-payment environment despite rates moving lower for most of the period. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust maintained its exposure to high-quality agency MBS with varying maturities and coupons and held allocations to non-agency residential MBS and CMBS. The Trust ended the period with leverage at 31% of its total managed assets. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
|
|
|
|
|
|
16 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Trust Information |
|
|||
|
|
|
|
|
Symbol on NYSE |
|
|
BKT |
|
Initial Offering Date |
|
|
July 22, 1988 |
|
Yield on Closing Market Price as of August 31, 2011 ($7.18)1 |
|
|
6.10% |
|
Current Monthly Distribution per Common Share2 |
|
|
$0.0365 |
|
Current Annualized Distribution per Common Share2 |
|
|
$0.4380 |
|
Leverage as of August 31, 20113 |
|
|
31% |
|
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
7.18 |
|
$ |
6.95 |
|
|
3.31 |
% |
$ |
7.25 |
|
$ |
6.63 |
|
Net Asset Value |
|
$ |
7.96 |
|
$ |
7.76 |
|
|
2.58 |
% |
$ |
8.02 |
|
$ |
7.64 |
|
The following charts show the portfolio composition and credit quality allocations of the Trusts long-term investments:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
||||||
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
US Government Sponsored Agency Securities |
|
84 |
% |
|
83 |
% |
|
US Treasury Obligations |
|
12 |
|
|
11 |
|
|
Non-Agency Mortgage-Backed Securities |
|
3 |
|
|
5 |
|
|
Asset-Backed Securities |
|
1 |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
AAA/Aaa5 |
|
100 |
% |
|
100 |
% |
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
5 |
Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
17 |
|
|
|
|
|
|
Trust Summary as of August 31, 2011 |
BlackRock Strategic Bond Trust |
|
Investment Objective |
BlackRock Strategic Bond Trusts (BHD) (the Trust) investment objective is to provide total return through high current income and capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in a diversified portfolio of fixed income securities including corporate bonds, US government and agency securities, mortgage-related and asset-backed securities and other types of fixed income securities. The Trust invests, under normal market conditions, a significant portion of its assets in corporate fixed income securities that are below investment grade quality, including high-risk, high yield bonds (commonly referred to as junk bonds) and other such securities, such as preferred stocks. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
|
Portfolio Management Commentary |
|
|
|
How did the Trust perform? |
|
|
|
For the 12 months ended August 31, 2011, the Trust returned 6.83% based on market price and 8.09% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 11.37% based on market price and 9.65% based on NAV. All returns reflect reinvestment of dividends. The Trusts discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
The Trust invests mainly in high yield bonds and investment grade corporate credit. Despite the sharp market decline in the final month, both of these sectors posted gains for the 12-month period. On balance, lower-quality, higher-beta (greater market sensitivity) assets outperformed their higher-quality, lower-beta counterparts. The Trusts lower-quality bias within investment grade credit proved beneficial, as did the credit quality profile of its high yield bond holdings. The Trusts lower exposure to investment grade corporate credit in favor of high yield also had a positive impact. |
|
|
|
Relative to its Lipper category competitors, which invest primarily in high yield bonds (approximately 90%), the Trusts allocation to investment grade credit was the largest detractor from performance as high yield outperformed the investment grade sector for the period. The Trust also held floating rate loan interests (approximately 10% of the portfolio), which also underperformed high yield and therefore hindered returns. |
|
|
|
During the period, the Trust maintained leverage at an average amount between 18% and 22% of its total managed assets. This leverage added to performance on an absolute basis, but detracted from relative performance versus competitors that maintained higher levels of leverage, as would be expected during a period in which markets advanced. |
|
|
|
Describe recent portfolio activity. |
|
|
|
During the earlier part of the period, portfolio activity was consistent with a gradually recovering economy. The Trust modestly increased exposure to more economically sensitive companies and sectors, while maintaining its positions in a number of undervalued special situation credits. However, as concerns mounted over slowing US economic growth and the debt crisis in Europe in the latter half of the period, the Trust shifted to a more conservative stance. The Trust reduced exposure to the economy and consumer spending and sought credits that exhibit a more stable cash flow. |
|
|
|
Describe portfolio positioning at period end. |
|
|
|
At period end, the Trust held 60% of its total portfolio in high yield bonds, 25% investment grade corporate credit and 12% in floating rate loan interests (bank loans), with the remainder in other interests and preferred securities. The Trust ended the period with leverage at 20% of its total managed assets. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
|
|
|
|
|
|
18 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
BlackRock Strategic Bond Trust |
|
|
|
|
|
Trust Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
BHD |
|
Initial Offering Date |
|
|
February 26, 2002 |
|
Yield on Closing Market Price as of August 31, 2011 ($12.93)1 |
|
|
7.84% |
|
Current Monthly Distribution per Common Share2 |
|
|
$0.0845 |
|
Current Annualized Distribution per Common Share2 |
|
|
$1.0140 |
|
Leverage as of August 31, 20113 |
|
|
20% |
|
|
|
|
|
1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20. |
The table below summarizes the changes in the Trusts market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
Change |
|
High |
|
Low |
|
|||||
Market Price |
|
$ |
12.93 |
|
$ |
13.17 |
|
|
(1.82 |
)% |
$ |
13.75 |
|
$ |
11.67 |
|
Net Asset Value |
|
$ |
13.48 |
|
$ |
13.57 |
|
|
(0.66 |
)% |
$ |
14.40 |
|
$ |
13.21 |
|
The following charts show the portfolio composition of the Trusts long-term investments and credit quality allocations of the Trusts corporate bond securities:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
Corporate Bonds |
|
85 |
% |
|
85 |
% |
|
Floating Rate Loan Interests |
|
12 |
|
|
11 |
|
|
Other Interests |
|
2 |
|
|
1 |
|
|
Preferred Securities |
|
1 |
|
|
2 |
|
|
Common Stocks |
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/11 |
|
8/31/10 |
|
||
AA/Aa |
|
3 |
% |
|
3 |
% |
|
A |
|
13 |
|
|
14 |
|
|
BBB/Baa |
|
16 |
|
|
13 |
|
|
BB/Ba |
|
26 |
|
|
28 |
|
|
B |
|
34 |
|
|
33 |
|
|
CCC/Caa |
|
6 |
|
|
8 |
|
|
D |
|
1 |
|
|
|
|
|
Not Rated |
|
1 |
|
|
1 |
|
|
|
|
|
|
4 |
Using the higher of S&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
19 |
|
|
The Trusts may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.
The Trusts may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements and treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trusts shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.
To illustrate these concepts, assume a Trusts capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trusts long-term investments, and therefore the Trusts shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trusts total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Trusts portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts NAV positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.
The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trusts net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trusts ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.
Under the Investment Company Act of 1940, the Trusts are permitted to borrow through their credit facility or by entering into reverse repurchase agreements and/or treasury roll transactions up to 33⅓% of their total managed assets. As of August 31, 2011, the Trusts had outstanding leverage from borrowings as a percentage of their total managed assets as follows:
|
|
|
|
|
Percent of |
||||
BHK |
|
|
29% |
|
HYV |
|
|
25% |
|
HYT |
|
|
24% |
|
HIS |
|
|
20% |
|
BHY |
|
|
12% |
|
BNA |
|
|
29% |
|
BKT |
|
|
31% |
|
BHD |
|
|
20% |
|
Derivative Financial Instruments
|
|
|
|
|
|
|
|
|
20 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Asset-Backed Securities 6.0% |
|
|
|
|
|
|
|
321 Henderson Receivables I LLC, Series |
|
USD |
848 |
|
$ |
846,953 |
|
Capital One Multi-Asset Execution Trust, Series |
|
|
350 |
|
|
349,462 |
|
Citibank Omni Master Trust (a): |
|
|
|
|
|
|
|
Series 2009-A13, Class A13, 5.35%, 8/15/18 |
|
|
795 |
|
|
875,716 |
|
Series 2009-A17, Class A17, 4.90%, |
|
|
2,295 |
|
|
2,507,816 |
|
Countrywide Asset-Backed Certificates, Series |
|
|
1,265 |
|
|
817,998 |
|
Credit Acceptance Auto Loan Trust, Series |
|
|
1,980 |
|
|
1,985,941 |
|
DT Auto Owner Trust, Series 2011-2A, Class C, |
|
|
1,500 |
|
|
1,506,067 |
|
Globaldrive BV, Series 2008-2, Class A, 4.00%, |
|
EUR |
351 |
|
|
509,288 |
|
Home Equity Asset Trust, Series 2007-2, Class 2A1, |
|
USD |
173 |
|
|
166,503 |
|
Nelnet Student Loan Trust, Series 2006-1, Class A5, |
|
|
1,060 |
|
|
982,103 |
|
SLM Student Loan Trust (b): |
|
|
|
|
|
|
|
Series 2004-B, Class A2, 0.45%, 6/15/21 |
|
|
235 |
|
|
228,434 |
|
Series 2008-5, Class A3, 1.55%, 1/25/18 |
|
|
515 |
|
|
525,389 |
|
Series 2008-5, Class A4, 1.95%, 7/25/23 |
|
|
2,715 |
|
|
2,808,382 |
|
Santander Consumer Acquired Receivables Trust (a): |
|
|
|
|
|
|
|
Series 2011-S1A, Class B, 1.66%, 8/15/16 |
|
|
683 |
|
|
678,852 |
|
Series 2011-S1A, Class C, 2.01%, 8/15/16 |
|
|
517 |
|
|
513,310 |
|
Series 2011-S1A, Class D, 3.15%, 8/15/16 |
|
|
532 |
|
|
528,845 |
|
Series 2011-WO, Class C, 3.19%, 10/15/15 |
|
|
580 |
|
|
589,048 |
|
Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
Series 2010-2, Class B, 2.24%, 12/15/14 |
|
|
860 |
|
|
863,413 |
|
Series 2010-2, Class C, 3.89%, 7/17/17 |
|
|
1,010 |
|
|
1,031,184 |
|
Series 2010-B, Class B, 2.10%, 9/15/14 (a) |
|
|
700 |
|
|
701,264 |
|
Series 2010-B, Class C, 3.02%, 10/17/16 (a) |
|
|
740 |
|
|
740,296 |
|
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) |
|
|
461 |
|
|
457,990 |
|
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) |
|
|
502 |
|
|
499,629 |
|
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a) |
|
|
1,186 |
|
|
1,181,048 |
|
Small Business Administration, Class 1: |
|
|
|
|
|
|
|
Series 2003-P10B, 5.14%, 8/10/13 |
|
|
270 |
|
|
284,187 |
|
Series 2004-P10B, 4.75%, 8/10/14 |
|
|
203 |
|
|
215,843 |
|
|
|
|
|
|
|
22,394,961 |
|
Interest Only Asset-Backed Securities 0.2% |
|
|
|
|
|
|
|
Sterling Bank Trust, Series 2004-2, Class Note, |
|
|
4,251 |
|
|
333,460 |
|
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 |
|
|
6,606 |
|
|
524,361 |
|
|
|
|
|
|
|
857,821 |
|
Total Asset-Backed Securities 6.2% |
|
|
|
|
|
23,252,782 |
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (c) |
|
|
135 |
|
$ |
1 |
|
Total Common Stocks 0.0% |
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
United Technologies Corp.: |
|
|
|
|
|
|
|
4.88%, 5/01/15 |
|
USD |
1,125 |
|
|
1,276,499 |
|
6.13%, 7/15/38 |
|
|
700 |
|
|
848,432 |
|
|
|
|
|
|
|
2,124,931 |
|
Airlines 0.4% |
|
|
|
|
|
|
|
American Airlines, Inc., Series 2001-2, 7.86%, |
|
|
380 |
|
|
380,000 |
|
Continental Airlines, Inc., Series 2010-1-B, 6.00%, |
|
|
700 |
|
|
647,500 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
334 |
|
|
348,933 |
|
|
|
|
|
|
|
1,376,433 |
|
Auto Components 0.1% |
|
|
|
|
|
|
|
BorgWarner, Inc., 4.63%, 9/15/20 |
|
|
265 |
|
|
281,153 |
|
Beverages 0.1% |
|
|
|
|
|
|
|
Crown European Holdings SA, 7.13%, |
|
EUR |
355 |
|
|
492,109 |
|
Building Products 0.1% |
|
|
|
|
|
|
|
Momentive Performance Materials, Inc., 11.50%, |
|
USD |
510 |
|
|
504,900 |
|
Capital Markets 6.1% |
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, 12/31/13 (d) |
|
|
720 |
|
|
714,946 |
|
CDP Financial, Inc. (a)(e): |
|
|
|
|
|
|
|
3.00%, 11/25/14 |
|
|
1,935 |
|
|
2,040,500 |
|
5.60%, 11/25/39 |
|
|
2,935 |
|
|
3,368,992 |
|
Credit Suisse AG: |
|
|
|
|
|
|
|
2.60%, 5/27/16 (a) |
|
|
570 |
|
|
585,911 |
|
5.40%, 1/14/20 (e) |
|
|
1,795 |
|
|
1,787,718 |
|
E*Trade Financial Corp., 12.50%, 11/30/17 (f) |
|
|
1,160 |
|
|
1,334,000 |
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
3.70%, 8/01/15 |
|
|
800 |
|
|
808,596 |
|
3.63%, 2/07/16 (e) |
|
|
5,309 |
|
|
5,313,619 |
|
5.38%, 3/15/20 |
|
|
1,220 |
|
|
1,239,570 |
|
Morgan Stanley: |
|
|
|
|
|
|
|
2.79%, 5/14/13 (b)(e) |
|
|
1,890 |
|
|
1,887,067 |
|
4.20%, 11/20/14 |
|
|
490 |
|
|
491,199 |
|
4.00%, 7/24/15 |
|
|
410 |
|
|
408,047 |
|
6.25%, 8/28/17 (e) |
|
|
1,930 |
|
|
2,042,793 |
|
5.63%, 9/23/19 |
|
|
630 |
|
|
640,366 |
|
|
|
|
|
|
|
22,663,324 |
|
|
Portfolio Abbreviations |
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
|
|
AUD |
Australian Dollar |
CAD |
Canadian Dollar |
CHF |
Swiss Franc |
CNY |
Chinese Renminbi |
ETF |
Exchange-Traded Fund |
EUR |
Euro |
FHLMC |
Federal Home Loan Mortgage Corp. |
FKA |
Formerly Known As |
GBP |
British Pound |
JPY |
Japanese Yen |
LIBOR |
London Interbank Offered Rate |
PIK |
Payment-In-Kind |
RB |
Revenue Bonds |
SEK |
Swedish Krona |
SPDR |
Standard and Poors Depositary Receipts |
USD |
US Dollar |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
21 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Chemicals 0.5% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
USD |
250 |
|
$ |
245,625 |
|
The Dow Chemical Co., 4.25%, 11/15/20 |
|
|
715 |
|
|
730,258 |
|
Hexion US Finance Corp., 8.88%, 2/01/18 |
|
|
375 |
|
|
350,625 |
|
Huntsman International LLC, 6.88%, 11/15/13 (a) |
|
EUR |
435 |
|
|
618,629 |
|
|
|
|
|
|
|
1,945,137 |
|
Commercial Banks 7.7% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
USD |
60 |
|
|
59,700 |
|
7.00%, 5/01/16 |
|
|
90 |
|
|
89,550 |
|
7.00%, 5/01/17 |
|
|
363 |
|
|
357,969 |
|
7.00%, 5/02/17 (a) |
|
|
50 |
|
|
49,375 |
|
Canadian Imperial Bank of Commerce, |
|
|
1,490 |
|
|
1,577,141 |
|
DEPFA ACS Bank, 5.13%, 3/16/37 (a) |
|
|
3,775 |
|
|
2,888,388 |
|
DnB NOR Boligkreditt (a): |
|
|
|
|
|
|
|
2.10%, 10/14/16 |
|
|
4,020 |
|
|
4,111,576 |
|
2.90%, 3/29/17 |
|
|
2,600 |
|
|
2,722,104 |
|
Eksportfinans ASA (e): |
|
|
|
|
|
|
|
2.00%, 9/15/15 |
|
|
2,455 |
|
|
2,521,881 |
|
5.50%, 6/26/17 |
|
|
950 |
|
|
1,134,066 |
|
HSBC Bank Brasil SA Banco Multiplo, 4.00%, |
|
|
1,400 |
|
|
1,393,000 |
|
HSBC Bank Plc, 3.10%, 5/24/16 (a) |
|
|
700 |
|
|
711,625 |
|
Royal Bank of Canada, 3.13%, 4/14/15 (a) |
|
|
3,870 |
|
|
4,122,572 |
|
Sparebanken 1 Boligkreditt (a): |
|
|
|
|
|
|
|
1.25%, 10/25/13 |
|
|
1,580 |
|
|
1,590,798 |
|
2.63%, 5/27/17 |
|
|
1,675 |
|
|
1,731,027 |
|
Wachovia Corp., 5.25%, 8/01/14 (e) |
|
|
3,425 |
|
|
3,663,613 |
|
|
|
|
|
|
|
28,724,385 |
|
Commercial Services & Supplies 0.1% |
|
|
|
|
|
|
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
|
65 |
|
|
67,112 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a) |
|
|
143 |
|
|
137,802 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
320 |
|
|
311,200 |
|
|
|
|
|
|
|
516,114 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
150 |
|
|
201,469 |
|
Construction Materials 0.2% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (a) |
|
USD |
415 |
|
|
393,213 |
|
Inversiones CMPC SA, 4.75%, 1/19/18 (a) |
|
|
220 |
|
|
224,802 |
|
Lafarge SA, 7.13%, 7/15/36 |
|
|
165 |
|
|
137,647 |
|
|
|
|
|
|
|
755,662 |
|
Consumer Finance 0.4% |
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (b) |
|
|
125 |
|
|
125,003 |
|
7.80%, 6/01/12 |
|
|
340 |
|
|
350,207 |
|
SLM Corp.: |
|
|
|
|
|
|
|
6.25%, 1/25/16 |
|
|
661 |
|
|
675,834 |
|
Series A, 0.55%, 1/27/14 (b) |
|
|
550 |
|
|
495,856 |
|
|
|
|
|
|
|
1,646,900 |
|
Containers & Packaging 0.6% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
425 |
|
|
572,356 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
190 |
|
|
174,800 |
|
Smurfit Kappa Acquisitions (a): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
725 |
|
|
999,804 |
|
7.75%, 11/15/19 |
|
|
410 |
|
|
562,462 |
|
|
|
|
|
|
|
2,309,422 |
|
Diversified Financial Services 9.4% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
8.30%, 2/12/15 |
|
USD |
1,500 |
|
|
1,575,000 |
|
6.25%, 12/01/17 |
|
|
160 |
|
|
153,907 |
|
8.00%, 3/15/20 |
|
|
560 |
|
|
565,600 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
Bank of America Corp.: |
|
|
|
|
|
|
|
3.63%, 3/17/16 |
|
USD |
300 |
|
$ |
292,790 |
|
3.75%, 7/12/16 |
|
|
950 |
|
|
937,814 |
|
7.63%, 6/01/19 |
|
|
450 |
|
|
508,330 |
|
5.63%, 7/01/20 |
|
|
650 |
|
|
658,279 |
|
Barrick North America
Finance LLC, 4.40%, |
|
|
15 |
|
|
15,701 |
|
Capital One Financial Corp.: |
|
|
|
|
|
|
|
3.15%, 7/15/16 |
|
|
2,490 |
|
|
2,478,506 |
|
4.75%, 7/15/21 |
|
|
960 |
|
|
965,967 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
5.00%, 9/15/14 |
|
|
285 |
|
|
292,665 |
|
4.75%, 5/19/15 |
|
|
1,150 |
|
|
1,199,339 |
|
4.59%, 12/15/15 (e) |
|
|
7,800 |
|
|
8,101,197 |
|
6.00%, 8/15/17 |
|
|
100 |
|
|
108,430 |
|
5.38%, 8/09/20 |
|
|
200 |
|
|
212,286 |
|
General Electric Capital Corp.: |
|
|
|
|
|
|
|
6.15%, 8/07/37 (e)(g) |
|
|
4,150 |
|
|
4,330,160 |
|
6.88%, 1/10/39 |
|
|
135 |
|
|
155,320 |
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
3.70%, 1/20/15 (e) |
|
|
3,425 |
|
|
3,567,997 |
|
3.15%, 7/05/16 |
|
|
103 |
|
|
105,210 |
|
6.30%, 4/23/19 (e) |
|
|
2,000 |
|
|
2,311,200 |
|
Series BKNT, 6.00%, 10/01/17 (e) |
|
|
2,050 |
|
|
2,297,890 |
|
Novus USA Trust, 1.54%, 11/18/11 (a)(b) |
|
|
860 |
|
|
850,237 |
|
Reynolds Group Issuer, Inc. (a): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (h) |
|
EUR |
550 |
|
|
766,373 |
|
7.88%, 8/15/19 |
|
USD |
660 |
|
|
653,400 |
|
6.88%, 2/15/21 |
|
|
1,215 |
|
|
1,129,950 |
|
WMG Acquisition Corp. (a): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
160 |
|
|
163,200 |
|
11.50%, 10/01/18 |
|
|
785 |
|
|
714,350 |
|
|
|
|
|
|
|
35,111,098 |
|
Diversified Telecommunication Services 4.5% |
|
|
|
|
|
|
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (a) |
|
|
348 |
|
|
330,600 |
|
Level 3 Financing, Inc., 8.75%, 2/15/17 |
|
|
239 |
|
|
234,220 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
1,200 |
|
|
1,215,000 |
|
8.00%, 10/01/15 |
|
|
568 |
|
|
606,340 |
|
7.13%, 4/01/18 |
|
|
272 |
|
|
285,600 |
|
Series B, 7.50%, 2/15/14 |
|
|
290 |
|
|
293,625 |
|
Qwest Corp.: |
|
|
|
|
|
|
|
7.63%, 6/15/15 |
|
|
192 |
|
|
213,600 |
|
8.38%, 5/01/16 |
|
|
380 |
|
|
433,200 |
|
6.50%, 6/01/17 |
|
|
103 |
|
|
110,339 |
|
Telecom Italia Capital SA: |
|
|
|
|
|
|
|
4.95%, 9/30/14 (e) |
|
|
1,075 |
|
|
1,059,490 |
|
6.00%, 9/30/34 |
|
|
1,550 |
|
|
1,257,233 |
|
Telefonica Emisiones SAU, 7.05%, 6/20/36 |
|
|
1,975 |
|
|
1,968,283 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
8.75%, 11/01/18 (e) |
|
|
2,220 |
|
|
3,007,079 |
|
6.40%, 2/15/38 (e) |
|
|
3,483 |
|
|
4,028,284 |
|
8.95%, 3/01/39 |
|
|
900 |
|
|
1,338,673 |
|
Verizon New Jersey, Inc., 5.88%, 1/17/12 |
|
|
335 |
|
|
341,215 |
|
Windstream Corp., 7.88%, 11/01/17 |
|
|
60 |
|
|
63,075 |
|
|
|
|
|
|
|
16,785,856 |
|
Electric Utilities 6.3% |
|
|
|
|
|
|
|
Alabama Power Co.: |
|
|
|
|
|
|
|
3.95%, 6/01/21 |
|
|
460 |
|
|
491,825 |
|
6.00%, 3/01/39 (e) |
|
|
1,275 |
|
|
1,558,036 |
|
The Cleveland Electric Illuminating Co.: |
|
|
|
|
|
|
|
8.88%, 11/15/18 |
|
|
121 |
|
|
162,299 |
|
5.95%, 12/15/36 |
|
|
217 |
|
|
224,997 |
|
Duke Energy Carolinas LLC: |
|
|
|
|
|
|
|
6.10%, 6/01/37 |
|
|
315 |
|
|
368,740 |
|
6.00%, 1/15/38 |
|
|
825 |
|
|
989,884 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
22 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Electric Utilities (concluded) |
|
|
|
|
|
|
|
EDF SA, 5.60%, 1/27/40 (a)(e) |
|
USD |
1,400 |
|
$ |
1,487,109 |
|
E.ON International Finance BV, 6.65%, 4/30/38 (a) |
|
|
1,525 |
|
|
1,848,649 |
|
Florida Power & Light Co., 4.95%, 6/01/35 |
|
|
950 |
|
|
1,023,056 |
|
Florida Power Corp.: |
|
|
|
|
|
|
|
6.35%, 9/15/37 (e) |
|
|
1,325 |
|
|
1,634,487 |
|
6.40%, 6/15/38 |
|
|
430 |
|
|
535,082 |
|
Hydro-Quebec: |
|
|
|
|
|
|
|
9.40%, 2/01/21 |
|
|
390 |
|
|
592,336 |
|
8.40%, 1/15/22 |
|
|
730 |
|
|
1,060,776 |
|
8.05%, 7/07/24 |
|
|
1,900 |
|
|
2,815,202 |
|
Jersey Central Power & Light Co., 7.35%, 2/01/19 |
|
|
245 |
|
|
312,092 |
|
PacifiCorp., 6.25%, 10/15/37 |
|
|
575 |
|
|
704,922 |
|
Public Service Co. of Colorado, 6.25%, 9/01/37 (e) |
|
|
1,200 |
|
|
1,504,146 |
|
Southern California Edison Co.: |
|
|
|
|
|
|
|
5.63%, 2/01/36 |
|
|
625 |
|
|
726,123 |
|
Series 08-A, 5.95%, 2/01/38 |
|
|
1,075 |
|
|
1,309,981 |
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
750 |
|
|
921,156 |
|
The Toledo Edison Co., 6.15%, 5/15/37 |
|
USD |
350 |
|
|
403,759 |
|
Trans-Allegheny Interstate Line Co., 4.00%, |
|
|
250 |
|
|
264,877 |
|
Virginia Electric and Power Co., Series A, 6.00%, |
|
|
2,000 |
|
|
2,344,446 |
|
|
|
|
|
|
|
23,283,980 |
|
Energy Equipment & Services 1.2% |
|
|
|
|
|
|
|
Calfrac Holdings LP, 7.50%, 12/01/20 (a) |
|
|
340 |
|
|
329,800 |
|
Ensco Plc: |
|
|
|
|
|
|
|
3.25%, 3/15/16 |
|
|
160 |
|
|
165,777 |
|
4.70%, 3/15/21 |
|
|
1,745 |
|
|
1,824,054 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (a) |
|
|
605 |
|
|
586,850 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (a) |
|
|
1,110 |
|
|
1,148,850 |
|
Pride International, Inc., 6.88%, 8/15/20 |
|
|
230 |
|
|
274,894 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
123 |
|
|
129,150 |
|
Weatherford International, Ltd., 6.75%, 9/15/40 |
|
|
160 |
|
|
174,691 |
|
|
|
|
|
|
|
4,634,066 |
|
Food & Staples Retailing 0.9% |
|
|
|
|
|
|
|
Wal-Mart Stores, Inc. (e): |
|
|
|
|
|
|
|
6.50%, 8/15/37 |
|
|
1,900 |
|
|
2,358,871 |
|
6.20%, 4/15/38 |
|
|
850 |
|
|
1,024,345 |
|
|
|
|
|
|
|
3,383,216 |
|
Food Products 0.9% |
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, 12/15/18 (a) |
|
|
335 |
|
|
362,638 |
|
JBS USA LLC, 7.25%, 6/01/21 (a) |
|
|
120 |
|
|
109,050 |
|
Kraft Foods, Inc., 5.38%, 2/10/20 |
|
|
2,550 |
|
|
2,896,287 |
|
|
|
|
|
|
|
3,367,975 |
|
Health Care Equipment & Supplies 0.6% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
810 |
|
|
837,337 |
|
7.75%, 4/15/18 (a) |
|
|
735 |
|
|
683,550 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (a) |
|
|
375 |
|
|
353,438 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
385 |
|
|
382,112 |
|
|
|
|
|
|
|
2,256,437 |
|
Health Care Providers & Services 2.4% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
175 |
|
|
174,125 |
|
ConvaTec Healthcare E SA (a): |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
600 |
|
|
775,711 |
|
10.50%, 12/15/18 |
|
USD |
415 |
|
|
377,650 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
6.50%, 2/15/20 |
|
|
1,745 |
|
|
1,764,631 |
|
7.50%, 2/15/22 |
|
|
1,690 |
|
|
1,673,100 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (a) |
|
|
1,000 |
|
|
875,000 |
|
INC Research LLC, 11.50%, 7/15/19 (a) |
|
|
545 |
|
|
504,125 |
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a) |
|
|
400 |
|
|
361,000 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Health Care Providers & Services (concluded) |
|
|
|
|
|
|
|
Symbion, Inc., 8.00%, 6/15/16 (a) |
|
USD |
455 |
|
$ |
423,150 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
380 |
|
|
402,800 |
|
10.00%, 5/01/18 |
|
|
200 |
|
|
220,000 |
|
8.88%, 7/01/19 |
|
|
1,150 |
|
|
1,219,000 |
|
|
|
|
|
|
|
8,770,292 |
|
Health Care Technology 0.1% |
|
|
|
|
|
|
|
MedAssets, Inc., 8.00%, 11/15/18 (a) |
|
|
500 |
|
|
482,500 |
|
Hotels, Restaurants & Leisure 0.2% |
|
|
|
|
|
|
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 |
|
EUR |
69 |
|
|
86,233 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (a) |
|
USD |
235 |
|
|
200,337 |
|
Yum! Brands, Inc.: |
|
|
|
|
|
|
|
6.25%, 4/15/16 |
|
|
265 |
|
|
310,983 |
|
5.30%, 9/15/19 |
|
|
175 |
|
|
195,316 |
|
|
|
|
|
|
|
792,869 |
|
Household Durables 1.0% |
|
|
|
|
|
|
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
255 |
|
|
179,775 |
|
12.00%, 10/15/17 |
|
|
1,050 |
|
|
1,065,750 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
2,100 |
|
|
2,079,000 |
|
8.38%, 5/15/18 |
|
|
230 |
|
|
201,825 |
|
|
|
|
|
|
|
3,526,350 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (a) |
|
EUR |
190 |
|
|
244,277 |
|
IT Services 1.1% |
|
|
|
|
|
|
|
First Data Corp. (a): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
USD |
605 |
|
|
568,700 |
|
12.63%, 1/15/21 |
|
|
520 |
|
|
491,400 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
1,440 |
|
|
1,371,600 |
|
7.63%, 11/15/20 |
|
|
1,730 |
|
|
1,652,150 |
|
|
|
|
|
|
|
4,083,850 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
1,520 |
|
|
1,525,884 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
652 |
|
|
657,784 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (a) |
|
|
2,855 |
|
|
2,826,450 |
|
|
|
|
|
|
|
5,010,118 |
|
Industrial Conglomerates 0.7% |
|
|
|
|
|
|
|
Sequa Corp. (a): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
690 |
|
|
717,600 |
|
13.50%, 12/01/15 |
|
|
1,940 |
|
|
2,056,816 |
|
|
|
|
|
|
|
2,774,416 |
|
Insurance 2.2% |
|
|
|
|
|
|
|
American International Group, Inc., 5.45%, |
|
|
800 |
|
|
814,703 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (a) |
|
|
478 |
|
|
497,120 |
|
Fairfax Financial Holdings, Ltd., 5.80%, 5/15/21 (a) |
|
|
600 |
|
|
586,050 |
|
Hartford Financial Services Group, Inc., 6.00%, |
|
|
345 |
|
|
356,982 |
|
Hartford Life Global Funding Trusts, 0.43%, |
|
|
425 |
|
|
416,185 |
|
Lincoln National Corp., 6.25%, 2/15/20 |
|
|
630 |
|
|
685,024 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) |
|
|
340 |
|
|
326,400 |
|
Manulife Financial Corp., 3.40%, 9/17/15 |
|
|
1,630 |
|
|
1,658,727 |
|
Metropolitan Life Global Funding I, 5.13%, |
|
|
775 |
|
|
845,458 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
23 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Insurance (concluded) |
|
|
|
|
|
|
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
USD |
250 |
|
$ |
299,048 |
|
5.38%, 6/21/20 |
|
|
250 |
|
|
269,106 |
|
4.50%, 11/15/20 |
|
|
450 |
|
|
454,364 |
|
5.70%, 12/14/36 |
|
|
675 |
|
|
655,330 |
|
Series D, 5.90%, 3/17/36 |
|
|
500 |
|
|
495,322 |
|
|
|
|
|
|
|
8,359,819 |
|
Life Sciences Tools & Services 0.0% |
|
|
|
|
|
|
|
Life Technologies Corp., 5.00%, 1/15/21 |
|
|
105 |
|
|
108,401 |
|
Machinery 0.4% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
310 |
|
|
271,637 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (i) |
|
|
1,040 |
|
|
1,147,900 |
|
8.25%, 11/01/21 |
|
|
16 |
|
|
16,560 |
|
|
|
|
|
|
|
1,436,097 |
|
Marine 0.3% |
|
|
|
|
|
|
|
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a) |
|
|
1,050 |
|
|
1,134,000 |
|
Media 9.1% |
|
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a) |
|
|
320 |
|
|
331,200 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
1,045 |
|
|
924,825 |
|
CBS Corp.: |
|
|
|
|
|
|
|
4.63%, 5/15/18 |
|
|
810 |
|
|
860,429 |
|
8.88%, 5/15/19 |
|
|
325 |
|
|
419,738 |
|
5.75%, 4/15/20 |
|
|
250 |
|
|
279,270 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
2,300 |
|
|
2,656,934 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 (b) |
|
|
52 |
|
|
49,400 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
845 |
|
|
650,650 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (a) |
|
|
500 |
|
|
538,750 |
|
Clear Channel Communications, Inc., 9.00%, 3/01/21 |
|
|
780 |
|
|
627,900 |
|
Clear Channel Worldwide Holdings, Inc., Series B, |
|
|
1,987 |
|
|
2,126,090 |
|
Comcast Cable Communications Holdings, Inc., |
|
|
600 |
|
|
879,860 |
|
Comcast Corp., 6.45%, 3/15/37 |
|
|
790 |
|
|
877,960 |
|
Cox Communications, Inc., 8.38%, |
|
|
905 |
|
|
1,235,430 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 4.00%, 8/15/18 |
|
|
945 |
|
|
975,116 |
|
Loan Close 3, 4.00%, 8/15/18 |
|
|
1,080 |
|
|
1,114,837 |
|
Shares Loan, 4.00%, 8/15/18 |
|
|
1,114 |
|
|
1,149,790 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (a) |
|
|
170 |
|
|
149,175 |
|
DIRECTV Holdings LLC, 3.13%, 2/15/16 |
|
|
1,380 |
|
|
1,421,724 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
1,055 |
|
|
1,018,075 |
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
490 |
|
|
512,050 |
|
11.25%, 2/04/17 |
|
|
180 |
|
|
174,600 |
|
11.50%, 2/04/17 (f) |
|
|
110 |
|
|
106,837 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
1,480 |
|
|
1,568,800 |
|
NBC Universal, Inc.: |
|
|
|
|
|
|
|
5.15%, 4/30/20 |
|
|
1,983 |
|
|
2,198,836 |
|
4.38%, 4/01/21 |
|
|
1,015 |
|
|
1,041,739 |
|
The New York Times Co., 6.63%, 12/15/16 |
|
|
1,800 |
|
|
1,811,250 |
|
News America, Inc.: |
|
|
|
|
|
|
|
4.50%, 2/15/21 |
|
|
40 |
|
|
41,146 |
|
7.63%, 11/30/28 |
|
|
385 |
|
|
444,637 |
|
TCI Communications, Inc., 7.88%, 2/15/26 |
|
|
610 |
|
|
823,748 |
|
Time Warner Cable, Inc.: |
|
|
|
|
|
|
|
7.30%, 7/01/38 |
|
|
930 |
|
|
1,100,909 |
|
5.88%, 11/15/40 |
|
|
465 |
|
|
486,470 |
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
4.70%, 1/15/21 |
|
|
350 |
|
|
374,028 |
|
6.10%, 7/15/40 |
|
|
215 |
|
|
232,127 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC |
|
USD |
2,370 |
|
$ |
2,417,400 |
|
Virgin Media Secured Finance Plc, 6.50%, |
|
|
525 |
|
|
559,125 |
|
Ziggo Finance BV, 6.13%, 11/15/17 (a) |
|
EUR |
1,135 |
|
|
1,589,668 |
|
|
|
|
|
|
|
33,770,523 |
|
Metals & Mining 4.0% |
|
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21 |
|
USD |
1,450 |
|
|
1,453,151 |
|
AngloGold Ashanti Holdings Plc, 5.38%, 4/15/20 |
|
|
320 |
|
|
326,361 |
|
Barrick Gold Corp., 2.90%, 5/30/16 (a) |
|
|
2,545 |
|
|
2,612,715 |
|
Cliffs Natural Resources, Inc.: |
|
|
|
|
|
|
|
4.80%, 10/01/20 |
|
|
240 |
|
|
243,163 |
|
4.88%, 4/01/21 |
|
|
690 |
|
|
695,488 |
|
Corporacion Nacional del Cobre de Chile, |
|
|
259 |
|
|
260,590 |
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (a) |
|
|
13 |
|
|
13,292 |
|
7.38%, 2/15/16 |
|
|
335 |
|
|
340,025 |
|
Falconbridge Ltd., 6.20%, 6/15/35 |
|
|
1,250 |
|
|
1,194,154 |
|
New World Resources NV, 7.88%, 5/01/18 |
|
EUR |
215 |
|
|
294,950 |
|
Novelis, Inc., 8.75%, 12/15/20 (a)(e) |
|
USD |
4,380 |
|
|
4,609,950 |
|
Teck Resources Ltd., 5.38%, 10/01/15 |
|
|
2,359 |
|
|
2,597,443 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
306 |
|
|
301,383 |
|
|
|
|
|
|
|
14,942,665 |
|
Multiline Retail 0.3% |
|
|
|
|
|
|
|
Macys Retail Holdings, Inc., 5.90%, 12/01/16 |
|
|
950 |
|
|
1,049,883 |
|
Oil, Gas & Consumable Fuels 9.5% |
|
|
|
|
|
|
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
1,916 |
|
|
2,153,755 |
|
6.38%, 9/15/17 |
|
|
1,694 |
|
|
1,956,180 |
|
6.95%, 6/15/19 |
|
|
190 |
|
|
225,446 |
|
Arch Coal, Inc., 7.25%, 10/01/20 |
|
|
805 |
|
|
792,925 |
|
BP Capital Markets Plc: |
|
|
|
|
|
|
|
3.13%, 3/10/12 |
|
|
1,270 |
|
|
1,287,168 |
|
3.13%, 10/01/15 |
|
|
330 |
|
|
345,320 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
75 |
|
|
82,313 |
|
Burlington Resources Finance Co., 7.40%, 12/01/31 |
|
|
875 |
|
|
1,171,084 |
|
Cenovus Energy, Inc., 6.75%, 11/15/39 |
|
|
750 |
|
|
889,163 |
|
Chesapeake Energy Corp., 6.63%, 8/15/20 |
|
|
481 |
|
|
502,645 |
|
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 |
|
|
535 |
|
|
622,201 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
130 |
|
|
134,550 |
|
Devon Energy Corp., 7.95%, 4/15/32 |
|
|
625 |
|
|
851,186 |
|
El Paso Pipeline Partners Operating Co., LLC, |
|
|
240 |
|
|
272,531 |
|
EnCana Corp.: |
|
|
|
|
|
|
|
6.50%, 8/15/34 |
|
|
670 |
|
|
745,185 |
|
6.63%, 8/15/37 |
|
|
700 |
|
|
774,627 |
|
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17 |
|
|
580 |
|
|
594,500 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
5.20%, 9/01/20 |
|
|
695 |
|
|
759,077 |
|
6.13%, 10/15/39 |
|
|
700 |
|
|
735,014 |
|
KeySpan Gas East Corp., 5.82%, 4/01/41 (a) |
|
|
505 |
|
|
575,072 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
5.95%, 2/15/18 |
|
|
1,300 |
|
|
1,484,645 |
|
6.55%, 9/15/40 |
|
|
110 |
|
|
119,502 |
|
6.38%, 3/01/41 |
|
|
150 |
|
|
159,398 |
|
Marathon Petroleum Corp., 6.50%, 3/01/41 (a) |
|
|
997 |
|
|
1,084,114 |
|
MidAmerican Energy Co., 5.80%, 10/15/36 |
|
|
700 |
|
|
804,529 |
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
800 |
|
|
900,049 |
|
6.50%, 9/15/37 |
|
|
1,900 |
|
|
2,289,314 |
|
Nexen, Inc., 7.50%, 7/30/39 |
|
|
1,000 |
|
|
1,160,597 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
1,000 |
|
|
1,010,000 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
24 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
USD |
1,340 |
|
$ |
1,374,371 |
|
5.88%, 3/01/18 |
|
|
75 |
|
|
81,525 |
|
5.75%, 1/20/20 |
|
|
1,725 |
|
|
1,871,432 |
|
Premier Oil, 5.00%, 5/10/18 |
|
|
1,900 |
|
|
1,952,250 |
|
Rockies Express Pipeline LLC (a): |
|
|
|
|
|
|
|
3.90%, 4/15/15 |
|
|
804 |
|
|
827,080 |
|
6.85%, 7/15/18 |
|
|
206 |
|
|
238,623 |
|
Suncor Energy, Inc., 6.10%, 6/01/18 |
|
|
1,750 |
|
|
2,029,937 |
|
Valero Energy Corp.: |
|
|
|
|
|
|
|
6.13%, 2/01/20 |
|
|
250 |
|
|
278,521 |
|
6.63%, 6/15/37 |
|
|
157 |
|
|
168,627 |
|
Western Gas Partners LP, 5.38%, 6/01/21 |
|
|
710 |
|
|
747,623 |
|
Williams Partners LP, 4.13%, 11/15/20 |
|
|
980 |
|
|
980,323 |
|
Woodside Finance, Ltd., 4.60%, 5/10/21 (a) |
|
|
205 |
|
|
216,974 |
|
|
|
|
|
|
|
35,249,376 |
|
Paper & Forest Products 0.6% |
|
|
|
|
|
|
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
185 |
|
|
196,562 |
|
8.00%, 4/01/20 |
|
|
210 |
|
|
214,725 |
|
Clearwater Paper Corp., 10.63%, 6/15/16 |
|
|
620 |
|
|
678,900 |
|
International Paper Co., 5.30%, 4/01/15 |
|
|
42 |
|
|
45,792 |
|
NewPage Corp., 11.38%, 12/31/14 (e)(j) |
|
|
430 |
|
|
378,400 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
670 |
|
|
710,200 |
|
|
|
|
|
|
|
2,224,579 |
|
Pharmaceuticals 0.8% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) |
|
EUR |
200 |
|
|
275,808 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
245 |
|
|
248,062 |
|
Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36 |
|
|
1,445 |
|
|
1,668,029 |
|
Wyeth, 6.00%, 2/15/36 |
|
|
675 |
|
|
782,960 |
|
|
|
|
|
|
|
2,974,859 |
|
Real Estate Investment Trusts (REITs) 0.1% |
|
|
|
|
|
|
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, |
|
|
275 |
|
|
265,205 |
|
Real Estate Management & Development 0.2% |
|
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a) |
|
|
564 |
|
|
468,120 |
|
WEA Finance LLC, 4.63%, 5/10/21 (a) |
|
|
305 |
|
|
297,113 |
|
|
|
|
|
|
|
765,233 |
|
Road & Rail 0.8% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, 9.63%, 3/15/18 |
|
|
715 |
|
|
731,087 |
|
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 |
|
|
950 |
|
|
1,041,947 |
|
Florida East Coast Railway Corp., 8.13%, |
|
|
490 |
|
|
487,550 |
|
The Hertz Corp., 7.38%, 1/15/21 (a) |
|
|
650 |
|
|
620,750 |
|
|
|
|
|
|
|
2,881,334 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (a) |
|
|
390 |
|
|
390,000 |
|
Specialty Retail 0.3% |
|
|
|
|
|
|
|
Home Depot Inc., 5.88%, 12/16/36 |
|
|
830 |
|
|
905,390 |
|
QVC, Inc. (a): |
|
|
|
|
|
|
|
7.50%, 10/01/19 |
|
|
35 |
|
|
37,712 |
|
7.38%, 10/15/20 |
|
|
35 |
|
|
37,625 |
|
|
|
|
|
|
|
980,727 |
|
Thrifts & Mortgage Finance 0.7% |
|
|
|
|
|
|
|
Northern Rock Plc, 5.63%, 6/22/17 (a) |
|
|
290 |
|
|
310,827 |
|
The PMI Group, Inc., 6.00%, 9/15/16 |
|
|
1,400 |
|
|
364,000 |
|
Radian Group, Inc.: |
|
|
|
|
|
|
|
5.63%, 2/15/13 |
|
|
1,400 |
|
|
1,085,000 |
|
5.38%, 6/15/15 |
|
|
1,400 |
|
|
906,500 |
|
|
|
|
|
|
|
2,666,327 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Wireless Telecommunication Services 2.4% |
|
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16 |
|
USD |
795 |
|
$ |
788,545 |
|
Cricket Communications, Inc., 10.00%, 7/15/15 |
|
|
35 |
|
|
36,181 |
|
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) |
|
|
1,420 |
|
|
1,603,691 |
|
Digicel Group Ltd. (a): |
|
|
|
|
|
|
|
9.13%, 1/15/15 |
|
|
560 |
|
|
560,000 |
|
8.25%, 9/01/17 |
|
|
150 |
|
|
150,000 |
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
|
600 |
|
|
608,250 |
|
6.63%, 11/15/20 |
|
|
960 |
|
|
897,600 |
|
Rogers Communications, Inc., 7.50%, 8/15/38 |
|
|
1,150 |
|
|
1,506,055 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
645 |
|
|
577,275 |
|
Vodafone Group Plc, 4.15%, 6/10/14 (e) |
|
|
2,050 |
|
|
2,212,797 |
|
|
|
|
|
|
|
8,940,394 |
|
Total Corporate Bonds 79.6% |
|
|
|
|
|
296,188,661 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
Hellenic Republic Government Bond, 4.60%, |
|
EUR |
160 |
|
|
91,944 |
|
Italy Government International Bond, 5.38%, |
|
USD |
455 |
|
|
424,639 |
|
Kreditanstalt fuer Wiederaufbau: |
|
|
|
|
|
|
|
1.38%, 7/15/13 (g) |
|
|
660 |
|
|
671,630 |
|
2.00%, 6/01/16 |
|
|
595 |
|
|
617,869 |
|
Mexico Government International Bond: |
|
|
|
|
|
|
|
5.63%, 1/15/17 |
|
|
370 |
|
|
425,500 |
|
5.13%, 1/15/20 |
|
|
215 |
|
|
241,338 |
|
Poland Government International Bond, 5.13%, |
|
|
705 |
|
|
733,200 |
|
Total Foreign Agency Obligations 0.9% |
|
|
|
|
|
3,206,120 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 5.7% |
|
|
|
|
|
|
|
Banc of America Funding Corp., Series 2007-2, |
|
|
1,100 |
|
|
800,117 |
|
Bear Stearns Adjustable Rate Mortgage Trust, Series |
|
|
421 |
|
|
370,087 |
|
CS First Boston Mortgage Securities Corp., Series |
|
|
888 |
|
|
594,672 |
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
Series 2005-64CB, Class 1A15, 5.50%, |
|
|
1,563 |
|
|
1,311,064 |
|
Series 2006-0A21, Class A1, 0.40%, |
|
|
843 |
|
|
433,869 |
|
Series 2006-41CB, Class 1A4, 5.75%, 1/25/37 |
|
|
781 |
|
|
552,537 |
|
Series 2007-HY4, Class 4A1, 5.40%, |
|
|
942 |
|
|
614,129 |
|
Countrywide Home Loan Mortgage Pass-Through Trust: |
|
|
|
|
|
|
|
Series 2006-0A5, Class 2A1, 0.42%, |
|
|
349 |
|
|
188,419 |
|
Series 2007-10, Class A22, 6.00%, 7/25/37 |
|
|
731 |
|
|
568,654 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
|
|
|
Series 2006-C3, Class AM, 6.01%, 6/15/38 (b) |
|
|
1,000 |
|
|
940,297 |
|
Series 2006-C5, Class AM, 5.34%, 12/15/39 |
|
|
1,750 |
|
|
1,539,051 |
|
Series 2007-1, Class 5A14, 6.00%, 2/25/37 |
|
|
554 |
|
|
463,681 |
|
Series 2010-RR2, Class 2A, 5.99%, |
|
|
1,010 |
|
|
1,113,389 |
|
Series 2011-2R, Class 2A1, 2.74%, |
|
|
1,517 |
|
|
1,476,184 |
|
Series 2011-4R, Class 1A1, 6.23%, |
|
|
818 |
|
|
728,688 |
|
Series 2011-4R, Class 2A1, 4.94%, |
|
|
969 |
|
|
879,600 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
25 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations (concluded) |
|
|
|
|
|
|
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
|
USD |
270 |
|
$ |
169,838 |
|
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, |
|
|
1,396 |
|
|
1,306,298 |
|
GSR Mortgage Loan Trust: |
|
|
|
|
|
|
|
Series 2006-4F, Class 1A1, 5.00%, 5/25/36 |
|
|
721 |
|
|
605,581 |
|
Series 2007-4F, Class 3A1, 6.00%, 7/25/37 |
|
|
847 |
|
|
747,830 |
|
Homebanc Mortgage Trust, Series 2006-2, |
|
|
680 |
|
|
446,683 |
|
IndyMac IMJA Mortgage Loan Trust, |
|
|
1,045 |
|
|
885,445 |
|
JPMorgan Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-S3, Class 1A12, 6.50%, 8/25/36 |
|
|
534 |
|
|
495,246 |
|
Series 2007-S1, Class 2A22, 5.75%, 3/25/37 |
|
|
550 |
|
|
476,997 |
|
Merrill Lynch Mortgage Investors, Inc., |
|
|
727 |
|
|
470,418 |
|
Residential Funding Mortgage Securities I, |
|
|
496 |
|
|
403,022 |
|
Structured Asset Securities Corp., Series 2002-AL1, |
|
|
1,507 |
|
|
1,372,291 |
|
Wells Fargo Mortgage-Backed Securities Trust: |
|
|
|
|
|
|
|
Series 2006-3, Class A9, 5.50%, 3/25/36 |
|
|
373 |
|
|
367,250 |
|
Series 2006-9, Class 1A29, 6.00%, 8/25/36 |
|
|
450 |
|
|
441,131 |
|
Series 2007-10, Class 1A21, 6.00%, 7/25/37 |
|
|
107 |
|
|
104,753 |
|
Series 2007-8, Class 2A9, 6.00%, 7/25/37 |
|
|
444 |
|
|
428,157 |
|
|
|
|
|
|
|
21,295,378 |
|
Commercial Mortgage-Backed Securities 12.1% |
|
|
|
|
|
|
|
Banc of America Commercial Mortgage, Inc.: |
|
|
|
|
|
|
|
Series 2006-4, Class AM, 5.68%, 7/10/46 |
|
|
250 |
|
|
235,410 |
|
Series 2007-1, Class A4, 5.45%, 1/15/49 |
|
|
1,380 |
|
|
1,464,682 |
|
Series 2007-2, Class A4, 5.82%, 4/10/49 (b) |
|
|
750 |
|
|
791,720 |
|
Bear Stearns Commercial Mortgage Securities, |
|
|
800 |
|
|
860,049 |
|
Citigroup Commercial Mortgage Trust, |
|
|
1,370 |
|
|
1,491,642 |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, |
|
|
1,093 |
|
|
960,234 |
|
Commercial Mortgage Pass-Through Certificates, |
|
|
1,750 |
|
|
1,664,775 |
|
Credit Suisse First Boston Mortgage Securities Corp., |
|
|
705 |
|
|
616,614 |
|
Extended Stay America Trust, Series 2010-ESHA (a): |
|
|
|
|
|
|
|
Class A, 2.95%, 11/05/27 |
|
|
924 |
|
|
907,906 |
|
Class B, 4.22%, 11/05/27 |
|
|
2,000 |
|
|
1,952,008 |
|
Class C, 4.86%, 11/05/27 |
|
|
740 |
|
|
713,248 |
|
Class D, 5.50%, 11/05/27 |
|
|
550 |
|
|
526,582 |
|
First Union National Bank Commercial Mortgage, |
|
|
619 |
|
|
618,416 |
|
GMAC Commercial Mortgage Securities, Inc., |
|
|
2,350 |
|
|
2,409,996 |
|
GS Mortgage Securities Corp. II, Series 2010-C2, |
|
|
900 |
|
|
775,200 |
|
Greenwich Capital Commercial Funding Corp., Series |
|
|
2,435 |
|
|
2,572,614 |
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
Series 2001-C1, Class A3, 5.86%, 10/12/35 |
|
|
179 |
|
|
179,073 |
|
Series 2004-CB8, Class A1A, 4.16%, |
|
|
2,327 |
|
|
2,398,118 |
|
Series 2004-CBX, Class A4, 4.53%, 1/12/37 |
|
|
1,740 |
|
|
1,739,574 |
|
Series 2006-CB14, Class AM, 5.64%, |
|
|
330 |
|
|
306,905 |
|
Series 2006-CB16, Class AJ, 5.62%, 5/12/45 |
|
|
730 |
|
|
526,465 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Commercial
Mortgage-Backed Securities |
|
|
|
|
|
|
|
LB-UBS Commercial Mortgage Trust (b): |
|
|
|
|
|
|
|
Series 2004-C8, Class C, 4.93%, 12/15/39 |
|
USD |
1,385 |
|
$ |
1,349,415 |
|
Series 2007-C6, Class A4, 5.86%, 7/15/40 |
|
|
1,761 |
|
|
1,874,720 |
|
Series 2007-C7, Class A3, 5.87%, 9/15/45 |
|
|
1,460 |
|
|
1,561,270 |
|
Merrill Lynch Mortgage Trust, Series 2004-BPC1, |
|
|
4,200 |
|
|
4,202,948 |
|
Morgan Stanley Capital I: |
|
|
|
|
|
|
|
Series 2004-HQ4, Class A7, 4.97%, 4/14/40 |
|
|
1,000 |
|
|
1,061,291 |
|
Series 2005-T17, Class A4, 4.52%, 12/13/41 |
|
|
2,231 |
|
|
2,233,871 |
|
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-C28, Class A2, 5.50%, 10/15/48 |
|
|
6,816 |
|
|
6,809,115 |
|
Series 2007-C33, Class A4, 6.10%, 2/15/51 (b) |
|
|
2,185 |
|
|
2,318,917 |
|
|
|
|
|
|
|
45,122,778 |
|
Interest
Only Commercial Mortgage-Backed |
|
|
|
|
|
|
|
Morgan Stanley Reremic Trust, Series 2011-IO, |
|
|
354 |
|
|
352,670 |
|
Total Non-Agency Mortgage-Backed Securities 17.9% |
|
|
|
|
|
66,770,826 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Other Interests (k) |
|
Beneficial
|
|
|
|
||
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, Inc. |
|
|
2 |
|
|
191 |
|
Total Other Interests 0.0% |
|
|
|
|
|
191 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
||
Capital Markets 0.2% |
|
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., 5.86% (b)(l) |
|
|
1,004 |
|
|
868,460 |
|
State Street Capital Trust IV, 1.25%, 6/15/37 (b) |
|
|
70 |
|
|
53,084 |
|
UBS Preferred Funding Trust V, 6.24% (b)(l) |
|
|
80 |
|
|
72,000 |
|
|
|
|
|
|
|
993,544 |
|
Commercial Banks 0.5% |
|
|
|
|
|
|
|
ABN AMRO North America Holding Preferred |
|
|
1,350 |
|
|
1,039,500 |
|
Barclays Bank Plc, 5.93% (a)(b)(l) |
|
|
250 |
|
|
205,000 |
|
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) |
|
|
465 |
|
|
431,288 |
|
JPMorgan Chase Capital XXV, Series Y, 6.80%, |
|
|
210 |
|
|
209,147 |
|
SunTrust Capital VIII, 6.10%, 12/15/66 (b) |
|
|
55 |
|
|
53,350 |
|
Wachovia Capital Trust III, 5.57% (b)(l) |
|
|
55 |
|
|
48,125 |
|
|
|
|
|
|
|
1,986,410 |
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Capital One Financial Corp., Capital V, 10.25%, |
|
|
205 |
|
|
212,810 |
|
Insurance 1.1% |
|
|
|
|
|
|
|
The Allstate Corp., 6.50%, 5/15/67 (b) |
|
|
1,950 |
|
|
1,784,250 |
|
American International Group, Inc., 8.18%, |
|
|
115 |
|
|
114,172 |
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b) |
|
|
90 |
|
|
110,700 |
|
Lincoln National Corp., 6.05%, 4/20/67 (b) |
|
|
675 |
|
|
597,375 |
|
Swiss Re Capital I LP, 6.85% (a)(b)(l) |
|
|
1,060 |
|
|
980,500 |
|
XL Group Plc, Series E, 6.50% (b)(l) |
|
|
465 |
|
|
410,362 |
|
|
|
|
|
|
|
3,997,359 |
|
Total Capital Trusts 1.9% |
|
|
|
|
|
7,190,123 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
26 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
Value |
|
||
Automobiles 0.2% |
|
|
|
|
|
|
|
General Motors Co., 4.75% (i) |
|
|
17,800 |
|
$ |
709,686 |
|
Commercial Banks 0.1% |
|
|
|
|
|
|
|
Citigroup Capital XIII, 7.88% (b) |
|
|
8,824 |
|
|
230,358 |
|
Media 0.0% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
12,033 |
|
|
102,281 |
|
Total Preferred Stocks 0.3% |
|
|
|
|
|
1,042,325 |
|
Total Preferred Securities 2.2% |
|
|
|
|
|
8,232,448 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
|
|
||
East Bay Municipal Utility District, RB, Build America |
|
USD |
950 |
|
|
1,075,828 |
|
Indianapolis Local Public Improvement Bond Bank, |
|
|
1,275 |
|
|
1,513,399 |
|
Metropolitan Transportation Authority, RB, Build |
|
|
625 |
|
|
827,000 |
|
New York City Municipal Water Finance Authority, RB: |
|
|
|
|
|
|
|
Build America Bonds, 5.72%, 6/15/42 |
|
|
700 |
|
|
768,579 |
|
Second General Resolution, Series EE, 5.38%, |
|
|
385 |
|
|
422,264 |
|
Second General Resolution, Series EE, 5.50%, |
|
|
465 |
|
|
516,355 |
|
New York State Dormitory Authority, RB, Build |
|
|
|
|
|
|
|
5.63%, 3/15/39 |
|
|
550 |
|
|
609,268 |
|
5.60%, 3/15/40 |
|
|
950 |
|
|
1,096,765 |
|
Port Authority of New York & New Jersey, RB, |
|
|
385 |
|
|
441,557 |
|
University of California, RB, Build America Bonds, |
|
|
445 |
|
|
468,109 |
|
Total Taxable Municipal Bonds 2.1% |
|
|
|
|
|
7,739,124 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
|
|
|
|
|
|
Agency Obligations 3.2% |
|
|
|
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
6.02%, 10/09/19 (e)(g)(m) |
|
|
7,055 |
|
|
5,258,021 |
|
5.63%, 7/15/37 (n) |
|
|
775 |
|
|
975,528 |
|
Federal Home Loan Bank (e): |
|
|
|
|
|
|
|
5.25%, 12/09/22 |
|
|
675 |
|
|
820,164 |
|
5.37%, 9/09/24 |
|
|
1,075 |
|
|
1,331,221 |
|
Resolution Funding Corp. (m): |
|
|
|
|
|
|
|
6.29%, 7/15/18 |
|
|
525 |
|
|
460,236 |
|
6.30%, 10/15/18 |
|
|
525 |
|
|
455,959 |
|
Tennessee Valley Authority, 5.25%, 9/15/39 (e) |
|
|
2,355 |
|
|
2,767,405 |
|
|
|
|
|
|
|
12,068,534 |
|
Collateralized Mortgage Obligations 0.7% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities, Series |
|
|
860 |
|
|
926,795 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 2825, Class VP, 5.50%, 6/15/15 |
|
|
720 |
|
|
774,132 |
|
Series K013, Class A2, 3.97%, 1/25/21 (b) |
|
|
940 |
|
|
1,006,606 |
|
|
|
|
|
|
|
2,707,533 |
|
Federal
Deposit Insurance Corporation |
|
|
|
|
|
|
|
General Electric Capital Corp., 2.13%, 12/21/12 |
|
|
515 |
|
|
527,243 |
|
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 2579, Class HI, 5.00%, 8/15/17 |
|
USD |
389 |
|
$ |
12,499 |
|
Series 2611, Class QI, 5.50%, 9/15/32 |
|
|
2,083 |
|
|
282,316 |
|
|
|
|
|
|
|
294,815 |
|
Mortgage-Backed Securities 15.0% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 9/13/41 (o) |
|
|
500 |
|
|
503,613 |
|
4.00%, 9/13/26 9/13/41 (o) |
|
|
20,200 |
|
|
21,003,360 |
|
4.50%, 9/13/41 (o) |
|
|
18,900 |
|
|
19,968,292 |
|
5.00%, 9/19/26 9/13/41 (o) |
|
|
3,900 |
|
|
4,200,813 |
|
5.50%, 9/19/26 9/13/41 (o) |
|
|
5,900 |
|
|
6,446,219 |
|
6.00%, 8/01/29 4/01/35 (e) |
|
|
2,020 |
|
|
2,263,918 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
4.50%, 9/13/41 (o) |
|
|
100 |
|
|
105,531 |
|
5.00%, 9/13/41 (o) |
|
|
100 |
|
|
107,500 |
|
6.00%, 2/01/13 12/01/18 (e) |
|
|
856 |
|
|
929,507 |
|
Ginnie Mae Mortgage-Backed Securities, |
|
|
116 |
|
|
129,944 |
|
|
|
|
|
|
|
55,658,697 |
|
Total US
Government Sponsored Agency |
|
|
|
|
|
71,256,822 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
US Treasury Obligations |
|
|
|
|
|
|
|
US Treasury Bonds: |
|
|
|
|
|
|
|
8.13%, 8/15/21 (e) |
|
|
1,550 |
|
|
2,379,250 |
|
6.25%, 8/15/23 (e) |
|
|
5,720 |
|
|
7,907,008 |
|
3.50%, 2/15/39 (g) |
|
|
330 |
|
|
325,669 |
|
4.25%, 5/15/39 (e) |
|
|
6,045 |
|
|
6,786,456 |
|
4.38%, 5/15/40 (e) |
|
|
6,375 |
|
|
7,295,422 |
|
4.75%, 2/15/41 (g) |
|
|
1,630 |
|
|
1,982,487 |
|
4.38%, 5/15/41 |
|
|
27,090 |
|
|
31,047,578 |
|
3.75%, 8/15/41 |
|
|
600 |
|
|
617,250 |
|
US Treasury Notes: |
|
|
|
|
|
|
|
0.63%, 1/31/13 (n) |
|
|
200 |
|
|
201,289 |
|
0.50%, 8/15/14 (e) |
|
|
1,040 |
|
|
1,045,606 |
|
2.50%, 4/30/15 |
|
|
965 |
|
|
1,034,359 |
|
1.00%, 8/31/16 (e) |
|
|
11,325 |
|
|
11,350,708 |
|
2.25%, 7/31/18 |
|
|
2,495 |
|
|
2,613,707 |
|
2.63%, 8/15/20 (e) |
|
|
1,105 |
|
|
1,158,783 |
|
3.13%, 5/15/21 |
|
|
1,370 |
|
|
1,483,888 |
|
2.13%, 8/15/21 (e) |
|
|
15,508 |
|
|
15,377,112 |
|
Total US Treasury Obligations 24.9% |
|
|
|
|
|
92,606,572 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Warrants (p) |
|
Shares |
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
30,393 |
|
|
77,669 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
90 |
|
|
1 |
|
Total Warrants 0.0% |
|
|
|
|
|
77,670 |
|
Total
Long-Term Investments |
|
|
|
|
|
569,331,217 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
27 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
Value |
|
||
BlackRock Liquidity Funds, TempFund |
|
|
4,711,687 |
|
$ |
4,711,687 |
|
Total Short-Term
Securities |
|
|
|
|
|
4,711,687 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
||||||
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike Price USD 98.25, Expires 9/16/11 |
|
|
316 |
|
|
3,950 |
|
Strike Price USD 98.50, Expires 9/16/11 |
|
|
222 |
|
|
2,775 |
|
Strike Price USD 99.25, Expires 3/16/12 |
|
|
440 |
|
|
79,750 |
|
|
|
|
|
|
|
86,475 |
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
|
||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
SEK Call Option, Strike Price USD 6.37, |
|
USD |
2,950 |
|
|
45,135 |
|
USD Call Option: |
|
|
|
|
|
|
|
Strike Price USD 82.00, Expires 11/11/11, |
|
|
1,850 |
|
|
4,255 |
|
Strike Price EUR 1.31, Expires 11/18/11, |
|
|
1,980 |
|
|
8,276 |
|
|
|
|
|
|
|
57,666 |
|
Over-the-Counter Call Swaptions 0.9% |
|
|
|
|
|
|
|
Receive a fixed rate of 2.75% and pay a floating rate |
|
|
5,000 |
|
|
159,030 |
|
Receive a fixed rate of 2.20% and pay a floating rate |
|
|
1,800 |
|
|
12,806 |
|
Receive a fixed rate of 3.54% and pay a floating rate |
|
|
600 |
|
|
57,599 |
|
Receive a fixed rate of 1.76% and pay a floating rate |
|
|
9,300 |
|
|
221,868 |
|
Receive a fixed rate of 3.15% and pay a floating rate |
|
|
1,400 |
|
|
84,536 |
|
Receive a fixed rate of 3.70% and pay a floating rate |
|
|
2,300 |
|
|
224,131 |
|
Receive a fixed rate of 3.46% and pay a floating rate |
|
|
2,500 |
|
|
192,369 |
|
Receive a fixed rate of 3.99% and pay a floating rate |
|
|
5,600 |
|
|
582,432 |
|
Receive a fixed rate of 3.99% and pay a floating rate |
|
|
1,500 |
|
|
156,266 |
|
Receive a fixed rate of 3.96% and pay a floating rate |
|
|
800 |
|
|
80,016 |
|
Receive a fixed rate of 3.81% and pay a floating rate |
|
|
1,500 |
|
|
131,100 |
|
Receive a fixed rate of 3.88% and pay a floating rate |
|
|
2,000 |
|
|
181,423 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional
|
|
Value |
|
||
Over-the-Counter Call Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 4.49% and pay a floating rate |
|
USD |
600 |
|
$ |
72,481 |
|
Receive a fixed rate of 5.20% and pay a floating rate |
|
|
6,400 |
|
|
984,072 |
|
|
|
|
|
|
|
3,140,129 |
|
Over-the-Counter Put Options 0.1% |
|
|
|
|
|
|
|
AUD Put Option: |
|
|
|
|
|
|
|
Strike Price USD 0.90, Expires 11/11/11, |
|
AUD |
350 |
|
|
3,732 |
|
Strike Price USD 0.92, Expires 11/18/11, |
|
USD |
1,975 |
|
|
6,833 |
|
Strike Price USD 0.92, Expires 11/18/11, |
|
|
990 |
|
|
3,425 |
|
CAD Put Option: |
|
|
|
|
|
|
|
Strike Price USD 1.07, Expires 11/10/11, |
|
|
500 |
|
|
690 |
|
Strike Price USD 1.07, Expires 11/18/11, |
|
|
990 |
|
|
2,039 |
|
Strike Price USD 1.07, Expires 11/18/11, |
|
|
495 |
|
|
1,020 |
|
EUR Put Option: |
|
|
|
|
|
|
|
Strike Price GBP 0.84, Expires 10/13/11, |
|
EUR |
600 |
|
|
1,207 |
|
Strike Price USD 1.41, Expires 11/16/11, |
|
|
11,735 |
|
|
261,794 |
|
Strike Price USD 1.31, Expires 11/18/11, |
|
USD |
3,960 |
|
|
16,553 |
|
GBP Put Option: |
|
|
|
|
|
|
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
6,130 |
|
|
31,079 |
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
2,965 |
|
|
15,033 |
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
1,485 |
|
|
7,529 |
|
SEK Put Option, Strike Price USD 7.00, Expires 9/26/11, |
|
|
3,250 |
|
|
11 |
|
|
|
|
|
|
|
350,945 |
|
Over-the-Counter Put Swaptions 0.2% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.30% and receive a floating rate |
|
|
9,400 |
|
|
206 |
|
Pay a fixed rate of 3.54% and receive a floating rate |
|
|
600 |
|
|
816 |
|
Pay a fixed rate of 1.76% and receive a floating rate |
|
|
9,300 |
|
|
1,547 |
|
Pay a fixed rate of 2.50% and receive a floating rate |
|
|
4,500 |
|
|
239 |
|
Pay a fixed rate of 3.70% and receive a floating rate |
|
|
2,300 |
|
|
26,167 |
|
Pay a fixed rate of 3.46% and receive a floating rate |
|
|
2,500 |
|
|
51,005 |
|
Pay a fixed rate of 3.99% and receive a floating rate |
|
|
5,600 |
|
|
123,984 |
|
Pay a fixed rate of 3.99% and receive a floating rate |
|
|
1,500 |
|
|
33,140 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
28 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 3.96% and receive a floating rate |
|
USD |
800 |
|
$ |
19,885 |
|
Pay a fixed rate of 3.81% and receive a floating rate |
|
|
1,500 |
|
|
47,556 |
|
Pay a fixed rate of 3.88% and receive a floating rate |
|
|
2,000 |
|
|
64,335 |
|
Pay a fixed rate of 4.49% and receive a floating rate |
|
|
600 |
|
|
17,478 |
|
Pay a fixed rate of 2.50% and receive a floating rate |
|
|
6,300 |
|
|
64,073 |
|
Pay a fixed rate of 3.00% and receive a floating rate |
|
|
7,500 |
|
|
56,846 |
|
Pay a fixed rate of 5.20% and receive a floating rate |
|
|
6,400 |
|
|
184,187 |
|
|
|
|
|
|
|
691,464 |
|
Total
Options Purchased |
|
|
|
|
|
4,326,679 |
|
Total
Investments Before TBA Sale |
|
|
|
|
|
578,369,583 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments (o) |
|
Par |
|
|
|
||
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 9/13/41 |
|
|
500 |
|
|
(503,613 |
) |
4.00%, 9/13/41 |
|
|
11,600 |
|
|
(12,020,500 |
) |
4.50%, 9/13/41 |
|
|
7,200 |
|
|
(7,606,968 |
) |
6.00%, 9/13/41 |
|
|
8,500 |
|
|
(9,408,438 |
) |
Ginnie Mae Mortgage-Backed Securities, |
|
|
100 |
|
|
(111,547 |
) |
Total TBA
Sale Commitments |
|
|
|
|
|
(29,651,066 |
) |
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike Price USD 97.75, Expires 9/16/11 |
|
|
316 |
|
|
(1,975 |
) |
Strike Price USD 98.00, Expires 9/16/11 |
|
|
222 |
|
|
(2,775 |
) |
|
|
|
|
|
|
(4,750 |
) |
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
|
|
|
Over-the-Counter Call Options (0.0)% |
|
|
|
|
|
|
|
SEK Call Option, Strike Price USD 6.37, Expires |
|
USD |
2,950 |
|
|
(45,135 |
) |
Over-the-Counter Call Swaptions (1.9)% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.75% and receive a floating rate |
|
|
2,300 |
|
|
(79,996 |
) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional
|
|
Value |
|
||
Over-the-Counter Call Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 2.90% and receive a floating rate |
|
USD |
4,600 |
|
$ |
(206,527 |
) |
Pay a fixed rate of 4.49% and receive a floating rate |
|
|
4,000 |
|
|
(725,452 |
) |
Pay a fixed rate of 3.85% and receive a floating rate |
|
|
1,200 |
|
|
(148,084 |
) |
Pay a fixed rate of 3.00% and receive a floating rate |
|
|
2,300 |
|
|
(119,392 |
) |
Pay a fixed rate of 2.08% and receive a floating rate |
|
|
9,300 |
|
|
(280,383 |
) |
Pay a fixed rate of 2.65% and receive a floating rate |
|
|
1,400 |
|
|
(44,800 |
) |
Pay a fixed rate of 2.90% and receive a floating rate |
|
|
1,400 |
|
|
(63,120 |
) |
Pay a fixed rate of 4.03% and receive a floating rate |
|
|
1,000 |
|
|
(115,840 |
) |
Pay a fixed rate of 4.90% and receive a floating rate |
|
|
4,800 |
|
|
(853,910 |
) |
Pay a fixed rate of 4.92% and receive a floating rate |
|
|
7,000 |
|
|
(1,258,916 |
) |
Pay a fixed rate of 5.00% and receive a floating rate |
|
|
6,100 |
|
|
(1,114,067 |
) |
Pay a fixed rate of 5.08% and receive a floating rate |
|
|
3,500 |
|
|
(588,395 |
) |
Pay a floating rate based on 3-month LIBOR and |
|
|
3,800 |
|
|
(641,650 |
) |
Pay a fixed rate of 3.90% and receive a floating rate |
|
|
6,000 |
|
|
(385,286 |
) |
Pay a fixed rate of 3.96% and receive a floating rate |
|
|
2,100 |
|
|
(140,010 |
) |
Pay a fixed rate of 4.84% and receive a floating rate |
|
|
2,500 |
|
|
(339,199 |
) |
|
|
|
|
|
|
(7,105,027 |
) |
Over-the-Counter Put Options (0.1)% |
|
|
|
|
|
|
|
EUR Put Option, Strike Price USD 1.36, Expires |
|
|
11,735 |
|
|
(135,702 |
) |
Over-the-Counter Put Swaptions (0.1)% |
|
|
|
|
|
|
|
Receive a fixed rate of 2.05% and pay a floating rate |
|
|
3,400 |
|
|
(796 |
) |
Receive a fixed rate of 2.05% and pay a floating rate |
|
|
2,500 |
|
|
(586 |
) |
Receive a fixed rate of 1.15% and pay a floating rate |
|
|
5,900 |
|
|
(796 |
) |
Receive a fixed rate of 3.75% and pay a floating rate |
|
|
2,300 |
|
|
(1,597 |
) |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
29 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 3.95% and pay a floating rate |
|
USD |
4,600 |
|
$ |
(1,755 |
) |
Receive a fixed rate of 4.49% and pay a floating rate |
|
|
4,000 |
|
|
(372 |
) |
Receive a fixed rate of 3.85% and pay a floating rate |
|
|
1,200 |
|
|
(886 |
) |
Receive a fixed rate of 4.00% and pay a floating rate |
|
|
2,300 |
|
|
(1,799 |
) |
Receive a fixed rate of 2.08% and pay a floating rate |
|
|
9,300 |
|
|
(1,293 |
) |
Receive a fixed rate of 4.03% and pay a floating rate |
|
|
1,000 |
|
|
(12,948 |
) |
Receive a fixed rate of 4.90% and pay a floating rate |
|
|
4,800 |
|
|
(36,654 |
) |
Receive a fixed rate of 4.92% and pay a floating rate |
|
|
7,000 |
|
|
(52,459 |
) |
Receive a fixed rate of 5.00% and pay a floating rate |
|
|
6,100 |
|
|
(50,861 |
) |
Receive a fixed rate of 5.08% and pay a floating rate |
|
|
3,500 |
|
|
(59,068 |
) |
Receive a fixed rate of 5.09% and pay a floating rate |
|
|
3,800 |
|
|
(63,714 |
) |
Receive a fixed rate of 3.90% and pay a floating rate |
|
|
6,000 |
|
|
(95,738 |
) |
Receive a fixed rate of 3.96% and pay a floating rate |
|
|
2,100 |
|
|
(32,147 |
) |
Receive a fixed rate of 4.84% and pay a floating rate |
|
|
2,500 |
|
|
(75,040 |
) |
|
|
|
|
|
|
(488,509 |
) |
Total
Options Written |
|
|
|
|
|
(7,779,123 |
) |
Total Investments, Net of TBA Sale |
|
|
|
|
|
|
|
Commitments and Options Written 145.3% |
|
|
|
|
|
540,939,394 |
|
Liabilities in Excess of Other Assets (45.3)% |
|
|
|
|
|
(168,643,937 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
372,295,457 |
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
564,196,843 |
|
Gross unrealized appreciation |
|
$ |
26,132,879 |
|
Gross unrealized depreciation |
|
|
(11,960,139 |
) |
Net unrealized appreciation |
|
$ |
14,172,740 |
|
|
|
(a) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
(c) |
Non-income producing security. |
|
|
(d) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(f) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(g) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(h) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(i) |
Convertible security. |
|
|
(j) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(k) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
(l) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(m) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(n) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
(o) |
Represents or includes a to-be-announced (TBA) transaction. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Bank of America Securities |
|
$ |
(845,219 |
) |
$ |
1,469 |
|
Citigroup Global Markets, Inc. |
|
$ |
845,219 |
|
$ |
(119,859 |
) |
Credit Suisse Securities (USA) LLC |
|
$ |
107,500 |
|
$ |
6,500 |
|
Deutsche Bank Securities, Inc. |
|
$ |
11,578,277 |
|
$ |
108,098 |
|
Goldman Sachs & Co. |
|
$ |
8,976,844 |
|
$ |
56,375 |
|
JPMorgan Securities, Inc. |
|
$ |
1,267,828 |
|
$ |
(8,109 |
) |
Morgan Stanley & Co., Inc. |
|
$ |
|
|
$ |
(195,594 |
) |
UBS Securities |
|
$ |
753,813 |
|
$ |
(1,094 |
) |
|
|
(p) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(q) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
506,274 |
|
|
4,205,413 |
|
|
4,711,687 |
|
$ |
4,395 |
|
|
|
(r) |
Represents the current yield as of report date. |
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
30 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Reverse repurchase agreements outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||||
Barclays Capital, Inc. |
|
|
0.04 |
% |
|
4/27/11 |
|
|
Open |
|
$ |
7,222,511 |
|
$ |
7,221,500 |
|
Barclays Capital, Inc. |
|
|
0.07 |
% |
|
4/27/11 |
|
|
Open |
|
|
5,053,363 |
|
|
5,052,125 |
|
Barclays Capital, Inc. |
|
|
0.05 |
% |
|
5/03/11 |
|
|
Open |
|
|
2,120,353 |
|
|
2,120,000 |
|
Barclays Capital, Inc. |
|
|
0.35 |
% |
|
5/03/11 |
|
|
Open |
|
|
1,862,639 |
|
|
1,860,468 |
|
Barclays Capital, Inc. |
|
|
0.45 |
% |
|
5/03/11 |
|
|
Open |
|
|
2,245,266 |
|
|
2,241,875 |
|
Deutsche Bank, NA |
|
|
0.38 |
% |
|
5/04/11 |
|
|
Open |
|
|
2,789,629 |
|
|
2,786,100 |
|
Credit Suisse |
|
|
0.40 |
% |
|
5/05/11 |
|
|
Open |
|
|
3,096,844 |
|
|
3,092,755 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Securities LLC |
|
|
0.35 |
% |
|
5/05/11 |
|
|
Open |
|
|
3,420,391 |
|
|
3,416,438 |
|
Deutsche Bank NA |
|
|
0.38 |
% |
|
5/06/11 |
|
|
Open |
|
|
4,145,157 |
|
|
4,140,000 |
|
BOA Merrill Lynch |
|
|
0.05 |
% |
|
5/06/11 |
|
|
Open |
|
|
10,511,379 |
|
|
10,509,657 |
|
UBS Securities LLC |
|
|
0.38 |
% |
|
5/06/11 |
|
|
Open |
|
|
1,859,238 |
|
|
1,856,925 |
|
UBS Securities LLC |
|
|
0.38 |
% |
|
5/06/11 |
|
|
Open |
|
|
2,329,009 |
|
|
2,326,112 |
|
UBS Securities LLC |
|
|
0.40 |
% |
|
5/06/11 |
|
|
Open |
|
|
2,124,532 |
|
|
2,121,750 |
|
Deutsche Bank NA |
|
|
0.38 |
% |
|
5/09/11 |
|
|
Open |
|
|
9,172,095 |
|
|
9,160,975 |
|
Credit Suisse |
|
|
0.40 |
% |
|
5/18/11 |
|
|
Open |
|
|
1,058,776 |
|
|
1,057,531 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital, Inc. |
|
|
0.35 |
% |
|
5/31/11 |
|
|
Open |
|
|
1,440,782 |
|
|
1,439,480 |
|
BNP Paribas |
|
|
0.20 |
% |
|
6/01/11 |
|
|
Open |
|
|
1,086,218 |
|
|
1,085,663 |
|
Securities Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Securities LLC |
|
|
0.35 |
% |
|
6/01/11 |
|
|
Open |
|
|
1,446,893 |
|
|
1,445,600 |
|
Credit Suisse |
|
|
0.35 |
% |
|
6/02/11 |
|
|
Open |
|
|
1,841,503 |
|
|
1,839,875 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank NA |
|
|
0.38 |
% |
|
6/10/11 |
|
|
Open |
|
|
2,236,458 |
|
|
2,234,500 |
|
Credit Suisse |
|
|
0.09 |
% |
|
6/27/11 |
|
|
Open |
|
|
2,526,155 |
|
|
2,525,738 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BOA Merrill Lynch |
|
|
0.06 |
% |
|
6/27/11 |
|
|
Open |
|
|
791,525 |
|
|
791,438 |
|
Deutsche Bank NA |
|
|
0.35 |
% |
|
7/18/11 |
|
|
Open |
|
|
11,732,131 |
|
|
11,727,000 |
|
Deutsche Bank NA |
|
|
0.35 |
% |
|
7/19/11 |
|
|
Open |
|
|
6,454,625 |
|
|
6,451,865 |
|
Deutsche Bank NA |
|
|
(3.00 |
)% |
|
8/02/11 |
|
|
Open |
|
|
347,429 |
|
|
348,300 |
|
BNP Paribas |
|
|
0.18 |
% |
|
8/10/11 |
|
|
9/13/11 |
|
|
3,216,671 |
|
|
3,216,317 |
|
Securities Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse |
|
|
(0.45 |
)% |
|
8/26/11 |
|
|
9/15/11 |
|
|
4,968,377 |
|
|
4,968,750 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BOA Merrill Lynch |
|
|
(0.66 |
)% |
|
8/29/11 |
|
|
9/15/11 |
|
|
5,924,674 |
|
|
5,925,000 |
|
Barclays Capital, Inc. |
|
|
0.04 |
% |
|
8/31/11 |
|
|
9/01/11 |
|
|
1,046,501 |
|
|
1,046,500 |
|
BNP Paribas |
|
|
0.08 |
% |
|
8/31/11 |
|
|
9/01/11 |
|
|
30,485,068 |
|
|
30,485,000 |
|
Securities Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse |
|
|
0.04 |
% |
|
8/31/11 |
|
|
Open |
|
|
2,375,377 |
|
|
2,375,375 |
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank NA |
|
|
0.07 |
% |
|
8/31/11 |
|
|
9/01/11 |
|
|
11,367,491 |
|
|
11,367,469 |
|
BOA Merrill Lynch |
|
|
(0.10 |
)% |
|
8/31/11 |
|
|
11/15/11 |
|
|
4,062,697 |
|
|
4,062,708 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
152,361,757 |
|
$ |
152,300,789 |
|
|
|
|
|
1 |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
|
|
|
|
Financial futures contracts purchased as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
3 |
|
|
German
Euro- |
|
|
Eurex |
|
|
September |
|
$ |
575,709 |
|
$ |
7,207 |
|
2 |
|
|
USD
Index |
|
|
Intercontinental
|
|
|
September |
|
$ |
149,798 |
|
|
(1,452 |
) |
34 |
|
|
2-Year
US |
|
|
Chicago |
|
|
December |
|
$ |
7,497,135 |
|
|
(135 |
) |
297 |
|
|
30-Year US |
|
|
Chicago |
|
|
December |
|
$ |
40,791,713 |
|
|
(390,432 |
) |
|
|
|
Treasury Bond |
|
|
Board of Trade |
|
|
2011 |
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(384,812 |
) |
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
59 |
|
|
90-Day |
|
|
Chicago |
|
|
December |
|
$ |
14,681,988 |
|
$ |
6,475 |
|
21 |
|
|
5-Year
US |
|
|
Chicago |
|
|
December |
|
$ |
2,573,284 |
|
|
(200 |
) |
301 |
|
|
10-Year
US |
|
|
Chicago |
|
|
December |
|
$ |
38,761,389 |
|
|
(77,017 |
) |
38 |
|
|
Ultra Long US |
|
|
Chicago |
|
|
December |
|
$ |
5,437,890 |
|
|
(2,047 |
) |
|
|
|
Treasury Bond |
|
|
Board of Trade |
|
|
2011 |
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(72,789 |
) |
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||||||||
USD |
|
|
250,000 |
|
SEK |
|
|
1,582,820 |
|
|
Citibank NA |
|
|
9/22/11 |
|
$ |
676 |
|
JPY |
|
|
191,323,200 |
|
USD |
|
|
2,400,000 |
|
|
Goldman
Sachs |
|
|
9/27/11 |
|
|
99,189 |
|
USD |
|
|
2,426,972 |
|
JPY |
|
|
195,541,150 |
|
|
Royal
Bank |
|
|
9/27/11 |
|
|
(127,314 |
) |
SEK |
|
|
5,264,663 |
|
USD |
|
|
795,000 |
|
|
Citibank NA |
|
|
9/28/11 |
|
|
34,010 |
|
USD |
|
|
795,000 |
|
SEK |
|
|
5,070,731 |
|
|
Citibank NA |
|
|
9/28/11 |
|
|
(3,472 |
) |
CHF |
|
|
160,706 |
|
USD |
|
|
200,000 |
|
|
Royal
Bank |
|
|
9/30/11 |
|
|
(408 |
) |
USD |
|
|
100,000 |
|
EUR |
|
|
69,426 |
|
|
Deutsche Bank AG |
|
|
9/30/11 |
|
|
308 |
|
USD |
|
|
8,550,254 |
|
EUR |
|
|
5,963,500 |
|
|
Citibank NA |
|
|
10/26/11 |
|
|
(10,441 |
) |
USD |
|
|
285,610 |
|
EUR |
|
|
200,000 |
|
|
UBS AG |
|
|
10/26/11 |
|
|
(1,493 |
) |
CNY |
|
|
5,940,000 |
|
USD |
|
|
935,802 |
|
|
Goldman
Sachs |
|
|
11/15/11 |
|
|
(2,113 |
) |
CNY |
|
|
5,940,000 |
|
USD |
|
|
940,245 |
|
|
Goldman Sachs |
|
|
2/15/12 |
|
|
(2,564 |
) |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets LP |
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(13,622 |
) |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
31 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
3/20/13 |
|
$ |
1,400 |
|
$ |
247,415 |
|
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
6/20/15 |
|
$ |
1,400 |
|
|
354,763 |
|
The PMI Group, Inc. |
|
5.00% |
|
Citibank NA |
|
9/20/16 |
|
$ |
1,400 |
|
|
841,809 |
|
News America, Inc. |
|
1.00% |
|
JPMorgan Chase Bank & Co. |
|
9/20/16 |
|
$ |
400 |
|
|
(2,968 |
) |
The New York Times Co. |
|
1.00% |
|
Barclays Bank Plc |
|
12/20/16 |
|
$ |
1,800 |
|
|
36,647 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,477,666 |
|
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
Aviva USA Corp. |
|
1.00% |
|
Deutsche Bank AG |
|
5/25/12 |
|
A |
|
$ |
1,150 |
|
$ |
(941 |
) |
Lincoln National Corp. |
|
1.00% |
|
Credit Suisse Securities (USA) LLC |
|
9/20/16 |
|
A |
|
$ |
205 |
|
|
2,547 |
|
MetLife, Inc. |
|
1.00% |
|
Deutsche Bank AG |
|
9/20/16 |
|
A |
|
$ |
730 |
|
|
8,497 |
|
Lincoln National Corp. |
|
1.00% |
|
Morgan Stanley & Co., Inc. |
|
9/20/16 |
|
A |
|
$ |
170 |
|
|
1,982 |
|
MetLife, Inc. |
|
1.00% |
|
Morgan Stanley & Co., Inc. |
|
9/20/16 |
|
A |
|
$ |
900 |
|
|
8,997 |
|
Prudential Financial, Inc. |
|
1.00% |
|
Morgan Stanley & Co., Inc. |
|
9/20/16 |
|
A |
|
$ |
260 |
|
|
2,778 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
23,860 |
|
|
|
1 |
Using S&Ps rating. |
|
|
2 |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
Credit default swaps on traded indexes buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Dow Jones CDX North America High Yield Series 15 |
|
5.00% |
|
Credit Suisse Securities (USA) LLC |
|
12/20/15 |
|
$ |
5,000 |
|
$ |
293,943 |
|
Dow Jones CDX Emerging Markets Series 14 |
|
5.00% |
|
Morgan Stanley & Co., Inc. |
|
12/20/15 |
|
$ |
990 |
|
|
10,236 |
|
Dow Jones CDX North America Investment Grade Series 16 |
|
1.00% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
$ |
775 |
|
|
(3,176 |
) |
Dow Jones CDX North America Investment Grade Series 16 |
|
1.00% |
|
JPMorgan Chase Bank & Co. |
|
6/20/16 |
|
$ |
2,325 |
|
|
(8,477 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
292,526 |
|
|
|
|
Interest rate swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
0.65%(a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
7/22/13 |
|
$ |
5,700 |
|
$ |
(17,779 |
) |
0.45%(a) |
|
3-month LIBOR |
|
BNP Paribas |
|
8/18/13 |
|
$ |
21,700 |
|
|
16,173 |
|
2.27%(b) |
|
3-month LIBOR |
|
Morgan Stanley & Co., Inc. |
|
8/13/16 |
|
$ |
2,300 |
|
|
4,462 |
|
2.20%(b) |
|
3-month LIBOR |
|
Bank of America NA |
|
8/15/16 |
|
$ |
2,500 |
|
|
1,492 |
|
1.28%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
8/31/16 |
|
$ |
600 |
|
|
738 |
|
1.81%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
8/31/18 |
|
$ |
3,700 |
|
|
(3,455 |
) |
4.22%(b) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
5/04/21 |
|
$ |
3,200 |
|
|
418,520 |
|
3.27%(a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
5/16/21 |
|
$ |
910 |
|
|
(74,218 |
) |
3.86%(b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
5/23/21 |
|
$ |
10,700 |
|
|
1,013,813 |
|
2.57%(b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
8/08/21 |
|
$ |
500 |
|
|
8,456 |
|
2.56%(a) |
|
3-month LIBOR |
|
UBS AG |
|
8/10/21 |
|
$ |
1,000 |
|
|
(15,738 |
) |
2.35%(b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
8/12/21 |
|
$ |
1,800 |
|
|
(5,773 |
) |
2.36%(b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
9/01/21 |
|
$ |
1,000 |
|
|
(3,313 |
) |
2.36%(a) |
|
3-month LIBOR |
|
UBS AG |
|
9/02/21 |
|
$ |
800 |
|
|
|
|
2.37%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
9/02/21 |
|
$ |
1,400 |
|
|
|
|
2.37%(a) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
9/02/21 |
|
$ |
1,600 |
|
|
|
|
2.38%(b) |
|
3-month LIBOR |
|
Credit Suisse Securities (USA) LLC |
|
9/02/21 |
|
$ |
1,800 |
|
|
|
|
2.38%(a) |
|
3-month LIBOR |
|
UBS AG |
|
9/02/21 |
|
$ |
5,100 |
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,343,378 |
|
|
|
(a) |
Pays a fixed interest rate and receives floating rate. |
|
|
(b) |
Pays a floating interest rate and receives fixed rate. |
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
32 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
|
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
$ |
17,132,378 |
|
$ |
6,120,404 |
|
$ |
23,252,782 |
|
Common Stocks |
|
|
|
|
|
1 |
|
|
|
|
|
1 |
|
Corporate Bonds |
|
|
|
|
|
290,947,268 |
|
|
5,241,393 |
|
|
296,188,661 |
|
Foreign Agency Obligations |
|
|
|
|
|
3,206,120 |
|
|
|
|
|
3,206,120 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
64,809,868 |
|
|
1,960,958 |
|
|
66,770,826 |
|
Other Interests |
|
|
|
|
|
|
|
|
191 |
|
|
191 |
|
Preferred Securities |
|
$ |
940,044 |
|
|
7,190,123 |
|
|
102,281 |
|
|
8,232,448 |
|
Taxable Municipal Bonds |
|
|
|
|
|
7,739,124 |
|
|
|
|
|
7,739,124 |
|
US Government Sponsored Agency Securities |
|
|
|
|
|
71,256,822 |
|
|
|
|
|
71,256,822 |
|
US Treasury Obligations |
|
|
|
|
|
92,606,572 |
|
|
|
|
|
92,606,572 |
|
Warrants |
|
|
|
|
|
|
|
|
77,670 |
|
|
77,670 |
|
Short-Term Securities |
|
|
4,711,687 |
|
|
|
|
|
|
|
|
4,711,687 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments |
|
|
|
|
|
(29,651,066 |
) |
|
|
|
|
(29,651,066 |
) |
Total |
|
$ |
5,651,731 |
|
$ |
525,237,210 |
|
$ |
13,502,897 |
|
$ |
544,391,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial Instruments1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
1,809,614 |
|
|
|
|
$ |
1,809,614 |
|
Foreign currency exchange contracts |
|
|
|
|
|
542,794 |
|
|
|
|
|
542,794 |
|
Interest rate contracts |
|
$ |
100,157 |
|
|
5,295,247 |
|
|
|
|
|
5,395,404 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(14,621 |
) |
$ |
(941 |
) |
|
(15,562 |
) |
Foreign currency exchange contracts |
|
|
|
|
|
(328,642 |
) |
|
|
|
|
(328,642 |
) |
Interest rate contracts |
|
|
(476,033 |
) |
|
(7,713,812 |
) |
|
|
|
|
(8,189,845 |
) |
Total |
|
$ |
(375,876 |
) |
$ |
(409,420 |
) |
$ |
(941 |
) |
$ |
(786,237 |
) |
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value. |
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
33 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Core Bond Trust (BHK) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed |
|
Common |
|
Corporate |
|
Non-Agency |
|
Other |
|
Preferred |
|
Warrants |
|
Total |
|
||||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
5,104,409 |
|
$ |
11,492 |
|
$ |
3,029,472 |
|
$ |
2,310,902 |
|
$ |
381 |
|
$ |
56,838 |
|
|
|
|
$ |
10,513,494 |
|
Accrued discounts/premiums |
|
|
(388,211 |
) |
|
|
|
|
4,614 |
|
|
18,670 |
|
|
|
|
|
|
|
|
|
|
|
(364,927 |
) |
Net realized gain (loss) |
|
|
(413,280 |
) |
|
(294,917 |
) |
|
|
|
|
34,610 |
|
|
|
|
|
113,247 |
|
|
|
|
|
(560,340 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
1,624,010 |
|
|
315,473 |
|
|
197,452 |
|
|
(28,887 |
) |
|
(190 |
) |
|
90,742 |
|
$ |
77,669 |
|
|
2,276,269 |
|
Purchases |
|
|
4,836,673 |
|
|
|
|
|
2,009,855 |
|
|
2,240,584 |
|
|
|
|
|
|
|
|
1 |
|
|
9,087,113 |
|
Sales |
|
|
(3,783,326 |
) |
|
(32,048 |
) |
|
|
|
|
(1,919,020 |
) |
|
|
|
|
(158,546 |
) |
|
|
|
|
(5,892,940 |
) |
Transfers in3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out3 |
|
|
(859,871 |
) |
|
|
|
|
|
|
|
(695,901 |
) |
|
|
|
|
|
|
|
|
|
|
(1,555,772 |
) |
Balance, as of August 31, 2011 |
|
$ |
6,120,404 |
|
|
|
|
$ |
5,241,393 |
|
$ |
1,960,958 |
|
$ |
191 |
|
$ |
102,281 |
|
$ |
77,670 |
|
$ |
13,502,897 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $597,233. |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
Credit |
|
|
Liabilities: |
|
|
|
|
Balance, as of August 31, 2010 |
|
|
|
|
Accrued discounts/premiums |
|
$ |
613 |
|
Net realized gain (loss) |
|
|
|
|
Net change in unrealized appreciation/depreciation4 |
|
|
(941 |
) |
Purchases |
|
|
|
|
Issuances5 |
|
|
(6,086 |
) |
Sales |
|
|
|
|
Settlements6 |
|
|
5,473 |
|
Transfers in7 |
|
|
|
|
Transfers out7 |
|
|
|
|
Balance, as of August 31, 2011 |
|
$ |
(941 |
) |
|
|
|
|
4 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at August 31, 2011 was $(941). |
|
|
|
|
5 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
6 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
|
|
7 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
34 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Common Stocks |
|
|
Shares |
|
Value |
|
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
E*Trade Financial Corp. (a) |
|
|
43,000 |
|
$ |
531,480 |
|
Chemicals 0.0% |
|
|
|
|
|
|
|
Wellman Holdings, Inc. |
|
|
421 |
|
|
1,368 |
|
Wellman, Inc. (acquired 1/30/09, cost $485) (b) |
|
|
2,078 |
|
|
6,754 |
|
|
|
|
|
|
|
8,122 |
|
Communications Equipment 0.5% |
|
|
|
|
|
|
|
Loral Space & Communications Ltd. (a) |
|
|
31,026 |
|
|
1,755,761 |
|
Diversified Financial Services 0.8% |
|
|
|
|
|
|
|
Kcad Holdings I Ltd. |
|
|
276,025,205 |
|
|
3,115,496 |
|
Electrical Equipment 0.0% |
|
|
|
|
|
|
|
Medis Technologies Ltd. |
|
|
109,685 |
|
|
1,206 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. (a) |
|
|
1,854 |
|
|
4,635 |
|
Media 1.4% |
|
|
|
|
|
|
|
Belo Corp., Class A |
|
|
69,821 |
|
|
380,525 |
|
Charter Communications, Inc. (a) |
|
|
98,748 |
|
|
4,925,550 |
|
Clear Channel Outdoor Holdings, Inc., Class A (a) |
|
|
14,202 |
|
|
162,613 |
|
|
|
|
|
|
|
5,468,688 |
|
Metals & Mining 0.1% |
|
|
|
|
|
|
|
African Minerals Ltd. (a) |
|
|
65,551 |
|
|
545,346 |
|
Oil, Gas & Consumable Fuels 0.2% |
|
|
|
|
|
|
|
Marathon Petroleum Corp. |
|
|
15,650 |
|
|
579,989 |
|
Paper & Forest Products 0.2% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
181,600 |
|
|
370,877 |
|
Ainsworth Lumber Co. Ltd. (a)(c) |
|
|
208,741 |
|
|
426,307 |
|
Western Forest Products, Inc. (a) |
|
|
74,889 |
|
|
50,471 |
|
Western Forest Products, Inc. (a)(c) |
|
|
74,936 |
|
|
50,503 |
|
|
|
|
|
|
|
898,158 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion, Inc., Class A (a) |
|
|
94,583 |
|
|
1,419,691 |
|
SunPower Corp., Class B (a) |
|
|
200 |
|
|
2,370 |
|
|
|
|
|
|
|
1,422,061 |
|
Software 0.1% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (a) |
|
|
737 |
|
|
4 |
|
HMH Holdings/EduMedia (a) |
|
|
133,690 |
|
|
267,380 |
|
|
|
|
|
|
|
267,384 |
|
Total Common Stocks 3.8% |
|
|
|
|
|
14,598,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc. (c): |
|
|
|
|
|
|
|
6.88%, 3/15/18 |
|
USD |
520 |
|
|
488,800 |
|
7.13%, 3/15/21 |
|
|
580 |
|
|
545,200 |
|
Kratos Defense & Security Solutions, Inc., |
|
|
1,114 |
|
|
1,144,635 |
|
|
|
|
|
|
|
2,178,635 |
|
Air Freight & Logistics 0.6% |
|
|
|
|
|
|
|
National Air Cargo Group, Inc.: |
|
|
|
|
|
|
|
Series 1, 12.38%, 9/02/15 |
|
|
1,007 |
|
|
1,047,257 |
|
Series 2, 12.38%, 8/16/15 |
|
|
1,017 |
|
|
1,057,928 |
|
|
|
|
|
|
|
2,105,185 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Airlines 2.9% |
|
|
|
|
|
|
|
Air Canada, 9.25%, 8/01/15 (c) |
|
USD |
1,330 |
|
$ |
1,276,800 |
|
American Airlines, Inc.: |
|
|
|
|
|
|
|
10.50%, 10/15/12 |
|
|
1,400 |
|
|
1,443,750 |
|
7.50%, 3/15/16 (c) |
|
|
200 |
|
|
181,000 |
|
Series 2001-2, 7.86%, 4/01/13 |
|
|
490 |
|
|
490,000 |
|
Series 2011-1-B, 7.00%, 1/31/18 (c) |
|
|
596 |
|
|
512,594 |
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
6.75%, 9/15/15 (c) |
|
|
900 |
|
|
877,500 |
|
Series 1997-4-B, 6.90%, 7/02/18 |
|
|
71 |
|
|
69,666 |
|
Series 2010-1-B, 6.00%, 1/12/19 |
|
|
700 |
|
|
647,500 |
|
Delta Air Lines, Inc.: |
|
|
|
|
|
|
|
Series 2010-1-B, 6.38%, 7/02/17 |
|
|
800 |
|
|
720,000 |
|
Series B, 9.75%, 12/17/16 |
|
|
1,044 |
|
|
1,069,711 |
|
US Airways Pass-Through Trust, |
|
|
1,020 |
|
|
994,500 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
2,838 |
|
|
2,965,931 |
|
|
|
|
|
|
|
11,248,952 |
|
Auto Components 2.1% |
|
|
|
|
|
|
|
Allison Transmission, Inc., 11.00%, 11/01/15 (c) |
|
|
350 |
|
|
368,375 |
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c) |
|
|
310 |
|
|
288,300 |
|
Delphi Corp., 6.13%, 5/15/21 (c) |
|
|
260 |
|
|
250,900 |
|
Ford Motor Co., 7.45%, 7/16/31 |
|
|
1,100 |
|
|
1,206,010 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
4,815 |
|
|
4,863,150 |
|
International Automotive Components Group, SL, |
|
|
390 |
|
|
383,175 |
|
Titan International, Inc., 7.88%, 10/01/17 |
|
|
685 |
|
|
719,250 |
|
|
|
|
|
|
|
8,079,160 |
|
Beverages 0.2% |
|
|
|
|
|
|
|
Cott Beverages, Inc., 8.13%, 9/01/18 |
|
|
394 |
|
|
407,790 |
|
Crown European Holdings SA, 7.13%, |
|
EUR |
365 |
|
|
505,972 |
|
|
|
|
|
|
|
913,762 |
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (c) |
|
USD |
496 |
|
|
504,495 |
|
Building Products 1.3% |
|
|
|
|
|
|
|
Building Materials Corp. of America (c): |
|
|
|
|
|
|
|
7.00%, 2/15/20 |
|
|
670 |
|
|
670,000 |
|
6.75%, 5/01/21 |
|
|
1,860 |
|
|
1,780,950 |
|
Griffon Corp., 7.13%, 4/01/18 |
|
|
630 |
|
|
595,350 |
|
Momentive Performance Materials, Inc.: |
|
|
|
|
|
|
|
11.50%, 12/01/16 |
|
|
710 |
|
|
702,900 |
|
9.00%, 1/15/21 |
|
|
1,465 |
|
|
1,252,575 |
|
|
|
|
|
|
|
5,001,775 |
|
Capital Markets 1.0% |
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, 12/31/13 (d) |
|
|
740 |
|
|
734,805 |
|
E*Trade Financial Corp. (c): |
|
|
|
|
|
|
|
12.50%, 11/30/17 (e) |
|
|
1,300 |
|
|
1,495,000 |
|
3.44%, 8/31/19 (f)(g) |
|
|
356 |
|
|
425,420 |
|
KKR Group Finance Co., 6.38%, 9/29/20 (c) |
|
|
970 |
|
|
1,032,036 |
|
|
|
|
|
|
|
3,687,261 |
|
Chemicals 3.7% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
1,300 |
|
|
1,277,250 |
|
American Rock Salt Co. LLC, 8.25%, 5/01/18 (c) |
|
|
203 |
|
|
188,283 |
|
Celanese US Holdings LLC, 5.88%, 6/15/21 |
|
|
1,450 |
|
|
1,453,625 |
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
555 |
|
|
570,262 |
|
Hexion US Finance Corp.: |
|
|
|
|
|
|
|
8.88%, 2/01/18 |
|
|
715 |
|
|
668,525 |
|
9.00%, 11/15/20 |
|
|
460 |
|
|
401,350 |
|
Huntsman International LLC: |
|
|
|
|
|
|
|
6.88%, 11/15/13 (c) |
|
EUR |
415 |
|
|
590,186 |
|
8.63%, 3/15/21 |
|
USD |
250 |
|
|
260,938 |
|
Ineos Finance Plc, 9.00%, 5/15/15 (c) |
|
|
625 |
|
|
632,812 |
|
Kinove German Bondco GmbH, 10.00%, 6/15/18 |
|
EUR |
857 |
|
|
1,163,372 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
35 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Chemicals (concluded) |
|
|
|
|
|
|
|
Kraton Polymers LLC, 6.75%, 3/01/19 |
|
USD |
185 |
|
$ |
177,600 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
|
1,780 |
|
|
1,986,925 |
|
Nexeo Solutions LLC, 8.38%, 3/01/18 (c) |
|
|
275 |
|
|
283,938 |
|
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (c) |
|
|
859 |
|
|
850,410 |
|
Omnova Solutions, Inc., 7.88%, 11/01/18 |
|
|
810 |
|
|
710,775 |
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
320 |
|
|
329,600 |
|
TPC Group LLC, 8.25%, 10/01/17 (c) |
|
|
495 |
|
|
507,375 |
|
Wellman Holdings, Inc., Subordinate Note (g): |
|
|
|
|
|
|
|
(Second Lien), 10.00%, 1/29/19 |
|
|
1,385 |
|
|
1,925,150 |
|
(Third Lien), 5.00%, 1/29/19 (e) |
|
|
477 |
|
|
338,873 |
|
|
|
|
|
|
|
14,317,249 |
|
Commercial Banks 2.5% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
680 |
|
|
676,600 |
|
7.00%, 5/01/16 |
|
|
4,358 |
|
|
4,336,020 |
|
7.00%, 5/01/17 |
|
|
4,026 |
|
|
3,975,608 |
|
7.00%, 5/02/17 (c) |
|
|
630 |
|
|
622,125 |
|
Glitnir Banki HF, 6.38%, 9/25/12 (a)(c)(h) |
|
|
1,005 |
|
|
|
|
|
|
|
|
|
|
9,610,353 |
|
Commercial Services & Supplies 2.0% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
|
1,115 |
|
|
1,219,531 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (c) |
|
|
263 |
|
|
253,556 |
|
Aviation Capital Group Corp., 6.75%, 4/06/21 (c) |
|
|
800 |
|
|
789,424 |
|
Brickman Group Holdings, Inc., |
|
|
780 |
|
|
735,150 |
|
Casella Waste Systems, Inc., 7.75%, 2/15/19 (c) |
|
|
969 |
|
|
932,662 |
|
Clean Harbors, Inc., 7.63%, 8/15/16 |
|
|
540 |
|
|
571,050 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
545 |
|
|
530,013 |
|
RSC Equipment Rental, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/17 (c) |
|
|
870 |
|
|
935,250 |
|
8.25%, 2/01/21 |
|
|
1,287 |
|
|
1,200,127 |
|
WCA Waste Corp., 7.50%, 6/15/19 (c) |
|
|
490 |
|
|
490,000 |
|
West Corp., 8.63%, 10/01/18 |
|
|
205 |
|
|
199,875 |
|
|
|
|
|
|
|
7,856,638 |
|
Communications Equipment 0.8% |
|
|
|
|
|
|
|
Avaya, Inc.: |
|
|
|
|
|
|
|
9.75%, 11/01/15 |
|
|
720 |
|
|
612,000 |
|
10.13%, 11/01/15 (e) |
|
|
960 |
|
|
829,200 |
|
7.00%, 4/01/19 (c) |
|
|
770 |
|
|
693,000 |
|
EH Holding Corp. (c): |
|
|
|
|
|
|
|
6.50%, 6/15/19 |
|
|
550 |
|
|
550,000 |
|
7.63%, 6/15/21 |
|
|
400 |
|
|
398,000 |
|
|
|
|
|
|
|
3,082,200 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
150 |
|
|
201,469 |
|
Boart Longyear Management Ltd., |
|
USD |
275 |
|
|
272,938 |
|
|
|
|
|
|
|
474,407 |
|
Construction Materials 0.3% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (c) |
|
|
495 |
|
|
469,013 |
|
Xefin Lux SCA, 8.00%, 6/01/18 (c) |
|
EUR |
376 |
|
|
496,914 |
|
|
|
|
|
|
|
965,927 |
|
Consumer Finance 1.2% |
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 |
|
USD |
1,010 |
|
|
1,022,625 |
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (i) |
|
|
310 |
|
|
310,006 |
|
7.80%, 6/01/12 |
|
|
300 |
|
|
309,007 |
|
7.00%, 4/15/15 |
|
|
2,690 |
|
|
2,871,575 |
|
6.63%, 8/15/17 |
|
|
193 |
|
|
202,051 |
|
|
|
|
|
|
|
4,715,264 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Containers & Packaging 1.2% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
710 |
|
$ |
956,171 |
|
Berry Plastics Corp., 8.25%, 11/15/15 |
|
USD |
205 |
|
|
211,150 |
|
GCL Holdings SCA, 9.38%, 4/15/18 (c) |
|
EUR |
394 |
|
|
495,234 |
|
Graphic Packaging International, Inc., |
|
USD |
550 |
|
|
577,500 |
|
OI European Group BV, 6.88%, 3/31/17 |
|
EUR |
233 |
|
|
317,969 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
605 |
|
|
556,600 |
|
Rock-Tenn Co., 9.25%, 3/15/16 |
|
|
80 |
|
|
84,000 |
|
Smurfit Kappa Acquisitions (c): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
735 |
|
|
1,013,595 |
|
7.75%, 11/15/19 |
|
|
418 |
|
|
573,437 |
|
|
|
|
|
|
|
4,785,656 |
|
Diversified Consumer Services 1.2% |
|
|
|
|
|
|
|
Service Corp. International, 7.00%, 6/15/17 |
|
USD |
4,425 |
|
|
4,624,125 |
|
Diversified Financial Services 5.9% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
7.50%, 12/31/13 |
|
|
460 |
|
|
473,800 |
|
8.30%, 2/12/15 |
|
|
930 |
|
|
976,500 |
|
6.25%, 12/01/17 |
|
|
760 |
|
|
731,056 |
|
8.00%, 3/15/20 |
|
|
500 |
|
|
505,000 |
|
7.50%, 9/15/20 |
|
|
1,000 |
|
|
982,500 |
|
8.00%, 11/01/31 |
|
|
2,115 |
|
|
2,067,412 |
|
8.00%, 11/01/31 |
|
|
1,310 |
|
|
1,260,130 |
|
Axcan Intermediate Holdings, Inc., |
|
|
665 |
|
|
693,262 |
|
Boparan Holdings Ltd. (c): |
|
|
|
|
|
|
|
9.75%, 4/30/18 |
|
EUR |
155 |
|
|
171,468 |
|
9.88%, 4/30/18 |
|
GBP |
210 |
|
|
276,123 |
|
FCE Bank Plc: |
|
|
|
|
|
|
|
7.13%, 1/15/13 |
|
EUR |
1,300 |
|
|
1,872,120 |
|
4.75%, 1/19/15 |
|
|
543 |
|
|
709,818 |
|
General Motors Financial Co., Inc., |
|
USD |
730 |
|
|
726,350 |
|
KION Finance SA, 7.88%, 4/15/18 (c) |
|
EUR |
240 |
|
|
286,151 |
|
Lehman Brothers Holdings, Inc. (a)(h): |
|
|
|
|
|
|
|
5.38%, 10/17/12 |
|
|
200 |
|
|
68,952 |
|
5.75%, 5/17/13 |
|
USD |
915 |
|
|
227,606 |
|
4.75%, 1/16/14 |
|
EUR |
1,130 |
|
|
385,521 |
|
1.00%, 2/05/14 |
|
|
2,350 |
|
|
793,308 |
|
8.80%, 3/01/15 |
|
USD |
255 |
|
|
64,388 |
|
Leucadia National Corp., 8.13%, 9/15/15 |
|
|
1,780 |
|
|
1,911,275 |
|
Reynolds Group DL Escrow, Inc., |
|
|
948 |
|
|
969,330 |
|
Reynolds Group Issuer, Inc. (c): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (j) |
|
EUR |
550 |
|
|
766,373 |
|
8.75%, 10/15/16 |
|
|
660 |
|
|
919,648 |
|
7.13%, 4/15/19 |
|
USD |
365 |
|
|
345,838 |
|
9.00%, 4/15/19 |
|
|
400 |
|
|
360,000 |
|
7.88%, 8/15/19 |
|
|
1,585 |
|
|
1,569,150 |
|
9.88%, 8/15/19 |
|
|
665 |
|
|
625,100 |
|
8.25%, 2/15/21 |
|
|
1,100 |
|
|
926,750 |
|
WMG Acquisition Corp. (c): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
180 |
|
|
183,600 |
|
11.50%, 10/01/18 |
|
|
865 |
|
|
787,150 |
|
|
|
|
|
|
|
22,635,679 |
|
Diversified Telecommunication Services 4.5% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
|
1,530 |
|
|
1,315,800 |
|
GCI, Inc., 6.75%, 6/01/21 |
|
|
424 |
|
|
417,640 |
|
ITC Deltacom, Inc., 10.50%, 4/01/16 |
|
|
420 |
|
|
430,500 |
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (c) |
|
|
3,989 |
|
|
3,789,550 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
9.25%, 11/01/14 |
|
|
123 |
|
|
124,538 |
|
8.75%, 2/15/17 |
|
|
830 |
|
|
813,400 |
|
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
36 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Diversified
Telecommunication Services |
|
|
|
|
|
|
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
USD |
3,955 |
|
$ |
4,004,437 |
|
8.00%, 10/01/15 |
|
|
940 |
|
|
1,003,450 |
|
Series B, 7.50%, 2/15/14 |
|
|
2,590 |
|
|
2,622,375 |
|
Qwest Corp., 7.63%, 6/15/15 |
|
|
850 |
|
|
945,625 |
|
Windstream Corp.: |
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
510 |
|
|
541,875 |
|
7.88%, 11/01/17 |
|
|
1,210 |
|
|
1,272,012 |
|
|
|
|
|
|
|
17,281,202 |
|
Electric Utilities 0.5% |
|
|
|
|
|
|
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
1,700 |
|
|
2,087,954 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC: |
|
|
|
|
|
|
|
11.00%, 10/12/15 |
|
USD |
16 |
|
|
16,320 |
|
11.50%, 10/12/15 (e) |
|
|
980 |
|
|
999,600 |
|
8.00%, 12/15/18 (c) |
|
|
620 |
|
|
613,800 |
|
Elster Finance BV, 6.25%, 4/15/18 (c) |
|
EUR |
165 |
|
|
218,057 |
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
USD |
350 |
|
|
394,625 |
|
|
|
|
|
|
|
2,242,402 |
|
Energy Equipment & Services 1.6% |
|
|
|
|
|
|
|
Antero Resources Finance Corp., |
|
|
245 |
|
|
238,263 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (c) |
|
|
365 |
|
|
354,050 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
365 |
|
|
366,825 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (c) |
|
|
655 |
|
|
635,350 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (c) |
|
|
1,685 |
|
|
1,743,975 |
|
Key Energy Services, Inc., 6.75%, 3/01/21 |
|
|
665 |
|
|
651,700 |
|
MEG Energy Corp., 6.50%, 3/15/21 (c) |
|
|
860 |
|
|
860,000 |
|
Oil States International, Inc., 6.50%, 6/01/19 (c) |
|
|
470 |
|
|
470,000 |
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (c) |
|
|
325 |
|
|
319,312 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
553 |
|
|
580,650 |
|
|
|
|
|
|
|
6,220,125 |
|
Food Products 0.5% |
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, 12/15/18 |
|
|
360 |
|
|
389,700 |
|
Del Monte Foods Co., 7.63%, 2/15/19 (c)(k) |
|
|
830 |
|
|
823,775 |
|
JBS USA LLC, 7.25%, 6/01/21 (c) |
|
|
130 |
|
|
118,138 |
|
Reddy Ice Corp., 11.25%, 3/15/15 |
|
|
650 |
|
|
589,875 |
|
|
|
|
|
|
|
1,921,488 |
|
Health Care Equipment & Supplies 1.4% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
3,425 |
|
|
3,540,594 |
|
7.75%, 4/15/18 (c) |
|
|
155 |
|
|
144,150 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (c) |
|
|
416 |
|
|
392,080 |
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c) |
|
|
800 |
|
|
892,000 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
435 |
|
|
431,737 |
|
|
|
|
|
|
|
5,400,561 |
|
Health Care Providers & Services 5.8% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
615 |
|
|
611,925 |
|
ConvaTec Healthcare E SA (c): |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
800 |
|
|
1,034,281 |
|
10.50%, 12/15/18 |
|
USD |
310 |
|
|
282,100 |
|
Crown Newco 3 Plc, 7.00%, 2/15/18 (c) |
|
GBP |
547 |
|
|
799,155 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
USD |
455 |
|
|
495,950 |
|
6.50%, 2/15/20 |
|
|
1,820 |
|
|
1,840,475 |
|
7.25%, 9/15/20 |
|
|
4,305 |
|
|
4,423,387 |
|
7.50%, 2/15/22 |
|
|
1,890 |
|
|
1,871,100 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (c) |
|
|
1,120 |
|
|
980,000 |
|
INC Research LLC, 11.50%, 7/15/19 (c) |
|
|
605 |
|
|
559,625 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Health Care Providers & Services (concluded) |
|
|
|
|
|
|
|
inVentiv Health, Inc, 10.00%, 8/15/18 (c) |
|
USD |
645 |
|
$ |
582,113 |
|
Omnicare, Inc.: |
|
|
|
|
|
|
|
6.13%, 6/01/13 |
|
|
19 |
|
|
19,190 |
|
6.88%, 12/15/15 |
|
|
131 |
|
|
133,620 |
|
7.75%, 6/01/20 |
|
|
930 |
|
|
948,600 |
|
Symbion, Inc., 8.00%, 6/15/16 (c) |
|
|
510 |
|
|
474,300 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
1,807 |
|
|
1,915,420 |
|
10.00%, 5/01/18 |
|
|
807 |
|
|
887,700 |
|
8.88%, 7/01/19 |
|
|
4,400 |
|
|
4,664,000 |
|
|
|
|
|
|
|
22,522,941 |
|
Health Care Technology 1.3% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (c) |
|
|
3,550 |
|
|
4,082,500 |
|
MedAssets, Inc., 8.00%, 11/15/18 (c) |
|
|
780 |
|
|
752,700 |
|
|
|
|
|
|
|
4,835,200 |
|
Hotels, Restaurants & Leisure 1.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., |
|
|
300 |
|
|
323,250 |
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 |
|
EUR |
79 |
|
|
98,731 |
|
Diamond Resorts Corp., 12.00%, 8/15/18 |
|
USD |
1,770 |
|
|
1,716,900 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (c) |
|
|
260 |
|
|
221,650 |
|
Enterprise Inns Plc, 6.50%, 12/06/18 |
|
GBP |
477 |
|
|
588,479 |
|
Little Traverse Bay Bands of Odawa Indians, |
|
USD |
433 |
|
|
359,390 |
|
MGM Resorts International: |
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
395 |
|
|
433,512 |
|
11.13%, 11/15/17 |
|
|
1,220 |
|
|
1,360,300 |
|
Travelport LLC: |
|
|
|
|
|
|
|
4.88%, 9/01/14 (i) |
|
|
245 |
|
|
186,812 |
|
9.88%, 9/01/14 |
|
|
55 |
|
|
46,887 |
|
9.00%, 3/01/16 |
|
|
180 |
|
|
144,450 |
|
Tropicana Entertainment LLC, Series WI, |
|
|
475 |
|
|
48 |
|
|
|
|
|
|
|
5,480,409 |
|
Household Durables 2.5% |
|
|
|
|
|
|
|
American Standard Americas, 10.75%, 1/15/16 (c) |
|
|
600 |
|
|
486,000 |
|
Ashton Woods USA LLC, 0.00%, 6/30/15 (c)(j) |
|
|
1,300 |
|
|
932,750 |
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
470 |
|
|
331,350 |
|
12.00%, 10/15/17 |
|
|
1,960 |
|
|
1,989,400 |
|
9.13%, 6/15/18 |
|
|
680 |
|
|
471,750 |
|
Ideal Standard International, 11.75%, 5/01/18 (c) |
|
EUR |
115 |
|
|
127,202 |
|
Jarden Corp., 7.50%, 1/15/20 |
|
|
447 |
|
|
606,800 |
|
Ryland Group, Inc., 6.63%, 5/01/20 |
|
USD |
890 |
|
|
765,400 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
2,210 |
|
|
2,187,900 |
|
8.38%, 5/15/18 |
|
|
385 |
|
|
337,837 |
|
8.38%, 1/15/21 |
|
|
870 |
|
|
748,200 |
|
United Rentals North America, Inc., 8.38%, 9/15/20 |
|
|
640 |
|
|
584,000 |
|
|
|
|
|
|
|
9,568,589 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (c) |
|
EUR |
220 |
|
|
282,847 |
|
IT Services 1.9% |
|
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c) |
|
USD |
1,070 |
|
|
984,400 |
|
First Data Corp. (c): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
1,290 |
|
|
1,212,600 |
|
8.88%, 8/15/20 |
|
|
795 |
|
|
787,050 |
|
12.63%, 1/15/21 |
|
|
2,965 |
|
|
2,801,925 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
870 |
|
|
828,675 |
|
7.63%, 11/15/20 |
|
|
880 |
|
|
840,400 |
|
|
|
|
|
|
|
7,455,050 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
37 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Independent
Power Producers & |
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (c) |
|
USD |
1,265 |
|
$ |
1,277,650 |
|
Calpine Corp. (c): |
|
|
|
|
|
|
|
7.50%, 2/15/21 |
|
|
290 |
|
|
292,900 |
|
7.88%, 1/15/23 |
|
|
950 |
|
|
969,000 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
4,955 |
|
|
4,974,181 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
253 |
|
|
255,244 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (c) |
|
|
3,215 |
|
|
3,182,850 |
|
|
|
|
|
|
|
10,951,825 |
|
Industrial Conglomerates 2.6% |
|
|
|
|
|
|
|
Alba Group Plc & Co., KG, 8.00%, 5/15/18 (c) |
|
EUR |
107 |
|
|
149,863 |
|
Sequa Corp. (c): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
USD |
3,550 |
|
|
3,692,000 |
|
13.50%, 12/01/15 |
|
|
5,797 |
|
|
6,144,584 |
|
|
|
|
|
|
|
9,986,447 |
|
Insurance 1.3% |
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, 5/01/15 (c) |
|
|
2,500 |
|
|
2,562,500 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (c) |
|
|
543 |
|
|
564,720 |
|
Genworth Financial, Inc., 7.63%, 9/24/21 |
|
|
630 |
|
|
559,143 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) |
|
|
375 |
|
|
360,000 |
|
USI Holdings Corp., 4.16%, 11/15/14 (c)(i) |
|
|
1,000 |
|
|
895,000 |
|
|
|
|
|
|
|
4,941,363 |
|
Machinery 1.4% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
1,640 |
|
|
1,437,050 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (g) |
|
|
2,930 |
|
|
3,233,987 |
|
8.25%, 11/01/21 |
|
|
200 |
|
|
207,000 |
|
Oshkosh Corp., 8.25%, 3/01/17 |
|
|
40 |
|
|
41,100 |
|
SPX Corp., 6.88%, 9/01/17 |
|
|
260 |
|
|
271,050 |
|
|
|
|
|
|
|
5,190,187 |
|
Media 14.7% |
|
|
|
|
|
|
|
AMC Entertainment, Inc., 9.75%, 12/01/20 |
|
|
260 |
|
|
250,900 |
|
AMC Networks, Inc., 7.75%, 7/15/21 (c) |
|
|
330 |
|
|
341,550 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
1,200 |
|
|
1,062,000 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
4,549 |
|
|
5,254,132 |
|
CCO Holdings LLC: |
|
|
|
|
|
|
|
7.25%, 10/30/17 |
|
|
80 |
|
|
82,500 |
|
7.88%, 4/30/18 |
|
|
160 |
|
|
166,400 |
|
6.50%, 4/30/21 |
|
|
1,164 |
|
|
1,137,810 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 |
|
|
236 |
|
|
224,200 |
|
CSC Holdings, Inc., 8.50%, 4/15/14 |
|
|
580 |
|
|
627,850 |
|
Catalina Marketing Corp., 10.50%, 10/01/15 (c)(e) |
|
|
885 |
|
|
885,000 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
945 |
|
|
727,650 |
|
Checkout Holding Corp., 10.97%, 11/15/15 (c)(f) |
|
|
995 |
|
|
587,050 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (c) |
|
|
570 |
|
|
614,175 |
|
Clear Channel Communications, Inc., 9.00%, 3/01/21 |
|
|
805 |
|
|
648,025 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
2,246 |
|
|
2,380,760 |
|
Series B, 9.25%, 12/15/17 |
|
|
8,250 |
|
|
8,827,500 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
1,008 |
|
|
1,040,123 |
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
1,152 |
|
|
1,189,160 |
|
Shares Loan, 12.00%, 8/15/18 |
|
|
1,188 |
|
|
1,226,441 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (c) |
|
|
190 |
|
|
166,725 |
|
DISH DBS Corp.: |
|
|
|
|
|
|
|
7.00%, 10/01/13 |
|
|
140 |
|
|
146,825 |
|
6.75%, 6/01/21 (c) |
|
|
830 |
|
|
836,225 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
1,420 |
|
|
1,370,300 |
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
6.00%, 5/15/15 (i) |
|
|
510 |
|
|
379,950 |
|
9.50%, 5/15/15 |
|
|
460 |
|
|
374,900 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Media (concluded) |
|
|
|
|
|
|
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
USD |
1,610 |
|
$ |
1,682,450 |
|
11.25%, 2/04/17 |
|
|
500 |
|
|
485,000 |
|
11.50%, 2/04/17 (e) |
|
|
570 |
|
|
553,613 |
|
11.50%, 2/04/17 (c)(e) |
|
|
1,370 |
|
|
1,330,612 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
1,525 |
|
|
1,616,500 |
|
The Interpublic Group of Cos., Inc., 10.00%, |
|
|
500 |
|
|
575,000 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
988 |
|
|
1,390,878 |
|
Kabel Deutschland Vertrieb und Service GmbH & Co. |
|
|
505 |
|
|
710,273 |
|
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c) |
|
USD |
1,130 |
|
|
1,087,625 |
|
Musketeer GmbH, 9.50%, 3/15/21 (c) |
|
EUR |
625 |
|
|
897,813 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
USD |
825 |
|
|
833,250 |
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
91 |
|
|
103,058 |
|
7.75%, 10/15/18 |
|
|
3,340 |
|
|
3,448,550 |
|
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c) |
|
GBP |
308 |
|
|
457,478 |
|
ProQuest LLC, 9.00%, 10/15/18 (c) |
|
USD |
745 |
|
|
730,100 |
|
Regal Entertainment Group, 9.13%, 8/15/18 |
|
|
585 |
|
|
590,850 |
|
UPC Holding BV, 9.88%, 4/15/18 (c) |
|
|
800 |
|
|
836,000 |
|
UPCB Finance II Ltd., 6.38%, 7/01/20 (c) |
|
EUR |
1,218 |
|
|
1,557,196 |
|
Unitymedia GmbH, 9.63%, 12/01/19 (c) |
|
|
1,080 |
|
|
1,563,057 |
|
Unitymedia Hessen GmbH & Co. KG |
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
662 |
|
|
955,718 |
|
8.13%, 12/01/17 |
|
USD |
935 |
|
|
953,700 |
|
Virgin Media Secured Finance Plc, 7.00%, 1/15/18 |
|
GBP |
877 |
|
|
1,473,461 |
|
Ziggo Bond Co. BV, 8.00%, 5/15/18 (c) |
|
EUR |
583 |
|
|
820,730 |
|
Ziggo Finance BV, 6.13%, 11/15/17 (c) |
|
|
1,185 |
|
|
1,659,697 |
|
|
|
|
|
|
|
56,860,760 |
|
Metals & Mining 4.2% |
|
|
|
|
|
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (c) |
|
USD |
370 |
|
|
378,325 |
|
7.38%, 2/15/16 |
|
|
300 |
|
|
304,500 |
|
FMG Resources August 2006 Property Ltd., 7.00%, |
|
|
1,830 |
|
|
1,825,425 |
|
Goldcorp, Inc., 2.00%, 8/01/14 (g) |
|
|
1,575 |
|
|
2,073,094 |
|
JMC Steel Group, 8.25%, 3/15/18 (c) |
|
|
300 |
|
|
293,250 |
|
James River Escrow, Inc., 7.88%, 4/01/19 (c) |
|
|
315 |
|
|
285,075 |
|
New World Resources NV, 7.88%, 5/01/18 |
|
EUR |
990 |
|
|
1,358,140 |
|
Newmont Mining Corp., Series A, 1.25%, |
|
USD |
2,170 |
|
|
3,151,925 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
5,230 |
|
|
5,504,575 |
|
Taseko Mines Ltd., 7.75%, 4/15/19 |
|
|
470 |
|
|
445,325 |
|
Vedanta Resources Plc, 8.25%, 6/07/21 (c) |
|
|
415 |
|
|
396,325 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
238 |
|
|
234,409 |
|
|
|
|
|
|
|
16,250,368 |
|
Multiline Retail 1.8% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (e) |
|
|
6,421 |
|
|
7,111,257 |
|
Oil, Gas & Consumable Fuels 9.7% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
470 |
|
|
459,425 |
|
6.25%, 6/01/21 |
|
|
1,485 |
|
|
1,453,444 |
|
Arch Coal, Inc.: |
|
|
|
|
|
|
|
7.25%, 10/01/20 |
|
|
500 |
|
|
492,500 |
|
7.25%, 6/15/21 (c) |
|
|
1,270 |
|
|
1,250,950 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
750 |
|
|
774,375 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
70 |
|
|
76,825 |
|
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 |
|
|
190 |
|
|
193,800 |
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
1,408 |
|
|
1,471,360 |
|
6.13%, 2/15/21 |
|
|
810 |
|
|
822,150 |
|
2.25%, 12/15/38 (g) |
|
|
1,200 |
|
|
1,068,000 |
|
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
38 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
|
Value |
|
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (c) |
|
USD |
392 |
|
$ |
415,520 |
|
Concho Resources, Inc., 7.00%, 1/15/21 |
|
|
610 |
|
|
625,250 |
|
Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (c) |
|
|
505 |
|
|
409,050 |
|
Consol Energy, Inc., 8.25%, 4/01/20 |
|
|
2,895 |
|
|
3,112,125 |
|
Continental Resources, Inc., 7.13%, 4/01/21 |
|
|
545 |
|
|
561,350 |
|
Copano Energy LLC, 7.13%, 4/01/21 |
|
|
495 |
|
|
492,525 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
265 |
|
|
274,275 |
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
|
1,025 |
|
|
1,080,094 |
|
6.38%, 8/15/21 |
|
|
520 |
|
|
509,600 |
|
EV Energy Partners LP, 8.00%, 4/15/19 (c) |
|
|
215 |
|
|
210,700 |
|
Energy XXI Gulf Coast, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
630 |
|
|
645,750 |
|
7.75%, 6/15/19 |
|
|
1,330 |
|
|
1,250,200 |
|
Forbes Energy Services Ltd., 9.00%, 6/15/19 (c) |
|
|
540 |
|
|
514,350 |
|
Hilcorp Energy I LP, 7.63%, 4/15/21 (c) |
|
|
1,150 |
|
|
1,161,500 |
|
Linn Energy LLC: |
|
|
|
|
|
|
|
6.50%, 5/15/19 (c) |
|
|
370 |
|
|
353,350 |
|
8.63%, 4/15/20 |
|
|
1,630 |
|
|
1,744,100 |
|
7.75%, 2/01/21 (c) |
|
|
640 |
|
|
652,800 |
|
MarkWest Energy Partners LP, 6.75%, 11/01/20 |
|
|
195 |
|
|
199,875 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
2,735 |
|
|
2,762,350 |
|
OGX Petroleo e Gas Participações SA, 8.50%, |
|
|
5,835 |
|
|
5,849,587 |
|
Oasis Petroleum, Inc., 7.25%, 2/01/19 (c) |
|
|
480 |
|
|
470,400 |
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
555 |
|
|
627,150 |
|
7.88%, 6/01/15 |
|
|
695 |
|
|
750,600 |
|
7.25%, 8/15/18 |
|
|
470 |
|
|
548,138 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
150 |
|
|
162,475 |
|
Precision Drilling Corp., 6.50%, 12/15/21 (c) |
|
|
440 |
|
|
440,000 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
600 |
|
|
652,500 |
|
5.75%, 6/01/21 |
|
|
500 |
|
|
502,500 |
|
SM Energy Co., 6.63%, 2/15/19 (c) |
|
|
425 |
|
|
425,000 |
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (c) |
|
|
1,360 |
|
|
1,326,000 |
|
Teekay Corp., 8.50%, 1/15/20 |
|
|
810 |
|
|
787,725 |
|
|
|
|
|
|
|
37,579,668 |
|
Paper & Forest Products 2.7% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(e) |
|
|
1,771 |
|
|
1,239,940 |
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
190 |
|
|
201,875 |
|
8.00%, 4/01/20 |
|
|
240 |
|
|
245,400 |
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
585 |
|
|
640,575 |
|
7.13%, 11/01/18 |
|
|
865 |
|
|
869,325 |
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (c) |
|
|
2,395 |
|
|
2,735,109 |
|
Longview Fibre Paper & Packaging, Inc., 8.00%, |
|
|
505 |
|
|
499,950 |
|
NewPage Corp., 11.38%, 12/31/14 (a)(h) |
|
|
3,130 |
|
|
2,754,400 |
|
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c) |
|
|
200 |
|
|
178,000 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
1,139 |
|
|
1,207,340 |
|
|
|
|
|
|
|
10,571,914 |
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c) |
|
EUR |
300 |
|
|
413,712 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
275 |
|
|
278,438 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
1,265 |
|
|
1,201,750 |
|
|
|
|
|
|
|
1,893,900 |
|
Professional Services 0.4% |
|
|
|
|
|
|
|
FTI Consulting, Inc., 6.75%, 10/01/20 |
|
|
1,370 |
|
|
1,351,163 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Real Estate Investment Trusts (REITs) 0.7% |
|
|
|
|
|
|
|
FelCor Lodging LP, 6.75%, 6/01/19 (c) |
|
USD |
2,070 |
|
$ |
1,945,800 |
|
The Rouse Co. LP, 6.75%, 11/09/15 |
|
|
770 |
|
|
779,625 |
|
|
|
|
|
|
|
2,725,425 |
|
Real Estate Management & Development 2.2% |
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 6.63%, 10/15/20 |
|
|
500 |
|
|
488,750 |
|
Forest City Enterprises, Inc., 7.63%, 6/01/15 |
|
|
2,300 |
|
|
2,213,750 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
11.50%, 4/15/17 (j) |
|
|
1,465 |
|
|
1,164,675 |
|
12.00%, 4/15/17 (j) |
|
|
145 |
|
|
116,000 |
|
7.88%, 2/15/19 (c) |
|
|
3,790 |
|
|
3,145,700 |
|
Shea Homes LP, 8.63%, 5/15/19 (c) |
|
|
1,585 |
|
|
1,339,325 |
|
|
|
|
|
|
|
8,468,200 |
|
Road & Rail 2.0% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC: |
|
|
|
|
|
|
|
9.63%, 3/15/18 |
|
|
760 |
|
|
777,100 |
|
8.25%, 1/15/19 |
|
|
1,150 |
|
|
1,112,625 |
|
Florida East Coast Railway Corp., 8.13%, |
|
|
610 |
|
|
606,950 |
|
The Hertz Corp. (c): |
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
|
960 |
|
|
940,800 |
|
6.75%, 4/15/19 |
|
|
660 |
|
|
615,450 |
|
7.38%, 1/15/21 |
|
|
730 |
|
|
697,150 |
|
Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (c) |
|
EUR |
2,135 |
|
|
3,005,591 |
|
|
|
|
|
|
|
7,755,666 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Micron Technology, Inc. (c): |
|
|
|
|
|
|
|
Series A, 1.50%, 8/01/31 |
|
USD |
422 |
|
|
362,920 |
|
Series B, 1.88%, 8/01/31 (g) |
|
|
141 |
|
|
117,911 |
|
Spansion LLC, 7.88%, 11/15/17 (c) |
|
|
850 |
|
|
850,000 |
|
|
|
|
|
|
|
1,330,831 |
|
Specialty Retail 2.2% |
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., 8.38%, 11/15/20 |
|
|
540 |
|
|
530,550 |
|
Hillman Group, Inc., 10.88%, 6/01/18 |
|
|
790 |
|
|
797,900 |
|
House of Fraser Plc, 8.88%, 8/15/18 (c) |
|
GBP |
420 |
|
|
579,532 |
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
USD |
1,170 |
|
|
1,317,712 |
|
Phones4u Finance Plc, 9.50%, 4/01/18 (c) |
|
GBP |
545 |
|
|
681,218 |
|
QVC, Inc. (c): |
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
USD |
340 |
|
|
355,300 |
|
7.50%, 10/01/19 |
|
|
920 |
|
|
991,300 |
|
7.38%, 10/15/20 |
|
|
315 |
|
|
338,625 |
|
Sonic Automotive, Inc., 9.00%, 3/15/18 |
|
|
550 |
|
|
558,250 |
|
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (c) |
|
|
630 |
|
|
611,100 |
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
1,550 |
|
|
1,569,375 |
|
|
|
|
|
|
|
8,330,862 |
|
Transportation Infrastructure 0.2% |
|
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (c) |
|
|
632 |
|
|
594,080 |
|
Wireless Telecommunication Services 3.7% |
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
1,120 |
|
|
1,157,800 |
|
7.75%, 5/15/16 |
|
|
1,040 |
|
|
1,053,000 |
|
Digicel Group Ltd. (c): |
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
1,030 |
|
|
1,030,000 |
|
9.13%, 1/15/15 |
|
|
2,787 |
|
|
2,787,000 |
|
8.25%, 9/01/17 |
|
|
1,650 |
|
|
1,650,000 |
|
10.50%, 4/15/18 |
|
|
800 |
|
|
848,000 |
|
FiberTower Corp., 9.00%, 1/01/16 (e) |
|
|
518 |
|
|
319,108 |
|
iPCS, Inc., 2.38%, 5/01/13 (i) |
|
|
1,200 |
|
|
1,113,000 |
|
Intelsat Jackson Holdings SA, 7.50%, 4/01/21 (c) |
|
|
230 |
|
|
222,525 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
39 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock
Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
Wireless Telecommunication Services (concluded) |
|
|
|
|
|
|
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
USD |
530 |
|
$ |
537,287 |
|
6.63%, 11/15/20 |
|
|
1,380 |
|
|
1,290,300 |
|
NII Capital Corp., 7.63%, 4/01/21 |
|
|
562 |
|
|
573,240 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
1,910 |
|
|
1,709,450 |
|
|
|
|
|
|
|
14,290,710 |
|
Total Corporate Bonds 103.2% |
|
|
|
|
|
398,270,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
|
|
|
|
|
|
Airlines 0.3% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, |
|
|
1,100 |
|
|
1,013,837 |
|
Building Products 0.3% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
1,175 |
|
|
1,180,875 |
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14 |
|
|
742 |
|
|
415,560 |
|
Chemicals 0.2% |
|
|
|
|
|
|
|
PQ Corp. (FKA Niagara Acquisition, Inc.), |
|
|
348 |
|
|
317,968 |
|
Styron Sarl, Term Loan B, 6.00%, 8/02/17 |
|
|
696 |
|
|
639,222 |
|
|
|
|
|
|
|
957,190 |
|
Commercial Services & Supplies 0.8% |
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, |
|
|
739 |
|
|
710,875 |
|
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 |
|
|
875 |
|
|
869,164 |
|
Volume Services America, Inc. (FKA Centerplate), |
|
|
1,489 |
|
|
1,424,242 |
|
|
|
|
|
|
|
3,004,281 |
|
Construction & Engineering 0.8% |
|
|
|
|
|
|
|
Safway Services, LLC, Last Out Term Loan, |
|
|
3,000 |
|
|
3,000,000 |
|
Consumer Finance 1.8% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
7,575 |
|
|
7,016,344 |
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Delayed Draw Term Loan, 2.72%, 7/24/14 |
|
|
13 |
|
|
11,712 |
|
Term Loan, 2.73%, 7/24/14 |
|
|
127 |
|
|
117,613 |
|
|
|
|
|
|
|
129,325 |
|
Diversified Telecommunication Services 0.2% |
|
|
|
|
|
|
|
Level 3 Financing, Inc., Incremental Tranche A Term |
|
|
750 |
|
|
693,000 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC (FKA CDW Corp.), Non-Extended Term
|
|
|
175 |
|
|
164,500 |
|
Energy Equipment & Services 2.1% |
|
|
|
|
|
|
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal Co. Term Loan, 9.25%, 8/04/16 |
|
|
2,950 |
|
|
2,849,520 |
|
Gas Co. Term Loan, 9.25%, 8/04/16 |
|
|
5,400 |
|
|
5,305,173 |
|
|
|
|
|
|
|
8,154,693 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
1,300 |
|
|
1,274,000 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
|
Par |
|
Value |
|
|
Health Care Providers & Services 0.6% |
|
|
|
|
|
|
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, |
|
USD |
695 |
|
$ |
681,350 |
|
Tranche A Term Loan, 8.50%, 3/02/15 |
|
|
606 |
|
|
593,472 |
|
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term |
|
|
1,246 |
|
|
1,175,761 |
|
|
|
|
|
|
|
2,450,583 |
|
Hotels, Restaurants & Leisure 0.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term |
|
|
533 |
|
|
459,217 |
|
Travelport LLC, (FKA Travelport, Inc.), Term |
|
|
2,011 |
|
|
1,107,954 |
|
|
|
|
|
|
|
1,567,171 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (FKA TXU), |
|
|
4,678 |
|
|
3,433,948 |
|
Media 4.1% |
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
2,425 |
|
|
2,315,875 |
|
HMH Publishing Co., Ltd., Tranche A Term Loan, |
|
|
1,359 |
|
|
1,092,655 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
10,723 |
|
|
10,267,392 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, |
|
|
2,150 |
|
|
2,219,875 |
|
|
|
|
|
|
|
15,895,797 |
|
Multiline Retail 0.5% |
|
|
|
|
|
|
|
Hema Holding BV, Mezzanine, 9.93%, 7/05/17 |
|
EUR |
1,372 |
|
|
1,758,783 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
USD |
2,941 |
|
|
2,912,075 |
|
Paper & Forest Products 0.5% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan, |
|
|
2,089 |
|
|
1,796,689 |
|
Pharmaceuticals 0.4% |
|
|
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 |
|
|
1,493 |
|
|
1,346,235 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), |
|
|
2,286 |
|
|
2,221,131 |
|
Real Estate Management & Development 0.3% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan C, |
|
|
195 |
|
|
160,650 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
1,084 |
|
|
892,535 |
|
|
|
|
|
|
|
1,053,185 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
177 |
|
|
154,165 |
|
Wireless Telecommunication Services 1.2% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc.: |
|
|
|
|
|
|
|
Initial Loan, 6.88%, 8/11/15 |
|
|
2,943 |
|
|
2,958,114 |
|
PIK Term Loan B, 6.25%, 7/11/16 |
|
|
1,850 |
|
|
1,859,250 |
|
|
|
|
|
|
|
4,817,364 |
|
Total Floating Rate Loan Interests 17.2% |
|
|
|
|
|
66,410,731 |
|
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
40 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Other Interests (l) |
|
Beneficial |
|
|
Value |
|
|
Auto Components 2.7% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. LLP, |
|
USD |
1 |
|
$ |
10,193,888 |
|
Lear Corp. Escrow |
|
|
790 |
|
|
15,800 |
|
Energy Equipment & Services 0.8% |
|
|
|
|
|
|
|
BLK HYV (Luxembourg) Investments, S.a.r.l. |
|
|
71 |
|
|
3,081,872 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets, Inc. |
|
|
970 |
|
|
10 |
|
Media 0.0% |
|
|
|
|
|
|
|
Adelphia Escrow |
|
|
1,250 |
|
|
12 |
|
Adelphia Recovery Trust (a) |
|
|
1,568 |
|
|
157 |
|
|
|
|
|
|
|
169 |
|
Total Other Interests 3.5% |
|
|
|
|
|
13,291,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
|
Par |
|
|
|
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, 11/15/66 (i) |
|
|
1,270 |
|
|
762,000 |
|
Total Capital Trusts 0.2% |
|
|
|
|
|
762,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Shares |
|
|
|
|
Auto Components 0.8% |
|
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)(c)(g) |
|
|
25,970 |
|
|
2,924,871 |
|
Diversified Financial Services 0.9% |
|
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (c) |
|
|
4,720 |
|
|
3,591,478 |
|
Media 0.2% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
55,038 |
|
|
467,823 |
|
TRA Global, Inc., 0.00% (a) |
|
|
420,689 |
|
|
517,447 |
|
|
|
|
|
|
|
985,270 |
|
Real Estate Investment Trusts (REITs) 0.1% |
|
|
|
|
|
|
|
MPG Office Trust, Inc., Series A, 7.63% (a) |
|
|
13,326 |
|
|
212,416 |
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
Fannie Mae, Series O, 7.00% (a) |
|
|
40,000 |
|
|
120,000 |
|
Freddie Mac, Series Z, 8.38% (a)(i) |
|
|
108,377 |
|
|
241,681 |
|
|
|
|
|
|
|
361,681 |
|
Total Preferred Stocks 2.1% |
|
|
|
|
|
8,075,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
Diversified Financial Services 0.7% |
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i) |
|
|
132,030 |
|
|
2,807,947 |
|
Total Trust Preferreds 0.7% |
|
|
|
|
|
2,807,947 |
|
Total Preferred Securities 3.0% |
|
|
|
|
|
11,645,663 |
|
|
|
|
|
|
|
|
|
Warrants (n) |
|
|
Shares |
|
Value |
|
|
Containers & Packaging 0.0% |
|
|
|
|
|
|
|
MDP Acquisitions Plc (Expires 10/01/13) |
|
|
1,100 |
|
$ |
45,364 |
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
HealthSouth Corp. (Expires 1/16/14) |
|
|
52,465 |
|
|
1 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. (Expires 4/29/14) |
|
|
819 |
|
|
8 |
|
Media 0.1% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
139,006 |
|
|
355,229 |
|
New Vision Holdings LLC (Expires 9/30/14) |
|
|
26 |
|
|
262 |
|
|
|
|
|
|
|
355,491 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
491 |
|
|
5 |
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
20,878 |
|
|
|
|
|
|
|
|
|
|
5 |
|
Total Warrants 0.1% |
|
|
|
|
|
400,869 |
|
Total
Long-Term Investments |
|
|
|
|
|
504,617,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
1,171,689 |
|
|
1,171,689 |
|
Total
Short-Term Securities |
|
|
|
|
|
1,171,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
|
Contracts |
|
|
|
|
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
E*Trade Financial Corp., Strike Price USD 20.00, |
|
|
664 |
|
|
8,632 |
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike Price USD 120.00, |
|
|
210 |
|
|
47,255 |
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
Over-the-Counter Call Swaptions 0.1% |
|
|
|
|
|
|
|
Sold credit default protection on Dow Jones CDX |
|
USD |
15,000 |
|
|
150,525 |
|
Total
Options Purchased |
|
|
|
|
|
206,412 |
|
Total
Investments Before Options Written |
|
|
|
|
|
505,995,546 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
41 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
Value |
|
||
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
E*Trade Financial Corp., Strike Price USD 13.00, |
|
|
664 |
|
$ |
(136,120 |
) |
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
|
|
|
Over-the-Counter Call Swaptions (0.1)% |
|
|
|
|
|
|
|
Bought credit default protection on Dow Jones |
|
USD |
17,175 |
|
|
(3,361 |
) |
Bought credit default protection on Dow Jones |
|
|
7,000 |
|
|
(318,049 |
) |
|
|
|
|
|
|
(321,410 |
) |
Over-the-Counter Put Swaptions (0.3)% |
|
|
|
|
|
|
|
Sold credit default protection on Dow Jones CDX |
|
|
4,475 |
|
|
(146,510 |
) |
Sold credit default protection on Dow Jones CDX |
|
|
7,000 |
|
|
(228,643 |
) |
Sold credit default protection on Dow Jones CDX |
|
|
15,000 |
|
|
(582,384 |
) |
|
|
|
|
|
|
(957,537 |
) |
Total Options Written |
|
|
|
|
(1,415,067 |
) |
|
Total Investments, Net of Options Written 130.8% |
|
|
|
|
|
504,580,479 |
|
Liabilities in Excess of Other Assets (30.8)% |
|
|
|
|
|
(118,893,050 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
385,687,429 |
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
521,793,567 |
|
Gross unrealized appreciation |
|
$ |
18,688,228 |
|
Gross unrealized depreciation |
|
|
(34,486,249 |
) |
Net unrealized depreciation |
|
$ |
(15,798,021 |
) |
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Restricted security as to resale. As of report date the Trust held less than 0.1% of its net assets, with a current market value of $6,754 and an original cost of $485 in these securities. |
|
|
(c) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(d) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
(e) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(f) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(g) |
Convertible security. |
|
|
(h) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(i) |
Variable rate security. Rate shown is as of report date. |
|
|
(j) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(k) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(l) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|
|
(m) |
Wholly owned subsidiary of the Trust. |
|
|
(n) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(o) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
2,725,924 |
|
|
(1,554,235 |
) |
|
1,171,689 |
|
$ |
3,242 |
|
|
|
(p) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
567 |
|
|
S&P
500 |
|
|
Chicago |
|
|
September |
|
$ |
32,153,109 |
|
$ |
(2,368,686 |
) |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
42 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
|
Counterparty |
|
Settlement
|
|
Unrealized
|
|
||||||
EUR |
|
420,000 |
|
USD |
|
603,847 |
|
|
Royal
Bank of |
|
9/02/11 |
|
|
$ |
(516 |
) |
USD |
|
589,608 |
|
CAD |
|
583,000 |
|
|
Citibank NA |
|
10/07/11 |
|
|
|
(5,217 |
) |
USD |
|
5,722,761 |
|
GBP |
|
3,581,500 |
|
|
Royal
Bank of |
|
10/07/11 |
|
|
|
(88,826 |
) |
USD |
|
32,081,620 |
|
EUR |
|
22,378,500 |
|
|
Citibank NA |
|
10/26/11 |
|
|
|
(44,005 |
) |
USD |
|
915,741 |
|
EUR |
|
638,000 |
|
|
Deutsche Bank AG |
|
10/26/11 |
|
|
|
(144 |
) |
USD |
|
58,664 |
|
EUR |
|
41,000 |
|
|
Morgan
Stanley |
|
10/26/11 |
|
|
|
(194 |
) |
USD |
|
603,455 |
|
EUR |
|
420,000 |
|
|
Royal
Bank of |
|
10/26/11 |
|
|
|
521 |
|
USD |
|
199,829 |
|
EUR |
|
140,000 |
|
|
UBS AG |
|
10/26/11 |
|
|
|
(1,149 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(139,530 |
) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
Republic of |
|
|
1.00 |
% |
|
Deutsche |
|
|
12/20/15 |
|
$ |
450 |
|
$ |
9,511 |
|
Israel (State of) |
|
|
1.00 |
% |
|
Deutsche |
|
|
3/20/16 |
|
$ |
1,000 |
|
|
(10,285 |
) |
Beazer Homes |
|
|
5.00 |
% |
|
Credit
Suisse |
|
|
9/20/16 |
|
$ |
200 |
|
|
(8,756 |
) |
Beazer Homes |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
9/20/16 |
|
$ |
300 |
|
|
19,644 |
|
Realogy Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
9/20/16 |
|
$ |
200 |
|
|
(14,748 |
) |
iStar |
|
5.00 |
% |
|
Deutsche |
|
|
12/20/16 |
|
$ |
350 |
|
|
(28,548 |
) |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(33,182 |
) |
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
Receive |
|
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional
|
|
Unrealized |
|
||||||
iStar |
|
|
5.00 |
% |
|
Deutsche |
|
|
9/20/11 |
|
|
B+ |
|
$ |
350 |
|
$ |
2,217 |
|
ARAMARK Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
3/20/16 |
|
|
B |
|
$ |
750 |
|
|
(21,878 |
) |
ARAMARK Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
6/20/16 |
|
|
B |
|
$ |
1,000 |
|
|
(34,782 |
) |
ARAMARK Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
9/20/16 |
|
|
B |
|
$ |
450 |
|
|
(19,759 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(74,202 |
) |
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
|
Credit default swaps on traded indexes buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
Dow Jones CDX |
|
|
5.00 |
% |
|
Credit
Suisse |
|
|
6/20/16 |
|
$ |
3,650 |
|
|
|
|
|
|
|
Total return swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||||
3.12% |
|
|
Deutsche Bank AG |
|
|
8/02/21 |
|
$ |
2,130 |
|
$ |
19,061 |
(a) |
3.09% |
|
|
Deutsche Bank AG |
|
|
8/03/21 |
|
$ |
2,145 |
|
|
16,345 |
(a) |
3.15% |
|
|
Credit Suisse |
|
|
8/11/21 |
|
$ |
2,155 |
|
|
22,127 |
(a) |
|
|
|
Securities (USA) LLC |
|
|
|
|
|
|
|
|
|
|
3.11% |
|
|
Deutsche Bank AG |
|
|
8/11/21 |
|
$ |
2,155 |
|
|
18,312 |
(a) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
75,845 |
|
|
|
|
|
|
(a) |
Based on the change in the return of the Consumer Price Index for All Urban Consumers. |
|
|
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
||
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
||
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|||
|
ANNUAL REPORT |
AUGUST 31, 2011 |
43 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Corporate High Yield Fund V, Inc. (HYV) |
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
10,781,017 |
|
$ |
426,311 |
|
$ |
3,390,998 |
|
$ |
14,598,326 |
|
Corporate Bonds |
|
|
|
|
|
389,861,547 |
|
|
8,408,570 |
|
|
398,270,117 |
|
Floating Rate |
|
|
|
|
|
52,186,595 |
|
|
14,224,136 |
|
|
66,410,731 |
|
Other Interests |
|
|
157 |
|
|
10,193,888 |
|
|
3,097,694 |
|
|
13,291,739 |
|
Preferred Securities |
|
|
3,382,044 |
|
|
7,278,349 |
|
|
985,270 |
|
|
11,645,663 |
|
Warrants |
|
|
45,364 |
|
|
|
|
|
355,505 |
|
|
400,869 |
|
Short-Term Securities |
|
|
1,171,689 |
|
|
|
|
|
|
|
|
1,171,689 |
|
Total |
|
$ |
15,380,271 |
|
$ |
459,946,690 |
|
$ |
30,462,173 |
|
$ |
505,789,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
181,897 |
|
|
|
|
$ |
181,897 |
|
Equity contracts |
|
$ |
55,887 |
|
|
|
|
|
|
|
|
55,887 |
|
Foreign currency |
|
|
|
|
|
521 |
|
|
|
|
|
521 |
|
Other contracts |
|
|
|
|
|
75,845 |
|
|
|
|
|
75,845 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(1,417,703 |
) |
|
|
|
|
(1,417,703 |
) |
Equity contracts |
|
|
(2,504,806 |
) |
|
|
|
|
|
|
|
(2,504,806 |
) |
Foreign currency |
|
|
|
|
|
(140,051 |
) |
|
|
|
|
(140,051 |
) |
Total |
|
$ |
(2,448,919 |
) |
$ |
(1,299,491 |
) |
|
|
|
$ |
(3,748,410 |
) |
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded
Loan |
|
Total |
|
||||||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
1,056,339 |
|
$ |
7,015,576 |
|
$ |
21,875,386 |
|
$ |
16,367 |
|
$ |
679,708 |
|
$ |
49,708 |
|
$ |
(70,023 |
) |
$ |
30,623,061 |
|
Accrued discounts/premiums |
|
|
|
|
|
37,567 |
|
|
39,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,947 |
|
Net realized gain (loss) |
|
|
|
|
|
28,414 |
|
|
210,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
238,830 |
|
Net change in unrealized appreciation/depreciation2 |
|
|
(3,152,943 |
) |
|
935,771 |
|
|
(156,763 |
) |
|
(23,750 |
) |
|
305,562 |
|
|
355,228 |
|
|
70,023 |
|
|
(1,666,872 |
) |
Purchases |
|
|
5,872,669 |
|
|
641,714 |
|
|
5,640,860 |
|
|
3,111,347 |
|
|
|
|
|
6 |
|
|
|
|
|
15,266,596 |
|
Sales |
|
|
(385,067 |
) |
|
(537,244 |
) |
|
(10,995,412 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(11,917,723 |
) |
Transfers in3 |
|
|
|
|
|
286,772 |
|
|
2,281,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,568,459 |
|
Transfers out3 |
|
|
|
|
|
|
|
|
(4,671,418 |
) |
|
(6,270 |
) |
|
|
|
|
(49,437 |
) |
|
|
|
|
(4,727,125 |
) |
Balance, as of August 31, 2011 |
|
$ |
3,390,998 |
|
$ |
8,408,570 |
|
$ |
14,224,136 |
|
$ |
3,097,694 |
|
$ |
985,270 |
|
$ |
355,505 |
|
|
|
|
$ |
30,462,173 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $(1,271,135). |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
||
44 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Auto Components 0.2% |
|
|
|
|
|
|
|
Dana Holding Corp. (a) |
|
|
58,550 |
|
$ |
746,513 |
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
E*Trade Financial Corp. (a) |
|
|
46,400 |
|
|
573,504 |
|
Chemicals 0.0% |
|
|
|
|
|
|
|
Wellman Holdings, Inc. |
|
|
441 |
|
|
1,433 |
|
Wellman, Inc. (acquired 1/30/09, cost $485) (b) |
|
|
2,175 |
|
|
7,069 |
|
|
|
|
|
|
|
8,502 |
|
Communications Equipment 0.5% |
|
|
|
|
|
|
|
Loral Space & Communications Ltd. (a) |
|
|
36,431 |
|
|
2,061,630 |
|
Diversified Financial Services 0.8% |
|
|
|
|
|
|
|
Kcad Holdings I Ltd. |
|
|
301,118,405 |
|
|
3,398,723 |
|
Electrical Equipment 0.0% |
|
|
|
|
|
|
|
Medis Technologies Ltd. |
|
|
116,910 |
|
|
1,286 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. (a) |
|
|
1,816 |
|
|
4,540 |
|
Media 1.4% |
|
|
|
|
|
|
|
Belo Corp., Class A |
|
|
73,341 |
|
|
399,708 |
|
Charter Communications, Inc. (a) |
|
|
101,076 |
|
|
5,041,671 |
|
Clear Channel Outdoor Holdings, Inc., Class A (a) |
|
|
14,553 |
|
|
166,632 |
|
|
|
|
|
|
|
5,608,011 |
|
Metals & Mining 0.1% |
|
|
|
|
|
|
|
African Minerals Ltd. (a) |
|
|
72,301 |
|
|
601,502 |
|
Oil, Gas & Consumable Fuels 0.2% |
|
|
|
|
|
|
|
Marathon Petroleum Corp. |
|
|
16,450 |
|
|
609,637 |
|
Paper & Forest Products 0.2% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
192,951 |
|
|
394,059 |
|
Ainsworth Lumber Co. Ltd. (a)(c) |
|
|
221,591 |
|
|
452,550 |
|
Western Forest Products, Inc. (a)(c) |
|
|
78,039 |
|
|
52,594 |
|
|
|
|
|
|
|
899,203 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion, Inc., Class A (a) |
|
|
103,218 |
|
|
1,549,302 |
|
SunPower Corp., Class B (a) |
|
|
431 |
|
|
5,108 |
|
|
|
|
|
|
|
1,554,410 |
|
Software 0.1% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (a) |
|
|
787 |
|
|
4 |
|
HMH Holdings/EduMedia (a) |
|
|
141,287 |
|
|
282,574 |
|
|
|
|
|
|
|
282,578 |
|
Total Common Stocks 4.0% |
|
|
|
|
|
16,350,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc. (c): |
|
|
|
|
|
|
|
6.88%, 3/15/18 |
|
USD |
570 |
|
|
535,800 |
|
7.13%, 3/15/21 |
|
|
630 |
|
|
592,200 |
|
Kratos Defense & Security Solutions, Inc., 10.00%, |
|
|
1,144 |
|
|
1,175,460 |
|
|
|
|
|
|
|
2,303,460 |
|
Airlines 3.2% |
|
|
|
|
|
|
|
Air Canada, 9.25%, 8/01/15 (c)(d) |
|
|
1,390 |
|
|
1,334,400 |
|
American Airlines, Inc.: |
|
|
|
|
|
|
|
10.50%, 10/15/12 |
|
|
1,470 |
|
|
1,515,937 |
|
7.50%, 3/15/16 (c) |
|
|
220 |
|
|
199,100 |
|
Series 2001-2, 7.86%, 4/01/13 |
|
|
510 |
|
|
510,000 |
|
Series 2011-1-B, 7.00%, 1/31/18 (c) |
|
|
626 |
|
|
538,223 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Airlines (concluded) |
|
|
|
|
|
|
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
6.75%, 9/15/15 (c) |
|
USD |
900 |
|
$ |
877,500 |
|
Series 1997-4-B, 6.90%, 7/02/18 |
|
|
1,132 |
|
|
1,114,651 |
|
Series 2010-1-B, 6.00%, 1/12/19 |
|
|
700 |
|
|
647,500 |
|
Delta Air Lines, Inc.: |
|
|
|
|
|
|
|
Series 2010-1-B, 6.38%, 7/02/17 |
|
|
900 |
|
|
810,000 |
|
Series B, 9.75%, 12/17/16 |
|
|
1,113 |
|
|
1,141,026 |
|
US Airways Pass-Through Trust, 10.88%, 10/22/14 |
|
|
1,070 |
|
|
1,043,250 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
3,064 |
|
|
3,201,974 |
|
|
|
|
|
|
|
12,933,561 |
|
Auto Components 2.1% |
|
|
|
|
|
|
|
Allison Transmission, Inc., 11.00%, 11/01/15 (c) |
|
|
360 |
|
|
378,900 |
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c) |
|
|
325 |
|
|
302,250 |
|
Delphi Corp., 6.13%, 5/15/21 (c) |
|
|
260 |
|
|
250,900 |
|
Ford Motor Co., 7.45%, 7/16/31 |
|
|
1,150 |
|
|
1,260,829 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
5,060 |
|
|
5,110,600 |
|
International Automotive Components Group, SL, |
|
|
410 |
|
|
402,825 |
|
Titan International, Inc., 7.88%, 10/01/17 |
|
|
720 |
|
|
756,000 |
|
|
|
|
|
|
|
8,462,304 |
|
Beverages 0.2% |
|
|
|
|
|
|
|
Cott Beverages, Inc., 8.13%, 9/01/18 |
|
|
413 |
|
|
427,455 |
|
Crown European Holdings SA, 7.13%, 8/15/18 (c) |
|
EUR |
380 |
|
|
526,765 |
|
|
|
|
|
|
|
954,220 |
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (c) |
|
USD |
529 |
|
|
538,128 |
|
Building Products 1.3% |
|
|
|
|
|
|
|
Building Materials Corp. of America (c): |
|
|
|
|
|
|
|
7.00%, 2/15/20 |
|
|
700 |
|
|
700,000 |
|
6.75%, 5/01/21 |
|
|
1,950 |
|
|
1,867,125 |
|
Griffon Corp., 7.13%, 4/01/18 |
|
|
660 |
|
|
623,700 |
|
Momentive Performance Materials, Inc.: |
|
|
|
|
|
|
|
11.50%, 12/01/16 |
|
|
740 |
|
|
732,600 |
|
9.00%, 1/15/21 |
|
|
1,535 |
|
|
1,312,425 |
|
|
|
|
|
|
|
5,235,850 |
|
Capital Markets 1.0% |
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, 12/31/13 (e) |
|
|
780 |
|
|
774,524 |
|
E*Trade Financial Corp. (c): |
|
|
|
|
|
|
|
12.50%, 11/30/17 (f) |
|
|
1,360 |
|
|
1,564,000 |
|
3.43%, 8/31/19 (g)(h) |
|
|
380 |
|
|
454,100 |
|
KKR Group Finance Co., 6.38%, 9/29/20 (c) |
|
|
1,020 |
|
|
1,085,233 |
|
|
|
|
|
|
|
3,877,857 |
|
Chemicals 3.7% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
1,400 |
|
|
1,375,500 |
|
American Rock Salt Co. LLC, 8.25%, 5/01/18 (c) |
|
|
213 |
|
|
197,558 |
|
Celanese US Holdings LLC, 5.88%, 6/15/21 |
|
|
1,525 |
|
|
1,528,812 |
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
585 |
|
|
601,088 |
|
Hexion US Finance Corp.: |
|
|
|
|
|
|
|
8.88%, 2/01/18 |
|
|
770 |
|
|
719,950 |
|
9.00%, 11/15/20 |
|
|
485 |
|
|
423,163 |
|
Huntsman International LLC: |
|
|
|
|
|
|
|
6.88%, 11/15/13 (c) |
|
EUR |
440 |
|
|
625,740 |
|
8.63%, 3/15/21 |
|
USD |
265 |
|
|
276,594 |
|
Ineos Finance Plc, 9.00%, 5/15/15 (c) |
|
|
655 |
|
|
663,187 |
|
Kinove German Bondco GmbH, 10.00%, 6/15/18 |
|
EUR |
902 |
|
|
1,224,459 |
|
Kraton Polymers LLC, 6.75%, 3/01/19 |
|
USD |
195 |
|
|
187,200 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
|
1,890 |
|
|
2,109,712 |
|
Nexeo Solutions LLC, 8.38%, 3/01/18 (c) |
|
|
290 |
|
|
299,425 |
|
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (c) |
|
|
897 |
|
|
888,030 |
|
Omnova Solutions, Inc., 7.88%, 11/01/18 |
|
|
845 |
|
|
741,487 |
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
335 |
|
|
345,050 |
|
TPC Group LLC, 8.25%, 10/01/17 (c) |
|
|
520 |
|
|
533,000 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
45 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Chemicals (concluded) |
|
|
|
|
|
|
|
Wellman Holdings, Inc., Subordinate Note (h): |
|
|
|
|
|
|
|
(Second Lien), 10.00%, 1/29/19 |
|
USD |
1,450 |
|
$ |
2,015,500 |
|
(Third Lien), 5.00%, 1/29/19 (f) |
|
|
500 |
|
|
354,972 |
|
|
|
|
|
|
|
15,110,427 |
|
Commercial Banks 2.4% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
920 |
|
|
915,400 |
|
7.00%, 5/01/16 |
|
|
2,575 |
|
|
2,562,125 |
|
7.00%, 5/01/17 |
|
|
5,474 |
|
|
5,405,575 |
|
7.00%, 5/02/17 (c) |
|
|
860 |
|
|
849,250 |
|
|
|
|
|
|
|
9,732,350 |
|
Commercial Services & Supplies 2.0% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
|
1,170 |
|
|
1,279,687 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (c) |
|
|
168 |
|
|
161,688 |
|
Aviation Capital Group Corp., 6.75%, 4/06/21 (c) |
|
|
840 |
|
|
828,895 |
|
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c) |
|
|
815 |
|
|
768,138 |
|
Casella Waste Systems, Inc., 7.75%, 2/15/19 (c) |
|
|
1,016 |
|
|
977,900 |
|
Clean Harbors, Inc., 7.63%, 8/15/16 |
|
|
590 |
|
|
623,925 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
570 |
|
|
554,325 |
|
RSC Equipment Rental, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/17 (c) |
|
|
935 |
|
|
1,005,125 |
|
8.25%, 2/01/21 |
|
|
1,348 |
|
|
1,257,010 |
|
WCA Waste Corp., 7.50%, 6/15/19 (c) |
|
|
520 |
|
|
520,000 |
|
West Corp., 8.63%, 10/01/18 |
|
|
210 |
|
|
204,750 |
|
|
|
|
|
|
|
8,181,443 |
|
Communications Equipment 0.8% |
|
|
|
|
|
|
|
Avaya, Inc.: |
|
|
|
|
|
|
|
9.75%, 11/01/15 |
|
|
750 |
|
|
637,500 |
|
10.13%, 11/01/15 (f) |
|
|
1,000 |
|
|
863,750 |
|
7.00%, 4/01/19 (c) |
|
|
810 |
|
|
729,000 |
|
EH Holding Corp. (c): |
|
|
|
|
|
|
|
6.50%, 6/15/19 |
|
|
580 |
|
|
580,000 |
|
7.63%, 6/15/21 |
|
|
420 |
|
|
417,900 |
|
|
|
|
|
|
|
3,228,150 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
200 |
|
|
268,626 |
|
Boart Longyear Management Ltd., 7.00%, |
|
USD |
300 |
|
|
297,750 |
|
|
|
|
|
|
|
566,376 |
|
Construction Materials 0.3% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (c) |
|
|
520 |
|
|
492,700 |
|
Xefin Lux SCA, 8.00%, 6/01/18 (c) |
|
EUR |
393 |
|
|
519,381 |
|
|
|
|
|
|
|
1,012,081 |
|
Consumer Finance 1.2% |
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 |
|
USD |
1,080 |
|
|
1,093,500 |
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (i) |
|
|
340 |
|
|
340,007 |
|
7.80%, 6/01/12 |
|
|
300 |
|
|
309,007 |
|
7.00%, 4/15/15 |
|
|
2,790 |
|
|
2,978,325 |
|
6.63%, 8/15/17 |
|
|
185 |
|
|
193,675 |
|
|
|
|
|
|
|
4,914,514 |
|
Containers & Packaging 1.2% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
680 |
|
|
915,769 |
|
Berry Plastics Corp., 8.25%, 11/15/15 |
|
USD |
215 |
|
|
221,450 |
|
GCL Holdings SCA, 9.38%, 4/15/18 (c) |
|
EUR |
414 |
|
|
520,373 |
|
Graphic Packaging International, Inc., 7.88%, |
|
USD |
580 |
|
|
609,000 |
|
OI European Group BV, 6.88%, 3/31/17 |
|
EUR |
254 |
|
|
346,628 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
650 |
|
|
598,000 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Containers & Packaging (concluded) |
|
|
|
|
|
|
|
Rock-Tenn Co., 9.25%, 3/15/16 |
|
USD |
85 |
|
$ |
89,250 |
|
Smurfit Kappa Acquisitions (c): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
785 |
|
|
1,082,547 |
|
7.75%, 11/15/19 |
|
|
449 |
|
|
615,964 |
|
|
|
|
|
|
|
4,998,981 |
|
Diversified Consumer Services 1.2% |
|
|
|
|
|
|
|
Service Corp. International, 7.00%, 6/15/17 |
|
USD |
4,775 |
|
|
4,989,875 |
|
Diversified Financial Services 5.6% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
7.50%, 12/31/13 |
|
|
700 |
|
|
721,000 |
|
8.30%, 2/12/15 |
|
|
950 |
|
|
997,500 |
|
6.25%, 12/01/17 |
|
|
820 |
|
|
788,771 |
|
8.00%, 3/15/20 |
|
|
550 |
|
|
555,500 |
|
7.50%, 9/15/20 |
|
|
1,050 |
|
|
1,031,625 |
|
8.00%, 11/01/31 |
|
|
2,240 |
|
|
2,189,600 |
|
8.00%, 11/01/31 |
|
|
1,370 |
|
|
1,317,845 |
|
Axcan Intermediate Holdings, Inc., 12.75%, |
|
|
695 |
|
|
724,538 |
|
Boparan Holdings Ltd. (c): |
|
|
|
|
|
|
|
9.75%, 4/30/18 |
|
EUR |
166 |
|
|
183,637 |
|
9.88%, 4/30/18 |
|
GBP |
225 |
|
|
295,846 |
|
FCE Bank Plc: |
|
|
|
|
|
|
|
7.13%, 1/15/13 |
|
EUR |
1,450 |
|
|
2,088,134 |
|
4.75%, 1/19/15 |
|
|
573 |
|
|
749,035 |
|
General Motors Financial Co., Inc., 6.75%, |
|
USD |
760 |
|
|
756,200 |
|
KION Finance SA, 7.88%, |
|
EUR |
251 |
|
|
299,266 |
|
Leucadia National Corp., 8.13%, 9/15/15 |
|
USD |
1,870 |
|
|
2,007,912 |
|
Reynolds Group DL Escrow, Inc., 8.50%, |
|
|
1,041 |
|
|
1,064,422 |
|
Reynolds Group Issuer, Inc. (c): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (j) |
|
EUR |
600 |
|
|
836,044 |
|
8.75%, 10/15/16 |
|
|
668 |
|
|
930,795 |
|
7.13%, 4/15/19 |
|
USD |
385 |
|
|
364,788 |
|
9.00%, 4/15/19 |
|
|
415 |
|
|
373,500 |
|
7.88%, 8/15/19 |
|
|
1,645 |
|
|
1,628,550 |
|
9.88%, 8/15/19 |
|
|
695 |
|
|
653,300 |
|
8.25%, 2/15/21 |
|
|
1,145 |
|
|
964,662 |
|
WMG Acquisition Corp. (c): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
190 |
|
|
193,800 |
|
11.50%, 10/01/18 |
|
|
910 |
|
|
828,100 |
|
|
|
|
|
|
|
22,544,370 |
|
Diversified Telecommunication Services 4.5% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., 11.38%, |
|
|
1,680 |
|
|
1,444,800 |
|
GCI, Inc., 6.75%, 6/01/21 |
|
|
444 |
|
|
437,340 |
|
ITC Deltacom, Inc., 10.50%, 4/01/16 |
|
|
440 |
|
|
451,000 |
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (c) |
|
|
4,187 |
|
|
3,977,650 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
9.25%, 11/01/14 |
|
|
129 |
|
|
130,613 |
|
8.75%, 2/15/17 |
|
|
865 |
|
|
847,700 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
4,200 |
|
|
4,252,500 |
|
8.00%, 10/01/15 |
|
|
1,010 |
|
|
1,078,175 |
|
Series B, 7.50%, 2/15/14 |
|
|
2,690 |
|
|
2,723,625 |
|
Qwest Corp., 7.63%, 6/15/15 |
|
|
875 |
|
|
973,437 |
|
Windstream Corp.: |
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
703 |
|
|
746,938 |
|
7.88%, 11/01/17 |
|
|
1,197 |
|
|
1,258,346 |
|
|
|
|
|
|
|
18,322,124 |
|
Electric Utilities 0.6% |
|
|
|
|
|
|
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
1,800 |
|
|
2,210,775 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
46 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC: |
|
|
|
|
|
|
|
11.00%, 10/12/15 |
|
USD |
17 |
|
$ |
17,340 |
|
11.50%, 10/12/15 (f) |
|
|
1,030 |
|
|
1,050,600 |
|
8.00%, 12/15/18 (c) |
|
|
650 |
|
|
643,500 |
|
Elster Finance BV, 6.25%, 4/15/18 (c) |
|
EUR |
173 |
|
|
228,630 |
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
USD |
365 |
|
|
411,537 |
|
|
|
|
|
|
|
2,351,607 |
|
Energy Equipment & Services 1.6% |
|
|
|
|
|
|
|
Antero Resources Finance Corp., 7.25%, |
|
|
260 |
|
|
252,850 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (c) |
|
|
380 |
|
|
368,600 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
395 |
|
|
396,975 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (c) |
|
|
685 |
|
|
664,450 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (c) |
|
|
1,770 |
|
|
1,831,950 |
|
Key Energy Services, Inc., 6.75%, 3/01/21 |
|
|
700 |
|
|
686,000 |
|
MEG Energy Corp., 6.50%, 3/15/21 (c) |
|
|
905 |
|
|
905,000 |
|
Oil States International, Inc., 6.50%, 6/01/19 (c) |
|
|
495 |
|
|
495,000 |
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (c) |
|
|
345 |
|
|
338,962 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
580 |
|
|
609,000 |
|
|
|
|
|
|
|
6,548,787 |
|
Food Products 0.5% |
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, 12/15/18 |
|
|
375 |
|
|
405,938 |
|
Del Monte Foods Co., 7.63%, 2/15/19 (c) |
|
|
875 |
|
|
868,437 |
|
JBS USA LLC, 7.25%, 6/01/21 (c) |
|
|
140 |
|
|
127,225 |
|
Reddy Ice Corp., 11.25%, 3/15/15 |
|
|
690 |
|
|
626,175 |
|
|
|
|
|
|
|
2,027,775 |
|
Health Care Equipment & Supplies 1.4% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
3,595 |
|
|
3,716,331 |
|
7.75%, 4/15/18 (c) |
|
|
160 |
|
|
148,800 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (c) |
|
|
436 |
|
|
410,930 |
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c) |
|
|
850 |
|
|
947,750 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
455 |
|
|
451,588 |
|
|
|
|
|
|
|
5,675,399 |
|
Health Care Providers & Services 5.8% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
640 |
|
|
636,800 |
|
ConvaTec Healthcare E SA (c): |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
800 |
|
|
1,034,281 |
|
10.50%, 12/15/18 |
|
USD |
340 |
|
|
309,400 |
|
Crown Newco 3 Plc, 7.00%, 2/15/18 (c) |
|
GBP |
575 |
|
|
840,063 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
USD |
470 |
|
|
512,300 |
|
6.50%, 2/15/20 |
|
|
1,915 |
|
|
1,936,544 |
|
7.25%, 9/15/20 |
|
|
4,505 |
|
|
4,628,887 |
|
7.50%, 2/15/22 |
|
|
1,990 |
|
|
1,970,100 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (c) |
|
|
1,170 |
|
|
1,023,750 |
|
INC Research LLC, 11.50%, 7/15/19 (c) |
|
|
640 |
|
|
592,000 |
|
inVentiv Health, Inc., 10.00%, 8/15/18 (c) |
|
|
675 |
|
|
609,187 |
|
Omnicare, Inc.: |
|
|
|
|
|
|
|
6.13%, 6/01/13 |
|
|
19 |
|
|
19,190 |
|
6.88%, 12/15/15 |
|
|
129 |
|
|
131,580 |
|
7.75%, 6/01/20 |
|
|
980 |
|
|
999,600 |
|
Symbion, Inc., 8.00%, 6/15/16 (c) |
|
|
535 |
|
|
497,550 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
2,715 |
|
|
2,877,900 |
|
10.00%, 5/01/18 |
|
|
1,270 |
|
|
1,397,000 |
|
8.88%, 7/01/19 |
|
|
3,360 |
|
|
3,561,600 |
|
|
|
|
|
|
|
23,577,732 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Health Care Technology 1.3% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (c) |
|
USD |
3,760 |
|
$ |
4,324,000 |
|
MedAssets, Inc., 8.00%, 11/15/18 (c) |
|
|
820 |
|
|
791,300 |
|
|
|
|
|
|
|
5,115,300 |
|
Hotels, Restaurants & Leisure 1.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., 11.25%, |
|
|
320 |
|
|
344,800 |
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 |
|
EUR |
81 |
|
|
101,230 |
|
Diamond Resorts Corp., 12.00%, 8/15/18 |
|
USD |
1,860 |
|
|
1,804,200 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (c) |
|
|
275 |
|
|
234,437 |
|
Enterprise Inns Plc, 6.50%, 12/06/18 |
|
GBP |
501 |
|
|
618,088 |
|
Little Traverse Bay Bands of Odawa Indians, 9.00%, |
|
USD |
441 |
|
|
366,030 |
|
MGM Resorts International: |
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
415 |
|
|
455,462 |
|
11.13%, 11/15/17 |
|
|
1,310 |
|
|
1,460,650 |
|
Travelport LLC: |
|
|
|
|
|
|
|
4.88%, 9/01/14 (i) |
|
|
235 |
|
|
179,188 |
|
9.88%, 9/01/14 |
|
|
50 |
|
|
42,625 |
|
9.00%, 3/01/16 |
|
|
190 |
|
|
152,475 |
|
Tropicana Entertainment LLC, Series WI, 9.63%, |
|
|
515 |
|
|
52 |
|
|
|
|
|
|
|
5,759,237 |
|
Household Durables 2.5% |
|
|
|
|
|
|
|
American Standard Americas, 10.75%, 1/15/16 (c) |
|
|
630 |
|
|
510,300 |
|
Ashton Woods USA LLC, 0.00%, 6/30/15 (c)(j) |
|
|
1,360 |
|
|
975,800 |
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
495 |
|
|
348,975 |
|
12.00%, 10/15/17 |
|
|
2,080 |
|
|
2,111,200 |
|
9.13%, 6/15/18 |
|
|
845 |
|
|
586,219 |
|
Ideal Standard International, 11.75%, 5/01/18 (c) |
|
EUR |
128 |
|
|
141,582 |
|
Jarden Corp., 7.50%, 1/15/20 |
|
|
455 |
|
|
617,659 |
|
Ryland Group, Inc., 6.63%, 5/01/20 |
|
USD |
930 |
|
|
799,800 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
2,355 |
|
|
2,331,450 |
|
8.38%, 5/15/18 |
|
|
405 |
|
|
355,387 |
|
8.38%, 1/15/21 |
|
|
905 |
|
|
778,300 |
|
United Rentals North America, Inc., 8.38%, |
|
|
670 |
|
|
611,375 |
|
|
|
|
|
|
|
10,168,047 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (c) |
|
EUR |
220 |
|
|
282,847 |
|
IT Services 1.9% |
|
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c) |
|
USD |
1,120 |
|
|
1,030,400 |
|
First Data Corp. (c): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
1,355 |
|
|
1,273,700 |
|
8.88%, 8/15/20 |
|
|
830 |
|
|
821,700 |
|
12.63%, 1/15/21 |
|
|
3,095 |
|
|
2,924,775 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
910 |
|
|
866,775 |
|
7.63%, 11/15/20 |
|
|
930 |
|
|
888,150 |
|
|
|
|
|
|
|
7,805,500 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (c) |
|
|
1,325 |
|
|
1,338,250 |
|
Calpine Corp. (c): |
|
|
|
|
|
|
|
7.50%, 2/15/21 |
|
|
305 |
|
|
308,050 |
|
7.88%, 1/15/23 |
|
|
995 |
|
|
1,014,900 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
5,200 |
|
|
5,220,129 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
271 |
|
|
273,404 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (c) |
|
|
3,360 |
|
|
3,326,400 |
|
|
|
|
|
|
|
11,481,133 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
47 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Industrial Conglomerates 2.6% |
|
|
|
|
|
|
|
Alba Group Plc & Co., KG, 8.00%, 5/15/18 (c) |
|
EUR |
107 |
|
$ |
149,863 |
|
Sequa Corp. (c): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
USD |
3,810 |
|
|
3,962,400 |
|
13.50%, 12/01/15 (f) |
|
|
6,236 |
|
|
6,610,279 |
|
|
|
|
|
|
|
10,722,542 |
|
Insurance 1.3% |
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, 5/01/15 (c) |
|
|
2,600 |
|
|
2,665,000 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (c) |
|
|
573 |
|
|
595,920 |
|
Genworth Financial, Inc., 7.63%, 9/24/21 |
|
|
660 |
|
|
585,769 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) |
|
|
395 |
|
|
379,200 |
|
USI Holdings Corp., 4.16%, 11/15/14 (c)(i) |
|
|
1,070 |
|
|
957,650 |
|
|
|
|
|
|
|
5,183,539 |
|
Machinery 1.3% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
1,650 |
|
|
1,445,812 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (h) |
|
|
3,060 |
|
|
3,377,475 |
|
8.25%, 11/01/21 |
|
|
210 |
|
|
217,350 |
|
Oshkosh Corp., 8.25%, 3/01/17 |
|
|
50 |
|
|
51,375 |
|
SPX Corp., 6.88%, 9/01/17 |
|
|
275 |
|
|
286,688 |
|
|
|
|
|
|
|
5,378,700 |
|
Media 14.9% |
|
|
|
|
|
|
|
AMC Entertainment, Inc., 9.75%, 12/01/20 |
|
|
275 |
|
|
265,375 |
|
AMC Networks, Inc., 7.75%, 7/15/21 (c) |
|
|
350 |
|
|
362,250 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
1,260 |
|
|
1,115,100 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
5,116 |
|
|
5,909,426 |
|
CCO Holdings LLC: |
|
|
|
|
|
|
|
7.25%, 10/30/17 |
|
|
80 |
|
|
82,500 |
|
7.88%, 4/30/18 |
|
|
160 |
|
|
166,400 |
|
6.50%, 4/30/21 |
|
|
1,215 |
|
|
1,187,662 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 |
|
|
254 |
|
|
241,300 |
|
CSC Holdings, Inc., 8.50%, 4/15/14 |
|
|
550 |
|
|
595,375 |
|
Catalina Marketing Corp., 10.50%, 10/01/15 (c)(f) |
|
|
935 |
|
|
935,000 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
995 |
|
|
766,150 |
|
Checkout Holding Corp., 10.97%, 11/15/15 (c)(g) |
|
|
1,040 |
|
|
613,600 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (c) |
|
|
595 |
|
|
641,113 |
|
Clear Channel Communications, Inc., 9.00%, |
|
|
845 |
|
|
680,225 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
2,368 |
|
|
2,510,080 |
|
Series B, 9.25%, 12/15/17 |
|
|
9,351 |
|
|
10,005,570 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
1,039 |
|
|
1,072,627 |
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
1,188 |
|
|
1,226,321 |
|
Shares Loan, 12.00%, 8/15/18 |
|
|
1,225 |
|
|
1,264,768 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (c) |
|
|
205 |
|
|
179,888 |
|
DISH DBS Corp.: |
|
|
|
|
|
|
|
7.00%, 10/01/13 |
|
|
150 |
|
|
157,313 |
|
6.75%, 6/01/21 (c) |
|
|
850 |
|
|
856,375 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
1,425 |
|
|
1,375,125 |
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
6.00%, 5/15/15 (i) |
|
|
550 |
|
|
409,750 |
|
9.50%, 5/15/15 |
|
|
490 |
|
|
399,350 |
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
1,700 |
|
|
1,776,500 |
|
11.25%, 2/04/17 |
|
|
540 |
|
|
523,800 |
|
11.50%, 2/04/17 (f) |
|
|
590 |
|
|
573,038 |
|
11.50%, 2/04/17 (c)(f) |
|
|
1,450 |
|
|
1,408,312 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
1,600 |
|
|
1,696,000 |
|
The Interpublic Group of Cos., Inc., 10.00%, |
|
|
525 |
|
|
603,750 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
1,037 |
|
|
1,459,858 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Kabel Deutschland Vertrieb und Service GmbH & |
|
EUR |
530 |
|
$ |
745,435 |
|
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c) |
|
USD |
1,170 |
|
|
1,126,125 |
|
Musketeer GmbH, 9.50%, 3/15/21 (c) |
|
EUR |
655 |
|
|
940,908 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
USD |
865 |
|
|
873,650 |
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
147 |
|
|
166,478 |
|
7.75%, 10/15/18 |
|
|
3,425 |
|
|
3,536,312 |
|
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c) |
|
GBP |
324 |
|
|
481,244 |
|
ProQuest LLC, 9.00%, 10/15/18 (c) |
|
USD |
775 |
|
|
759,500 |
|
Regal Entertainment Group, 9.13%, 8/15/18 |
|
|
610 |
|
|
616,100 |
|
UPC Holding BV, 9.88%, 4/15/18 (c) |
|
|
800 |
|
|
836,000 |
|
UPCB Finance II Ltd., 6.38%, 7/01/20 (c) |
|
EUR |
1,273 |
|
|
1,627,512 |
|
Unitymedia GmbH, 9.63%, |
|
|
1,144 |
|
|
1,655,682 |
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC |
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
821 |
|
|
1,185,264 |
|
8.13%, 12/01/17 |
|
USD |
885 |
|
|
902,700 |
|
Virgin Media Secured Finance Plc, 7.00%, 1/15/18 |
|
GBP |
910 |
|
|
1,528,905 |
|
Ziggo Bond Co. BV, 8.00%, 5/15/18 (c) |
|
EUR |
610 |
|
|
858,740 |
|
Ziggo Finance BV, 6.13%, 11/15/17 (c) |
|
|
1,240 |
|
|
1,736,730 |
|
|
|
|
|
|
|
60,637,186 |
|
Metals & Mining 4.2% |
|
|
|
|
|
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (c) |
|
USD |
395 |
|
|
403,888 |
|
7.38%, 2/15/16 |
|
|
320 |
|
|
324,800 |
|
FMG Resources August 2006 Property Ltd., |
|
|
1,925 |
|
|
1,920,188 |
|
Goldcorp, Inc., 2.00%, 8/01/14 (h) |
|
|
1,650 |
|
|
2,171,812 |
|
JMC Steel Group, 8.25%, 3/15/18 (c) |
|
|
310 |
|
|
303,025 |
|
James River Escrow, Inc., 7.88%, 4/01/19 (c) |
|
|
325 |
|
|
294,125 |
|
New World Resources NV, 7.88%, 5/01/18 |
|
EUR |
1,055 |
|
|
1,447,311 |
|
Newmont Mining Corp., Series A, 1.25%, |
|
USD |
2,275 |
|
|
3,304,437 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
5,470 |
|
|
5,757,175 |
|
Taseko Mines Ltd., 7.75%, 4/15/19 |
|
|
510 |
|
|
483,225 |
|
Vedanta Resources Plc, 8.25%, 6/07/21 (c) |
|
|
435 |
|
|
415,425 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
249 |
|
|
245,243 |
|
|
|
|
|
|
|
17,070,654 |
|
Multiline Retail 1.8% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (f) |
|
|
6,753 |
|
|
7,478,947 |
|
Oil, Gas & Consumable Fuels 9.8% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
495 |
|
|
483,863 |
|
6.25%, 6/01/21 |
|
|
1,555 |
|
|
1,521,956 |
|
Arch Coal, Inc.: |
|
|
|
|
|
|
|
7.25%, 10/01/20 |
|
|
525 |
|
|
517,125 |
|
7.25%, 6/15/21 (c) |
|
|
1,330 |
|
|
1,310,050 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
800 |
|
|
826,000 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
70 |
|
|
76,825 |
|
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 |
|
|
200 |
|
|
204,000 |
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
1,477 |
|
|
1,543,465 |
|
6.13%, 2/15/21 |
|
|
850 |
|
|
862,750 |
|
2.25%, 12/15/38 (h) |
|
|
1,250 |
|
|
1,112,500 |
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (c) |
|
|
414 |
|
|
438,840 |
|
Concho Resources, Inc., 7.00%, 1/15/21 |
|
|
635 |
|
|
650,875 |
|
Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (c) |
|
|
525 |
|
|
425,250 |
|
Consol Energy, Inc., 8.25%, 4/01/20 |
|
|
3,050 |
|
|
3,278,750 |
|
Continental Resources, Inc., 7.13%, 4/01/21 |
|
|
575 |
|
|
592,250 |
|
Copano Energy LLC, 7.13%, 4/01/21 |
|
|
520 |
|
|
517,400 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
280 |
|
|
289,800 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
48 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
USD |
1,095 |
|
$ |
1,153,856 |
|
6.38%, 8/15/21 |
|
|
540 |
|
|
529,200 |
|
EV Energy Partners LP, 8.00%, 4/15/19 (c) |
|
|
220 |
|
|
215,600 |
|
Energy XXI Gulf Coast, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
660 |
|
|
676,500 |
|
7.75%, 6/15/19 |
|
|
1,390 |
|
|
1,306,600 |
|
Forbes Energy Services Ltd., 9.00%, 6/15/19 (c) |
|
|
555 |
|
|
528,638 |
|
Hilcorp Energy I LP, 7.63%, 4/15/21 (c) |
|
|
1,200 |
|
|
1,212,000 |
|
Linn Energy LLC: |
|
|
|
|
|
|
|
6.50%, 5/15/19 (c) |
|
|
385 |
|
|
367,675 |
|
8.63%, 4/15/20 |
|
|
1,715 |
|
|
1,835,050 |
|
7.75%, 2/01/21 (c) |
|
|
675 |
|
|
688,500 |
|
MarkWest Energy Partners LP, 6.75%, 11/01/20 |
|
|
205 |
|
|
210,125 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
2,890 |
|
|
2,918,900 |
|
OGX Petroleo e Gas Participações SA, 8.50%, |
|
|
6,315 |
|
|
6,330,787 |
|
Oasis Petroleum, Inc., 7.25%, 2/01/19 (c) |
|
|
510 |
|
|
499,800 |
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
595 |
|
|
672,350 |
|
7.88%, 6/01/15 |
|
|
680 |
|
|
734,400 |
|
7.25%, 8/15/18 |
|
|
495 |
|
|
577,294 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
160 |
|
|
173,307 |
|
Precision Drilling Corp., 6.50%, 12/15/21 (c) |
|
|
460 |
|
|
460,000 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
700 |
|
|
761,250 |
|
5.75%, 6/01/21 |
|
|
525 |
|
|
527,625 |
|
SM Energy Co., 6.63%, 2/15/19 (c) |
|
|
445 |
|
|
445,000 |
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (c) |
|
|
1,435 |
|
|
1,399,125 |
|
Teekay Corp., 8.50%, 1/15/20 |
|
|
860 |
|
|
836,350 |
|
|
|
|
|
|
|
39,711,631 |
|
Paper & Forest Products 2.8% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(f) |
|
|
1,880 |
|
|
1,316,272 |
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
200 |
|
|
212,500 |
|
8.00%, 4/01/20 |
|
|
240 |
|
|
245,400 |
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
625 |
|
|
684,375 |
|
7.13%, 11/01/18 |
|
|
885 |
|
|
889,425 |
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (c) |
|
|
2,570 |
|
|
2,934,961 |
|
Longview Fibre Paper & Packaging, Inc., 8.00%, |
|
|
535 |
|
|
529,650 |
|
NewPage Corp., 11.38%, 12/31/14 (a)(k) |
|
|
3,350 |
|
|
2,948,000 |
|
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c) |
|
|
200 |
|
|
178,000 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
1,202 |
|
|
1,274,120 |
|
|
|
|
|
|
|
11,212,703 |
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c) |
|
EUR |
300 |
|
|
413,712 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
285 |
|
|
288,563 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
1,310 |
|
|
1,244,500 |
|
|
|
|
|
|
|
1,946,775 |
|
Professional Services 0.4% |
|
|
|
|
|
|
|
FTI Consulting, Inc., 6.75%, 10/01/20 |
|
|
1,450 |
|
|
1,430,063 |
|
Real Estate Investment Trusts (REITs) 0.7% |
|
|
|
|
|
|
|
FelCor Lodging LP, 6.75%, 6/01/19 (c) |
|
|
2,170 |
|
|
2,039,800 |
|
The Rouse Co. LP, 6.75%, 11/09/15 |
|
|
805 |
|
|
815,063 |
|
|
|
|
|
|
|
2,854,863 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Real Estate Management & Development 2.2% |
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 6.63%, 10/15/20 |
|
USD |
520 |
|
$ |
508,300 |
|
Forest City Enterprises, Inc., 7.63%, 6/01/15 |
|
|
2,300 |
|
|
2,213,750 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
11.50%, 4/15/17 (j) |
|
|
1,540 |
|
|
1,224,300 |
|
12.00%, 4/15/17 (j) |
|
|
155 |
|
|
124,000 |
|
7.88%, 2/15/19 (c) |
|
|
4,000 |
|
|
3,320,000 |
|
Shea Homes LP, 8.63%, 5/15/19 (c) |
|
|
1,685 |
|
|
1,423,825 |
|
|
|
|
|
|
|
8,814,175 |
|
Road & Rail 2.0% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC: |
|
|
|
|
|
|
|
9.63%, 3/15/18 |
|
|
800 |
|
|
818,000 |
|
8.25%, 1/15/19 |
|
|
1,205 |
|
|
1,165,838 |
|
Florida East Coast Railway Corp., 8.13%, 2/01/17 (c) |
|
|
650 |
|
|
646,750 |
|
The Hertz Corp. (c): |
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
|
1,005 |
|
|
984,900 |
|
6.75%, 4/15/19 |
|
|
695 |
|
|
648,088 |
|
7.38%, 1/15/21 |
|
|
765 |
|
|
730,575 |
|
Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (c) |
|
EUR |
2,250 |
|
|
3,167,484 |
|
|
|
|
|
|
|
8,161,635 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (c) |
|
USD |
890 |
|
|
890,000 |
|
Specialty Retail 2.2% |
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., 8.38%, 11/15/20 |
|
|
565 |
|
|
555,112 |
|
Hillman Group, Inc., 10.88%, 6/01/18 |
|
|
830 |
|
|
838,300 |
|
House of Fraser Plc, 8.88%, 8/15/18 (c) |
|
GBP |
439 |
|
|
605,749 |
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
USD |
1,255 |
|
|
1,413,444 |
|
Phones4u Finance Plc, 9.50%, 4/01/18 (c) |
|
GBP |
570 |
|
|
712,466 |
|
QVC, Inc. (c): |
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
USD |
355 |
|
|
370,975 |
|
7.50%, 10/01/19 |
|
|
970 |
|
|
1,045,175 |
|
7.38%, 10/15/20 |
|
|
325 |
|
|
349,375 |
|
Sonic Automotive, Inc., 9.00%, 3/15/18 |
|
|
580 |
|
|
588,700 |
|
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (c) |
|
|
660 |
|
|
640,200 |
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
1,670 |
|
|
1,690,875 |
|
|
|
|
|
|
|
8,810,371 |
|
Transportation Infrastructure 0.2% |
|
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (c) |
|
|
665 |
|
|
625,100 |
|
Wireless Telecommunication Services 3.6% |
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
1,155 |
|
|
1,193,981 |
|
7.75%, 5/15/16 |
|
|
980 |
|
|
992,250 |
|
Digicel Group Ltd. (c): |
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
1,120 |
|
|
1,120,000 |
|
9.13%, 1/15/15 |
|
|
2,864 |
|
|
2,864,000 |
|
8.25%, 9/01/17 |
|
|
1,720 |
|
|
1,720,000 |
|
10.50%, 4/15/18 |
|
|
800 |
|
|
848,000 |
|
FiberTower Corp., 9.00%, 1/01/16 (f) |
|
|
518 |
|
|
323,487 |
|
iPCS, Inc., 2.38%, 5/01/13 (i) |
|
|
1,295 |
|
|
1,201,112 |
|
Intelsat Jackson Holdings SA, 7.50%, 4/01/21 (c) |
|
|
250 |
|
|
241,875 |
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
|
550 |
|
|
557,563 |
|
6.63%, 11/15/20 |
|
|
1,450 |
|
|
1,355,750 |
|
NII Capital Corp., 7.63%, 4/01/21 |
|
|
589 |
|
|
600,780 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
1,950 |
|
|
1,745,250 |
|
|
|
|
|
|
|
14,764,048 |
|
Total Corporate Bonds 102.7% |
|
|
|
|
|
416,603,142 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
49 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
Par |
|
Value |
|
||
Airlines 0.3% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan
B, |
|
USD |
1,125 |
|
$ |
1,036,879 |
|
Building Products 0.3% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
1,200 |
|
|
1,206,000 |
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
Marsico Parent Co., LLC, Term Loan, 5.31%, |
|
|
742 |
|
|
415,560 |
|
Chemicals 0.2% |
|
|
|
|
|
|
|
PQ Corp. (FKA Niagara Acquisition, Inc.), Original |
|
|
325 |
|
|
296,887 |
|
Styron Sarl, Term Loan B, 6.00%, 8/02/17 |
|
|
681 |
|
|
625,475 |
|
|
|
|
|
|
|
922,362 |
|
Commercial Services & Supplies 0.8% |
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, Term Loan B, |
|
|
811 |
|
|
780,116 |
|
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 |
|
|
975 |
|
|
968,497 |
|
Volume Services America, Inc. (FKA Centerplate), |
|
|
1,588 |
|
|
1,519,192 |
|
|
|
|
|
|
|
3,267,805 |
|
Construction & Engineering 0.8% |
|
|
|
|
|
|
|
Safway Services, LLC, Last Out Term Loan, 7.25%, |
|
|
3,250 |
|
|
3,250,000 |
|
Consumer Finance 1.8% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
7,925 |
|
|
7,340,531 |
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Delayed Draw Term Loan, 2.72%, 7/24/14 |
|
|
13 |
|
|
12,131 |
|
Term Loan, 2.73%, 7/24/14 |
|
|
132 |
|
|
121,813 |
|
|
|
|
|
|
|
133,944 |
|
Diversified Telecommunication Services 0.2% |
|
|
|
|
|
|
|
Level 3 Financing, Inc., Incremental Tranche A Term |
|
|
775 |
|
|
716,100 |
|
Electronic Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC (FKA CDW Corp.), Non-Extended Term |
|
|
185 |
|
|
173,900 |
|
Energy Equipment & Services 2.1% |
|
|
|
|
|
|
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal Co. Term Loan, 9.25%, 8/04/16 |
|
|
3,092 |
|
|
2,986,024 |
|
Gas Co. Term Loan, 9.25%, 8/04/16 |
|
|
5,658 |
|
|
5,559,313 |
|
|
|
|
|
|
|
8,545,337 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
1,300 |
|
|
1,274,000 |
|
Health Care Providers & Services 0.6% |
|
|
|
|
|
|
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, 3/02/15 |
|
|
782 |
|
|
766,519 |
|
Tranche A Term Loan, 8.50%, 3/02/15 |
|
|
606 |
|
|
593,472 |
|
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term |
|
|
1,246 |
|
|
1,175,760 |
|
|
|
|
|
|
|
2,535,751 |
|
Hotels, Restaurants & Leisure 0.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term |
|
|
576 |
|
|
495,955 |
|
Travelport LLC, (FKA Travelport, Inc.), Term Loan, |
|
|
2,105 |
|
|
1,159,659 |
|
|
|
|
|
|
|
1,655,614 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
Par |
|
Value |
|
||
Independent
Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., LLC |
|
USD |
4,876 |
|
$ |
3,579,512 |
|
Media 4.2% |
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
2,668 |
|
|
2,547,462 |
|
HMH Publishing Co., Ltd., Tranche A Term |
|
|
1,432 |
|
|
1,151,250 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
11,272 |
|
|
10,792,701 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, |
|
|
2,450 |
|
|
2,529,625 |
|
|
|
|
|
|
|
17,021,038 |
|
Multiline Retail 0.5% |
|
|
|
|
|
|
|
Hema Holding BV, Mezzanine, 9.93%, 7/05/17 |
|
EUR |
1,646 |
|
|
2,110,540 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
USD |
3,084 |
|
|
3,053,618 |
|
Paper & Forest Products 0.5% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan, with |
|
|
2,161 |
|
|
1,858,074 |
|
Pharmaceuticals 0.3% |
|
|
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 |
|
|
1,493 |
|
|
1,346,235 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), |
|
|
2,395 |
|
|
2,326,899 |
|
Real Estate Management & Development 0.3% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan C, |
|
|
198 |
|
|
162,936 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
1,173 |
|
|
965,500 |
|
|
|
|
|
|
|
1,128,436 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
194 |
|
|
168,225 |
|
Wireless Telecommunication Services 1.0% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc., PIK Term Loan B, |
|
|
3,900 |
|
|
3,919,500 |
|
Total Floating Rate Loan Interests 17.0% |
|
|
|
|
|
68,985,860 |
|
|
|
|
|
|
|
|
|
|
Other Interests (l) |
|
|
|
|
|
|
|
Auto Components 2.5% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. LLP, Class B |
|
|
1 |
|
|
10,050,300 |
|
Energy Equipment & Services 0.7% |
|
|
|
|
|
|
|
BLK HYT (Luxembourg) Investments, S.a.r.l. |
|
|
71 |
|
|
3,081,872 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets, Inc. |
|
|
950 |
|
|
10 |
|
|
|
|
See Notes to Financial Statements. |
||
|
||
|
|
|
50 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Other Interests (l) |
|
Beneficial |
|
Value |
|
||
Media 0.0% |
|
|
|
|
|
|
|
Adelphia Escrow |
|
USD |
1,300 |
|
$ |
13 |
|
Adelphia Recovery Trust (a) |
|
|
1,630 |
|
|
163 |
|
|
|
|
|
|
|
176 |
|
Total Other Interests 3.2% |
|
|
|
|
|
13,132,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, 11/15/66 (i) |
|
|
1,335 |
|
|
801,000 |
|
Total Capital Trusts 0.2% |
|
|
|
|
|
801,000 |
|
|
|||||||
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Auto Components 0.3% |
|
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)(c)(h) |
|
|
10,670 |
|
|
1,201,709 |
|
Diversified Financial Services 1.0% |
|
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (c) |
|
|
4,935 |
|
|
3,755,073 |
|
Media 0.1% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp. |
|
|
59,235 |
|
|
503,497 |
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
Fannie Mae, Series O, 7.00% (a) |
|
|
40,000 |
|
|
120,000 |
|
Freddie Mac, Series Z, 8.38% (a)(i) |
|
|
110,157 |
|
|
245,650 |
|
|
|
|
|
|
|
365,650 |
|
Total Preferred Stocks 1.5% |
|
|
|
|
|
5,825,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
Diversified Financial Services 0.7% |
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i) |
|
|
137,160 |
|
|
2,917,068 |
|
Total Trust Preferreds 0.7% |
|
|
|
|
|
2,917,068 |
|
Total Preferred Securities 2.4% |
|
|
|
|
|
9,543,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (n) |
|
|
|
|
|
|
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
HealthSouth Corp. (Expires 1/16/14) |
|
|
54,577 |
|
|
1 |
|
Hotels, Restaurants & Leisure 0.0% |
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. (Expires 4/29/14) |
|
|
802 |
|
|
8 |
|
Media 0.1% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
149,608 |
|
|
382,323 |
|
New Vision Holdings LLC (Expires 9/30/14) |
|
|
26,189 |
|
|
262 |
|
|
|
|
|
|
|
382,585 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
525 |
|
|
5 |
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
22,578 |
|
|
|
|
|
|
|
|
|
|
5 |
|
Total Warrants 0.1% |
|
|
|
|
|
382,599 |
|
Total
Long-Term Investments |
|
|
|
|
|
524,997,995 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
Value |
|
||
BlackRock Liquidity Funds, TempFund, |
|
|
941,235 |
|
$ |
941,235 |
|
Total
Short-Term Securities |
|
|
|
|
|
941,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
E*Trade Financial Corp., Strike Price USD 20.00, |
|
|
698 |
|
|
9,074 |
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike Price USD 120.00, |
|
|
222 |
|
|
49,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
Over-the-Counter Call Swaptions 0.1% |
|
|
|
|
|
|
|
Sold credit default protection on Dow Jones CDX |
|
USD |
15,000 |
|
|
150,526 |
|
Total
Options Purchased |
|
|
|
|
|
209,555 |
|
Total
Investments Before Options Written |
|
|
|
|
|
526,148,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Contracts |
|
|
|
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
E*Trade Financial Corp., Strike Price USD 13.00, |
|
|
698 |
|
|
(143,090 |
) |
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
Over-the-Counter Call Swaptions (0.1)% |
|
|
|
|
|
|
|
Bought credit default protection on Dow Jones |
|
USD |
18,025 |
|
|
(3,527 |
) |
Bought credit default protection on Dow Jones |
|
|
8,000 |
|
|
(363,484 |
) |
|
|
|
|
|
|
(367,011 |
) |
Over-the-Counter Put Swaptions (0.3)% |
|
|
|
|
|
|
|
Sold credit default protection on Dow Jones CDX |
|
|
4,700 |
|
|
(153,877 |
) |
Sold credit default protection on Dow Jones CDX |
|
|
8,000 |
|
|
(261,307 |
) |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
51 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
|
Notional |
|
value |
|
|
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Sold credit default protection on Dow Jones
CDX |
|
USD |
15,000 |
|
$ |
(582,383 |
) |
|
|
|
|
|
|
(997,567 |
) |
|
|
|
|
|
|
|
|
Total Options Written |
|
|
|
|
|
(1,507,668 |
) |
Total Investments, Net of Options Written 129.3% |
|
|
|
|
|
524,641,117 |
|
Liabilities in Excess of Other Assets (29.3)% |
|
|
|
|
|
(118,944,011 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
405,697,106 |
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
543,074,627 |
|
|
Gross unrealized appreciation |
|
$ |
18,389,778 |
|
|
Gross unrealized depreciation |
|
|
(35,315,620 |
) |
|
Net unrealized depreciation |
|
$ |
(16,925,842 |
) |
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Restricted security as to resale. As of report date the Trust held less than 0.1% of its net assets, with a market value of $7,069 and a original cost of $508, in this security. |
|
|
(c) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(d) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(e) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
(f) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(g) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(h) |
Convertible security. |
|
|
(i) |
Variable rate security. Rate shown is as of report date. |
|
|
(j) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(k) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(l) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|
|
(m) |
Wholly owned subsidiary of the Trust. |
|
|
(n) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(o) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
|
BlackRock Liquidity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Funds,
TempFund, |
|
|
1,808,758 |
|
|
(867,523 |
) |
|
941,235 |
|
$ |
3,151 |
|
|
|
(p) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/ or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
581 |
|
S&P 500 |
|
Chicago |
|
September |
|
$ |
33,049,544 |
|
$ |
(2,324,641 |
) |
|
|
|
Index E-mini |
|
Mercantile |
|
2011 |
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
EUR |
6,000 |
|
USD |
8,530 |
|
Citibank NA |
|
8/09/11 |
|
$ |
89 |
|
EUR |
449,000 |
|
USD |
645,541 |
|
Royal
Bank of |
|
9/02/11 |
|
|
(552 |
) |
USD |
553,200 |
|
CAD |
547,000 |
|
Citibank NA |
|
10/07/11 |
|
|
(4,895 |
) |
USD |
6,071,096 |
|
GBP |
3,799,500 |
|
Royal
Bank of |
|
10/07/11 |
|
|
(94,232 |
) |
USD |
34,091,331 |
|
EUR |
23,780,000 |
|
Citibank NA |
|
10/26/11 |
|
|
(46,227 |
) |
USD |
1,153,806 |
|
EUR |
804,000 |
|
Deutsche Bank AG |
|
10/26/11 |
|
|
(383 |
) |
USD |
51,510 |
|
EUR |
36,000 |
|
Morgan Stanley |
|
10/26/11 |
|
|
(170 |
) |
USD |
645,122 |
|
EUR |
449,000 |
|
Royal
Bank of |
|
10/26/11 |
|
|
557 |
|
USD |
199,829 |
|
EUR |
140,000 |
|
UBS AG |
|
10/26/11 |
|
|
(1,149 |
) |
Total |
|
|
|
|
|
|
|
|
|
$ |
(146,962 |
) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Republic of |
|
1.00% |
|
Deutsche |
|
12/20/15 |
|
$ |
470 |
|
$ |
9,934 |
|
Israel (State of) |
|
1.00% |
|
Deutsche |
|
3/20/16 |
|
$ |
1,050 |
|
|
(10,799 |
) |
Beazer Homes |
|
5.00% |
|
Credit
Suisse |
|
9/20/16 |
|
$ |
200 |
|
|
(8,756 |
) |
Beazer Homes |
|
5.00% |
|
Goldman |
|
9/20/16 |
|
$ |
300 |
|
|
19,644 |
|
Realogy Corp. |
|
5.00% |
|
Goldman |
|
9/20/16 |
|
$ |
225 |
|
|
(16,592 |
) |
iStar Financial, Inc. |
|
5.00% |
|
Deutsche |
|
12/20/16 |
|
$ |
375 |
|
|
(30,588 |
) |
Total |
|
|
|
|
|
|
|
|
|
$ |
(37,157 |
) |
|
|
|
See Notes to Financial Statements. |
||
|
||
|
|
|
52 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Received |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
|||
iStar |
|
5.00 |
% |
|
Deutsche
|
|
9/20/11 |
|
B+ |
|
$ |
375 |
|
$ |
2,375 |
|
ARAMARK Corp. |
|
5.00 |
% |
|
Goldman
|
|
3/20/16 |
|
B |
|
$ |
750 |
|
|
(21,878 |
) |
ARAMARK Corp. |
|
5.00 |
% |
|
Goldman
|
|
6/20/16 |
|
B |
|
$ |
950 |
|
|
(33,043 |
) |
ARAMARK Corp. |
|
5.00 |
% |
|
Goldman
|
|
9/20/16 |
|
B |
|
$ |
450 |
|
|
(19,759 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(72,305 |
) |
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
|
|
|
|
|
|
|
Credit default swaps on traded indexes buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
Dow Jones CDX |
|
5.00 |
% |
|
Credit Suisse |
|
6/20/16 |
|
$ |
3,900 |
|
|
|
|
|
|
|
Total return swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||||
3.12% |
|
|
Deutsche Bank AG |
|
|
8/02/21 |
|
$ |
2,235 |
|
$ |
20,000 |
(a) |
3.09% |
|
|
Deutsche Bank AG |
|
|
8/03/21 |
|
$ |
2,250 |
|
|
17,145 |
(a) |
3.15% |
|
|
Credit
Suisse |
|
|
8/11/21 |
|
$ |
2,265 |
|
|
23,257 |
(a) |
3.11% |
|
|
Deutsche Bank AG |
|
|
8/11/21 |
|
$ |
2,265 |
|
|
19,247 |
(a) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
79,649 |
|
|
|
|
|
(a) |
Based on the change in the return of the Consumer Price Index for All Urban Consumers. |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
|
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
12,207,686 |
|
$ |
452,554 |
|
$ |
3,689,799 |
|
$ |
16,350,039 |
|
Corporate Bonds |
|
|
|
|
|
410,061,572 |
|
|
6,541,570 |
|
|
416,603,142 |
|
Floating Rate |
|
|
|
|
|
54,873,126 |
|
|
14,112,734 |
|
|
68,985,860 |
|
Other Interests |
|
|
163 |
|
|
10,050,300 |
|
|
3,081,895 |
|
|
13,132,358 |
|
Preferred |
|
|
3,282,718 |
|
|
5,757,782 |
|
|
503,497 |
|
|
9,543,997 |
|
Warrants |
|
|
|
|
|
|
|
|
382,599 |
|
|
382,599 |
|
Short-Term |
|
|
941,235 |
|
|
|
|
|
|
|
|
941,235 |
|
Total |
|
$ |
16,431,802 |
|
$ |
481,195,334 |
|
$ |
28,312,094 |
|
$ |
525,939,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
182,479 |
|
|
|
|
$ |
182,479 |
|
Equity contracts |
|
$ |
59,029 |
|
|
|
|
|
|
|
|
59,029 |
|
Foreign currency |
|
|
|
|
|
646 |
|
|
|
|
|
646 |
|
Other contracts |
|
|
|
|
|
79,649 |
|
|
|
|
|
79,649 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(1,505,993 |
) |
|
|
|
|
(1,505,993 |
) |
Equity contracts |
|
|
(2,467,731 |
) |
|
|
|
|
|
|
|
(2,467,731 |
) |
Foreign currency |
|
|
|
|
|
(147,608 |
) |
|
|
|
|
(147,608 |
) |
Total |
|
$ |
(2,408,702 |
) |
$ |
(1,390,827 |
) |
|
|
|
$ |
(3,799,529 |
) |
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument. and options are shown at value. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|||
|
ANNUAL REPORT |
AUGUST 31, 2011 |
53 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Corporate High Yield Fund VI, Inc. (HYT) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded
Loan |
|
Total |
|
||||||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
712,707 |
|
$ |
4,851,224 |
|
$ |
20,602,850 |
|
$ |
6,747 |
|
$ |
1 |
|
$ |
271 |
|
$ |
(36,123 |
) |
$ |
26,137,677 |
|
Accrued discounts/premiums |
|
|
|
|
|
39,591 |
|
|
34,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,551 |
|
Net realized gain (loss) |
|
|
|
|
|
16,164 |
|
|
226,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242,991 |
|
Net change in unrealized appreciation/depreciation2 |
|
|
(3,434,750 |
) |
|
1,208,759 |
|
|
(174,015 |
) |
|
(29,678 |
) |
|
503,496 |
|
|
382,322 |
|
|
36,123 |
|
|
(1,507,743 |
) |
Purchases |
|
|
6,411,842 |
|
|
657,192 |
|
|
7,671,879 |
|
|
3,111,348 |
|
|
|
|
|
6 |
|
|
|
|
|
17,852,267 |
|
Sales |
|
|
|
|
|
(231,736 |
) |
|
(11,749,380 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(11,981,116 |
) |
Transfers in3 |
|
|
|
|
|
376 |
|
|
2,600,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,600,438 |
|
Transfers out3 |
|
|
|
|
|
|
|
|
(5,100,449 |
) |
|
(6,522 |
) |
|
|
|
|
|
|
|
|
|
|
(5,106,971 |
) |
Balance, as of August 31, 2011 |
|
$ |
3,689,799 |
|
$ |
6,541,570 |
|
$ |
14,112,734 |
|
$ |
3,081,895 |
|
$ |
503,497 |
|
$ |
382,599 |
|
|
|
|
$ |
28,312,094 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $(1,422,884). |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
||
54 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Diversified Financial Services 0.8% |
|
|
|
|
|
|
|
Kcad Holdings I Ltd. |
|
|
83,644,000 |
|
$ |
944,090 |
|
Software 0.1% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (a) |
|
|
251 |
|
|
1 |
|
HMH Holdings/EduMedia (a) |
|
|
39,515 |
|
|
79,030 |
|
|
|
|
|
|
|
79,031 |
|
Total Common Stocks 0.9% |
|
|
|
|
|
1,023,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc. (b): |
|
|
|
|
|
|
|
6.88%, 3/15/18 |
|
USD |
160 |
|
|
150,400 |
|
7.13%, 3/15/21 |
|
|
170 |
|
|
159,800 |
|
Kratos Defense & Security Solutions, Inc., |
|
|
358 |
|
|
367,845 |
|
|
|
|
|
|
|
678,045 |
|
Air Freight & Logistics 0.6% |
|
|
|
|
|
|
|
National Air Cargo Group, Inc.: |
|
|
|
|
|
|
|
Series 1, 12.38%, 9/02/15 |
|
|
315 |
|
|
327,268 |
|
Series 2, 12.38%, 8/16/15 |
|
|
318 |
|
|
330,602 |
|
|
|
|
|
|
|
657,870 |
|
Airlines 2.7% |
|
|
|
|
|
|
|
Air Canada, 9.25%, 8/01/15 (b) |
|
|
420 |
|
|
403,200 |
|
American Airlines, Inc.: |
|
|
|
|
|
|
|
10.50%, 10/15/12 |
|
|
440 |
|
|
453,750 |
|
7.50%, 3/15/16 (b) |
|
|
60 |
|
|
54,300 |
|
Series 2001-2, 7.86%, 4/01/13 |
|
|
160 |
|
|
160,000 |
|
Series 2011-1-B, 7.00%, 1/31/18 (b) |
|
|
179 |
|
|
153,778 |
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
6.75%, 9/15/15 (b) |
|
|
270 |
|
|
263,250 |
|
Series 2010-1-B, 6.00%, 1/12/19 |
|
|
200 |
|
|
185,000 |
|
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 |
|
|
365 |
|
|
374,399 |
|
US Airways Pass-Through Trust, 10.88%, 10/22/14 |
|
|
310 |
|
|
302,250 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
835 |
|
|
872,333 |
|
|
|
|
|
|
|
3,222,260 |
|
Auto Components 2.3% |
|
|
|
|
|
|
|
Allison Transmission, Inc., 11.00%, 11/01/15 (b) |
|
|
100 |
|
|
105,250 |
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (b) |
|
|
95 |
|
|
88,350 |
|
Delphi Corp., 6.13%, 5/15/21 (b) |
|
|
80 |
|
|
77,200 |
|
Ford Motor Co., 7.45%, 7/16/31 |
|
|
330 |
|
|
361,803 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
1,510 |
|
|
1,525,100 |
|
International Automotive Components Group, |
|
|
110 |
|
|
108,075 |
|
Stanadyne Corp., Series 1, 10.00%, 8/15/14 |
|
|
335 |
|
|
324,950 |
|
Titan International, Inc., 7.88%, 10/01/17 |
|
|
190 |
|
|
199,500 |
|
|
|
|
|
|
|
2,790,228 |
|
Beverages 0.2% |
|
|
|
|
|
|
|
Cott Beverages, Inc., 8.13%, 9/01/18 |
|
|
125 |
|
|
129,375 |
|
Crown European Holdings SA, 7.13%, 8/15/18 (b) |
|
EUR |
115 |
|
|
159,416 |
|
|
|
|
|
|
|
288,791 |
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
USD |
156 |
|
|
158,556 |
|
Building Products 1.3% |
|
|
|
|
|
|
|
Building Materials Corp. of America (b): |
|
|
|
|
|
|
|
7.00%, 2/15/20 |
|
|
210 |
|
|
210,000 |
|
6.75%, 5/01/21 |
|
|
560 |
|
|
536,200 |
|
Griffon Corp., 7.13%, 4/01/18 (b) |
|
|
190 |
|
|
179,550 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Building Products (concluded) |
|
|
|
|
|
|
|
Momentive Performance Materials, Inc.: |
|
|
|
|
|
|
|
11.50%, 12/01/16 |
|
USD |
220 |
|
$ |
217,800 |
|
9.00%, 1/15/21 (b) |
|
|
450 |
|
|
384,750 |
|
|
|
|
|
|
|
1,528,300 |
|
Capital Markets 1.1% |
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, 12/31/13 (c) |
|
|
230 |
|
|
228,386 |
|
E*Trade Financial Corp.: |
|
|
|
|
|
|
|
12.50%, 11/30/17 (d) |
|
|
395 |
|
|
454,250 |
|
Series A, 0.00%, 8/31/19 (e)(f) |
|
|
295 |
|
|
352,525 |
|
KKR Group Finance Co., 6.38%, 9/29/20 (b) |
|
|
300 |
|
|
319,186 |
|
|
|
|
|
|
|
1,354,347 |
|
Chemicals 3.3% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
400 |
|
|
393,000 |
|
American Rock Salt Co. LLC, 8.25%, 5/01/18 (b) |
|
|
62 |
|
|
57,505 |
|
Celanese US Holdings LLC, 5.88%, 6/15/21 |
|
|
445 |
|
|
446,112 |
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
175 |
|
|
179,813 |
|
Hexion US Finance Corp.: |
|
|
|
|
|
|
|
8.88%, 2/01/18 |
|
|
215 |
|
|
201,025 |
|
9.00%, 11/15/20 |
|
|
145 |
|
|
126,513 |
|
Huntsman International LLC: |
|
|
|
|
|
|
|
6.88%, 11/15/13 (b) |
|
EUR |
130 |
|
|
184,878 |
|
8.63%, 3/15/21 |
|
USD |
80 |
|
|
83,500 |
|
Ineos Finance Plc, 9.00%, 5/15/15 (b) |
|
|
195 |
|
|
197,437 |
|
Kinove German Bondco GmbH, 10.00%, 6/15/18 |
|
EUR |
264 |
|
|
358,378 |
|
Kraton Polymers LLC, 6.75%, 3/01/19 |
|
USD |
55 |
|
|
52,800 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
|
625 |
|
|
697,656 |
|
Nexeo Solutions LLC, 8.38%, 3/01/18 (b) |
|
|
85 |
|
|
87,763 |
|
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b) |
|
|
337 |
|
|
333,630 |
|
Omnova Solutions, Inc., 7.88%, 11/01/18 |
|
|
245 |
|
|
214,987 |
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
100 |
|
|
103,000 |
|
TPC Group LLC, 8.25%, 10/01/17 (b) |
|
|
155 |
|
|
158,875 |
|
|
|
|
|
|
|
3,876,872 |
|
Commercial Banks 2.5% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
260 |
|
|
258,700 |
|
7.00%, 5/01/16 |
|
|
928 |
|
|
923,774 |
|
7.00%, 5/01/17 |
|
|
1,525 |
|
|
1,505,722 |
|
7.00%, 5/02/17 (b) |
|
|
240 |
|
|
237,000 |
|
|
|
|
|
|
|
2,925,196 |
|
Commercial Services & Supplies 2.1% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
|
350 |
|
|
382,812 |
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
|
20 |
|
|
20,650 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b) |
|
|
190 |
|
|
183,736 |
|
Aviation Capital Group Corp., 6.75%, 4/06/21 (b) |
|
|
230 |
|
|
226,959 |
|
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) |
|
|
140 |
|
|
131,950 |
|
Casella Waste Systems, Inc., 7.75%, 2/15/19 (b) |
|
|
304 |
|
|
292,600 |
|
Clean Harbors, Inc., 7.63%, 8/15/16 |
|
|
160 |
|
|
169,200 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
165 |
|
|
160,463 |
|
RSC Equipment Rental, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/17 (b) |
|
|
275 |
|
|
295,625 |
|
8.25%, 2/01/21 |
|
|
392 |
|
|
365,540 |
|
WCA Waste Corp., 7.50%, 6/15/19 (b) |
|
|
150 |
|
|
150,000 |
|
West Corp., 8.63%, 10/01/18 |
|
|
65 |
|
|
63,375 |
|
|
|
|
|
|
|
2,442,910 |
|
Communications Equipment 0.8% |
|
|
|
|
|
|
|
Avaya, Inc.: |
|
|
|
|
|
|
|
9.75%, 11/01/15 |
|
|
200 |
|
|
170,000 |
|
10.13%, 11/01/15 (d) |
|
|
290 |
|
|
250,488 |
|
7.00%, 4/01/19 (b) |
|
|
240 |
|
|
216,000 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
55 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Communications Equipment (concluded) |
|
|
|
|
|
|
|
EH Holding Corp. (b): |
|
|
|
|
|
|
|
6.50%, 6/15/19 |
|
USD |
170 |
|
$ |
170,000 |
|
7.63%, 6/15/21 |
|
|
120 |
|
|
119,400 |
|
|
|
|
|
|
|
925,888 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
50 |
|
|
67,156 |
|
Boart Longyear Management Ltd., 7.00%, |
|
USD |
90 |
|
|
89,325 |
|
|
|
|
|
|
|
156,481 |
|
Construction Materials 0.2% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (b) |
|
|
155 |
|
|
146,862 |
|
Xefin Lux SCA, 8.00%, 6/01/18 (b) |
|
EUR |
113 |
|
|
149,339 |
|
|
|
|
|
|
|
296,201 |
|
Consumer Finance 1.5% |
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 |
|
USD |
320 |
|
|
324,000 |
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (g) |
|
|
145 |
|
|
145,003 |
|
7.80%, 6/01/12 |
|
|
300 |
|
|
309,007 |
|
7.00%, 4/15/15 |
|
|
890 |
|
|
950,075 |
|
|
|
|
|
|
|
1,728,085 |
|
Containers & Packaging 1.1% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
285 |
|
|
383,815 |
|
Berry Plastics Corp., 8.25%, 11/15/15 |
|
USD |
65 |
|
|
66,950 |
|
GCL Holdings SCA, 9.38%, 4/15/18 (b) |
|
EUR |
120 |
|
|
150,833 |
|
Graphic Packaging International, Inc., 7.88%, |
|
USD |
175 |
|
|
183,750 |
|
OI European Group BV, 6.88%, 3/31/17 |
|
EUR |
100 |
|
|
136,467 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
349 |
|
|
321,080 |
|
Rock-Tenn Co., 9.25%, 3/15/16 |
|
|
25 |
|
|
26,250 |
|
|
|
|
|
|
|
1,269,145 |
|
Diversified Financial Services 5.3% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
7.50%, 12/31/13 |
|
|
90 |
|
|
92,700 |
|
8.30%, 2/12/15 |
|
|
230 |
|
|
241,500 |
|
6.25%, 12/01/17 |
|
|
230 |
|
|
221,241 |
|
8.00%, 3/15/20 |
|
|
150 |
|
|
151,500 |
|
7.50%, 9/15/20 |
|
|
290 |
|
|
284,925 |
|
8.00%, 11/01/31 |
|
|
620 |
|
|
606,050 |
|
8.00%, 11/01/31 |
|
|
390 |
|
|
375,153 |
|
Axcan Intermediate Holdings, Inc., 12.75%, |
|
|
205 |
|
|
213,713 |
|
Boparan Holdings Ltd. (b): |
|
|
|
|
|
|
|
9.75%, 4/30/18 |
|
EUR |
100 |
|
|
110,624 |
|
9.88%, 4/30/18 |
|
GBP |
100 |
|
|
131,487 |
|
FCE Bank Plc: |
|
|
|
|
|
|
|
7.13%, 1/15/13 |
|
EUR |
450 |
|
|
648,041 |
|
4.75%, 1/19/15 |
|
|
200 |
|
|
261,443 |
|
General Motors Financial Co., Inc., 6.75%, |
|
USD |
220 |
|
|
218,900 |
|
KION Finance SA, 7.88%, 4/15/18 (b) |
|
EUR |
100 |
|
|
119,230 |
|
Leucadia National Corp., 8.13%, 9/15/15 |
|
USD |
540 |
|
|
579,825 |
|
Reynolds Group DL Escrow, Inc., 8.50%, |
|
|
348 |
|
|
355,830 |
|
Reynolds Group Issuer, Inc. (b): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (c) |
|
EUR |
172 |
|
|
239,666 |
|
7.13%, 4/15/19 |
|
USD |
115 |
|
|
108,963 |
|
9.00%, 4/15/19 |
|
|
110 |
|
|
99,000 |
|
7.88%, 8/15/19 |
|
|
490 |
|
|
485,100 |
|
9.88%, 8/15/19 |
|
|
190 |
|
|
178,600 |
|
8.25%, 2/15/21 |
|
|
355 |
|
|
299,087 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
WMG Acquisition Corp. (b): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
USD |
55 |
|
$ |
56,100 |
|
11.50%, 10/01/18 |
|
|
265 |
|
|
241,150 |
|
|
|
|
|
|
|
6,319,828 |
|
Diversified Telecommunication Services 4.2% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., 11.38%, |
|
|
480 |
|
|
412,800 |
|
GCI, Inc., 6.75%, 6/01/21 |
|
|
128 |
|
|
126,080 |
|
ITC Deltacom, Inc., 10.50%, 4/01/16 |
|
|
140 |
|
|
143,500 |
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (b) |
|
|
1,223 |
|
|
1,161,850 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
9.25%, 11/01/14 |
|
|
39 |
|
|
39,488 |
|
8.75%, 2/15/17 |
|
|
245 |
|
|
240,100 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
1,205 |
|
|
1,220,062 |
|
8.00%, 10/01/15 |
|
|
550 |
|
|
587,125 |
|
Series B, 7.50%, 2/15/14 |
|
|
635 |
|
|
642,937 |
|
Windstream Corp.: |
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
112 |
|
|
119,000 |
|
7.88%, 11/01/17 |
|
|
323 |
|
|
339,554 |
|
|
|
|
|
|
|
5,032,496 |
|
Electric Utilities 0.5% |
|
|
|
|
|
|
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
500 |
|
|
614,104 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC: |
|
|
|
|
|
|
|
11.00%, 10/12/15 |
|
USD |
5 |
|
|
5,100 |
|
11.50%, 10/12/15 (d) |
|
|
300 |
|
|
306,000 |
|
8.00%, 12/15/18 (b) |
|
|
200 |
|
|
198,000 |
|
Elster Finance BV, 6.25%, 4/15/18 (b) |
|
EUR |
104 |
|
|
137,442 |
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
USD |
105 |
|
|
118,388 |
|
|
|
|
|
|
|
764,930 |
|
Energy Equipment & Services 1.7% |
|
|
|
|
|
|
|
Antero Resources Finance Corp., 7.25%, |
|
|
75 |
|
|
72,937 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (b) |
|
|
115 |
|
|
111,550 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
170 |
|
|
170,850 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (b) |
|
|
205 |
|
|
198,850 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (b) |
|
|
515 |
|
|
533,025 |
|
Key Energy Services, Inc., 6.75%, 3/01/21 |
|
|
205 |
|
|
200,900 |
|
MEG Energy Corp., 6.50%, 3/15/21 (b) |
|
|
260 |
|
|
260,000 |
|
Oil States International, Inc., 6.50%, 6/01/19 (b) |
|
|
140 |
|
|
140,000 |
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (b) |
|
|
100 |
|
|
98,250 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
174 |
|
|
182,700 |
|
|
|
|
|
|
|
1,969,062 |
|
Food Products 0.4% |
|
|
|
|
|
|
|
Del Monte Foods Co., 7.63%, 2/15/19 (b) |
|
|
255 |
|
|
253,087 |
|
JBS USA LLC, 7.25%, 6/01/21 (b) |
|
|
45 |
|
|
40,894 |
|
Reddy Ice Corp., 11.25%, 3/15/15 |
|
|
210 |
|
|
190,575 |
|
|
|
|
|
|
|
484,556 |
|
Health Care Equipment & Supplies 1.7% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
1,070 |
|
|
1,106,112 |
|
7.75%, 4/15/18 (b) |
|
|
50 |
|
|
46,500 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (b) |
|
|
128 |
|
|
120,640 |
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) |
|
|
505 |
|
|
563,075 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
130 |
|
|
129,025 |
|
|
|
|
|
|
|
1,965,352 |
|
Health Care Providers & Services 6.1% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
190 |
|
|
189,050 |
|
ConvaTec Healthcare E SA (b): |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
200 |
|
|
258,570 |
|
10.50%, 12/15/18 |
|
USD |
220 |
|
|
200,200 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
56 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Health Care Providers & Services (concluded) |
|
|
|
|
|
|
|
Crown Newco 3 Plc, 7.00%, 2/15/18 (b) |
|
GBP |
200 |
|
$ |
292,196 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
USD |
140 |
|
|
152,600 |
|
6.50%, 2/15/20 |
|
|
550 |
|
|
556,188 |
|
7.25%, 9/15/20 |
|
|
1,565 |
|
|
1,608,037 |
|
7.50%, 2/15/22 |
|
|
580 |
|
|
574,200 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (b) |
|
|
340 |
|
|
297,500 |
|
INC Research LLC, 11.50%, 7/15/19 (b) |
|
|
185 |
|
|
171,125 |
|
inVentiv Health, Inc., 10.00%, 8/15/18 (b) |
|
|
190 |
|
|
171,475 |
|
Omnicare, Inc.: |
|
|
|
|
|
|
|
6.13%, 6/01/13 |
|
|
8 |
|
|
8,080 |
|
6.88%, 12/15/15 |
|
|
38 |
|
|
38,760 |
|
7.75%, 6/01/20 |
|
|
290 |
|
|
295,800 |
|
Symbion, Inc., 8.00%, 6/15/16 (b) |
|
|
155 |
|
|
144,150 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
692 |
|
|
733,520 |
|
10.00%, 5/01/18 |
|
|
312 |
|
|
343,200 |
|
8.88%, 7/01/19 |
|
|
1,175 |
|
|
1,245,500 |
|
|
|
|
|
|
|
7,280,151 |
|
Health Care Technology 1.3% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (b) |
|
|
1,125 |
|
|
1,293,750 |
|
MedAssets, Inc., 8.00%, 11/15/18 (b) |
|
|
240 |
|
|
231,600 |
|
|
|
|
|
|
|
1,525,350 |
|
Hotels, Restaurants & Leisure 1.2% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., 11.25%, |
|
|
75 |
|
|
80,812 |
|
Diamond Resorts Corp., 12.00%, 8/15/18 |
|
|
550 |
|
|
533,500 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) |
|
|
80 |
|
|
68,200 |
|
MGM Resorts International: |
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
125 |
|
|
137,187 |
|
11.13%, 11/15/17 |
|
|
390 |
|
|
434,850 |
|
Travelport LLC: |
|
|
|
|
|
|
|
4.95%, 9/01/14 (g) |
|
|
85 |
|
|
64,813 |
|
9.88%, 9/01/14 |
|
|
20 |
|
|
17,050 |
|
9.00%, 3/01/16 |
|
|
60 |
|
|
48,150 |
|
Tropicana Entertainment LLC, Series WI, 9.63%, |
|
|
215 |
|
|
22 |
|
|
|
|
|
|
|
1,384,584 |
|
Household Durables 2.8% |
|
|
|
|
|
|
|
American Standard Americas, 10.75%, 1/15/16 (b) |
|
|
190 |
|
|
153,900 |
|
Ashton Woods USA LLC, 0.00%, 6/30/15 (b)(c) |
|
|
400 |
|
|
287,000 |
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
145 |
|
|
102,225 |
|
12.00%, 10/15/17 |
|
|
720 |
|
|
730,800 |
|
9.13%, 6/15/18 |
|
|
240 |
|
|
166,500 |
|
Ideal Standard International, 11.75%, 5/01/18 (b) |
|
EUR |
100 |
|
|
110,611 |
|
Jarden Corp., 7.50%, 1/15/20 |
|
|
140 |
|
|
190,049 |
|
Ryland Group, Inc., 6.63%, 5/01/20 |
|
USD |
280 |
|
|
240,800 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
890 |
|
|
881,100 |
|
8.38%, 5/15/18 |
|
|
120 |
|
|
105,300 |
|
8.38%, 1/15/21 |
|
|
275 |
|
|
236,500 |
|
United Rentals North America, Inc., 8.38%, 9/15/20 |
|
|
195 |
|
|
177,937 |
|
|
|
|
|
|
|
3,382,722 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (b) |
|
EUR |
100 |
|
|
128,567 |
|
IT Services 1.8% |
|
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (b) |
|
USD |
310 |
|
|
285,200 |
|
First Data Corp. (b): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
395 |
|
|
371,300 |
|
12.63%, 1/15/21 |
|
|
968 |
|
|
914,760 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
IT Services (concluded) |
|
|
|
|
|
|
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
USD |
270 |
|
$ |
257,175 |
|
7.63%, 11/15/20 |
|
|
280 |
|
|
267,400 |
|
|
|
|
|
|
|
2,095,835 |
|
Independent Power Producers & |
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (b) |
|
|
390 |
|
|
393,900 |
|
Calpine Corp. (b): |
|
|
|
|
|
|
|
7.50%, 2/15/21 |
|
|
90 |
|
|
90,900 |
|
7.88%, 1/15/23 |
|
|
290 |
|
|
295,800 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
1,460 |
|
|
1,465,652 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
81 |
|
|
81,718 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (b) |
|
|
990 |
|
|
980,100 |
|
|
|
|
|
|
|
3,308,070 |
|
Industrial Conglomerates 2.5% |
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
1,060 |
|
|
1,102,400 |
|
13.50%, 12/01/15 |
|
|
1,770 |
|
|
1,875,713 |
|
|
|
|
|
|
|
2,978,113 |
|
Insurance 1.3% |
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, 5/01/15 (b) |
|
|
800 |
|
|
820,000 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (b) |
|
|
168 |
|
|
174,720 |
|
Genworth Financial, Inc., 7.63%, 9/24/21 |
|
|
190 |
|
|
168,631 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) |
|
|
120 |
|
|
115,200 |
|
USI Holdings Corp., 4.16%, 11/15/14 (b)(g) |
|
|
310 |
|
|
277,450 |
|
|
|
|
|
|
|
1,556,001 |
|
Machinery 1.4% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
700 |
|
|
613,375 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (f) |
|
|
820 |
|
|
905,075 |
|
8.25%, 11/01/21 |
|
|
70 |
|
|
72,450 |
|
Oshkosh Corp., 8.25%, 3/01/17 |
|
|
10 |
|
|
10,275 |
|
SPX Corp., 6.88%, 9/01/17 |
|
|
80 |
|
|
83,400 |
|
|
|
|
|
|
|
1,684,575 |
|
Media 14.9% |
|
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (b) |
|
|
100 |
|
|
103,500 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
365 |
|
|
323,025 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
1,637 |
|
|
1,890,900 |
|
CCO Holdings LLC: |
|
|
|
|
|
|
|
7.25%, 10/30/17 |
|
|
20 |
|
|
20,625 |
|
7.88%, 4/30/18 |
|
|
50 |
|
|
52,000 |
|
6.50%, 4/30/21 |
|
|
353 |
|
|
345,057 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 |
|
|
69 |
|
|
65,550 |
|
CSC Holdings, Inc., 8.50%, 4/15/14 |
|
|
180 |
|
|
194,850 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
285 |
|
|
219,450 |
|
Checkout Holding Corp., 10.97%, 11/15/15 (b)(e) |
|
|
310 |
|
|
182,900 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b) |
|
|
175 |
|
|
188,563 |
|
Clear Channel Communications, Inc., 9.00%, |
|
|
250 |
|
|
201,250 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
701 |
|
|
743,060 |
|
Series B, 9.25%, 12/15/17 |
|
|
2,596 |
|
|
2,777,720 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
315 |
|
|
325,039 |
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
360 |
|
|
371,612 |
|
Shares Loan, 12.00%, 8/15/18 |
|
|
371 |
|
|
383,263 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (b) |
|
|
60 |
|
|
52,650 |
|
DISH DBS Corp.: |
|
|
|
|
|
|
|
7.00%, 10/01/13 |
|
|
192 |
|
|
201,360 |
|
6.75%, 6/01/21 (b) |
|
|
250 |
|
|
251,875 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
445 |
|
|
429,425 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
57 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
6.00%, 5/15/15 (g) |
|
USD |
160 |
|
$ |
119,200 |
|
9.50%, 5/15/15 |
|
|
140 |
|
|
114,100 |
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
490 |
|
|
512,050 |
|
11.25%, 2/04/17 |
|
|
150 |
|
|
145,500 |
|
11.50%, 2/04/17 (d) |
|
|
170 |
|
|
165,113 |
|
11.50%, 2/04/17 (b)(d) |
|
|
460 |
|
|
446,775 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
480 |
|
|
508,800 |
|
The Interpublic Group of Cos., Inc., 10.00%, |
|
|
155 |
|
|
178,250 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
304 |
|
|
427,962 |
|
Kabel Deutschland Vertrieb und Service GmbH & |
|
|
155 |
|
|
218,005 |
|
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) |
|
|
335 |
|
|
322,438 |
|
Musketeer GmbH, 9.50%, 3/15/21 (b) |
|
|
190 |
|
|
272,935 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
USD |
290 |
|
|
292,900 |
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
72 |
|
|
81,540 |
|
7.75%, 10/15/18 |
|
|
970 |
|
|
1,001,525 |
|
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) |
|
GBP |
100 |
|
|
148,532 |
|
ProQuest LLC, 9.00%, 10/15/18 (b) |
|
USD |
230 |
|
|
225,400 |
|
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(f)(h) |
|
|
1,427 |
|
|
714 |
|
Regal Entertainment Group, 9.13%, 8/15/18 |
|
|
180 |
|
|
181,800 |
|
UPC Holding BV, 9.88%, 4/15/18 (b) |
|
|
300 |
|
|
313,500 |
|
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) |
|
EUR |
371 |
|
|
474,318 |
|
Unitymedia GmbH, 9.63%, 12/01/19 (b) |
|
|
345 |
|
|
499,309 |
|
Unitymedia Hessen GmbH & Co. |
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
175 |
|
|
252,645 |
|
8.13%, 12/01/17 |
|
USD |
425 |
|
|
433,500 |
|
Virgin Media Secured Finance Plc, 7.00%, 1/15/18 |
|
GBP |
200 |
|
|
336,023 |
|
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) |
|
EUR |
175 |
|
|
246,360 |
|
Ziggo Finance BV, 6.13%, 11/15/17 (b) |
|
|
370 |
|
|
518,218 |
|
|
|
|
|
|
|
17,761,086 |
|
Metals & Mining 3.9% |
|
|
|
|
|
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (b) |
|
USD |
120 |
|
|
122,700 |
|
7.38%, 2/15/16 |
|
|
95 |
|
|
96,425 |
|
FMG Resources August 2006 Property Ltd., 7.00%, |
|
|
570 |
|
|
568,575 |
|
Goldcorp, Inc., 2.00%, 8/01/14 (f) |
|
|
460 |
|
|
605,475 |
|
JMC Steel Group, 8.25%, 3/15/18 (b) |
|
|
90 |
|
|
87,975 |
|
James River Escrow, Inc., 7.88%, 4/01/19 (b) |
|
|
100 |
|
|
90,500 |
|
Newmont Mining Corp., Series A, 1.25%, |
|
|
670 |
|
|
973,175 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
1,625 |
|
|
1,710,313 |
|
Taseko Mines Ltd., 7.75%, 4/15/19 |
|
|
150 |
|
|
142,125 |
|
Vedanta Resources Plc, 8.25%, 6/07/21 (b) |
|
|
200 |
|
|
191,000 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
79 |
|
|
77,808 |
|
|
|
|
|
|
|
4,666,071 |
|
Multiline Retail 1.9% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (d) |
|
|
2,020 |
|
|
2,237,150 |
|
Oil, Gas & Consumable Fuels 10.0% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
145 |
|
|
141,738 |
|
6.25%, 6/01/21 |
|
|
455 |
|
|
445,331 |
|
Arch Coal, Inc.: |
|
|
|
|
|
|
|
7.25%, 10/01/20 |
|
|
160 |
|
|
157,600 |
|
7.25%, 6/15/21 (b) |
|
|
385 |
|
|
379,225 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
275 |
|
|
283,937 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
20 |
|
|
21,950 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 |
|
USD |
60 |
|
$ |
61,200 |
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
438 |
|
|
457,710 |
|
6.13%, 2/15/21 |
|
|
245 |
|
|
248,675 |
|
2.25%, 12/15/38 (f) |
|
|
375 |
|
|
333,750 |
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (b) |
|
|
122 |
|
|
129,320 |
|
Concho Resources, Inc., 7.00%, 1/15/21 |
|
|
190 |
|
|
194,750 |
|
Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (b) |
|
|
150 |
|
|
121,500 |
|
Consol Energy, Inc., 8.25%, 4/01/20 |
|
|
905 |
|
|
972,875 |
|
Continental Resources, Inc., 7.13%, 4/01/21 |
|
|
170 |
|
|
175,100 |
|
Copano Energy LLC, 7.13%, 4/01/21 |
|
|
150 |
|
|
149,250 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
85 |
|
|
87,975 |
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
|
348 |
|
|
366,705 |
|
6.38%, 8/15/21 |
|
|
160 |
|
|
156,800 |
|
EV Energy Partners LP, 8.00%, 4/15/19 (b) |
|
|
70 |
|
|
68,600 |
|
Energy XXI Gulf Coast, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
195 |
|
|
199,875 |
|
7.75%, 6/15/19 |
|
|
405 |
|
|
380,700 |
|
Forbes Energy Services Ltd., 9.00%, 6/15/19 (b) |
|
|
165 |
|
|
157,163 |
|
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) |
|
|
360 |
|
|
363,600 |
|
Linn Energy LLC: |
|
|
|
|
|
|
|
6.50%, 5/15/19 (b) |
|
|
115 |
|
|
109,825 |
|
8.63%, 4/15/20 |
|
|
515 |
|
|
551,050 |
|
7.75%, 2/01/21 (b) |
|
|
200 |
|
|
204,000 |
|
MarkWest Energy Partners LP, 6.75%, 11/01/20 |
|
|
60 |
|
|
61,500 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
860 |
|
|
868,600 |
|
OGX Petroleo e Gas
Participações SA, 8.50%, |
|
|
1,910 |
|
|
1,914,775 |
|
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b) |
|
|
150 |
|
|
147,000 |
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
180 |
|
|
203,400 |
|
7.88%, 6/01/15 |
|
|
210 |
|
|
226,800 |
|
7.25%, 8/15/18 |
|
|
145 |
|
|
169,106 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
45 |
|
|
48,743 |
|
Precision Drilling Corp., 6.50%, 12/15/21 (b) |
|
|
135 |
|
|
135,000 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
200 |
|
|
217,500 |
|
5.75%, 6/01/21 |
|
|
155 |
|
|
155,775 |
|
SM Energy Co., 6.63%, 2/15/19 (b) |
|
|
135 |
|
|
135,000 |
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (b) |
|
|
425 |
|
|
414,375 |
|
Teekay Corp., 8.50%, 1/15/20 |
|
|
250 |
|
|
243,124 |
|
|
|
|
|
|
|
11,860,902 |
|
Paper & Forest Products 2.5% |
|
|
|
|
|
|
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
60 |
|
|
63,750 |
|
8.00%, 4/01/20 |
|
|
70 |
|
|
71,575 |
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
185 |
|
|
202,575 |
|
7.13%, 11/01/18 |
|
|
270 |
|
|
271,350 |
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
755 |
|
|
862,216 |
|
Longview Fibre Paper & Packaging, Inc., 8.00%, |
|
|
155 |
|
|
153,450 |
|
NewPage Corp., 11.38%, 12/31/14 (a)(h) |
|
|
995 |
|
|
875,600 |
|
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) |
|
|
65 |
|
|
57,850 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
365 |
|
|
386,900 |
|
|
|
|
|
|
|
2,945,266 |
|
Pharmaceuticals 0.6% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) |
|
EUR |
100 |
|
|
137,904 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
80 |
|
|
81,000 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
550 |
|
|
522,500 |
|
|
|
|
|
|
|
741,404 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
58 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Professional Services 0.6% |
|
|
|
|
|
|
|
FTI Consulting, Inc.: |
|
|
|
|
|
|
|
7.75%, 10/01/16 |
|
USD |
275 |
|
$ |
279,813 |
|
6.75%, 10/01/20 |
|
|
425 |
|
|
419,156 |
|
|
|
|
|
|
|
698,969 |
|
Real Estate Investment Trusts (REITs) 1.0% |
|
|
|
|
|
|
|
FelCor Lodging LP, 6.75%, 6/01/19 (b) |
|
|
635 |
|
|
596,900 |
|
Host Hotels & Resorts LP, Series R, 6.88%, |
|
|
355 |
|
|
362,544 |
|
The Rouse Co. LP, 6.75%, 11/09/15 |
|
|
240 |
|
|
243,000 |
|
|
|
|
|
|
|
1,202,444 |
|
Real Estate Management & Development 1.6% |
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 6.63%, 10/15/20 |
|
|
160 |
|
|
156,400 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
11.50%, 4/15/17 (c) |
|
|
445 |
|
|
353,775 |
|
12.00%, 4/15/17 (c) |
|
|
45 |
|
|
36,000 |
|
7.88%, 2/15/19 (b) |
|
|
1,145 |
|
|
950,350 |
|
Shea Homes LP, 8.63%, 5/15/19 (b) |
|
|
505 |
|
|
426,725 |
|
|
|
|
|
|
|
1,923,250 |
|
Road & Rail 1.6% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC: |
|
|
|
|
|
|
|
9.63%, 3/15/18 |
|
|
240 |
|
|
245,400 |
|
8.25%, 1/15/19 |
|
|
355 |
|
|
343,462 |
|
Florida East Coast Railway Corp., 8.13%, |
|
|
200 |
|
|
199,000 |
|
The Hertz Corp. (b): |
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
|
420 |
|
|
411,600 |
|
6.75%, 4/15/19 |
|
|
195 |
|
|
181,838 |
|
7.38%, 1/15/21 |
|
|
540 |
|
|
515,700 |
|
|
|
|
|
|
|
1,897,000 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (b) |
|
|
260 |
|
|
260,000 |
|
Specialty Retail 2.0% |
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., 8.38%, 11/15/20 |
|
|
165 |
|
|
162,113 |
|
Hillman Group, Inc., 10.88%, 6/01/18 |
|
|
250 |
|
|
252,500 |
|
House of Fraser Plc, 8.88%, 8/15/18 (b) |
|
GBP |
129 |
|
|
177,999 |
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
USD |
70 |
|
|
78,838 |
|
Phones4u Finance Plc, 9.50%, 4/01/18 (b) |
|
GBP |
130 |
|
|
162,492 |
|
QVC, Inc. (b): |
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
USD |
105 |
|
|
109,725 |
|
7.50%, 10/01/19 |
|
|
285 |
|
|
307,087 |
|
7.38%, 10/15/20 |
|
|
90 |
|
|
96,750 |
|
Sonic Automotive, Inc., 9.00%, 3/15/18 |
|
|
175 |
|
|
177,625 |
|
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (b) |
|
|
200 |
|
|
194,000 |
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
655 |
|
|
663,187 |
|
|
|
|
|
|
|
2,382,316 |
|
Transportation Infrastructure 0.2% |
|
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (b) |
|
|
198 |
|
|
186,120 |
|
Wireless Telecommunication Services 4.0% |
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
325 |
|
|
335,480 |
|
7.75%, 5/15/16 |
|
|
290 |
|
|
293,625 |
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
370 |
|
|
370,000 |
|
9.13%, 1/15/15 |
|
|
1,220 |
|
|
1,220,000 |
|
8.25%, 9/01/17 |
|
|
565 |
|
|
565,000 |
|
10.50%, 4/15/18 |
|
|
200 |
|
|
212,000 |
|
FiberTower Corp., 9.00%, 1/01/16 (d) |
|
|
155 |
|
|
120,800 |
|
iPCS, Inc., 2.38%, 5/01/13 (g) |
|
|
330 |
|
|
306,075 |
|
Intelsat Jackson Holdings SA, 7.50%, 4/01/21 (b) |
|
|
70 |
|
|
67,725 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Wireless Telecommunication Services (concluded) |
|
|
|
|
|
|
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
USD |
160 |
|
$ |
162,200 |
|
6.63%, 11/15/20 |
|
|
420 |
|
|
392,700 |
|
NII Capital Corp., 7.63%, 4/01/21 |
|
|
172 |
|
|
175,440 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
550 |
|
|
492,250 |
|
|
|
|
|
|
|
4,713,295 |
|
Total Corporate Bonds 101.2% |
|
|
|
|
|
120,248,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
|
|
|
|
|
|
Airlines 0.3% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, |
|
|
350 |
|
|
322,584 |
|
Building Products 0.2% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
300 |
|
|
301,500 |
|
Chemicals 0.2% |
|
|
|
|
|
|
|
Styron Sarl, Term Loan B, 6.00%, 8/02/17 |
|
|
209 |
|
|
191,767 |
|
Commercial Services & Supplies 1.6% |
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, Term Loan B, |
|
|
230 |
|
|
221,571 |
|
Adesa, Inc. (FKA KAR Holdings, Inc.), Term Loan B, |
|
|
1,000 |
|
|
950,000 |
|
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 |
|
|
325 |
|
|
322,832 |
|
Volume Services America, Inc. (FKA Centerplate), |
|
|
447 |
|
|
427,273 |
|
|
|
|
|
|
|
1,921,676 |
|
Consumer Finance 1.8% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
2,275 |
|
|
2,107,219 |
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Closing Date Term Loan, 2.72%, 7/24/14 |
|
|
41 |
|
|
37,804 |
|
Delayed Draw Term Loan, 2.73%, 7/24/14 |
|
|
4 |
|
|
3,765 |
|
|
|
|
|
|
|
41,569 |
|
Diversified Telecommunication Services 0.6% |
|
|
|
|
|
|
|
Hawaiian Telcom Communications, Inc., Term Loan, |
|
|
500 |
|
|
499,375 |
|
Level 3 Financing, Inc., Incremental Tranche A |
|
|
225 |
|
|
207,900 |
|
|
|
|
|
|
|
707,275 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC (FKA CDW Corp.), Non-Extended Term |
|
|
55 |
|
|
51,700 |
|
Energy Equipment & Services 2.1% |
|
|
|
|
|
|
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal Co. Term Loan, 9.25%, 8/04/16 |
|
|
901 |
|
|
870,213 |
|
Gas Co. Term Loan, 9.25%, 8/04/16 |
|
|
1,649 |
|
|
1,620,142 |
|
|
|
|
|
|
|
2,490,355 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
400 |
|
|
392,000 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
59 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
Health Care Providers & Services 0.7% |
|
|
|
|
|
|
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, |
|
USD |
261 |
|
$ |
255,506 |
|
Tranche A Term Loan, 8.50%, 3/02/15 |
|
|
195 |
|
|
190,759 |
|
inVentiv Health, Inc. (FKA Ventive Health, Inc.), |
|
|
356 |
|
|
335,932 |
|
|
|
|
|
|
|
782,197 |
|
Hotels, Restaurants & Leisure 0.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term |
|
|
171 |
|
|
146,950 |
|
Travelport LLC (FKA Travelport, Inc.), Term Loan, |
|
|
621 |
|
|
342,005 |
|
|
|
|
|
|
|
488,955 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
The AES Corp., Term Loan B, 4.25%, 6/01/18 |
|
|
499 |
|
|
479,049 |
|
Texas Competitive Electric Holdings Co., LLC |
|
|
1,481 |
|
|
1,086,926 |
|
|
|
|
|
|
|
1,565,975 |
|
Media 4.2% |
|
|
|
|
|
|
|
Cengage Learning
Acquisitions, Inc. (FKA Thomson |
|
|
728 |
|
|
694,762 |
|
HMH Publishing Co., Ltd., Tranche A Term Loan, |
|
|
425 |
|
|
341,245 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
3,292 |
|
|
3,151,851 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, |
|
|
750 |
|
|
774,375 |
|
|
|
|
|
|
|
4,962,233 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
|
918 |
|
|
908,767 |
|
Paper & Forest Products 0.4% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan, with |
|
|
516 |
|
|
443,860 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), |
|
|
689 |
|
|
669,865 |
|
Real Estate Management & Development 0.2% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan C, |
|
|
41 |
|
|
34,078 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
245 |
|
|
201,934 |
|
|
|
|
|
|
|
236,012 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
61 |
|
|
52,601 |
|
Wireless Telecommunication Services 1.2% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc.: |
|
|
|
|
|
|
|
Initial Loan, 6.88%, 8/11/15 |
|
|
803 |
|
|
806,758 |
|
PIK Term Loan B, 6.25%, 7/11/16 |
|
|
600 |
|
|
603,000 |
|
|
|
|
|
|
|
1,409,758 |
|
Total Floating Rate Loan Interests 16.9% |
|
|
|
|
|
20,047,868 |
|
|
|
|
|
|
|
|
|
Other Interests (i) |
|
|
Beneficial |
|
|
Value |
|
Auto Components 0.4% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. LLP, |
|
USD |
|
(j) |
$ |
502,594 |
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, Inc. |
|
|
5 |
|
|
476 |
|
Total Other Interests 0.4% |
|
|
|
|
|
503,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
Genworth Financial, Inc., 6.15%, 11/15/66 (g) |
|
|
390 |
|
|
234,000 |
|
Total Capital Trusts 0.2% |
|
|
|
|
|
234,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Auto Components 0.1% |
|
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)(b)(f) |
|
|
1,500 |
|
|
168,937 |
|
Automobiles 0.4% |
|
|
|
|
|
|
|
General Motors Co., 4.75% (f) |
|
|
12,200 |
|
|
486,414 |
|
Diversified Financial Services 0.9% |
|
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (b) |
|
|
1,413 |
|
|
1,075,161 |
|
Media 0.2% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
16,138 |
|
|
137,173 |
|
Emmis Communications Corp., Series A, 6.25% |
|
|
10,300 |
|
|
146,981 |
|
|
|
|
|
|
|
284,154 |
|
Real Estate Investment Trusts (REITs) 0.1% |
|
|
|
|
|
|
|
MPG Office Trust, Inc., Series A, 7.63% (a) |
|
|
4,171 |
|
|
66,486 |
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
Fannie Mae, Series O, 7.00% (a) |
|
|
10,000 |
|
|
30,000 |
|
Freddie Mac, Series Z, 8.38% (a)(g) |
|
|
31,930 |
|
|
71,204 |
|
|
|
|
|
|
|
101,204 |
|
Total Preferred Stocks 1.8% |
|
|
|
|
|
2,182,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g) |
|
|
39,980 |
|
|
850,373 |
|
Total Trust Preferreds 0.7% |
|
|
|
|
|
850,373 |
|
Total Preferred Securities 2.7% |
|
|
|
|
|
3,266,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (k) |
|
|
|
|
|
|
|
Media 0.1% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
40,759 |
|
|
104,160 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
167 |
|
|
2 |
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
3,476 |
|
|
|
|
|
|
|
|
|
|
2 |
|
Total Warrants 0.1% |
|
|
|
|
|
104,162 |
|
Total
Long-Term Investments |
|
|
|
|
|
145,193,694 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
60 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Income Shares (HIS) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
Value |
|
||
BlackRock Liquidity Funds, TempFund, |
|
|
822,452 |
|
$ |
822,452 |
|
Total
Short-Term Securities |
|
|
|
|
|
822,452 |
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike Price USD |
|
|
62 |
|
|
13,951 |
|
Total
Options Purchased |
|
|
|
|
|
13,951 |
|
Total Investments (Cost $149,845,177*) 122.9% |
|
|
|
|
|
146,030,097 |
|
Liabilities in Excess of Other Assets (22.9)% |
|
|
|
|
|
(27,221,551 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
118,808,546 |
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
150,023,409 |
|
Gross unrealized appreciation |
|
$ |
3,555,750 |
|
Gross unrealized depreciation |
|
|
(7,549,062 |
) |
Net unrealized depreciation |
|
$ |
(3,993,312 |
) |
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(c) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(d) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(e) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(f) |
Convertible security. |
|
|
(g) |
Variable rate security. Rate shown is as of report date. |
|
|
(h) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(i) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
(j) |
Amount is less than $500. |
|
|
(k) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(l) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
2,032,818 |
|
|
(1,210,366 |
) |
|
822,452 |
|
$ |
818 |
|
|
|
(m) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/ or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
86 |
|
|
S&P
500 |
|
|
Chicago
|
|
|
September |
|
$ |
5,049,894 |
|
$ |
(186,216 |
) |
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||||||||
EUR |
|
|
90,000 |
|
USD |
|
|
129,396 |
|
|
Royal
Bank |
|
|
9/02/11 |
|
$ |
(110 |
) |
USD |
|
|
1,385,351 |
|
GBP |
|
|
867,000 |
|
|
Royal
Bank |
|
|
10/07/11 |
|
|
(21,491 |
) |
USD |
|
|
7,352,621 |
|
EUR |
|
|
5,129,000 |
|
|
Citibank NA |
|
|
10/26/11 |
|
|
(10,137 |
) |
USD |
|
|
408,150 |
|
EUR |
|
|
285,000 |
|
|
Deutsche Bank AG |
|
|
10/26/11 |
|
|
(972 |
) |
USD |
|
|
129,312 |
|
EUR |
|
|
90,000 |
|
|
Royal
Bank |
|
|
10/26/11 |
|
|
115 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(32,595 |
) |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
61 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock High Income Shares (HIS) |
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
$ |
1 |
|
$ |
1,023,120 |
|
$ |
1,023,121 |
|
Corporate Bonds |
|
|
|
|
|
118,444,674 |
|
|
1,804,070 |
|
|
120,248,744 |
|
Floating Rate |
|
|
|
|
|
16,508,702 |
|
|
3,539,166 |
|
|
20,047,868 |
|
Other Interests |
|
|
|
|
|
502,594 |
|
|
476 |
|
|
503,070 |
|
Preferred Securities |
|
$ |
1,651,458 |
|
|
1,478,098 |
|
|
137,173 |
|
|
3,266,729 |
|
Warrants |
|
|
|
|
|
|
|
|
104,162 |
|
|
104,162 |
|
Short-Term |
|
|
822,452 |
|
|
|
|
|
|
|
|
822,452 |
|
Total |
|
$ |
2,473,910 |
|
$ |
136,934,069 |
|
$ |
6,608,167 |
|
$ |
146,016,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
$ |
13,951 |
|
|
|
|
|
|
|
$ |
13,951 |
|
Foreign currency |
|
|
|
|
$ |
115 |
|
|
|
|
|
115 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity contracts |
|
|
(186,216 |
) |
|
|
|
|
|
|
|
(186,216 |
) |
Foreign currency |
|
|
|
|
|
(32,710 |
) |
|
|
|
|
(32,710 |
) |
Total |
|
$ |
(172,265 |
) |
$ |
(32,595 |
) |
|
|
|
$ |
(204,860 |
) |
|
|
|
|
1 |
Derivative financial instruments are financial futures contracts, foreign currency exchange contracts and options. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded
Loan |
|
Total |
|
||||||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
283,463 |
|
$ |
3,070,692 |
|
$ |
5,191,058 |
|
$ |
953 |
|
$ |
417,114 |
|
|
|
|
$ |
(2,026 |
) |
$ |
8,961,254 |
|
Accrued discounts/premiums |
|
|
|
|
|
|
|
|
4,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,806 |
|
Net realized gain (loss) |
|
|
(2,246,360 |
) |
|
570,573 |
|
|
105,461 |
|
|
|
|
|
831,079 |
|
|
|
|
|
|
|
|
(739,247 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
1,464,631 |
|
|
(447,265 |
) |
|
(83,644 |
) |
|
(477 |
) |
|
52,490 |
|
$ |
104,160 |
|
|
2,026 |
|
|
1,091,921 |
|
Purchases |
|
|
1,779,322 |
|
|
36,619 |
|
|
1,775,484 |
|
|
|
|
|
|
|
|
2 |
|
|
|
|
|
3,591,427 |
|
Sales |
|
|
(257,936 |
) |
|
(1,426,706 |
) |
|
(3,501,748 |
) |
|
|
|
|
(1,163,510 |
) |
|
|
|
|
|
|
|
(6,349,900 |
) |
Transfers in3 |
|
|
|
|
|
157 |
|
|
795,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
796,095 |
|
Transfers out3 |
|
|
|
|
|
|
|
|
(748,189 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(748,189 |
) |
Balance, as of August 31, 2011 |
|
$ |
1,023,120 |
|
$ |
1,804,070 |
|
$ |
3,539,166 |
|
$ |
476 |
|
$ |
137,173 |
|
$ |
104,162 |
|
|
|
|
$ |
6,608,167 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $(1,152,386). |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
62 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock High Yield Trust (BHY) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks (a) |
|
Shares |
|
Value |
|
||
Capital Markets 0.1% |
|
|
|
|
|
|
|
E*Trade Financial Corp. |
|
|
4,900 |
|
$ |
60,564 |
|
Paper & Forest Products 0.0% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. |
|
|
2,234 |
|
|
4,562 |
|
Ainsworth Lumber Co. Ltd. (b) |
|
|
2,507 |
|
|
5,120 |
|
|
|
|
|
|
|
9,682 |
|
Software 0.1% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
91 |
|
|
1 |
|
HMH Holdings/EduMedia |
|
|
13,576 |
|
|
27,152 |
|
|
|
|
|
|
|
27,153 |
|
Total Common Stocks 0.2% |
|
|
|
|
|
97,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 1.0% |
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18 (b) |
|
$ |
250 |
|
|
235,000 |
|
Kratos Defense & Security Solutions, Inc., 10.00%, |
|
|
200 |
|
|
205,500 |
|
|
|
|
|
|
|
440,500 |
|
Air Freight & Logistics 0.5% |
|
|
|
|
|
|
|
National Air Cargo Group, Inc.: |
|
|
|
|
|
|
|
Series 1, 12.38%, 9/02/15 |
|
|
112 |
|
|
116,882 |
|
Series 2, 12.38%, 10/08/15 |
|
|
114 |
|
|
118,072 |
|
|
|
|
|
|
|
234,954 |
|
Airlines 1.8% |
|
|
|
|
|
|
|
Air Canada, 9.25%, 8/01/15 (b) |
|
|
150 |
|
|
144,000 |
|
American Airlines, Inc.: |
|
|
|
|
|
|
|
Series 2001-2, 7.86%, 4/01/13 |
|
|
20 |
|
|
20,000 |
|
Series 2011-1-B, 7.00%, 1/31/18 (b) |
|
|
79 |
|
|
68,346 |
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
6.75%, 9/15/15 (b) |
|
|
90 |
|
|
87,750 |
|
Series 2010-1-B, 6.00%, 1/12/19 |
|
|
100 |
|
|
92,500 |
|
US Airways, Pass-Through Trust, 10.88%, 10/22/14 |
|
|
110 |
|
|
107,250 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
246 |
|
|
256,568 |
|
|
|
|
|
|
|
776,414 |
|
Auto Components 2.3% |
|
|
|
|
|
|
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (b) |
|
|
35 |
|
|
32,550 |
|
Delphi Corp., 6.13%, 5/15/21 (b) |
|
|
30 |
|
|
28,950 |
|
Ford Motor Co., 7.45%, 7/16/31 |
|
|
100 |
|
|
109,637 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
650 |
|
|
656,500 |
|
Stanadyne Corp., Series 1, 10.00%, 8/15/14 |
|
|
90 |
|
|
87,300 |
|
Tenneco, Inc., 7.75%, 8/15/18 |
|
|
90 |
|
|
94,050 |
|
|
|
|
|
|
|
1,008,987 |
|
Beverages 0.1% |
|
|
|
|
|
|
|
Cott Beverages, Inc., 8.13%, 9/01/18 |
|
|
43 |
|
|
44,505 |
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
|
61 |
|
|
62,461 |
|
Building Products 1.1% |
|
|
|
|
|
|
|
Building Materials Corp. of America, 6.75%, 5/01/21 (b) |
|
|
250 |
|
|
239,375 |
|
Momentive Performance Materials, Inc.: |
|
|
|
|
|
|
|
11.50%, 12/01/16 |
|
|
80 |
|
|
79,200 |
|
9.00%, 1/15/21 |
|
|
165 |
|
|
141,075 |
|
|
|
|
|
|
|
459,650 |
|
Capital Markets 1.0% |
|
|
|
|
|
|
|
American Capital Ltd., 8.96%, 12/31/13 (c) |
|
|
90 |
|
|
89,368 |
|
E*Trade Financial Corp.: |
|
|
|
|
|
|
|
12.50%, 11/30/17 (b)(d) |
|
|
145 |
|
|
166,750 |
|
Series A, 2.51%, 8/31/19 (e)(f) |
|
|
71 |
|
|
84,845 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Capital Markets (concluded) |
|
|
|
|
|
|
|
KKR Group Finance Co., 6.38%, 9/29/20 (b) |
|
$ |
110 |
|
$ |
117,035 |
|
|
|
|
|
|
|
457,998 |
|
Chemicals 3.3% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
140 |
|
|
137,550 |
|
American Rock Salt Co. LLC, 8.25%, 5/01/18 (b) |
|
|
23 |
|
|
21,333 |
|
Celanese US Holdings LLC, 5.88%, 6/15/21 |
|
|
165 |
|
|
165,412 |
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
65 |
|
|
66,787 |
|
Hexion U.S. Finance Corp.: |
|
|
|
|
|
|
|
8.88%, 2/01/18 |
|
|
85 |
|
|
79,475 |
|
9.00%, 11/15/20 |
|
|
50 |
|
|
43,625 |
|
Huntsman International LLC, 8.63%, 3/15/21 |
|
|
25 |
|
|
26,094 |
|
Ineos Finance Plc, 9.00%, 5/15/15 (b) |
|
|
100 |
|
|
101,250 |
|
Kinove German Bondco GmbH, 9.63%, 6/15/18 (b) |
|
|
200 |
|
|
192,000 |
|
Kraton Polymers LLC, 6.75%, 3/01/19 |
|
|
20 |
|
|
19,200 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
|
255 |
|
|
284,644 |
|
Nexeo Solutions LLC, 8.38%, 3/01/18 (b) |
|
|
30 |
|
|
30,975 |
|
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b) |
|
|
100 |
|
|
99,000 |
|
Omnova Solutions, Inc., 7.88%, 11/01/18 |
|
|
90 |
|
|
78,975 |
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
35 |
|
|
36,050 |
|
TPC Group LLC, 8.25%, 10/01/17 (b) |
|
|
55 |
|
|
56,375 |
|
|
|
|
|
|
|
1,438,745 |
|
Commercial Banks 2.6% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
90 |
|
|
89,550 |
|
7.00%, 5/01/16 |
|
|
385 |
|
|
383,075 |
|
7.00%, 5/01/17 |
|
|
587 |
|
|
579,662 |
|
7.00%, 5/02/17 (b) |
|
|
90 |
|
|
88,875 |
|
|
|
|
|
|
|
1,141,162 |
|
Commercial Services & Supplies 1.7% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
|
125 |
|
|
136,719 |
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
|
10 |
|
|
10,325 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b) |
|
|
190 |
|
|
183,736 |
|
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) |
|
|
85 |
|
|
80,112 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
60 |
|
|
58,350 |
|
RSC Equipment Rental, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/17 (b) |
|
|
100 |
|
|
107,500 |
|
8.25%, 2/01/21 |
|
|
148 |
|
|
138,010 |
|
West Corp., 8.63%, 10/01/18 |
|
|
25 |
|
|
24,375 |
|
|
|
|
|
|
|
739,127 |
|
Communications Equipment 0.6% |
|
|
|
|
|
|
|
Avaya, Inc., 7.00%, 4/01/19 (b) |
|
|
250 |
|
|
225,000 |
|
EH Holding Corp., 7.63%, 6/15/21 (b) |
|
|
20 |
|
|
19,900 |
|
|
|
|
|
|
|
244,900 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Boart Longyear Management Ltd., 7.00%, 4/01/21 (b) |
|
|
35 |
|
|
34,738 |
|
Construction Materials 0.1% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (b) |
|
|
55 |
|
|
52,113 |
|
Consumer Finance 2.3% |
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 |
|
|
120 |
|
|
121,500 |
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (g) |
|
|
110 |
|
|
110,002 |
|
7.00%, 4/15/15 |
|
|
500 |
|
|
533,750 |
|
6.63%, 8/15/17 |
|
|
230 |
|
|
240,786 |
|
|
|
|
|
|
|
1,006,038 |
|
Containers & Packaging 0.5% |
|
|
|
|
|
|
|
Berry Plastics Corp., 8.25%, 11/15/15 |
|
|
25 |
|
|
25,750 |
|
Graphic Packaging International, Inc., 7.88%, 10/01/18 |
|
|
60 |
|
|
63,000 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
110 |
|
|
101,200 |
|
Rock-Tenn Co., 9.25%, 3/15/16 |
|
|
10 |
|
|
10,500 |
|
|
|
|
|
|
|
200,450 |
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
63 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Yield Trust (BHY) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services 5.2% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
8.30%, 2/12/15 |
|
$ |
150 |
|
$ |
157,500 |
|
6.25%, 12/01/17 |
|
|
100 |
|
|
96,192 |
|
8.00%, 3/15/20 |
|
|
300 |
|
|
303,000 |
|
7.50%, 9/15/20 |
|
|
120 |
|
|
117,900 |
|
8.00%, 11/01/31 |
|
|
460 |
|
|
449,650 |
|
8.00%, 11/01/31 |
|
|
140 |
|
|
134,670 |
|
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16 |
|
|
75 |
|
|
78,187 |
|
Leucadia National Corp.: |
|
|
|
|
|
|
|
8.13%, 9/15/15 |
|
|
200 |
|
|
214,750 |
|
7.13%, 3/15/17 |
|
|
110 |
|
|
111,925 |
|
Reynolds Group DL Escrow, Inc., 8.50%, 10/15/16 (b) |
|
|
250 |
|
|
255,625 |
|
Reynolds Group Issuer, Inc. (b): |
|
|
|
|
|
|
|
7.88%, 8/15/19 |
|
|
100 |
|
|
99,000 |
|
6.88%, 2/15/21 |
|
|
65 |
|
|
60,450 |
|
8.25%, 2/15/21 |
|
|
110 |
|
|
92,675 |
|
WMG Acquisition Corp. (b): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
20 |
|
|
20,400 |
|
11.50%, 10/01/18 |
|
|
95 |
|
|
86,450 |
|
|
|
|
|
|
|
2,278,374 |
|
Diversified Telecommunication Services 4.4% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., 11.38%, 9/01/12 |
|
|
195 |
|
|
167,700 |
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (b) |
|
|
520 |
|
|
494,000 |
|
Level 3 Financing, Inc., 8.75%, 2/15/17 |
|
|
15 |
|
|
14,700 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
685 |
|
|
693,562 |
|
8.00%, 10/01/15 |
|
|
200 |
|
|
213,500 |
|
Series B, 7.50%, 2/15/14 |
|
|
270 |
|
|
273,375 |
|
Windstream Corp.: |
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
25 |
|
|
26,563 |
|
7.88%, 11/01/17 |
|
|
55 |
|
|
57,819 |
|
|
|
|
|
|
|
1,941,219 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC, 8.00%, 12/15/18 (b) |
|
|
190 |
|
|
188,100 |
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
|
40 |
|
|
45,100 |
|
|
|
|
|
|
|
233,200 |
|
Energy Equipment & Services 1.6% |
|
|
|
|
|
|
|
Antero Resources Finance Corp., 7.25%, 8/01/19 (b) |
|
|
25 |
|
|
24,313 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (b) |
|
|
40 |
|
|
38,800 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
65 |
|
|
65,325 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (b) |
|
|
75 |
|
|
72,750 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (b) |
|
|
190 |
|
|
196,650 |
|
Key Energy Services, Inc., 6.75%, 3/01/21 |
|
|
75 |
|
|
73,500 |
|
MEG Energy Corp., 6.50%, 3/15/21 (b) |
|
|
95 |
|
|
95,000 |
|
Oil States International, Inc., 6.50%, 6/01/19 (b) |
|
|
50 |
|
|
50,000 |
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (b) |
|
|
35 |
|
|
34,387 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
61 |
|
|
64,050 |
|
|
|
|
|
|
|
714,775 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Blue Merger Sub, Inc., 7.63%, 2/15/19 (b) |
|
|
90 |
|
|
89,325 |
|
Darling International, Inc., 8.50%, 12/15/18 |
|
|
40 |
|
|
43,300 |
|
JBS USA LLC, 7.25%, 6/01/21 (b) |
|
|
15 |
|
|
13,631 |
|
Smithfield Foods, Inc., 10.00%, 7/15/14 |
|
|
6 |
|
|
6,780 |
|
|
|
|
|
|
|
153,036 |
|
Health Care Equipment & Supplies 1.4% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
385 |
|
|
397,994 |
|
7.75%, 4/15/18 (b) |
|
|
20 |
|
|
18,600 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (b) |
|
|
46 |
|
|
43,355 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Health Care Equipment & Supplies (concluded) |
|
|
|
|
|
|
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) |
|
$ |
80 |
|
$ |
89,200 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
50 |
|
|
49,625 |
|
|
|
|
|
|
|
598,774 |
|
Health Care Providers & Services 6.0% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
65 |
|
|
64,675 |
|
ConvaTec Healthcare E SA, 10.50%, 12/15/18 (b) |
|
|
200 |
|
|
182,000 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
|
65 |
|
|
70,850 |
|
6.50%, 2/15/20 |
|
|
205 |
|
|
207,306 |
|
7.88%, 2/15/20 |
|
|
100 |
|
|
106,000 |
|
7.25%, 9/15/20 |
|
|
455 |
|
|
467,513 |
|
7.50%, 2/15/22 |
|
|
215 |
|
|
212,850 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (b) |
|
|
125 |
|
|
109,375 |
|
INC Research LLC, 11.50%, 7/15/19 (b) |
|
|
70 |
|
|
64,750 |
|
inVentiv Health, Inc., 10.00%, 8/15/18 (b) |
|
|
70 |
|
|
63,175 |
|
Omnicare, Inc.: |
|
|
|
|
|
|
|
6.88%, 12/15/15 |
|
|
77 |
|
|
78,540 |
|
7.75%, 6/01/20 |
|
|
105 |
|
|
107,100 |
|
Symbion, Inc., 8.00%, 6/15/16 (b) |
|
|
55 |
|
|
51,150 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
259 |
|
|
274,540 |
|
10.00%, 5/01/18 |
|
|
279 |
|
|
306,900 |
|
8.88%, 7/01/19 |
|
|
245 |
|
|
259,700 |
|
|
|
|
|
|
|
2,626,424 |
|
Health Care Technology 1.3% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (b) |
|
|
410 |
|
|
471,500 |
|
MedAssets, Inc., 8.00%, 11/15/18 (b) |
|
|
90 |
|
|
86,850 |
|
|
|
|
|
|
|
558,350 |
|
Hotels, Restaurants & Leisure 1.8% |
|
|
|
|
|
|
|
Diamond Resorts Corp., 12.00%, 8/15/18 |
|
|
200 |
|
|
194,000 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) |
|
|
30 |
|
|
25,575 |
|
MGM Mirage, 13.00%, 11/15/13 |
|
|
25 |
|
|
28,656 |
|
MGM Resorts International, 10.38%, 5/15/14 |
|
|
465 |
|
|
510,337 |
|
Travelport LLC: |
|
|
|
|
|
|
|
4.88%, 9/01/14 (g) |
|
|
20 |
|
|
15,250 |
|
9.88%, 9/01/14 |
|
|
5 |
|
|
4,263 |
|
Tropicana Entertainment LLC, Series WI, 9.63%, |
|
|
25 |
|
|
3 |
|
|
|
|
|
|
|
778,084 |
|
Household Durables 2.0% |
|
|
|
|
|
|
|
Ashton Woods USA LLC, 0.00%, 6/30/15 (b)(i) |
|
|
145 |
|
|
104,037 |
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
50 |
|
|
35,250 |
|
12.00%, 10/15/17 |
|
|
40 |
|
|
40,600 |
|
9.13%, 6/15/18 |
|
|
105 |
|
|
72,844 |
|
Jarden Corp., 8.00%, 5/01/16 |
|
|
40 |
|
|
42,650 |
|
Ryland Group, Inc., 6.63%, 5/01/20 |
|
|
100 |
|
|
86,000 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
300 |
|
|
297,000 |
|
8.38%, 5/15/18 |
|
|
40 |
|
|
35,100 |
|
8.38%, 1/15/21 |
|
|
100 |
|
|
86,000 |
|
United Rentals North America, Inc., 8.38%, 9/15/20 |
|
|
70 |
|
|
63,875 |
|
|
|
|
|
|
|
863,356 |
|
IT Services 2.1% |
|
|
|
|
|
|
|
First Data Corp. (b): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
145 |
|
|
136,300 |
|
8.88%, 8/15/20 |
|
|
90 |
|
|
89,100 |
|
12.63%, 1/15/21 |
|
|
331 |
|
|
312,795 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
64 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Yield Trust (BHY) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
IT Services (concluded) |
|
|
|
|
|
|
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
10.63%, 5/15/15 |
|
$ |
100 |
|
$ |
106,000 |
|
7.38%, 11/15/18 |
|
|
170 |
|
|
161,925 |
|
7.63%, 11/15/20 |
|
|
100 |
|
|
95,500 |
|
|
|
|
|
|
|
901,620 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (b) |
|
|
145 |
|
|
146,450 |
|
Calpine Corp. (b): |
|
|
|
|
|
|
|
7.50%, 2/15/21 |
|
|
35 |
|
|
35,350 |
|
7.88%, 1/15/23 |
|
|
105 |
|
|
107,100 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
575 |
|
|
577,226 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
28 |
|
|
28,248 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (b) |
|
|
360 |
|
|
356,400 |
|
|
|
|
|
|
|
1,250,774 |
|
Industrial Conglomerates 2.3% |
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
350 |
|
|
364,000 |
|
13.50%, 12/01/15 |
|
|
586 |
|
|
620,924 |
|
|
|
|
|
|
|
984,924 |
|
Insurance 0.6% |
|
|
|
|
|
|
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (b) |
|
|
61 |
|
|
63,440 |
|
Genworth Financial, Inc., 7.63%, 9/24/21 |
|
|
70 |
|
|
62,127 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) |
|
|
40 |
|
|
38,400 |
|
USI Holdings Corp., 4.16%, 11/15/14 (b)(g) |
|
|
100 |
|
|
89,500 |
|
|
|
|
|
|
|
253,467 |
|
Machinery 1.2% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
170 |
|
|
148,963 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (e) |
|
|
260 |
|
|
286,975 |
|
8.25%, 11/01/21 |
|
|
50 |
|
|
51,750 |
|
Oshkosh Corp., 8.25%, 3/01/17 |
|
|
10 |
|
|
10,275 |
|
SPX Corp., 6.88%, 9/01/17 |
|
|
30 |
|
|
31,275 |
|
|
|
|
|
|
|
529,238 |
|
Media 12.3% |
|
|
|
|
|
|
|
AMC Entertainment, Inc., 9.75%, 12/01/20 |
|
|
25 |
|
|
24,125 |
|
AMC Networks, Inc., 7.75%, 7/15/21 (b) |
|
|
40 |
|
|
41,400 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
130 |
|
|
115,050 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
179 |
|
|
206,170 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 |
|
|
23 |
|
|
21,850 |
|
CSC Holdings, Inc., 8.50%, 4/15/14 |
|
|
80 |
|
|
86,600 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
110 |
|
|
84,700 |
|
Checkout Holding Corp., 10.67%, 11/15/15 (b)(f) |
|
|
110 |
|
|
64,900 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b) |
|
|
65 |
|
|
70,037 |
|
Clear Channel Communications, Inc., 9.00%, 3/01/21 |
|
|
90 |
|
|
72,450 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
251 |
|
|
266,060 |
|
Series B, 9.25%, 12/15/17 |
|
|
946 |
|
|
1,012,220 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
126 |
|
|
130,015 |
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
144 |
|
|
148,645 |
|
Shares Loan, 12.00%, 8/15/18 |
|
|
149 |
|
|
153,306 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (b) |
|
|
25 |
|
|
21,938 |
|
DISH DBS Corp.: |
|
|
|
|
|
|
|
7.00%, 10/01/13 |
|
|
40 |
|
|
41,950 |
|
6.75%, 6/01/21 (b) |
|
|
200 |
|
|
201,500 |
|
Gannett Co., Inc., 10.00%, 4/01/16 |
|
|
60 |
|
|
66,000 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
250 |
|
|
241,250 |
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
6.00%, 5/15/15 (g) |
|
|
50 |
|
|
37,250 |
|
9.50%, 5/15/15 |
|
|
45 |
|
|
36,675 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
$ |
170 |
|
$ |
177,650 |
|
11.25%, 2/04/17 |
|
|
20 |
|
|
19,400 |
|
11.50%, 2/04/17 (d) |
|
|
60 |
|
|
58,275 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
170 |
|
|
180,200 |
|
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17 |
|
|
55 |
|
|
63,250 |
|
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) |
|
|
125 |
|
|
120,312 |
|
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b) |
|
|
105 |
|
|
106,050 |
|
The New York Times Co., 6.63%, 12/15/16 |
|
|
225 |
|
|
226,406 |
|
Nielsen Finance LLC, 7.75%, 10/15/18 |
|
|
600 |
|
|
619,500 |
|
ProQuest LLC, 9.00%, 10/15/18 (b) |
|
|
85 |
|
|
83,300 |
|
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h) |
|
|
414 |
|
|
207 |
|
Regal Entertainment Group, 9.13%, 8/15/18 |
|
|
55 |
|
|
55,550 |
|
UPC Holding BV, 9.88%, 4/15/18 (b) |
|
|
100 |
|
|
104,500 |
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC |
|
|
400 |
|
|
408,000 |
|
|
|
|
|
|
|
5,366,691 |
|
Metals & Mining 3.0% |
|
|
|
|
|
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (b) |
|
|
45 |
|
|
46,013 |
|
7.38%, 2/15/16 |
|
|
35 |
|
|
35,525 |
|
FMG Resources August 2006 Property Ltd., |
|
|
205 |
|
|
204,487 |
|
Goldcorp, Inc., 2.00%, 8/01/14 (e) |
|
|
85 |
|
|
111,881 |
|
JMC Steel Group, 8.25%, 3/15/18 (b) |
|
|
35 |
|
|
34,213 |
|
James River Escrow, Inc., 7.88%, 4/01/19 (b) |
|
|
35 |
|
|
31,675 |
|
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e) |
|
|
90 |
|
|
130,725 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
585 |
|
|
615,712 |
|
Taseko Mines Ltd., 7.75%, 4/15/19 |
|
|
55 |
|
|
52,113 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
32 |
|
|
31,517 |
|
|
|
|
|
|
|
1,293,861 |
|
Multiline Retail 2.4% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (d) |
|
|
929 |
|
|
1,028,867 |
|
Oil, Gas & Consumable Fuels 9.0% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
60 |
|
|
58,650 |
|
6.25%, 6/01/21 |
|
|
160 |
|
|
156,600 |
|
Arch Coal, Inc.: |
|
|
|
|
|
|
|
7.25%, 10/01/20 |
|
|
55 |
|
|
54,175 |
|
7.25%, 6/15/21 (b) |
|
|
140 |
|
|
137,900 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
80 |
|
|
82,600 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
5 |
|
|
5,488 |
|
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 |
|
|
20 |
|
|
20,400 |
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
76 |
|
|
79,420 |
|
6.13%, 2/15/21 |
|
|
90 |
|
|
91,350 |
|
2.25%, 12/15/38 (e) |
|
|
125 |
|
|
111,250 |
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (b) |
|
|
45 |
|
|
47,700 |
|
Concho Resources, Inc., 7.00%, 1/15/21 |
|
|
70 |
|
|
71,750 |
|
Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (b) |
|
|
60 |
|
|
48,600 |
|
Consol Energy, Inc., 8.25%, 4/01/20 |
|
|
330 |
|
|
354,750 |
|
Continental Resources, Inc., 7.13%, 4/01/21 |
|
|
60 |
|
|
61,800 |
|
Copano Energy LLC, 7.13%, 4/01/21 |
|
|
55 |
|
|
54,725 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
30 |
|
|
31,050 |
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
|
119 |
|
|
125,396 |
|
6.38%, 8/15/21 |
|
|
60 |
|
|
58,800 |
|
EV Energy Partners LP, 8.00%, 4/15/19 (b) |
|
|
25 |
|
|
24,500 |
|
Energy XXI Gulf Coast, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
70 |
|
|
71,750 |
|
7.75%, 6/15/19 |
|
|
150 |
|
|
141,000 |
|
Forbes Energy Services Ltd., 9.00%, 6/15/19 (b) |
|
|
60 |
|
|
57,150 |
|
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) |
|
|
130 |
|
|
131,300 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
65 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Yield Trust (BHY) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Linn Energy LLC: |
|
|
|
|
|
|
|
6.50%, 5/15/19 (b) |
|
$ |
40 |
|
$ |
38,200 |
|
8.63%, 4/15/20 |
|
|
50 |
|
|
53,500 |
|
7.75%, 2/01/21 (b) |
|
|
165 |
|
|
168,300 |
|
MarkWest Energy Partners LP, 6.75%, 11/01/20 |
|
|
25 |
|
|
25,625 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
315 |
|
|
318,150 |
|
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (b) |
|
|
700 |
|
|
701,750 |
|
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b) |
|
|
55 |
|
|
53,900 |
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
65 |
|
|
73,450 |
|
7.88%, 6/01/15 |
|
|
15 |
|
|
16,200 |
|
7.25%, 8/15/18 |
|
|
55 |
|
|
64,144 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
15 |
|
|
16,248 |
|
Precision Drilling Corp., 6.50%, 12/15/21 (b) |
|
|
45 |
|
|
45,000 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
25 |
|
|
27,187 |
|
5.75%, 6/01/21 |
|
|
55 |
|
|
55,275 |
|
SM Energy Co., 6.63%, 2/15/19 (b) |
|
|
45 |
|
|
45,000 |
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (b) |
|
|
160 |
|
|
156,000 |
|
|
|
|
|
|
|
3,936,033 |
|
Paper & Forest Products 2.5% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d) |
|
|
21 |
|
|
14,891 |
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
20 |
|
|
21,250 |
|
8.00%, 4/01/20 |
|
|
30 |
|
|
30,675 |
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
70 |
|
|
76,650 |
|
7.13%, 11/01/18 |
|
|
95 |
|
|
95,475 |
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
285 |
|
|
325,472 |
|
Longview Fibre Paper & Packaging, Inc., 8.00%, |
|
|
55 |
|
|
54,450 |
|
NewPage Corp., 11.38%, 12/31/14 (a)(h) |
|
|
365 |
|
|
321,200 |
|
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) |
|
|
25 |
|
|
22,250 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
135 |
|
|
143,100 |
|
|
|
|
|
|
|
1,105,413 |
|
Pharmaceuticals 0.6% |
|
|
|
|
|
|
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
|
30 |
|
|
30,375 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
225 |
|
|
213,750 |
|
|
|
|
|
|
|
244,125 |
|
Professional Services 0.6% |
|
|
|
|
|
|
|
FTI Consulting, Inc.: |
|
|
|
|
|
|
|
7.75%, 10/01/16 |
|
|
100 |
|
|
101,750 |
|
6.75%, 10/01/20 |
|
|
150 |
|
|
147,938 |
|
|
|
|
|
|
|
249,688 |
|
Real Estate Investment Trusts (REITs) 0.2% |
|
|
|
|
|
|
|
The Rouse Co. LP, 6.75%, 11/09/15 |
|
|
85 |
|
|
86,063 |
|
Real Estate Management & Development 1.6% |
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 6.63%, 10/15/20 |
|
|
55 |
|
|
53,762 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
11.50%, 4/15/17 (i) |
|
|
165 |
|
|
131,175 |
|
12.00%, 4/15/17 (i) |
|
|
15 |
|
|
12,000 |
|
7.88%, 2/15/19 (b) |
|
|
435 |
|
|
361,050 |
|
Shea Homes LP, 8.63%, 5/15/19 (b) |
|
|
185 |
|
|
156,325 |
|
|
|
|
|
|
|
714,312 |
|
Road & Rail 1.6% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC: |
|
|
|
|
|
|
|
9.63%, 3/15/18 |
|
|
85 |
|
|
86,913 |
|
8.25%, 1/15/19 |
|
|
130 |
|
|
125,775 |
|
Florida East Coast Railway Corp., 8.13%, 2/01/17 (b) |
|
|
80 |
|
|
79,600 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Road & Rail (concluded) |
|
|
|
|
|
|
|
The Hertz Corp. (b): |
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
$ |
150 |
|
$ |
147,000 |
|
6.75%, 4/15/19 |
|
|
70 |
|
|
65,275 |
|
7.38%, 1/15/21 |
|
|
195 |
|
|
186,225 |
|
|
|
|
|
|
|
690,788 |
|
Semiconductors & Semiconductor Equipment 0.1% |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (b) |
|
|
50 |
|
|
50,000 |
|
Specialty Retail 1.7% |
|
|
|
|
|
|
|
Asbury Automotive Group, Inc.: |
|
|
|
|
|
|
|
7.63%, 3/15/17 |
|
|
60 |
|
|
59,250 |
|
8.38%, 11/15/20 |
|
|
60 |
|
|
58,950 |
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
|
140 |
|
|
157,675 |
|
QVC, Inc. (b): |
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
|
40 |
|
|
41,800 |
|
7.50%, 10/01/19 |
|
|
100 |
|
|
107,750 |
|
7.38%, 10/15/20 |
|
|
35 |
|
|
37,625 |
|
Sonic Automotive, Inc., 9.00%, 3/15/18 |
|
|
65 |
|
|
65,975 |
|
Toys R US-Delaware, Inc., 7.38%, 9/01/16 (b) |
|
|
70 |
|
|
67,900 |
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
165 |
|
|
167,062 |
|
|
|
|
|
|
|
763,987 |
|
Wireless Telecommunication Services 2.8% |
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
95 |
|
|
98,206 |
|
7.75%, 5/15/16 |
|
|
250 |
|
|
253,125 |
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
9.13%, 1/15/15 |
|
|
294 |
|
|
294,000 |
|
8.25%, 9/01/17 |
|
|
230 |
|
|
230,000 |
|
iPCS, Inc., 2.38%, 5/01/13 (g) |
|
|
110 |
|
|
102,025 |
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
|
20 |
|
|
20,275 |
|
6.63%, 11/15/20 |
|
|
120 |
|
|
112,200 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
130 |
|
|
116,350 |
|
|
|
|
|
|
|
1,226,181 |
|
Total Corporate Bonds 91.1% |
|
|
|
|
|
39,764,366 |
|
|
|||||||
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
|
|
|
|
|
|
Airlines 0.3% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, |
|
|
150 |
|
|
138,251 |
|
Building Products 0.1% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
25 |
|
|
25,125 |
|
Commercial Services & Supplies 0.8% |
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, Term Loan B, |
|
|
115 |
|
|
110,786 |
|
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 |
|
|
100 |
|
|
99,333 |
|
Volume Services America, Inc. (FKA Centerplate), |
|
|
164 |
|
|
156,666 |
|
|
|
|
|
|
|
366,785 |
|
Construction & Engineering 0.6% |
|
|
|
|
|
|
|
Safway Services LLC, Last Out Term Loan, 7.25%, |
|
|
250 |
|
|
250,000 |
|
Consumer Finance 1.8% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
850 |
|
|
787,313 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
66 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Yield Trust (BHY) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Delayed Draw Term Loan, 2.72%, 7/24/14 |
|
$ |
1 |
|
$ |
1,255 |
|
Term Loan, 2.73%, 7/24/14 |
|
|
14 |
|
|
12,601 |
|
|
|
|
|
|
|
13,856 |
|
Diversified Telecommunication Services 0.2% |
|
|
|
|
|
|
|
Level 3 Financing, Inc., Incremental Tranche A Term |
|
|
75 |
|
|
69,300 |
|
Energy Equipment & Services 2.1% |
|
|
|
|
|
|
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal Co. Term Loan, 9.25%, 8/04/16 |
|
|
336 |
|
|
324,197 |
|
Gas Co. Term Loan, 9.25%, 8/04/16 |
|
|
614 |
|
|
603,582 |
|
|
|
|
|
|
|
927,779 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
135 |
|
|
132,300 |
|
Health Care Providers & Services 0.7% |
|
|
|
|
|
|
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, 3/02/15 |
|
|
87 |
|
|
85,169 |
|
Tranche A Term Loan, 8.50%, 3/02/15 |
|
|
74 |
|
|
72,064 |
|
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term |
|
|
178 |
|
|
167,966 |
|
|
|
|
|
|
|
325,199 |
|
Hotels, Restaurants & Leisure 0.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term Loan |
|
|
64 |
|
|
55,106 |
|
Travelport LLC (FKA Travelport, Inc.), Term Loan, 8.29%, |
|
|
220 |
|
|
121,487 |
|
|
|
|
|
|
|
176,593 |
|
Independent Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (FKA TXU), |
|
|
506 |
|
|
371,330 |
|
Media 4.4% |
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
243 |
|
|
231,588 |
|
HMH Publishing Co., Ltd., Tranche A Term Loan, 6.21%, |
|
|
146 |
|
|
117,190 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
1,247 |
|
|
1,193,883 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 |
|
|
375 |
|
|
387,187 |
|
|
|
|
|
|
|
1,929,848 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
|
331 |
|
|
328,121 |
|
Paper & Forest Products 0.4% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan, with |
|
|
220 |
|
|
188,877 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, |
|
|
254 |
|
|
246,792 |
|
Real Estate Management & Development 0.3% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan C, 4.44%, |
|
|
21 |
|
|
17,039 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
123 |
|
|
100,967 |
|
|
|
|
|
|
|
118,006 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
24 |
|
|
21,062 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
Wireless Telecommunication Services 1.2% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc.: |
|
|
|
|
|
|
|
Initial Loan, 6.88%, 8/11/15 |
|
$ |
268 |
|
$ |
268,920 |
|
PIK Term Loan B, 6.25%, 7/11/16 |
|
|
250 |
|
|
251,250 |
|
|
|
|
|
|
|
520,170 |
|
Total Floating Rate Loan Interests 15.9% |
|
|
|
|
|
6,936,707 |
|
|
|
|
|
|
|
|
|
Other Interests (j) |
|
|
|
|
|
|
|
Auto Components 2.3% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. LLP, Class B |
|
|
|
(k) |
|
992,606 |
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, Inc. |
|
|
5 |
|
|
477 |
|
Total Other Interests 2.3% |
|
|
|
|
|
993,083 |
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
|
|
|
|
|
|
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, 11/15/66 (g) |
|
|
145 |
|
|
87,000 |
|
Total Capital Trusts 0.2% |
|
|
|
|
|
87,000 |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
|
|
|
|
|
Automobiles 0.4% |
|
|
|
|
|
|
|
General Motors Co., 4.75% (e) |
|
|
4,240 |
|
|
169,049 |
|
Media 0.1% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
5,410 |
|
|
45,985 |
|
Total Preferred Stocks 0.5% |
|
|
|
|
|
215,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.7% |
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g) |
|
|
13,800 |
|
|
294,497 |
|
Total Trust Preferreds 0.7% |
|
|
|
|
|
294,497 |
|
Total Preferred Securities 1.4% |
|
|
|
|
|
596,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 0.0% |
|
|
|
|
|
|
|
NEON Communications, Inc. (Expires 12/02/12) |
|
|
53,622 |
|
|
1 |
|
Media 0.1% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
13,665 |
|
|
34,920 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (Expires 9/29/17) |
|
|
61 |
|
|
1 |
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
1,184 |
|
|
|
|
|
|
|
|
|
|
1 |
|
Total Warrants 0.1% |
|
|
|
|
|
34,922 |
|
Total
Long-Term Investments |
|
|
|
|
|
48,423,008 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
67 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock High Yield Trust (BHY) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
Value |
|
||
BlackRock Liquidity Funds, TempFund, |
|
|
421,345 |
|
$ |
421,345 |
|
Total
Short-Term Securities |
|
|
|
|
|
421,345 |
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
|
|
|
|
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, Strike Price |
|
|
3 |
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
|
|
Total Investments (Cost $48,912,716*) 111.9% |
|
|
|
|
|
48,844,353 |
|
Liabilities in Excess of Other Assets (11.9)% |
|
|
|
|
|
(5,200,115 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
43,644,238 |
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
48,957,922 |
|
Gross unrealized appreciation |
|
$ |
1,588,167 |
|
Gross unrealized depreciation |
|
|
(1,701,736 |
) |
Net unrealized depreciation |
|
$ |
(113,569 |
) |
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(c) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
(d) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(e) |
Convertible security. |
|
|
(f) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(g) |
Variable rate security. Rate shown is as of report date. |
|
|
(h) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(i) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
(k) |
Amount is less than $500. |
|
|
(l) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(m) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
1,573,222 |
|
|
(1,151,877 |
) |
|
421,345 |
|
$ |
2,303 |
|
|
|
(n) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
K. Hovnanian |
|
|
5.00 |
% |
|
JPMorgan |
|
|
12/20/15 |
|
$ |
125 |
|
$ |
28,582 |
|
Republic of Hungary |
|
|
1.00 |
% |
|
Deutsche |
|
|
12/20/15 |
|
$ |
50 |
|
|
1,057 |
|
|
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
Israel (State of) |
|
|
1.00 |
% |
|
Deutsche |
|
|
3/20/16 |
|
$ |
100 |
|
|
(1,029 |
) |
|
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
The New York |
|
|
1.00 |
% |
|
Barclays |
|
|
12/20/16 |
|
$ |
225 |
|
|
4,581 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
33,191 |
|
|
|
|
Credit default swaps on traded indexes sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
Unrealized |
|
||||||
Dow Jones |
|
|
5.00 |
% |
|
Credit
Suisse |
|
|
6/20/16 |
|
|
B+ |
|
$ |
1,500 |
|
$ |
52,312 |
|
Dow Jones |
|
|
5.00 |
% |
|
Deutsche |
|
|
6/20/16 |
|
|
B+ |
|
$ |
1,500 |
|
|
46,703 |
|
CDX North |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
|
|
America High |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield Index |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
99,015 |
|
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
|
|
|
|
Total return swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate |
|
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
3.11% |
|
|
Bank of America NA |
|
|
8/02/21 |
|
$ |
315 |
|
$ |
2,679 |
(a) |
3.09% |
|
|
Deutsche Bank AG |
|
|
8/03/21 |
|
$ |
240 |
|
|
1,829 |
(a) |
3.15% |
|
|
Credit
Suisse |
|
|
8/11/21 |
|
$ |
240 |
|
|
2,465 |
(a) |
3.11% |
|
|
Deutsche Bank AG |
|
|
8/11/21 |
|
$ |
240 |
|
|
2,039 |
(a) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
9,012 |
|
|
|
|
|
(a) |
Based on the change in the return of the Consumer Price Index for All Urban Consumers. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
68 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock High Yield Trust (BHY) |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
|
|
|
|
|
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
65,127 |
|
$ |
5,120 |
|
$ |
27,152 |
|
$ |
97,399 |
|
Corporate Bonds |
|
|
|
|
|
39,075,386 |
|
|
688,980 |
|
|
39,764,366 |
|
Floating Rate |
|
|
|
|
|
5,293,996 |
|
|
1,642,711 |
|
|
6,936,707 |
|
Other Interests |
|
|
|
|
|
992,606 |
|
|
477 |
|
|
993,083 |
|
Preferred Securities |
|
|
463,546 |
|
|
87,000 |
|
|
45,985 |
|
|
596,531 |
|
Warrants |
|
|
|
|
|
|
|
|
34,922 |
|
|
34,922 |
|
Short-Term Securities |
|
|
421,345 |
|
|
|
|
|
|
|
|
421,345 |
|
Total |
|
$ |
950,018 |
|
$ |
45,454,108 |
|
$ |
2,440,227 |
|
$ |
48,844,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
133,235 |
|
|
|
|
$ |
133,235 |
|
Other contracts |
|
|
|
|
|
9,012 |
|
|
|
|
|
9,012 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(1,029 |
) |
|
|
|
|
(1,029 |
) |
Total |
|
|
|
|
$ |
141,218 |
|
|
|
|
$ |
141,218 |
|
|
|
|
|
1 |
Derivative financial instruments are swaps and options. Swaps are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded
Loan |
|
Total |
|
||||||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
86,010 |
|
$ |
1,514,877 |
|
$ |
1,544,738 |
|
$ |
953 |
|
$ |
85,806 |
|
$ |
1 |
|
$ |
(4,001 |
) |
$ |
3,228,384 |
|
Accrued discounts/premiums |
|
|
|
|
|
1,034 |
|
|
(445 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
589 |
|
Net realized gain (loss) |
|
|
(429,037 |
) |
|
(1,396,958 |
) |
|
24,042 |
|
|
|
|
|
170,964 |
|
|
|
|
|
|
|
|
(1,630,989 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
418,558 |
|
|
1,466,898 |
|
|
(17,028 |
) |
|
(476 |
) |
|
28,565 |
|
|
34,920 |
|
|
4,001 |
|
|
1,935,438 |
|
Purchases |
|
|
|
|
|
14,649 |
|
|
673,009 |
|
|
|
|
|
|
|
|
1 |
|
|
|
|
|
687,659 |
|
Sales |
|
|
(48,379 |
) |
|
(911,538 |
) |
|
(694,866 |
) |
|
|
|
|
(239,350 |
) |
|
|
|
|
|
|
|
(1,894,133 |
) |
Transfers in3 |
|
|
|
|
|
18 |
|
|
397,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
397,987 |
|
Transfers out3 |
|
|
|
|
|
|
|
|
(284,708 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(284,708 |
) |
Balance, as of August 31, 2011 |
|
$ |
27,152 |
|
$ |
688,980 |
|
$ |
1,642,711 |
|
$ |
477 |
|
$ |
45,985 |
|
$ |
34,922 |
|
|
|
|
$ |
2,440,227 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $(65,209). |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
69 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Asset-Backed Securities 5.8% |
|
|
|
|
|
|
|
321 Henderson Receivables I LLC, |
|
USD |
844 |
|
$ |
842,195 |
|
Capital One Multi-Asset Execution Trust,
Series |
|
|
350 |
|
|
349,462 |
|
Citibank Omni Master Trust (a): |
|
|
|
|
|
|
|
Series 2009-A13, Class A13, 5.35%, 8/15/18 |
|
|
795 |
|
|
875,715 |
|
Series 2009-A17, Class A17, 4.90%, |
|
|
2,295 |
|
|
2,507,816 |
|
Credit Acceptance Auto Loan Trust, Series
2010-1, |
|
|
1,970 |
|
|
1,975,911 |
|
DT Auto Owner Trust, Series 2011-2A, Class
C, |
|
|
1,500 |
|
|
1,506,067 |
|
Globaldrive BV, Series 2008-2, Class A,
4.00%, |
|
EUR |
396 |
|
|
574,151 |
|
Home Equity Asset Trust, Series 2007-2,
Class 2A1, |
|
USD |
187 |
|
|
180,328 |
|
Nelnet Student Loan Trust, Series 2006-1,
Class A5, |
|
|
1,060 |
|
|
982,103 |
|
SLM Student Loan Trust (b): |
|
|
|
|
|
|
|
Series 2004-B, Class A2, 0.45%, 6/15/21 |
|
|
240 |
|
|
232,827 |
|
Series 2008-5, Class A3, 1.55%, 1/25/18 |
|
|
525 |
|
|
535,591 |
|
Series 2008-5, Class A4, 1.95%, 7/25/23 |
|
|
2,765 |
|
|
2,860,101 |
|
Santander Consumer Acquired Receivables Trust (a): |
|
|
|
|
|
|
|
Series 2011-S1A, Class B, 1.66%, 8/15/16 |
|
|
683 |
|
|
678,852 |
|
Series 2011-S1A, Class C, 2.01%, 8/15/16 |
|
|
525 |
|
|
521,866 |
|
Series 2011-S1A, Class D, 3.15%, 8/15/16 |
|
|
532 |
|
|
528,844 |
|
Series 2011-WO, Class C, 3.19%, 10/15/15 |
|
|
575 |
|
|
583,970 |
|
Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
Series 2010-2, Class B, 2.24%, 12/15/14 |
|
|
870 |
|
|
873,453 |
|
Series 2010-2, Class C, 3.89%, 7/17/17 |
|
|
1,020 |
|
|
1,041,393 |
|
Series 2010-B, Class B, 2.10%, 9/15/14 (a) |
|
|
700 |
|
|
701,264 |
|
Series 2010-B, Class C, 3.02%, 10/17/16 (a) |
|
|
735 |
|
|
735,294 |
|
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a) |
|
|
461 |
|
|
457,990 |
|
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a) |
|
|
502 |
|
|
499,629 |
|
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a) |
|
|
1,186 |
|
|
1,181,048 |
|
Small Business Administration Participation |
|
|
260 |
|
|
283,328 |
|
|
|
|
|
|
|
21,509,198 |
|
Interest Only Asset-Backed Securities 0.2% |
|
|
|
|
|
|
|
Sterling Bank Trust, Series 2004-2, Class
Note, |
|
|
4,615 |
|
|
361,972 |
|
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 |
|
|
6,606 |
|
|
524,361 |
|
|
|
|
|
|
|
886,333 |
|
Total Asset-Backed Securities 6.0% |
|
|
|
|
|
22,395,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
|
|
|
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (c) |
|
|
152 |
|
|
1 |
|
Total Common Stocks 0.0% |
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
United Technologies Corp.: |
|
|
|
|
|
|
|
4.88%, 5/01/15 |
|
USD |
1,250 |
|
|
1,418,332 |
|
6.13%, 7/15/38 |
|
|
750 |
|
|
909,034 |
|
|
|
|
|
|
|
2,327,366 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Airlines 0.4% |
|
|
|
|
|
|
|
Continental Airlines, Inc., Series
2010-1-B, 6.00%, |
|
USD |
700 |
|
$ |
647,500 |
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
786 |
|
|
821,019 |
|
|
|
|
|
|
|
1,468,519 |
|
Auto Components 0.4% |
|
|
|
|
|
|
|
BorgWarner, Inc., 4.63%, 9/15/20 |
|
|
265 |
|
|
281,153 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
1,000 |
|
|
1,010,000 |
|
|
|
|
|
|
|
1,291,153 |
|
Capital Markets 6.6% |
|
|
|
|
|
|
|
CDP Financial, Inc. (a)(d): |
|
|
|
|
|
|
|
3.00%, 11/25/14 |
|
|
1,950 |
|
|
2,056,318 |
|
5.60%, 11/25/39 (e) |
|
|
2,955 |
|
|
3,391,950 |
|
Credit Suisse AG: |
|
|
|
|
|
|
|
2.60%, 5/27/16 (a) |
|
|
570 |
|
|
585,912 |
|
5.40%, 1/14/20 (d) |
|
|
2,050 |
|
|
2,041,683 |
|
Credit Suisse, Inc. (USA), 6.13%, 11/15/11 |
|
|
700 |
|
|
706,905 |
|
E*Trade Financial Corp., 12.50%, 11/30/17 (f) |
|
|
1,160 |
|
|
1,334,000 |
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
6.60%, 1/15/12 |
|
|
1,000 |
|
|
1,020,855 |
|
3.70%, 8/01/15 |
|
|
800 |
|
|
808,596 |
|
3.63%, 2/07/16 (d) |
|
|
5,564 |
|
|
5,568,841 |
|
5.38%, 3/15/20 |
|
|
1,215 |
|
|
1,234,490 |
|
Lehman Brothers Holdings, Inc., 6.50%, |
|
|
225 |
|
|
112 |
|
Morgan Stanley: |
|
|
|
|
|
|
|
2.79%, 5/14/13 (b)(d) |
|
|
1,880 |
|
|
1,877,082 |
|
4.20%, 11/20/14 |
|
|
680 |
|
|
681,664 |
|
4.00%, 7/24/15 |
|
|
400 |
|
|
398,095 |
|
6.25%, 8/28/17 (d) |
|
|
1,925 |
|
|
2,037,501 |
|
5.63%, 9/23/19 |
|
|
760 |
|
|
772,505 |
|
|
|
|
|
|
|
24,516,509 |
|
Chemicals 0.8% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
280 |
|
|
275,100 |
|
CF Industries, Inc., 7.13%, 5/01/20 |
|
|
1,470 |
|
|
1,683,150 |
|
The Dow Chemical Co., 4.25%, 11/15/20 |
|
|
715 |
|
|
730,257 |
|
Nalco Co., 6.63%, 1/15/19 (a) |
|
|
290 |
|
|
319,000 |
|
|
|
|
|
|
|
3,007,507 |
|
Commercial Banks 7.8% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
60 |
|
|
59,700 |
|
7.00%, 5/01/16 |
|
|
90 |
|
|
89,550 |
|
7.00%, 5/01/17 |
|
|
368 |
|
|
363,513 |
|
7.00%, 5/02/17 (a) |
|
|
50 |
|
|
49,375 |
|
Canadian Imperial Bank of Commerce, 2.75%, |
|
|
1,485 |
|
|
1,571,849 |
|
DEPFA ACS Bank, 5.13%, 3/16/37 (a) |
|
|
4,150 |
|
|
3,175,314 |
|
DnB NOR Boligkreditt (a): |
|
|
|
|
|
|
|
2.10%, 10/14/15 |
|
|
4,005 |
|
|
4,096,234 |
|
2.90%, 3/29/16 |
|
|
2,595 |
|
|
2,716,869 |
|
Eksportfinans ASA (d): |
|
|
|
|
|
|
|
2.00%, 9/15/15 |
|
|
2,440 |
|
|
2,506,473 |
|
5.50%, 6/26/17 |
|
|
1,000 |
|
|
1,193,754 |
|
HSBC Bank Brasil SA Banco Multiplo,
4.00%, |
|
|
1,400 |
|
|
1,393,000 |
|
HSBC Bank Plc, 3.10%, 5/24/16 (a) |
|
|
695 |
|
|
706,542 |
|
Royal Bank of Canada, 3.13%, 4/14/15 (a) |
|
|
3,855 |
|
|
4,106,593 |
|
Sparebanken 1 Boligkreditt (a): |
|
|
|
|
|
|
|
1.25%, 10/25/13 |
|
|
1,575 |
|
|
1,585,763 |
|
2.63%, 5/27/17 |
|
|
1,675 |
|
|
1,731,027 |
|
Wachovia Corp., 5.25%, 8/01/14 (d) |
|
|
3,420 |
|
|
3,658,264 |
|
|
|
|
|
|
|
29,003,820 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
70 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Commercial Services & Supplies 0.4% |
|
|
|
|
|
|
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
USD |
65 |
|
$ |
67,112 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a) |
|
|
143 |
|
|
137,802 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
1,320 |
|
|
1,283,700 |
|
West Corp., 8.63%, 10/01/18 |
|
|
135 |
|
|
131,625 |
|
|
|
|
|
|
|
1,620,239 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
150 |
|
|
201,469 |
|
Construction Materials 0.2% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (a) |
|
USD |
440 |
|
|
416,900 |
|
Inversiones CMPC SA, 4.75%, 1/19/18 (a) |
|
|
220 |
|
|
224,802 |
|
Lafarge SA, 7.13%, 7/15/36 |
|
|
165 |
|
|
137,647 |
|
|
|
|
|
|
|
779,349 |
|
Consumer Finance 0.5% |
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.00%, 1/13/12 (b) |
|
|
120 |
|
|
120,002 |
|
7.80%, 6/01/12 |
|
|
380 |
|
|
391,408 |
|
6.63%, 8/15/17 |
|
|
280 |
|
|
293,131 |
|
SLM Corp.: |
|
|
|
|
|
|
|
6.25%, 1/25/16 |
|
|
651 |
|
|
665,610 |
|
Series A, 0.55%, 1/27/14 (b) |
|
|
600 |
|
|
540,934 |
|
|
|
|
|
|
|
2,011,085 |
|
Containers & Packaging 0.2% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
425 |
|
|
572,356 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
185 |
|
|
170,200 |
|
|
|
|
|
|
|
742,556 |
|
Diversified Financial Services 8.8% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
8.30%, 2/12/15 |
|
|
860 |
|
|
903,000 |
|
6.25%, 12/01/17 |
|
|
160 |
|
|
153,907 |
|
8.00%, 3/15/20 |
|
|
560 |
|
|
565,600 |
|
Bank of America Corp.: |
|
|
|
|
|
|
|
3.63%, 3/17/16 |
|
|
300 |
|
|
292,790 |
|
3.75%, 7/12/16 |
|
|
950 |
|
|
937,814 |
|
7.63%, 6/01/19 |
|
|
500 |
|
|
564,810 |
|
5.63%, 7/01/20 |
|
|
655 |
|
|
663,343 |
|
Barrick North America Finance LLC, 4.40%, |
|
|
15 |
|
|
15,701 |
|
Capital One Financial Corp.: |
|
|
|
|
|
|
|
3.15%, 7/15/16 |
|
|
2,480 |
|
|
2,468,552 |
|
4.75%, 7/15/21 |
|
|
975 |
|
|
981,061 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
5.00%, 9/15/14 |
|
|
285 |
|
|
292,665 |
|
4.75%, 5/19/15 |
|
|
1,155 |
|
|
1,204,553 |
|
4.59%, 12/15/15 (d) |
|
|
8,655 |
|
|
8,989,213 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
6.00%, 8/15/17 |
|
|
100 |
|
|
108,430 |
|
5.38%, 8/09/20 |
|
|
200 |
|
|
212,286 |
|
General Electric Capital Corp. (d): |
|
|
|
|
|
|
|
5.50%, 1/08/20 |
|
|
2,150 |
|
|
2,371,833 |
|
6.75%, 3/15/32 |
|
|
3,000 |
|
|
3,373,113 |
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
3.15%, 7/05/16 |
|
|
100 |
|
|
102,145 |
|
6.30%, 4/23/19 |
|
|
1,375 |
|
|
1,588,950 |
|
Series BKNT, 6.00%, 10/01/17 (d) |
|
|
2,045 |
|
|
2,292,285 |
|
Novus USA Trust, 1.54%, 11/18/11 (a)(b) |
|
|
850 |
|
|
840,351 |
|
Reynolds Group Issuer, Inc. (a): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (h) |
|
EUR |
550 |
|
|
766,373 |
|
7.88%, 8/15/19 |
|
USD |
660 |
|
|
653,400 |
|
6.88%, 2/15/21 |
|
|
1,730 |
|
|
1,608,900 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
WMG Acquisition Corp. (a): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
USD |
160 |
|
$ |
163,200 |
|
11.50%, 10/01/18 |
|
|
780 |
|
|
709,800 |
|
|
|
|
|
|
|
32,824,075 |
|
Diversified Telecommunication Services 5.0% |
|
|
|
|
|
|
|
Level 3 Escrow, Inc., 8.13%, 7/01/19 (a) |
|
|
321 |
|
|
304,950 |
|
Level 3 Financing, Inc., 8.75%, 2/15/17 |
|
|
39 |
|
|
38,220 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
8.00%, 10/01/15 |
|
|
568 |
|
|
606,340 |
|
7.13%, 4/01/18 |
|
|
272 |
|
|
285,600 |
|
Series B, 7.50%, 2/15/14 |
|
|
290 |
|
|
293,625 |
|
Qwest Corp.: |
|
|
|
|
|
|
|
7.63%, 6/15/15 |
|
|
192 |
|
|
213,600 |
|
8.38%, 5/01/16 |
|
|
370 |
|
|
421,800 |
|
6.50%, 6/01/17 |
|
|
103 |
|
|
110,339 |
|
Telecom Italia Capital SA, 4.95%, 9/30/14 (d) |
|
|
4,375 |
|
|
4,311,878 |
|
Telefonica Emisiones SAU, 7.05%, 6/20/36 |
|
|
1,000 |
|
|
996,599 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
8.75%, 11/01/18 (d) |
|
|
2,680 |
|
|
3,630,167 |
|
6.40%, 2/15/38 (d) |
|
|
3,396 |
|
|
3,927,664 |
|
8.95%, 3/01/39 |
|
|
1,125 |
|
|
1,673,342 |
|
Verizon Maryland, Inc., Series A, 6.13%, 3/01/12 (d) |
|
|
1,355 |
|
|
1,389,651 |
|
Windstream Corp., 7.88%, 11/01/17 |
|
|
320 |
|
|
336,400 |
|
|
|
|
|
|
|
18,540,175 |
|
Electric Utilities 5.7% |
|
|
|
|
|
|
|
Alabama Power Co.: |
|
|
|
|
|
|
|
3.95%, 6/01/21 |
|
|
460 |
|
|
491,825 |
|
6.00%, 3/01/39 |
|
|
550 |
|
|
672,094 |
|
The Cleveland Electric Illuminating Co.: |
|
|
|
|
|
|
|
8.88%, 11/15/18 |
|
|
121 |
|
|
162,299 |
|
5.95%, 12/15/36 |
|
|
217 |
|
|
224,997 |
|
Duke Energy Carolinas LLC: |
|
|
|
|
|
|
|
6.10%, 6/01/37 |
|
|
325 |
|
|
380,446 |
|
6.00%, 1/15/38 |
|
|
850 |
|
|
1,019,880 |
|
EDF SA, 5.60%, 1/27/40 (a) |
|
|
1,400 |
|
|
1,487,109 |
|
E.ON International Finance BV, 6.65%, |
|
|
1,575 |
|
|
1,909,261 |
|
Florida Power & Light Co., 4.95%, 6/01/35 |
|
|
575 |
|
|
619,218 |
|
Florida Power Corp.: |
|
|
|
|
|
|
|
6.35%, 9/15/37 (d) |
|
|
1,450 |
|
|
1,788,684 |
|
6.40%, 6/15/38 |
|
|
340 |
|
|
423,088 |
|
Georgia Power Co., 3.00%, 4/15/16 |
|
|
800 |
|
|
842,155 |
|
Hydro-Quebec: |
|
|
|
|
|
|
|
9.40%, 2/01/21 |
|
|
390 |
|
|
592,336 |
|
8.40%, 1/15/22 |
|
|
730 |
|
|
1,060,776 |
|
8.05%, 7/07/24 |
|
|
1,900 |
|
|
2,815,202 |
|
Jersey Central Power & Light Co., 7.35%, 2/01/19 |
|
|
245 |
|
|
312,092 |
|
PacifiCorp., 6.25%, 10/15/37 |
|
|
650 |
|
|
796,869 |
|
Public Service Co. of Colorado, 6.25%, 9/01/37 (d) |
|
|
1,350 |
|
|
1,692,164 |
|
Southern California Edison Co.: |
|
|
|
|
|
|
|
5.63%, 2/01/36 |
|
|
675 |
|
|
784,212 |
|
Series 08-A, 5.95%, 2/01/38 |
|
|
1,100 |
|
|
1,340,446 |
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
750 |
|
|
921,156 |
|
The Toledo Edison Co., 6.15%, 5/15/37 |
|
USD |
350 |
|
|
403,759 |
|
Trans-Allegheny Interstate Line Co., 4.00%, |
|
|
250 |
|
|
264,877 |
|
|
|
|
|
|
|
21,004,945 |
|
Energy Equipment & Services 1.4% |
|
|
|
|
|
|
|
Calfrac Holdings LP, 7.50%, 12/01/20 (a) |
|
|
335 |
|
|
324,950 |
|
Ensco Plc: |
|
|
|
|
|
|
|
3.25%, 3/15/16 |
|
|
160 |
|
|
165,777 |
|
4.70%, 3/15/21 |
|
|
1,745 |
|
|
1,824,054 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
71 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
Energy Equipment & Services (concluded) |
|
|
|
|
|
|
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (a) |
|
USD |
600 |
|
$ |
582,000 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (a) |
|
|
1,110 |
|
|
1,148,850 |
|
MEG Energy Corp., 6.50%, 3/15/21 (a) |
|
|
560 |
|
|
560,000 |
|
Pride International, Inc., 6.88%, 8/15/20 |
|
|
235 |
|
|
280,870 |
|
Weatherford International, Ltd., 6.75%, 9/15/40 |
|
|
160 |
|
|
174,691 |
|
|
|
|
|
|
|
5,061,192 |
|
Food & Staples Retailing 0.9% |
|
|
|
|
|
|
|
Wal-Mart Stores, Inc. (d): |
|
|
|
|
|
|
|
6.50%, 8/15/37 |
|
|
1,975 |
|
|
2,451,984 |
|
6.20%, 4/15/38 |
|
|
850 |
|
|
1,024,345 |
|
|
|
|
|
|
|
3,476,329 |
|
Food Products 1.1% |
|
|
|
|
|
|
|
Blue Merger Sub, Inc., 7.63%, 2/15/19 (a) |
|
|
230 |
|
|
228,275 |
|
Darling International, Inc., 8.50%, 12/15/18 |
|
|
335 |
|
|
362,638 |
|
JBS USA LLC, 7.25%, 6/01/21 (a) |
|
|
120 |
|
|
109,050 |
|
Kraft Foods, Inc., 5.38%, 2/10/20 |
|
|
2,925 |
|
|
3,322,212 |
|
|
|
|
|
|
|
4,022,175 |
|
Health Care Equipment & Supplies 0.7% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
850 |
|
|
878,687 |
|
7.75%, 4/15/18 (a) |
|
|
40 |
|
|
37,200 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (a) |
|
|
374 |
|
|
352,495 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (a) |
|
|
1,000 |
|
|
875,000 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
385 |
|
|
382,113 |
|
|
|
|
|
|
|
2,525,495 |
|
Health Care Providers & Services 2.3% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 |
|
|
535 |
|
|
532,325 |
|
ConvaTec Healthcare E SA (a): |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
600 |
|
|
775,710 |
|
10.50%, 12/15/18 |
|
USD |
415 |
|
|
377,650 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
|
32 |
|
|
34,880 |
|
6.50%, 2/15/20 |
|
|
1,625 |
|
|
1,643,281 |
|
7.25%, 9/15/20 |
|
|
55 |
|
|
56,513 |
|
7.50%, 2/15/22 |
|
|
1,690 |
|
|
1,673,100 |
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a) |
|
|
400 |
|
|
361,000 |
|
Symbion, Inc., 8.00%, 6/15/16 (a) |
|
|
455 |
|
|
423,150 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
1,110 |
|
|
1,176,600 |
|
10.00%, 5/01/18 |
|
|
370 |
|
|
407,000 |
|
8.88%, 7/01/19 |
|
|
1,150 |
|
|
1,219,000 |
|
|
|
|
|
|
|
8,680,209 |
|
Health Care Technology 0.2% |
|
|
|
|
|
|
|
MedAssets, Inc., 8.00%, 11/15/18 (a) |
|
|
650 |
|
|
627,250 |
|
Hotels, Restaurants & Leisure 0.2% |
|
|
|
|
|
|
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (a) |
|
|
235 |
|
|
200,337 |
|
Yum! Brands, Inc.: |
|
|
|
|
|
|
|
6.25%, 4/15/16 |
|
|
265 |
|
|
310,983 |
|
5.30%, 9/15/19 |
|
|
175 |
|
|
195,316 |
|
|
|
|
|
|
|
706,636 |
|
Household Durables 0.6% |
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 9.13%, 5/15/19 |
|
|
1,260 |
|
|
866,250 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
1,000 |
|
|
990,000 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
8.38%, 5/15/18 |
|
|
285 |
|
|
250,087 |
|
|
|
|
|
|
|
2,106,337 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (a) |
|
EUR |
190 |
|
|
244,277 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
Value |
|
|
IT Services 1.0% |
|
|
|
|
|
|
|
First Data Corp. (a): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
USD |
605 |
|
$ |
568,700 |
|
8.88%, 8/15/20 |
|
|
1,000 |
|
|
990,000 |
|
12.63%, 1/15/21 |
|
|
520 |
|
|
491,400 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
650 |
|
|
619,125 |
|
7.63%, 11/15/20 |
|
|
1,100 |
|
|
1,050,500 |
|
|
|
|
|
|
|
3,719,725 |
|
Independent Power Producers & |
|
|
|
|
|
|
|
Energy Future Intermediate Holding Co. LLC, |
|
|
1,955 |
|
|
1,972,343 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (a) |
|
|
2,850 |
|
|
2,821,500 |
|
|
|
|
|
|
|
4,793,843 |
|
Industrial Conglomerates 0.5% |
|
|
|
|
|
|
|
Sequa Corp. (a): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
760 |
|
|
790,400 |
|
13.50%, 12/01/15 |
|
|
927 |
|
|
983,130 |
|
|
|
|
|
|
|
1,773,530 |
|
Insurance 2.4% |
|
|
|
|
|
|
|
American International Group, Inc., 5.45%, 5/18/17 |
|
|
800 |
|
|
814,703 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (a) |
|
|
408 |
|
|
424,320 |
|
Fairfax Financial Holdings, Ltd., 5.80%, 5/15/21 (a) |
|
|
600 |
|
|
586,050 |
|
Hartford Financial Services Group, Inc.,
6.00%, |
|
|
345 |
|
|
356,982 |
|
Lincoln National Corp., 6.25%, 2/15/20 |
|
|
630 |
|
|
685,024 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) |
|
|
340 |
|
|
326,400 |
|
Manulife Financial Corp., 3.40%, 9/17/15 |
|
|
1,625 |
|
|
1,653,639 |
|
Metropolitan Life Global Funding I, 5.13%, |
|
|
775 |
|
|
845,458 |
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
4.75%, 9/17/15 (d) |
|
|
1,220 |
|
|
1,305,117 |
|
7.38%, 6/15/19 |
|
|
300 |
|
|
358,858 |
|
5.38%, 6/21/20 |
|
|
250 |
|
|
269,106 |
|
4.50%, 11/15/20 |
|
|
400 |
|
|
403,879 |
|
5.70%, 12/14/36 |
|
|
950 |
|
|
922,316 |
|
|
|
|
|
|
|
8,951,852 |
|
Life Sciences Tools & Services 0.2% |
|
|
|
|
|
|
|
INC Research LLC, 11.50%, 7/15/19 (a) |
|
|
545 |
|
|
504,125 |
|
Life Technologies Corp., 5.00%, 1/15/21 |
|
|
105 |
|
|
108,401 |
|
|
|
|
|
|
|
612,526 |
|
Machinery 0.1% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
340 |
|
|
297,925 |
|
Navistar International Corp., 8.25%, 11/01/21 |
|
|
15 |
|
|
15,525 |
|
|
|
|
|
|
|
313,450 |
|
Marine 0.3% |
|
|
|
|
|
|
|
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d) |
|
|
1,100 |
|
|
1,188,000 |
|
Media 7.4% |
|
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a) |
|
|
320 |
|
|
331,200 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
1,505 |
|
|
1,331,925 |
|
CBS Corp.: |
|
|
|
|
|
|
|
4.63%, 5/15/18 |
|
|
810 |
|
|
860,429 |
|
8.88%, 5/15/19 |
|
|
320 |
|
|
413,280 |
|
5.75%, 4/15/20 |
|
|
250 |
|
|
279,270 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
2,265 |
|
|
2,615,614 |
|
CMP Susquehanna Corp., 3.42%, 5/15/14 (b) |
|
|
55 |
|
|
52,250 |
|
Cengage Learning Acquisitions, Inc. (FKA
Thomson |
|
|
845 |
|
|
650,650 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (a) |
|
|
500 |
|
|
538,750 |
|
Clear Channel Communications, Inc., 9.00%, |
|
|
780 |
|
|
627,900 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
318 |
|
|
337,080 |
|
Series B, 9.25%, 12/15/17 |
|
|
1,807 |
|
|
1,933,490 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
72 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Comcast Cable Communications Holdings, Inc., |
|
USD |
2,000 |
|
$ |
2,932,868 |
|
Cox Communications, Inc., 8.38%, 3/01/39 (a) |
|
|
900 |
|
|
1,228,604 |
|
Cumulus Media, Inc., 7.75%, 5/01/19 (a) |
|
|
170 |
|
|
149,175 |
|
DIRECTV Holdings LLC, 3.13%, 2/15/16 |
|
|
1,380 |
|
|
1,421,724 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
975 |
|
|
940,875 |
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
450 |
|
|
470,250 |
|
11.25%, 2/04/17 |
|
|
170 |
|
|
164,900 |
|
11.50%, 2/04/17 (f) |
|
|
110 |
|
|
106,838 |
|
NBC Universal, Inc.: |
|
|
|
|
|
|
|
5.15%, 4/30/20 |
|
|
1,974 |
|
|
2,188,856 |
|
4.38%, 4/01/21 |
|
|
1,015 |
|
|
1,041,739 |
|
The New York Times Co., 6.63%, 12/15/16 |
|
|
1,800 |
|
|
1,811,250 |
|
News America, Inc., 4.50%, 2/15/21 |
|
|
40 |
|
|
41,147 |
|
Time Warner Cable, Inc.: |
|
|
|
|
|
|
|
7.30%, 7/01/38 |
|
|
970 |
|
|
1,148,260 |
|
5.88%, 11/15/40 |
|
|
460 |
|
|
481,239 |
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
4.70%, 1/15/21 |
|
|
1,000 |
|
|
1,068,652 |
|
6.10%, 7/15/40 |
|
|
615 |
|
|
663,991 |
|
Virgin Media Secured Finance Plc: |
|
|
|
|
|
|
|
6.50%, 1/15/18 |
|
|
330 |
|
|
351,450 |
|
7.00%, 1/15/18 |
|
GBP |
792 |
|
|
1,330,652 |
|
|
|
|
|
|
27,514,308 |
|
|
Metals & Mining 3.9% |
|
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21 |
|
USD |
1,450 |
|
|
1,453,151 |
|
AngloGold Ashanti Holdings Plc, 5.38%, 4/15/20 |
|
|
320 |
|
|
326,361 |
|
Barrick Gold Corp., 2.90%, 5/30/16 (a) |
|
|
2,545 |
|
|
2,612,715 |
|
Cliffs Natural Resources, Inc.: |
|
|
|
|
|
|
|
4.80%, 10/01/20 |
|
|
240 |
|
|
243,163 |
|
4.88%, 4/01/21 |
|
|
690 |
|
|
695,488 |
|
Corporacion Nacional del Cobre de Chile, 3.75%, |
|
|
259 |
|
|
260,590 |
|
Falconbridge Ltd., 6.20%, 6/15/35 |
|
|
1,550 |
|
|
1,480,751 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
4,365 |
|
|
4,594,163 |
|
Teck Resources Ltd., 5.38%, 10/01/15 |
|
|
2,350 |
|
|
2,587,533 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
306 |
|
|
301,383 |
|
|
|
|
|
|
14,555,298 |
|
|
Multi-Utilities 0.4% |
|
|
|
|
|
|
|
Dominion Resources, Inc., 6.00%, 11/30/17 |
|
|
1,135 |
|
|
1,348,288 |
|
Multiline Retail 0.7% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (f) |
|
|
1,500 |
|
|
1,661,250 |
|
Macys Retail Holdings, Inc., 5.90%, 12/01/16 |
|
|
950 |
|
|
1,049,883 |
|
|
|
|
|
|
2,711,133 |
|
|
Oil, Gas & Consumable Fuels 9.8% |
|
|
|
|
|
|
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
1,916 |
|
|
2,153,754 |
|
6.38%, 9/15/17 |
|
|
1,675 |
|
|
1,934,240 |
|
6.95%, 6/15/19 |
|
|
196 |
|
|
232,565 |
|
Arch Coal, Inc., 7.25%, 10/01/20 |
|
|
920 |
|
|
906,200 |
|
BP Capital Markets Plc: |
|
|
|
|
|
|
|
3.13%, 3/10/12 (d) |
|
|
1,505 |
|
|
1,525,345 |
|
3.13%, 10/01/15 |
|
|
330 |
|
|
345,320 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
160 |
|
|
165,200 |
|
Burlington Resources Finance Co., 7.40%, 12/01/31 |
|
|
950 |
|
|
1,271,463 |
|
Cenovus Energy, Inc., 6.75%, 11/15/39 |
|
|
750 |
|
|
889,163 |
|
Chesapeake Energy Corp., 6.63%, 8/15/20 |
|
|
477 |
|
|
498,465 |
|
ConocoPhillips Canada Funding Co., 5.95%, |
|
|
150 |
|
|
174,449 |
|
Consol Energy, Inc.: |
|
|
|
|
|
|
|
8.00%, 4/01/17 |
|
|
514 |
|
|
546,767 |
|
8.25%, 4/01/20 |
|
|
191 |
|
|
205,325 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
USD |
1,000 |
|
$ |
1,053,750 |
|
6.38%, 8/15/21 |
|
|
450 |
|
|
441,000 |
|
Devon Energy Corp., 7.95%, 4/15/32 |
|
|
650 |
|
|
885,234 |
|
El Paso Pipeline Partners Operating Co., LLC, |
|
|
240 |
|
|
272,531 |
|
EnCana Corp.: |
|
|
|
|
|
|
|
6.50%, 8/15/34 |
|
|
70 |
|
|
77,855 |
|
6.63%, 8/15/37 |
|
|
775 |
|
|
857,623 |
|
Energy XXI Gulf Coast, Inc, 9.25%, 12/15/17 |
|
|
575 |
|
|
589,375 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
5.20%, 9/01/20 |
|
|
790 |
|
|
862,836 |
|
6.13%, 10/15/39 |
|
|
700 |
|
|
735,014 |
|
KeySpan Gas East Corp., 5.82%, 4/01/41 (a) |
|
|
505 |
|
|
575,072 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
5.95%, 2/15/18 |
|
|
1,300 |
|
|
1,484,645 |
|
6.55%, 9/15/40 |
|
|
110 |
|
|
119,502 |
|
6.38%, 3/01/41 |
|
|
160 |
|
|
170,024 |
|
Marathon Petroleum Corp., 6.50%, 3/01/41 (a) |
|
|
1,052 |
|
|
1,143,919 |
|
MidAmerican Energy Co., 5.80%, 10/15/36 |
|
|
800 |
|
|
919,462 |
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
950 |
|
|
1,068,808 |
|
6.50%, 9/15/37 |
|
|
2,115 |
|
|
2,548,368 |
|
Nexen, Inc., 7.50%, 7/30/39 |
|
|
670 |
|
|
777,600 |
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
|
1,335 |
|
|
1,369,243 |
|
5.88%, 3/01/18 |
|
|
80 |
|
|
86,960 |
|
5.75%, 1/20/20 |
|
|
1,760 |
|
|
1,909,403 |
|
Premier Oil, 5.00%, 5/10/18 |
|
|
1,900 |
|
|
1,952,250 |
|
Rockies Express Pipeline LLC (a): |
|
|
|
|
|
|
|
3.90%, 4/15/15 |
|
|
804 |
|
|
827,080 |
|
6.85%, 7/15/18 |
|
|
206 |
|
|
238,623 |
|
Suncor Energy, Inc., 6.10%, 6/01/18 |
|
|
1,750 |
|
|
2,029,937 |
|
Valero Energy Corp.: |
|
|
|
|
|
|
|
6.13%, 2/01/20 |
|
|
250 |
|
|
278,521 |
|
6.63%, 6/15/37 |
|
|
169 |
|
|
181,516 |
|
Western Gas Partners LP, 5.38%, 6/01/21 |
|
|
715 |
|
|
752,888 |
|
Williams Partners LP, 4.13%, 11/15/20 |
|
|
980 |
|
|
980,323 |
|
Woodside Finance, Ltd., 4.60%, 5/10/21 (a) |
|
|
205 |
|
|
216,974 |
|
|
|
|
|
|
|
36,254,592 |
|
Paper & Forest Products 0.6% |
|
|
|
|
|
|
|
Clearwater Paper Corp., 7.13%, 11/01/18 |
|
|
1,000 |
|
|
1,005,000 |
|
International Paper Co., 5.30%, 4/01/15 |
|
|
42 |
|
|
45,792 |
|
NewPage Corp., 11.38%, 12/31/14 (c)(d)(g) |
|
|
1,240 |
|
|
1,091,200 |
|
|
|
|
|
|
|
2,141,992 |
|
Pharmaceuticals 0.6% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) |
|
EUR |
200 |
|
|
275,808 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
245 |
|
|
248,063 |
|
Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36 |
|
|
1,475 |
|
|
1,702,659 |
|
|
|
|
|
|
|
2,226,530 |
|
Professional Services 0.0% |
|
|
|
|
|
|
|
FTI Consulting, Inc., 7.75%, 10/01/16 |
|
|
125 |
|
|
127,188 |
|
Real Estate Investment Trusts (REITs) 0.1% |
|
|
|
|
|
|
|
Ventas Realty LP / Ventas Capital Corp., 4.75%, |
|
|
275 |
|
|
265,205 |
|
Real Estate Management & Development 0.2% |
|
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a) |
|
|
559 |
|
|
463,970 |
|
WEA Finance LLC, 4.63%, 5/10/21 (a) |
|
|
305 |
|
|
297,113 |
|
|
|
|
|
|
|
761,083 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
73 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Road & Rail 1.2% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19 |
|
USD |
1,000 |
|
$ |
967,500 |
|
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 |
|
|
940 |
|
|
1,030,979 |
|
Canadian National Railway Co., 6.38%, 10/15/11 |
|
|
1,000 |
|
|
1,006,524 |
|
The Hertz Corp., 7.38%, 1/15/21 (a) |
|
|
1,645 |
|
|
1,570,975 |
|
|
|
|
|
|
|
4,575,978 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (a) |
|
|
390 |
|
|
390,000 |
|
Specialty Retail 0.3% |
|
|
|
|
|
|
|
Home Depot Inc., 5.88%, 12/16/36 |
|
|
830 |
|
|
905,390 |
|
QVC, Inc. (a): |
|
|
|
|
|
|
|
7.50%, 10/01/19 |
|
|
35 |
|
|
37,712 |
|
7.38%, 10/15/20 |
|
|
35 |
|
|
37,625 |
|
|
|
|
|
|
|
980,727 |
|
Thrifts & Mortgage Finance 0.7% |
|
|
|
|
|
|
|
Northern Rock Plc, 5.63%, 6/22/17 (a) |
|
|
290 |
|
|
310,827 |
|
The PMI Group, Inc., 6.00%, 9/15/16 |
|
|
1,400 |
|
|
364,000 |
|
Radian Group, Inc.: |
|
|
|
|
|
|
|
5.63%, 2/15/13 |
|
|
1,400 |
|
|
1,085,000 |
|
5.38%, 6/15/15 |
|
|
1,400 |
|
|
906,500 |
|
|
|
|
|
|
|
2,666,327 |
|
Wireless Telecommunication Services 3.2% |
|
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16 (i) |
|
|
800 |
|
|
793,504 |
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
35 |
|
|
36,181 |
|
7.75%, 5/15/16 |
|
|
850 |
|
|
860,625 |
|
Crown Castle Towers LLC, 6.11%, 1/15/40 (a) |
|
|
1,595 |
|
|
1,801,329 |
|
Digicel Group Ltd. (a): |
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
1,800 |
|
|
1,800,000 |
|
8.25%, 9/01/17 |
|
|
150 |
|
|
150,000 |
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
7.88%, 9/01/18 |
|
|
600 |
|
|
608,250 |
|
6.63%, 11/15/20 |
|
|
950 |
|
|
888,250 |
|
Rogers Communications, Inc., 7.50%, 8/15/38 |
|
|
1,175 |
|
|
1,538,795 |
|
Sprint Capital Corp.: |
|
|
|
|
|
|
|
6.88%, 11/15/28 |
|
|
550 |
|
|
492,250 |
|
8.75%, 3/15/32 |
|
|
350 |
|
|
358,750 |
|
Vodafone Group Plc, 4.15%, 6/10/14 (d) |
|
|
2,500 |
|
|
2,698,533 |
|
|
|
|
|
|
|
12,026,467 |
|
Total Corporate Bonds 79.9% |
|
|
|
|
|
296,686,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
Hellenic Republic Government Bond, 4.60%, |
|
EUR |
160 |
|
|
91,944 |
|
Italy Government International Bond, 5.38%, |
|
USD |
470 |
|
|
438,638 |
|
Kreditanstalt fuer Wiederaufbau: |
|
|
|
|
|
|
|
1.38%, 7/15/13 (d) |
|
|
655 |
|
|
666,542 |
|
2.00%, 6/01/16 |
|
|
590 |
|
|
612,677 |
|
Mexico Government International Bond: |
|
|
|
|
|
|
|
5.63%, 1/15/17 |
|
|
370 |
|
|
425,500 |
|
5.13%, 1/15/20 |
|
|
215 |
|
|
241,338 |
|
Poland Government International Bond, 5.13%, |
|
|
705 |
|
|
733,200 |
|
Total Foreign Agency Obligations 0.9% |
|
|
|
|
|
3,209,839 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations 5.1% |
|
|
|
|
|
|
|
Banc of America Funding Corp., Series 2007-2, |
|
USD |
1,100 |
|
$ |
800,117 |
|
Collateralized Mortgage Obligation Trust, Series 40, |
|
|
57 |
|
|
57 |
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
Series 2005-64CB, Class 1A15, 5.50%, |
|
|
1,661 |
|
|
1,393,006 |
|
Series 2006-0A21, Class A1, 0.40%, |
|
|
908 |
|
|
467,244 |
|
Series 2006-41CB, Class 1A4, 5.75%, 1/25/37 |
|
|
781 |
|
|
552,537 |
|
Countrywide Home Loan Mortgage |
|
|
|
|
|
|
|
Series 2006-0A5, Class 2A1, 0.42%, |
|
|
364 |
|
|
196,611 |
|
Series 2007-10, Class A22, 6.00%, 7/25/37 |
|
|
731 |
|
|
568,654 |
|
Credit Suisse Mortgage Capital Certificates: |
|
|
|
|
|
|
|
Series 2006-C3, Class AM, 6.01%, 6/15/38 (b) |
|
|
1,000 |
|
|
940,297 |
|
Series 2006-C5, Class AM, 5.34%, 12/15/39 |
|
|
1,750 |
|
|
1,539,052 |
|
Series 2010-RR2, Class 2A, 5.99%, |
|
|
1,010 |
|
|
1,113,389 |
|
Series 2011-2R, Class 2A1, 2.74%, |
|
|
1,531 |
|
|
1,489,209 |
|
Series 2011-4R, Class 1A1, 6.23%, |
|
|
818 |
|
|
728,688 |
|
Series 2011-4R, Class 2A1, 4.90%, |
|
|
965 |
|
|
875,824 |
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
|
|
280 |
|
|
175,976 |
|
FHLMC Multifamily Structured Pass-Through |
|
|
930 |
|
|
995,898 |
|
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, |
|
|
1,390 |
|
|
1,300,675 |
|
Harborview Mortgage Loan Trust, Series 2005-8, |
|
|
96 |
|
|
59,269 |
|
Homebanc Mortgage Trust, Series 2006-2, Class A1, |
|
|
693 |
|
|
455,274 |
|
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, |
|
|
1,045 |
|
|
885,445 |
|
JPMorgan Mortgage Trust, Series 2007-S1, |
|
|
550 |
|
|
476,997 |
|
Merrill Lynch Mortgage Investors, Inc., Series |
|
|
749 |
|
|
484,254 |
|
Residential Funding Securities LLC, Series |
|
|
2,418 |
|
|
2,606,041 |
|
WaMu Mortgage Pass-Through Certificates, Series |
|
|
401 |
|
|
260,289 |
|
Wells Fargo Mortgage-Backed Securities Trust: |
|
|
|
|
|
|
|
Series 2006-3, Class A9, 5.50%, 3/25/36 |
|
|
402 |
|
|
395,500 |
|
Series 2007-10, Class 1A21, 6.00%, 7/25/37 |
|
|
114 |
|
|
112,235 |
|
|
|
|
|
|
|
18,872,538 |
|
Commercial Mortgage-Backed Securities 13.3% |
|
|
|
|
|
|
|
Banc of America Commercial Mortgage, Inc.: |
|
|
|
|
|
|
|
Series 2006-4, Class AM, 5.68%, 7/10/46 |
|
|
250 |
|
|
235,410 |
|
Series 2007-1, Class A4, 5.45%, 1/15/49 |
|
|
1,380 |
|
|
1,464,682 |
|
Series 2007-2, Class A4, 5.82%, 4/10/49 (b) |
|
|
750 |
|
|
791,720 |
|
Bear Stearns Commercial Mortgage Securities, |
|
|
800 |
|
|
860,049 |
|
Citigroup Commercial Mortgage Trust, Series |
|
|
2,020 |
|
|
2,199,356 |
|
Citigroup/Deutsche Bank Commercial Mortgage |
|
|
1,100 |
|
|
966,384 |
|
Commercial Mortgage Loan Trust, Series 2008-LS1, |
|
|
1,515 |
|
|
1,617,661 |
|
Commercial Mortgage Pass-Through Certificates, |
|
|
1,750 |
|
|
1,664,775 |
|
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
74 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Commercial
Mortgage-Backed Securities |
|
|
|
|
|
|
|
Credit Suisse First Boston Mortgage Securities Corp., |
|
USD |
705 |
|
$ |
616,613 |
|
Extended Stay America Trust, Series 2010-ESHA (a): |
|
|
|
|
|
|
|
Class A, 2.95%, 11/05/27 |
|
|
939 |
|
|
922,440 |
|
Class C, 4.86%, 11/05/27 |
|
|
740 |
|
|
713,248 |
|
Class D, 5.50%, 11/05/27 |
|
|
550 |
|
|
526,582 |
|
First Union-Lehman Brothers-Bank of America, |
|
|
2,474 |
|
|
2,483,872 |
|
GE Capital Commercial Mortgage Corp., Series |
|
|
1,765 |
|
|
1,787,460 |
|
GMAC Commercial Mortgage Securities, Inc.: |
|
|
|
|
|
|
|
Series 2002-C3, Class A2, 4.93%, 7/10/39 |
|
|
2,580 |
|
|
2,645,867 |
|
Series 2004-C3, Class A4, 4.55%, 12/10/41 |
|
|
2,062 |
|
|
2,068,202 |
|
GS Mortgage Securities Corp. II, Series 2010-C2, |
|
|
900 |
|
|
775,200 |
|
Greenwich Capital Commercial Funding Corp., |
|
|
2,415 |
|
|
2,551,484 |
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
Series 2001-C1, Class A3, 5.86%, 10/12/35 |
|
|
167 |
|
|
166,522 |
|
Series 2004-CBX, Class A4, 4.53%, 1/12/37 |
|
|
1,900 |
|
|
1,899,169 |
|
Series 2006-CB14, Class AM, 5.64%, |
|
|
330 |
|
|
306,905 |
|
Series 2006-CB16, Class AJ, 5.62%, 5/12/45 |
|
|
720 |
|
|
519,253 |
|
LB-UBS Commercial Mortgage Trust (b): |
|
|
|
|
|
|
|
Series 2004-C4, Class A3, 5.35%, 6/15/29 |
|
|
1,938 |
|
|
1,970,246 |
|
Series 2004-C8, Class C, 4.93%, 12/15/39 |
|
|
1,385 |
|
|
1,349,415 |
|
Series 2007-C6, Class A4, 5.86%, 7/15/40 |
|
|
825 |
|
|
878,276 |
|
Series 2007-C7, Class A3, 5.87%, 9/15/45 |
|
|
1,460 |
|
|
1,561,270 |
|
Merrill Lynch Mortgage Trust, Series 2004-BPC1, |
|
|
4,280 |
|
|
4,283,005 |
|
Morgan Stanley Capital I, Series 2005-T17, Class A4, |
|
|
2,354 |
|
|
2,356,274 |
|
Wachovia Bank Commercial Mortgage Trust: |
|
|
|
|
|
|
|
Series 2006-C28, Class A2, 5.50%, 10/15/48 |
|
|
6,816 |
|
|
6,809,115 |
|
Series 2007-C33, Class A4, 6.10%, 2/15/51 (b) |
|
|
2,285 |
|
|
2,425,045 |
|
|
|
|
|
|
|
49,415,500 |
|
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Collateralized Mortgage Obligation Trust, Series 42, |
|
|
2 |
|
|
103 |
|
GSMPS Mortgage Loan Trust, Series 1998-5, Class |
|
|
2,386 |
|
|
62,091 |
|
Salomon Brothers Mortgage Securities VII, Inc., |
|
|
348 |
|
|
4 |
|
|
|
|
|
|
|
62,198 |
|
Interest
Only Commercial Mortgage-Backed |
|
|
|
|
|
|
|
Morgan Stanley Capital I, Series 1997-HF1, Class X, |
|
|
4 |
|
|
|
|
Morgan Stanley Reremic Trust, Series 2011-IO, |
|
|
354 |
|
|
352,670 |
|
|
|
|
|
|
|
352,670 |
|
Total Non-Agency Mortgage-Backed Securities 18.5% |
|
|
|
|
|
68,702,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests (k) |
|
Beneficial |
|
|
|
|
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, Inc. |
|
|
2 |
|
|
190 |
|
Total Other Interests 0.0% |
|
|
|
|
|
190 |
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
Par |
|
Value |
|
||
Capital Trusts |
|
|
|
|
|
|
|
Capital Markets 0.3% |
|
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., 5.86% (b)(l) |
|
USD |
1,000 |
|
$ |
865,000 |
|
State Street Capital Trust IV, 1.25%, 6/15/37 (b) |
|
|
70 |
|
|
53,084 |
|
UBS Preferred Funding Trust V, 6.24% (b)(l) |
|
|
80 |
|
|
72,000 |
|
|
|
|
|
|
|
990,084 |
|
Commercial Banks 0.5% |
|
|
|
|
|
|
|
ABN AMRO North America Holding Preferred Capital |
|
|
1,350 |
|
|
1,039,500 |
|
Barclays Bank Plc, 5.93% (a)(b)(l) |
|
|
250 |
|
|
205,000 |
|
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) |
|
|
465 |
|
|
431,287 |
|
JPMorgan Chase Capital XXV, Series Y, 6.80%, |
|
|
205 |
|
|
204,168 |
|
SunTrust Capital VIII, 6.10%, 12/15/36 (b) |
|
|
55 |
|
|
53,350 |
|
Wachovia Capital Trust III, 5.57% (b)(l) |
|
|
55 |
|
|
48,125 |
|
|
|
|
|
|
|
1,981,430 |
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Capital One Financial Corp., Capital V, 10.25%, |
|
|
205 |
|
|
212,810 |
|
Insurance 1.1% |
|
|
|
|
|
|
|
The Allstate Corp., 6.50%, 5/15/67 (b) |
|
|
2,150 |
|
|
1,967,250 |
|
American International Group, Inc., 8.18%, |
|
|
115 |
|
|
114,172 |
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b) |
|
|
90 |
|
|
110,700 |
|
Lincoln National Corp., 6.05%, 4/20/67 (b) |
|
|
750 |
|
|
663,750 |
|
Swiss Re Capital I LP, 6.85% (a)(b)(l) |
|
|
1,060 |
|
|
980,500 |
|
XL Group Plc, Series E, 6.50% (b)(l) |
|
|
460 |
|
|
405,950 |
|
|
|
|
|
|
|
4,242,322 |
|
Total Capital Trusts 2.0% |
|
|
|
|
|
7,426,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Commercial Banks 0.1% |
|
|
|
|
|
|
|
Citigroup Capital XIII, 7.88% (b) |
|
|
8,848 |
|
|
230,402 |
|
Media 0.0% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
12,873 |
|
|
109,421 |
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
Fannie Mae (c): |
|
|
|
|
|
|
|
Series O, 7.00% |
|
|
40,000 |
|
|
120,000 |
|
Series S, 8.25% |
|
|
10,000 |
|
|
20,500 |
|
Freddie Mac, Series Z, 8.38% (b)(c) |
|
|
94,539 |
|
|
210,822 |
|
|
|
|
|
|
|
351,322 |
|
Total Preferred Stocks 0.2% |
|
|
|
|
|
691,145 |
|
Total Preferred Securities 2.2% |
|
|
|
|
|
8,117,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
|
|
|
|
East Bay Municipal Utility District, RB, Build America |
|
USD |
950 |
|
|
1,075,827 |
|
Indianapolis Local Public Improvement Bond Bank, |
|
|
1,260 |
|
|
1,495,595 |
|
Metropolitan Transportation Authority, RB, Build |
|
|
670 |
|
|
886,544 |
|
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
75 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
Value |
|
||
New York City Municipal Water Finance Authority, RB: |
|
|
|
|
|
|
|
Build America Bonds, 5.72%, 6/15/42 |
|
USD |
690 |
|
$ |
757,599 |
|
Second General Resolution, Series EE, 5.38%, |
|
|
385 |
|
|
422,264 |
|
Second General Resolution, Series EE, 5.50%, |
|
|
465 |
|
|
516,355 |
|
New York State Dormitory Authority, RB, Build |
|
|
|
|
|
|
|
5.63%, 3/15/39 |
|
|
550 |
|
|
609,268 |
|
5.60%, 3/15/40 |
|
|
950 |
|
|
1,096,765 |
|
Port Authority of New York & New Jersey, RB, |
|
|
395 |
|
|
453,026 |
|
University of California, RB, Build America Bonds, |
|
|
440 |
|
|
462,849 |
|
Total Taxable Municipal Bonds 2.1% |
|
|
|
|
|
7,776,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
|
Agency Obligations 3.9% |
|
|
|
|
|
|
|
Fannie Mae (d): |
|
|
|
|
|
|
|
6.19%, 10/09/19 (m) |
|
|
7,305 |
|
|
5,444,344 |
|
5.63%, 7/15/37 (e) |
|
|
825 |
|
|
1,038,465 |
|
Federal Home Loan Bank (d): |
|
|
|
|
|
|
|
5.25%, 12/09/22 |
|
|
700 |
|
|
850,540 |
|
5.37%, 9/09/24 |
|
|
1,100 |
|
|
1,362,180 |
|
Federal Housing Administration, Merrill Projects: |
|
|
|
|
|
|
|
Series 29, 7.43%, 10/01/20 |
|
|
41 |
|
|
40,622 |
|
Series 42, 7.43%, 9/01/22 |
|
|
40 |
|
|
39,534 |
|
Resolution Funding Corp., 8.56%, 4/15/30 (m) |
|
|
6,055 |
|
|
3,031,230 |
|
Tennessee Valley Authority, 5.25%, 9/15/39 (d) |
|
|
2,405 |
|
|
2,826,161 |
|
|
|
|
|
|
|
14,633,076 |
|
Collateralized Mortgage Obligations 0.3% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 1991-46, Class S, 2,461.75%, 5/25/21 (b) |
|
|
|
(j) |
|
2,821 |
|
Series 1991-87, Class S, 26.02%, 8/25/21 (b) |
|
|
24 |
|
|
36,726 |
|
Series 2005-5, Class PK, 5.00%, 12/25/34 |
|
|
913 |
|
|
984,123 |
|
Series G-7, Class S, 1,116.37%, 3/25/21 (b) |
|
|
|
(j) |
|
1,999 |
|
Series G-17, Class S, 1,055.17%, 6/25/21 (b) |
|
|
|
(j) |
|
2,724 |
|
Series G-33, Class PV, 1,078.42%, 10/25/21 |
|
|
|
(j) |
|
2,911 |
|
Series G-49, Class S, 1,008.80%, 12/25/21 (b) |
|
|
|
(j) |
|
1,002 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 19, Class R, 16,196.29%, 3/15/20 (b) |
|
|
4 |
|
|
650 |
|
Series 75, Class R, 9.50%, 1/15/21 |
|
|
|
(j) |
|
1 |
|
Series 75, Class RS, 25.22%, 1/15/21 (b) |
|
|
|
(j) |
|
1 |
|
Series 173, Class R, 9.00%, 11/15/21 |
|
|
|
(j) |
|
6 |
|
Series 173, Class RS, 9.21%, 11/15/21 (b) |
|
|
|
(j) |
|
6 |
|
Series 192, Class U, 1,009.03%, 2/15/22 (b) |
|
|
|
(j) |
|
|
|
Series 1057, Class J, 1,008.00%, 3/15/21 |
|
|
|
(j) |
|
1,023 |
|
|
|
|
|
|
|
1,033,993 |
|
Federal Deposit Insurance Corporation Guaranteed 0.2% |
|
|
|
|
|
|
|
General Electric Capital Corp., 2.13%, 12/21/12 |
|
|
525 |
|
|
537,480 |
|
Interest Only Collateralized Mortgage Obligations 0.1% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 7, Class 2, 8.50%, 4/01/17 |
|
|
2 |
|
|
346 |
|
Series 89, Class 2, 8.00%, 10/01/18 |
|
|
3 |
|
|
471 |
|
Series 94, Class 2, 9.50%, 8/01/21 |
|
|
1 |
|
|
293 |
|
Series 1990-123, Class M, 1,009.50%, 10/25/20 |
|
|
|
(j) |
|
225 |
|
Series 1990-136, Class S, 19.83%, 11/25/20 (b) |
|
|
6 |
|
|
8,980 |
|
Series 1991-99, Class L, 930.00%, 8/25/21 |
|
|
|
(j) |
|
1,048 |
|
Series 1991-139, Class PT, 648.35%, 10/25/21 |
|
|
|
(j) |
|
1,643 |
|
Series 1997-50, Class SI, 1.20%, 4/25/23 (b) |
|
|
176 |
|
|
6,789 |
|
Series G-10, Class S, 1,080.00%, 5/25/21 (b) |
|
|
|
(j) |
|
6,741 |
|
Series G-12, Class S, 1,146.44%, 5/25/21 (b) |
|
|
|
(j) |
|
4,697 |
|
Series G92-5, Class H, 9.00%, 1/25/22 |
|
|
33 |
|
|
5,364 |
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 176, Class M, 1,010.00%, 7/15/21 |
|
USD |
|
(j) |
$ |
320 |
|
Series 200, Class R, 195,991.48%, |
|
|
|
(j) |
|
7 |
|
Series 1043, Class H, 43.88%, 2/15/21 (b) |
|
|
4 |
|
|
7,621 |
|
Series 1054, Class I, 859.64%, 3/15/21 (b) |
|
|
|
(j) |
|
707 |
|
Series 1056, Class KD, 1,084.50%, 3/15/21 |
|
|
|
(j) |
|
640 |
|
Series 1148, Class E, 1,167.37%, 10/15/21 (b) |
|
|
|
(j) |
|
1,981 |
|
Series 1254, Class Z, 8.50%, 4/15/22 |
|
|
64 |
|
|
13,990 |
|
Series 2611, Class QI, 5.50%, 9/15/32 |
|
|
2,083 |
|
|
282,316 |
|
|
|
|
|
|
|
344,179 |
|
Mortgage-Backed Securities 15.1% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 9/15/41 (n) |
|
|
500 |
|
|
503,613 |
|
4.00%, 9/15/26 9/15/41 (n) |
|
|
21,600 |
|
|
22,452,375 |
|
4.50%, 9/15/41 (n) |
|
|
17,700 |
|
|
18,700,464 |
|
5.00%, 9/15/41 (n) |
|
|
5,100 |
|
|
5,493,656 |
|
5.50%, 12/01/13 9/15/41 (d)(n) |
|
|
5,781 |
|
|
6,316,863 |
|
6.00%, 3/01/16 4/01/35 (d) |
|
|
2,269 |
|
|
2,534,687 |
|
Freddie Mac Mortgage-Backed Securities, |
|
|
100 |
|
|
105,531 |
|
Ginnie Mae Mortgage-Backed Securities, |
|
|
20 |
|
|
23,700 |
|
|
|
|
|
|
|
56,130,889 |
|
Principal
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 203, Class 1 2/01/23 |
|
|
10 |
|
|
8,800 |
|
Series 228, Class 1, 6/01/23 |
|
|
6 |
|
|
5,782 |
|
Series 1993-51, Class E, 2/25/23 |
|
|
32 |
|
|
30,972 |
|
Series 1993-70, Class A, 5/25/23 |
|
|
5 |
|
|
4,513 |
|
Freddie Mac Mortgage-Backed Securities, |
|
|
19 |
|
|
18,863 |
|
|
|
|
|
|
|
68,930 |
|
Total US Government Sponsored Agency Securities 19.6% |
|
|
|
|
|
72,748,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Treasury Obligations |
|
|
|
|
|
|
|
US Treasury Bonds: |
|
|
|
|
|
|
|
8.13%, 8/15/21 (d) |
|
|
1,550 |
|
|
2,379,250 |
|
8.00%, 11/15/21 (d) |
|
|
7,065 |
|
|
10,806,136 |
|
6.25%, 8/15/23 (d) |
|
|
4,990 |
|
|
6,897,897 |
|
3.50%, 2/15/39 (d) |
|
|
2,865 |
|
|
2,827,397 |
|
4.25%, 5/15/39 (d) |
|
|
2,770 |
|
|
3,109,757 |
|
4.38%, 5/15/40 (d) |
|
|
8,225 |
|
|
9,412,525 |
|
4.75%, 2/15/41 |
|
|
1,621 |
|
|
1,971,541 |
|
4.38%, 5/15/41 (d) |
|
|
27,085 |
|
|
31,041,848 |
|
3.75%, 8/15/41 |
|
|
600 |
|
|
617,250 |
|
US Treasury Notes: |
|
|
|
|
|
|
|
0.50%, 8/15/14 (d) |
|
|
1,055 |
|
|
1,060,686 |
|
2.50%, 4/30/15 (d) |
|
|
1,035 |
|
|
1,109,391 |
|
2.25%, 7/31/18 |
|
|
2,495 |
|
|
2,613,707 |
|
2.63%, 8/15/20 (d) |
|
|
1,105 |
|
|
1,158,783 |
|
3.13%, 5/15/21 |
|
|
1,370 |
|
|
1,483,888 |
|
2.13%, 8/15/21 (d) |
|
|
11,812 |
|
|
11,712,307 |
|
Total US Treasury Obligations 23.7% |
|
|
|
|
|
88,202,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (o) |
|
Shares |
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
Cumulus Media, Inc., (Expires 3/26/19) |
|
|
32,513 |
|
|
83,087 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
76 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Warrants (o) |
|
Shares |
|
Value |
|
||
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc., |
|
|
152 |
|
$ |
1 |
|
Total Warrants 0.0% |
|
|
|
|
|
83,088 |
|
Total
Long-Term Investments |
|
|
|
|
|
567,923,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
3,706,293 |
|
|
3,706,293 |
|
Total
Short-Term Securities |
|
|
|
|
|
3,706,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
|
Contracts |
|
|
|
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike Price USD 98.25, Expires 9/16/11 |
|
|
317 |
|
|
3,963 |
|
Strike Price USD 98.50, Expires 9/16/11 |
|
|
222 |
|
|
2,775 |
|
Strike Price USD 99.25, Expires 3/16/12 |
|
|
441 |
|
|
79,931 |
|
|
|
|
|
|
|
86,669 |
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
SEK Call Option, Strike Price USD 6.37, Expires |
|
USD |
2,960 |
|
|
45,288 |
|
USD Call Option, Strike Price USD 82.00, |
|
|
1,850 |
|
|
4,255 |
|
|
|
|
|
|
|
49,543 |
|
Over-the-Counter Call Swaptions 0.9% |
|
|
|
|
|
|
|
Receive a fixed rate of 2.75% and pay a floating rate |
|
|
5,000 |
|
|
159,029 |
|
Receive a fixed rate of 2.20% and pay a floating |
|
|
1,800 |
|
|
12,806 |
|
Receive a fixed rate of 3.12% and pay a floating rate |
|
|
1,200 |
|
|
74,001 |
|
Receive a fixed rate of 3.54% and pay a floating rate |
|
|
100 |
|
|
9,600 |
|
Receive a fixed rate of 1.76% and pay a floating rate |
|
|
9,300 |
|
|
221,868 |
|
Receive a fixed rate of 3.15% and pay a floating rate |
|
|
1,400 |
|
|
84,536 |
|
Receive a fixed rate of 3.70% and pay a floating rate |
|
|
1,100 |
|
|
107,193 |
|
Receive a fixed rate of 3.46% and pay a floating rate |
|
|
2,500 |
|
|
192,369 |
|
Receive a fixed rate of 3.99% and pay a floating rate |
|
|
5,600 |
|
|
582,432 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
|
Notional |
|
|
Value |
|
Over-the-Counter Call Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 3.99% and pay a floating rate |
|
USD |
1,600 |
|
$ |
166,684 |
|
Receive a fixed rate of 3.96% and pay a floating rate |
|
|
800 |
|
|
80,016 |
|
Receive a fixed rate of 3.81% and pay a floating rate |
|
|
1,400 |
|
|
122,360 |
|
Receive a fixed rate of 3.88% and pay a floating rate |
|
|
1,600 |
|
|
145,138 |
|
Receive a fixed rate of 4.49% and pay a floating rate |
|
|
500 |
|
|
60,401 |
|
Receive a fixed rate of 5.20% and pay a floating rate |
|
|
7,300 |
|
|
1,122,457 |
|
|
|
|
|
|
|
3,140,890 |
|
Over-the-Counter Put Options 0.1% |
|
|
|
|
|
|
|
AUD Put Option: |
|
|
|
|
|
|
|
Strike Price USD 0.90, Expires 11/11/11, |
|
AUD |
350 |
|
|
3,732 |
|
Strike Price USD 0.92, Expires 11/18/11, |
|
USD |
1,985 |
|
|
6,868 |
|
Strike Price USD 0.92, Expires 11/18/11, |
|
|
995 |
|
|
3,443 |
|
CAD Put Option: |
|
|
|
|
|
|
|
Strike Price USD 1.07, Expires 11/10/11, |
|
|
500 |
|
|
690 |
|
Strike Price USD 1.07, Expires 11/18/11, |
|
|
990 |
|
|
2,039 |
|
Strike Price USD 1.07, Expires 11/18/11, |
|
|
495 |
|
|
1,020 |
|
EUR Put Option: |
|
|
|
|
|
|
|
Strike Price GBP 0.84, Expires 10/13/11, |
|
EUR |
600 |
|
|
1,207 |
|
Strike Price USD 1.41, Expires 11/16/11, |
|
|
11,755 |
|
|
262,241 |
|
Strike Price USD 1.31, Expires 11/18/11, |
|
USD |
3,970 |
|
|
16,595 |
|
Strike Price USD 1.31, Expires 11/18/11, |
|
|
1,985 |
|
|
8,297 |
|
GBP Put Option: |
|
|
|
|
|
|
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
6,150 |
|
|
31,180 |
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
2,975 |
|
|
15,083 |
|
Strike Price USD 1.54, Expires 11/18/11, |
|
|
1,490 |
|
|
7,554 |
|
SEK Put Option, Strike Price USD 7.00, |
|
|
3,250 |
|
|
11 |
|
|
|
|
|
|
|
359,960 |
|
Over-the-Counter Put Swaptions 0.2% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.30% and receive a floating rate |
|
|
9,400 |
|
|
206 |
|
Pay a fixed rate of 3.12% and receive a floating rate |
|
|
1,200 |
|
|
3,359 |
|
Pay a fixed rate of 3.54% and receive a floating rate |
|
|
100 |
|
|
136 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
77 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 1.76% and receive a floating rate |
|
USD |
9,300 |
|
$ |
1,547 |
|
Pay a fixed rate of 2.50% and receive a floating rate |
|
|
4,400 |
|
|
234 |
|
Pay a fixed rate of 3.70% and receive a floating rate |
|
|
1,100 |
|
|
12,514 |
|
Pay a fixed rate of 3.46% and receive a floating rate |
|
|
2,500 |
|
|
51,005 |
|
Pay a fixed rate of 3.99% and receive a floating rate |
|
|
5,600 |
|
|
123,984 |
|
Pay a fixed rate of 3.99% and receive a floating rate |
|
|
1,600 |
|
|
35,350 |
|
Pay a fixed rate of 3.96% and receive a floating rate |
|
|
800 |
|
|
19,885 |
|
Pay a fixed rate of 3.81% and receive a floating rate |
|
|
1,400 |
|
|
44,385 |
|
Pay a fixed rate of 3.88% and receive a floating rate |
|
|
1,600 |
|
|
51,468 |
|
Pay a fixed rate of 4.49% and receive a floating rate |
|
|
500 |
|
|
14,565 |
|
Pay a fixed rate of 2.50% and receive a floating rate |
|
|
6,200 |
|
|
63,057 |
|
Pay a fixed rate of 3.00% and receive a floating rate |
|
|
7,500 |
|
|
56,846 |
|
Pay a fixed rate of 5.20% and receive a floating rate |
|
|
7,300 |
|
|
210,088 |
|
|
|
|
|
|
|
688,629 |
|
Total
Options Purchased |
|
|
|
|
|
4,325,691 |
|
Total
Investments Before TBA Sale |
|
|
|
|
|
575,955,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments (n) |
|
|
Par |
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 9/15/41 |
|
|
500 |
|
|
(503,613 |
) |
4.00%, 9/15/41 |
|
|
13,000 |
|
|
(13,471,250 |
) |
4.50%, 9/15/41 |
|
|
6,000 |
|
|
(6,339,141 |
) |
5.50%, 9/15/26 |
|
|
100 |
|
|
(108,531 |
) |
6.00%, 9/15/41 |
|
|
8,500 |
|
|
(9,408,438 |
) |
Total TBA
Sale Commitments |
|
|
|
|
|
(29,830,973 |
) |
|
|
|
|
|
|
|
|
Options Written |
|
|
Contracts |
|
|
Value |
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike Price USD 97.75, Expires 9/16/11 |
|
|
317 |
|
$ |
(1,981 |
) |
Strike Price USD 98.00, Expires 9/16/11 |
|
|
222 |
|
|
(2,775 |
) |
|
|
|
|
|
|
(4,756 |
) |
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
Over-the-Counter Call Options (0.0)% |
|
|
|
|
|
|
|
SEK Call Option, Strike Price USD 6.37, |
|
USD |
2,960 |
|
|
(45,288 |
) |
Over-the-Counter Call Swaptions (1.8)% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.75% and receive a floating rate |
|
|
2,300 |
|
|
(79,996 |
) |
Pay a fixed rate of 2.90% and receive a floating rate |
|
|
4,600 |
|
|
(206,527 |
) |
Pay a fixed rate of 3.00% and receive a floating rate |
|
|
2,300 |
|
|
(119,392 |
) |
Pay a fixed rate of 4.00% and receive a floating rate |
|
|
1,100 |
|
|
(147,782 |
) |
Pay a fixed rate of 4.02% and receive a floating rate |
|
|
3,500 |
|
|
(468,616 |
) |
Pay a fixed rate of 2.08% and receive a floating rate |
|
|
9,200 |
|
|
(277,368 |
) |
Pay a fixed rate of 3.98% and receive a floating rate |
|
|
1,800 |
|
|
(224,491 |
) |
Pay a fixed rate of 2.65% and receive a floating rate |
|
|
1,400 |
|
|
(44,800 |
) |
Pay a fixed rate of 2.90% and receive a floating rate |
|
|
1,400 |
|
|
(63,120 |
) |
Pay a fixed rate of 3.86% and receive a floating rate |
|
|
600 |
|
|
(62,130 |
) |
Pay a fixed rate of 4.03% and receive a floating rate |
|
|
1,000 |
|
|
(115,840 |
) |
Pay a fixed rate of 4.90% and receive a floating rate |
|
|
4,800 |
|
|
(853,910 |
) |
Pay a fixed rate of 4.92% and receive a floating rate |
|
|
3,300 |
|
|
(593,489 |
) |
Pay a fixed rate of 5.00% and receive a floating rate |
|
|
6,000 |
|
|
(1,095,804 |
) |
Pay a fixed rate of 5.08% and receive a floating rate |
|
|
3,500 |
|
|
(588,395 |
) |
Pay a fixed rate of 5.11% and receive a floating rate |
|
|
3,800 |
|
|
(645,887 |
) |
Pay a fixed rate of 3.90% and receive a floating rate |
|
|
6,000 |
|
|
(385,286 |
) |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
78 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 3.96% and receive a floating rate |
|
USD |
2,100 |
|
$ |
(140,010 |
) |
Pay a fixed rate of 4.84% and receive a floating rate |
|
|
2,600 |
|
|
(352,767 |
) |
|
|
|
|
|
|
(6,465,610 |
) |
Over-the-Counter Put Options (0.0)% |
|
|
|
|
|
|
|
EUR Put Option, Strike Price USD 1.36, |
|
|
11,755 |
|
|
(135,933 |
) |
Over-the-Counter Put Swaptions (0.1)% |
|
|
|
|
|
|
|
Receive a fixed rate of 2.05% and pay a floating rate |
|
|
2,500 |
|
|
(586 |
) |
Receive a fixed rate of 2.05% and pay a floating rate |
|
|
3,400 |
|
|
(796 |
) |
Receive a fixed rate of 1.15% and pay a floating rate |
|
|
5,900 |
|
|
(796 |
) |
Receive a fixed rate of 3.75% and pay a floating rate |
|
|
2,300 |
|
|
(1,597 |
) |
Receive a fixed rate of 3.95% and pay a floating rate |
|
|
4,600 |
|
|
(1,755 |
) |
Receive a fixed rate of 4.00% and pay a floating rate |
|
|
2,300 |
|
|
(1,799 |
) |
Receive a fixed rate of 4.00% and pay a floating rate |
|
|
1,100 |
|
|
(1,000 |
) |
Receive a fixed rate of 4.02% and pay a floating rate |
|
|
3,500 |
|
|
(4,992 |
) |
Receive a fixed rate of 2.08% and pay a floating rate |
|
|
9,200 |
|
|
(1,279 |
) |
Receive a fixed rate of 3.98% and pay a floating rate |
|
|
1,800 |
|
|
(7,062 |
) |
Receive a fixed rate of 3.86% and pay a floating rate |
|
|
600 |
|
|
(8,904 |
) |
Receive a fixed rate of 4.03% and pay a floating rate |
|
|
1,000 |
|
|
(12,948 |
) |
Receive a fixed rate of 4.90% and pay a floating rate |
|
|
4,800 |
|
|
(36,654 |
) |
Receive a fixed rate of 4.92% and pay a floating rate |
|
|
3,300 |
|
|
(24,731 |
) |
Receive a fixed rate of 5.00% and pay a floating rate |
|
|
6,000 |
|
|
(50,027 |
) |
Receive a fixed rate of 5.08% and pay a floating rate |
|
|
3,500 |
|
|
(59,068 |
) |
Receive a fixed rate of 5.11% and pay a floating rate |
|
|
3,800 |
|
|
(63,094 |
) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 3.90% and pay a floating rate |
|
USD |
6,000 |
|
$ |
(95,738 |
) |
Receive a fixed rate of 3.96% and pay a floating rate |
|
|
2,100 |
|
|
(32,147 |
) |
Receive a fixed rate of 4.84% and pay a floating rate |
|
|
2,600 |
|
|
(78,042 |
) |
|
|
|
|
|
|
(483,015 |
) |
Total
Options Written |
|
|
|
|
|
(7,134,602 |
) |
Total
Investments, Net of TBA Sale Commitments |
|
|
|
|
|
538,989,466 |
|
Liabilities in Excess of Other Assets (45.2)% |
|
|
|
|
|
(167,814,146 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
371,175,320 |
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
561,209,984 |
|
Gross unrealized appreciation |
|
$ |
27,649,758 |
|
Gross unrealized depreciation |
|
|
(12,904,701 |
) |
Net unrealized appreciation |
|
$ |
14,745,057 |
|
|
|
(a) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
(c) |
Non-income producing security. |
|
|
(d) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(f) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(g) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(h) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(i) |
When-issued security. Unsettled when-issued transactions were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Bank of America NA |
|
$ |
793,504 |
|
|
|
|
|
|
(j) |
Amount is less than $500. |
|
|
(k) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
(l) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(m) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
79 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
|
(n) |
Represents or includes a TBA transaction. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
Bank of America Securities |
|
$ |
(845,219 |
) |
$ |
1,469 |
|
|
Citigroup Global Markets, Inc. |
|
$ |
845,219 |
|
$ |
(134,570 |
) |
|
Credit Suisse Securities (USA) LLC |
|
|
|
|
$ |
6,016 |
|
|
Deutsche Bank Securities, Inc. |
|
$ |
8,964,980 |
|
$ |
90,816 |
|
|
Goldman Sachs & Co. |
|
$ |
9,086,656 |
|
$ |
56,844 |
|
|
Morgan Stanley & Co., Inc. |
|
$ |
5,493,656 |
|
$ |
(167,398 |
) |
|
|
(o) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(p) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
|
BlackRock Liquidity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Funds,
TempFund, |
|
|
|
|
|
3,706,293 |
|
|
3,706,293 |
|
$ |
2,335 |
|
|
|
(q) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Reverse repurchase agreements outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||
|
Bank of America |
|
0.23 |
% |
|
4/27/11 |
|
Open |
|
$ |
2,212,481 |
|
$ |
2,210,688 |
|
|
UBS Securities LLC |
|
0.35 |
% |
|
5/05/11 |
|
Open |
|
|
5,613,127 |
|
|
5,606,640 |
|
|
Bank of America |
|
0.04 |
% |
|
5/06/11 |
|
Open |
|
|
19,196,485 |
|
|
19,193,969 |
|
|
Bank of America |
|
0.05 |
% |
|
5/06/11 |
|
Open |
|
|
8,452,573 |
|
|
8,451,188 |
|
|
Deutsche Bank |
|
0.38 |
% |
|
5/06/11 |
|
Open |
|
|
8,476,845 |
|
|
8,466,300 |
|
|
Deutsche Bank |
|
0.38 |
% |
|
5/09/11 |
|
Open |
|
|
10,038,991 |
|
|
10,026,820 |
|
|
UBS Securities LLC |
|
0.38 |
% |
|
5/10/11 |
|
Open |
|
|
8,955,514 |
|
|
8,944,750 |
|
|
Credit Suisse |
|
0.40 |
% |
|
5/11/11 |
|
Open |
|
|
1,854,125 |
|
|
1,851,800 |
|
|
BNP Paribas |
|
0.10 |
% |
|
5/17/11 |
|
Open |
|
|
851,015 |
|
|
850,763 |
|
|
Credit Suisse |
|
0.40 |
% |
|
5/18/11 |
|
Open |
|
|
6,890,775 |
|
|
6,882,669 |
|
|
UBS Securities LLC |
|
0.35 |
% |
|
5/31/11 |
|
Open |
|
|
2,077,502 |
|
|
2,075,625 |
|
|
Deutsche Bank |
|
0.38 |
% |
|
5/31/11 |
|
Open |
|
|
2,061,772 |
|
|
2,059,750 |
|
|
BNP Paribas |
|
0.20 |
% |
|
6/01/11 |
|
Open |
|
|
1,086,217 |
|
|
1,085,663 |
|
|
BNP Paribas |
|
0.35 |
% |
|
6/08/11 |
|
Open |
|
|
2,857,625 |
|
|
2,855,265 |
|
|
Deutsche Bank |
|
0.38 |
% |
|
6/10/11 |
|
Open |
|
|
2,231,003 |
|
|
2,229,050 |
|
|
|
|
Reverse repurchase agreements outstanding as of August 31, 2011 were as follows (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||
|
Bank of America |
|
0.06 |
% |
|
6/27/11 |
|
Open |
|
$ |
820,840 |
|
$ 820,750 |
|
|
|
Credit Suisse |
|
0.09 |
% |
|
6/27/11 |
|
Open |
|
|
2,579,783 |
|
2,579,363 |
|
|
|
Barclays Capital, Inc. |
|
0.02 |
% |
|
7/15/11 |
|
Open |
|
|
2,773,536 |
|
|
2,773,463 |
|
|
Deutsche Bank |
|
0.35 |
% |
|
7/19/11 |
|
Open |
|
|
13,085,458 |
|
13,079,863 |
|
|
|
Deutsche Bank |
|
(3.00 |
)% |
|
8/02/11 |
|
Open |
|
|
1,001,889 |
|
1,004,400 |
|
|
|
Deutsche Bank |
|
0.09 |
% |
|
8/03/11 |
|
Open |
|
|
1,108,824 |
|
1,108,744 |
|
|
|
Barclays Capital, Inc. |
|
0.12 |
% |
|
8/03/11 |
|
Open |
|
|
5,113,994 |
|
|
5,113,500 |
|
|
Deutsche Bank |
|
0.16 |
% |
|
8/12/11 |
|
Open |
|
|
1,285,739 |
|
1,285,625 |
|
|
|
Barclays Capital, Inc. |
|
0.04 |
% |
|
8/31/11 |
|
9/01/11 |
|
|
1,061,596 |
|
|
1,061,593 |
|
|
BNP Paribas |
|
0.08 |
% |
|
8/31/11 |
|
9/01/11 |
|
|
29,312,630 |
|
29,312,500 |
|
|
|
BNP Paribas |
|
0.18 |
% |
|
8/10/11 |
|
9/13/11 |
|
|
2,666,184 |
|
2,665,717 |
|
|
|
Credit Suisse |
|
(0.45 |
)% |
|
8/26/11 |
|
9/15/11 |
|
|
4,967,446 |
|
4,968,749 |
|
|
|
Bank of America |
|
(0.66 |
)% |
|
8/29/11 |
|
9/15/11 |
|
|
3,948,697 |
|
3,950,000 |
|
|
|
Bank of America |
|
(0.10 |
)% |
|
8/31/11 |
|
11/15/11 |
|
|
2,367,581 |
|
2,368,085 |
|
|
|
Total |
|
|
|
|
|
|
|
|
$ |
154,950,247 |
|
$ |
154,883,292 |
|
|
|
|
|
1 |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
|
|
|
|
Financial futures contracts purchased as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
1 |
|
Euro Bund |
|
Eurex |
|
September |
|
$ |
191,908 |
|
$ |
2,398 |
|
|
|
|
Futures |
|
|
|
2011 |
|
|
|
|
|
|
|
|
2 |
|
USD Index |
|
Intercontinental |
|
September |
|
$ |
149,798 |
|
|
(1,452 |
) |
|
|
|
Currency |
|
Exchange |
|
2011 |
|
|
|
|
|
|
|
|
17 |
|
2-Year US |
|
Chicago Board |
|
December |
|
$ |
3,748,794 |
|
|
(294 |
) |
|
|
|
Treasury Note |
|
of Trade |
|
2011 |
|
|
|
|
|
|
|
|
280 |
|
30-Year US |
|
Chicago Board |
|
December |
|
$ |
38,216,295 |
|
|
(127,545 |
) |
|
|
|
Treasury Bond |
|
of Trade |
|
2011 |
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(126,893 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
60 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
14,930,835 |
|
$ |
6,585 |
|
|
|
|
Euro Dollar |
|
Mercantile |
|
2011 |
|
|
|
|
|
|
|
|
31 |
|
5-Year US |
|
Chicago Board |
|
December |
|
$ |
3,798,658 |
|
|
(295 |
) |
|
|
|
Treasury Note |
|
of Trade |
|
2011 |
|
|
|
|
|
|
|
|
349 |
|
10-Year US |
|
Chicago Board |
|
December |
|
$ |
44,925,137 |
|
|
(106,769 |
) |
|
|
|
Treasury Note |
|
of Trade |
|
2011 |
|
|
|
|
|
|
|
|
18 |
|
Ultra Long US |
|
Chicago Board |
|
December |
|
$ |
2,565,533 |
|
|
(11,280 |
) |
|
|
|
Treasury Bond |
|
of Trade |
|
2011 |
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(111,759 |
) |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
||
|
|
|
80 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
USD |
250,000 |
|
SEK |
1,582,820 |
|
Citibank NA |
|
9/22/11 |
|
$ |
679 |
|
JPY |
192,120,380 |
|
USD |
2,410,000 |
|
Goldman
Sachs |
|
9/27/11 |
|
|
99,563 |
|
USD |
2,426,972 |
|
JPY |
195,541,150 |
|
Royal
Bank |
|
9/27/11 |
|
|
(127,274 |
) |
SEK |
5,264,663 |
|
USD |
795,000 |
|
Citibank NA |
|
9/28/11 |
|
|
33,999 |
|
USD |
795,000 |
|
SEK |
5,070,731 |
|
Citibank NA |
|
9/28/11 |
|
|
(3,462 |
) |
CHF |
160,706 |
|
USD |
200,000 |
|
Royal
Bank |
|
9/30/11 |
|
|
(430 |
) |
USD |
100,000 |
|
EUR |
69,426 |
|
Deutsche |
|
9/30/11 |
|
|
305 |
|
USD |
1,119,306 |
|
GBP |
700,500 |
|
Royal
Bank |
|
10/07/11 |
|
|
(17,373 |
) |
USD |
4,086,988 |
|
EUR |
2,850,000 |
|
Citibank NA |
|
10/26/11 |
|
|
(4,351 |
) |
USD |
285,610 |
|
EUR |
200,000 |
|
UBS AG |
|
10/26/11 |
|
|
(1,502 |
) |
CNY |
5,920,000 |
|
USD |
932,651 |
|
Goldman
Sachs |
|
11/15/11 |
|
|
(2,472 |
) |
CNY |
5,920,000 |
|
USD |
937,080 |
|
Goldman
Sachs |
|
2/15/12 |
|
|
(2,802 |
) |
Total |
|
|
|
|
|
|
|
|
|
$ |
(25,120 |
) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
3/20/13 |
|
$ |
1,400 |
|
$ |
247,415 |
|
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
6/20/15 |
|
$ |
1,400 |
|
|
354,763 |
|
The PMI Group, Inc. |
|
5.00% |
|
Citibank NA |
|
9/20/16 |
|
$ |
1,400 |
|
|
841,808 |
|
News America, Inc. |
|
1.00% |
|
JPMorgan |
|
9/20/16 |
|
$ |
400 |
|
|
(2,968 |
) |
|
|
|
|
Chase Bank NA |
|
|
|
|
|
|
|
|
|
The New York |
|
1.00% |
|
Barclays |
|
12/20/16 |
|
$ |
1,800 |
|
|
36,647 |
|
Times Co. |
|
|
|
Bank Plc |
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,477,665 |
|
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
Aviva USA Corp. |
|
1.00% |
|
Deutsche |
|
5/25/12 |
|
A |
|
$ |
1,150 |
|
$ |
(941 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Deutsche |
|
9/20/16 |
|
A |
|
$ |
730 |
|
|
8,497 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Morgan |
|
9/20/16 |
|
A |
|
$ |
910 |
|
|
9,097 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
Lincoln |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
National Corp. |
|
1.00% |
|
Credit Suisse |
|
9/20/16 |
|
A |
|
$ |
210 |
|
|
|
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
Lincoln |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
National Corp. |
|
1.00% |
|
Morgan |
|
9/20/16 |
|
A |
|
$ |
170 |
|
|
1,982 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
Prudential |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial, Inc. |
|
1.00% |
|
Morgan |
|
9/20/16 |
|
A |
|
$ |
260 |
|
|
2,778 |
|
|
|
|
|
Stanley Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
21,413 |
|
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Trust may pay should a negative event take place as defined under the terms of agreement. |
|
|
|
|
Credit default swaps on traded indexes buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Dow Jones |
|
5.00% |
|
Credit Suisse |
|
12/20/15 |
|
$ |
5,000 |
|
$ |
293,943 |
|
CDX North |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
America High |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Yield Series 15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones |
|
5.00% |
|
Morgan |
|
12/20/15 |
|
$ |
990 |
|
|
10,236 |
|
CDX Emerging |
|
|
|
Stanley & Co., Inc. |
|
|
|
|
|
|
|
|
|
Markets Series 14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones |
|
1.00% |
|
Credit Suisse |
|
6/20/16 |
|
$ |
770 |
|
|
(3,155 |
) |
CDX North |
|
|
|
Securities |
|
|
|
|
|
|
|
|
|
America Investment |
|
|
|
(USA) LLC |
|
|
|
|
|
|
|
|
|
Grade Series 16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones |
|
1.00% |
|
JPMorgan |
|
6/20/16 |
|
$ |
2,315 |
|
|
(8,445 |
) |
CDX North |
|
|
|
Chase & Co. |
|
|
|
|
|
|
|
|
|
America Investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
Grade Series 16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
292,579 |
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
81 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
|
|
Interest rate swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
0.65%(a) |
|
3-month LIBOR |
|
Barclays |
|
7/22/13 |
|
$ |
5,900 |
|
$ |
(18,402 |
) |
|
|
|
|
Bank Plc |
|
|
|
|
|
|
|
|
|
0.45%(a) |
|
3-month LIBOR |
|
BNP Paribas |
|
8/18/13 |
|
$ |
21,800 |
|
|
16,248 |
|
1.80%(b) |
|
3-month LIBOR |
|
Royal Bank |
|
3/04/16 |
|
$ |
7,100 |
|
|
248,828 |
|
|
|
|
|
of Scotland Plc |
|
|
|
|
|
|
|
|
|
2.39%(b) |
|
3-month LIBOR |
|
Royal Bank |
|
4/06/16 |
|
$ |
2,100 |
|
|
119,325 |
|
|
|
|
|
of Scotland Plc |
|
|
|
|
|
|
|
|
|
2.39%(b) |
|
3-month LIBOR |
|
Deutsche |
|
4/14/16 |
|
$ |
1,300 |
|
|
74,316 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
2.15%(b) |
|
3-month LIBOR |
|
Deutsche |
|
4/28/16 |
|
$ |
3,700 |
|
|
188,514 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
2.27%(b) |
|
3-month LIBOR |
|
Morgan |
|
8/13/16 |
|
$ |
2,300 |
|
|
4,462 |
|
|
|
|
|
Stanley & Co., Inc. |
|
|
|
|
|
|
|
|
|
2.20%(b) |
|
3-month LIBOR |
|
Bank of |
|
8/15/16 |
|
$ |
2,500 |
|
|
1,492 |
|
|
|
|
|
America NA |
|
|
|
|
|
|
|
|
|
1.28%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
8/31/16 |
|
$ |
600 |
|
|
738 |
|
1.81%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
8/31/18 |
|
$ |
1,800 |
|
|
(1,681 |
) |
3.27%(a) |
|
3-month LIBOR |
|
Deutsche |
|
5/16/21 |
|
$ |
910 |
|
|
(74,219 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
3.86%(b) |
|
3-month LIBOR |
|
JPMorgan |
|
5/23/21 |
|
$ |
7,900 |
|
|
748,428 |
|
|
|
|
|
Chase & Co. |
|
|
|
|
|
|
|
|
|
2.57%(b) |
|
3-month LIBOR |
|
Deutsche |
|
8/08/21 |
|
$ |
400 |
|
|
6,765 |
|
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
2.56%(a) |
|
3-month LIBOR |
|
UBS AG |
|
8/10/21 |
|
$ |
1,000 |
|
|
(15,738 |
) |
2.35%(b) |
|
3-month LIBOR |
|
Deutsche |
|
8/12/21 |
|
$ |
1,900 |
|
|
(6,094 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
2.36%(b) |
|
3-month LIBOR |
|
Deutsche |
|
9/01/21 |
|
$ |
2,500 |
|
|
(8,283 |
) |
|
|
|
|
Bank AG |
|
|
|
|
|
|
|
|
|
2.36%(a) |
|
3-month LIBOR |
|
UBS AG |
|
9/02/21 |
|
$ |
900 |
|
|
|
|
2.37%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
9/02/21 |
|
$ |
1,400 |
|
|
|
|
2.37%(a) |
|
3-month LIBOR |
|
Credit Suisse |
|
9/02/21 |
|
$ |
1,600 |
|
|
|
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
2.38%(b) |
|
3-month LIBOR |
|
Credit Suisse |
|
9/02/21 |
|
$ |
2,500 |
|
|
|
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
2.38%(a) |
|
3-month LIBOR |
|
UBS AG |
|
9/02/21 |
|
$ |
5,400 |
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,284,699 |
|
|
|
|
|
(a) |
Pays a fixed interest rate and receives floating rate. |
|
|
|
|
(b) |
Pays a floating interest rate and receives fixed rate. |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed |
|
|
|
|
$ |
16,237,931 |
|
$ |
6,157,600 |
|
$ |
22,395,531 |
|
Common Stocks |
|
|
|
|
|
1 |
|
|
|
|
|
1 |
|
Corporate Bonds |
|
|
|
|
|
294,682,209 |
|
|
2,004,500 |
|
|
296,686,709 |
|
Foreign Agency |
|
|
|
|
|
3,209,839 |
|
|
|
|
|
3,209,839 |
|
Non-Agency |
|
|
|
|
|
66,745,564 |
|
|
1,957,342 |
|
|
68,702,906 |
|
Other Interests |
|
|
|
|
|
|
|
|
190 |
|
|
190 |
|
Preferred |
|
$ |
581,724 |
|
|
7,426,646 |
|
|
109,421 |
|
|
8,117,791 |
|
Taxable Municipal |
|
|
|
|
|
7,776,092 |
|
|
|
|
|
7,776,092 |
|
US Government |
|
|
|
|
|
72,667,720 |
|
|
80,827 |
|
|
72,748,547 |
|
US Treasury |
|
|
|
|
|
88,202,363 |
|
|
|
|
|
88,202,363 |
|
Warrants |
|
|
|
|
|
|
|
|
83,088 |
|
|
83,088 |
|
Short-Term |
|
|
3,706,293 |
|
|
|
|
|
|
|
|
3,706,293 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale |
|
|
|
|
|
(29,830,973 |
) |
|
|
|
|
(29,830,973 |
) |
Total |
|
$ |
4,288,017 |
|
$ |
527,117,392 |
|
$ |
10,392,968 |
|
$ |
541,798,377 |
|
|
|
|
See Notes to Financial
Statements. |
|
|
|
|
|
82 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
1,807,166 |
|
|
|
|
$ |
1,807,166 |
|
Foreign currency |
|
|
|
|
|
544,049 |
|
|
|
|
|
544,049 |
|
Interest rate |
|
$ |
95,652 |
|
|
5,238,635 |
|
|
|
|
|
5,334,287 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(14,568 |
) |
$ |
(941 |
) |
|
(15,509 |
) |
Foreign currency |
|
|
|
|
|
(340,887 |
) |
|
|
|
|
(340,887 |
) |
Interest rate |
|
|
(252,391 |
) |
|
(7,073,042 |
) |
|
|
|
|
(7,325,433 |
) |
Total |
|
$ |
(156,739 |
) |
$ |
161,353 |
|
$ |
(941 |
) |
$ |
3,673 |
|
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed |
|
Common |
|
Corporate |
|
Non-Agency |
|
Other |
|
Preferred |
|
US
Government |
|
Warrants |
|
Total |
|
|||||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
5,145,849 |
|
$ |
13,235 |
|
$ |
1,100 |
|
$ |
2,331,908 |
|
$ |
381 |
|
$ |
65,455 |
|
$ |
1,499,795 |
|
|
|
|
$ |
9,057,723 |
|
Accrued discounts/premiums |
|
|
(500,911 |
) |
|
|
|
|
4,845 |
|
|
869 |
|
|
|
|
|
|
|
|
(1,141 |
) |
|
|
|
|
(496,338 |
) |
Net realized gain (loss) |
|
|
(421,819 |
) |
|
(339,690 |
) |
|
|
|
|
34,437 |
|
|
|
|
|
130,416 |
|
|
(40,609 |
) |
|
|
|
|
(637,265 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
1,743,760 |
|
|
363,363 |
|
|
98,555 |
|
|
(11,277 |
) |
|
(191 |
) |
|
96,132 |
|
|
57,818 |
|
$ |
83,087 |
|
|
2,431,247 |
|
Purchases |
|
|
4,836,681 |
|
|
|
|
|
1,900,000 |
|
|
2,236,034 |
|
|
|
|
|
|
|
|
|
|
|
1 |
|
|
8,972,716 |
|
Sales |
|
|
(3,776,090 |
) |
|
(36,908 |
) |
|
|
|
|
(1,883,200 |
) |
|
|
|
|
(182,582 |
) |
|
(1,435,036 |
) |
|
|
|
|
(7,313,816 |
) |
Transfers in3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out3 |
|
|
(869,870 |
) |
|
|
|
|
|
|
|
(751,429 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,621,299 |
) |
Balance, as of August 31, 2011 |
|
$ |
6,157,600 |
|
|
|
|
$ |
2,004,500 |
|
$ |
1,957,342 |
|
$ |
190 |
|
$ |
109,421 |
|
$ |
80,827 |
|
$ |
83,088 |
|
$ |
10,392,968 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $649,196. |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
Credit |
|
|
Liabilities: |
|
|
|
|
Balance, as of August 31, 2010 |
|
|
|
|
Accrued discounts/premiums |
|
$ |
2,274 |
|
Net realized gain (loss) |
|
|
|
|
Net change in unrealized appreciation/depreciation4 |
|
|
(941 |
) |
Purchases |
|
|
|
|
Issuances5 |
|
|
(7,747 |
) |
Sales |
|
|
|
|
Settlements6 |
|
|
5,473 |
|
Transfers in7 |
|
|
|
|
Transfers out7 |
|
|
|
|
Balance, as of August 31, 2011 |
|
$ |
(941 |
) |
|
|
|
|
4 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at August 31, 2011 was $(941). |
|
|
|
|
5 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
6 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
|
|
7 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
|
See Notes to Financial
Statements. |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
83 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock Income Trust, Inc. (BKT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Asset-Backed Securities 2.0% |
|
|
|
|
|
|
|
First Franklin Mortgage Loan Asset-Backed Certificates, |
|
$ |
5,890 |
|
$ |
4,979,210 |
|
Freddie Mac Mortgage-Backed Securities, Series T-11, |
|
|
2,347 |
|
|
2,182,273 |
|
GSAA Home Equity Trust, Series 2005-1, Class AF2, |
|
|
215 |
|
|
214,824 |
|
Securitized Asset-Backed Receivables LLC Trust, |
|
|
1,875 |
|
|
1,125,459 |
|
Small Business Administration Participation Certificates, |
|
|
|
|
|
|
|
Series 1996-20E, 7.60%, 5/01/16 |
|
|
180 |
|
|
195,230 |
|
Series 1996-20G, 7.70%, 7/01/16 |
|
|
204 |
|
|
223,076 |
|
Series 1996-20H, 7.25%, 8/01/16 |
|
|
262 |
|
|
285,819 |
|
Series 1996-20K, 6.95%, 11/01/16 |
|
|
492 |
|
|
536,461 |
|
Series 1997-20C, 7.15%, 3/01/17 |
|
|
201 |
|
|
219,243 |
|
|
|
|
|
|
|
9,961,595 |
|
Interest Only Asset-Backed Securities 0.2% |
|
|
|
|
|
|
|
Small Business Administration, Series 1, 2.00%, |
|
|
1,802 |
|
|
15,768 |
|
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, |
|
|
4,721 |
|
|
370,322 |
|
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 |
|
|
8,221 |
|
|
652,538 |
|
|
|
|
|
|
|
1,038,628 |
|
Total Asset-Backed Securities 2.2% |
|
|
|
|
|
11,000,223 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 2.3% |
|
|
|
|
|
|
|
Collateralized Mortgage Obligation Trust, Series 40, |
|
|
123 |
|
|
123 |
|
Countrywide Alternative Loan Trust, Series 2005-28CB, |
|
|
857 |
|
|
834,444 |
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
|
|
1,056 |
|
|
961,982 |
|
Homebanc Mortgage Trust, Series 2005-4, Class A1, |
|
|
3,157 |
|
|
2,075,908 |
|
JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2, |
|
|
413 |
|
|
286,513 |
|
Kidder Peabody Acceptance Corp., Series 1993-1, |
|
|
53 |
|
|
58,209 |
|
Residential Funding Securities LLC, Series 2003-RM2, |
|
|
3,386 |
|
|
3,648,457 |
|
Structured Adjustable Rate Mortgage Loan Trust, |
|
|
1,401 |
|
|
1,201,326 |
|
WaMu Mortgage Pass-Through Certificates, |
|
|
5,009 |
|
|
2,381,653 |
|
|
|
|
|
|
|
11,448,615 |
|
Commercial Mortgage-Backed Securities 0.9% |
|
|
|
|
|
|
|
Credit Suisse Mortgage Capital Certificates, |
|
|
2,420 |
|
|
2,549,438 |
|
First Union-Lehman Brothers Commercial Mortgage, |
|
|
2,180 |
|
|
2,263,896 |
|
|
|
|
|
|
|
4,813,334 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Bank of America Mortgage Securities Inc., |
|
$ |
83,957 |
|
$ |
659,626 |
|
CitiMortgage Alternative Loan Trust, Series 2007-A5, |
|
|
997 |
|
|
128,183 |
|
Collateralized Mortgage Obligation Trust, Series 42, |
|
|
3 |
|
|
221 |
|
First Boston Mortgage Securities Corp., Series C, |
|
|
25 |
|
|
3,972 |
|
GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, |
|
|
4,743 |
|
|
123,433 |
|
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, |
|
|
105,044 |
|
|
521,017 |
|
MASTR Adjustable Rate Mortgages Trust, |
|
|
12,327 |
|
|
137,072 |
|
MASTR Alternative Loans Trust, |
|
|
593 |
|
|
88,526 |
|
Morgan Stanley Mortgage Loan Trust, Series 2004-3, |
|
|
643 |
|
|
73,582 |
|
Sequoia Mortgage Trust, Series 2005-2, Class XA, |
|
|
38,402 |
|
|
629,412 |
|
Structured Adjustable Rate Mortgage Loan Trust: |
|
|
|
|
|
|
|
Series 2005-20, Class 3AX, 5.50%, 10/25/35 |
|
|
861 |
|
|
91,544 |
|
Series 2006-7, Class 3AS, 2.51%, 8/25/36 (a) |
|
|
27,700 |
|
|
3,053,138 |
|
Vendee Mortgage Trust, Series 1999-2, Class 1IO, |
|
|
56,766 |
|
|
99,290 |
|
|
|
|
|
|
|
5,609,016 |
|
Interest
Only Commercial Mortgage-Backed |
|
|
|
|
|
|
|
CS First Boston Mortgage Securities Corp., |
|
|
2,863 |
|
|
81,909 |
|
Morgan Stanley Capital I, Series 1997-HF1, |
|
|
12 |
|
|
|
|
|
|
|
|
|
|
81,909 |
|
Principal
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Countrywide Home Loan Mortgage |
|
|
|
|
|
|
|
Series 2003-26, 8/25/33 |
|
|
1,876 |
|
|
1,639,267 |
|
Series 2003-J4, 6/25/33 |
|
|
345 |
|
|
299,722 |
|
Series 2003-J5, 7/25/33 |
|
|
523 |
|
|
456,380 |
|
Series 2003-J8, 9/25/23 |
|
|
434 |
|
|
392,517 |
|
Drexel Burnham Lambert CMO Trust, Class 1: |
|
|
|
|
|
|
|
Series K, 9/23/17 |
|
|
10 |
|
|
9,207 |
|
Series V, 9/01/18 |
|
|
39 |
|
|
37,379 |
|
MASTR Asset Securitization Trust, |
|
|
81 |
|
|
63,729 |
|
Residential Asset Securitization Trust, |
|
|
891 |
|
|
684,098 |
|
Structured Mortgage Asset Residential Trust, |
|
|
8 |
|
|
6,654 |
|
Washington Mutual Alternative Mortgage |
|
|
571 |
|
|
368,333 |
|
|
|
|
|
|
|
3,957,286 |
|
Total Non-Agency Mortgage-Backed Securities 5.1% |
|
|
|
|
|
25,910,160 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
84 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Trust, Inc. (BKT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Agency Obligations 2.3% |
|
|
|
|
|
|
|
Federal Housing Administration, General Motors |
|
$ |
217 |
|
$ |
217,356 |
|
Federal Housing Administration, Merrill Projects, |
|
|
2 |
|
|
1,988 |
|
Federal Housing Administration, Reilly Projects, |
|
|
233 |
|
|
233,303 |
|
Federal Housing Administration, USGI Projects: |
|
|
|
|
|
|
|
Series 87, 7.43%, 12/01/22 |
|
|
66 |
|
|
66,249 |
|
Series 99, 7.43%, 6/01/21 |
|
|
4,414 |
|
|
4,413,817 |
|
Series 99, 7.43%, 10/01/23 |
|
|
41 |
|
|
40,999 |
|
Series 99, 7.43%, 10/01/23 |
|
|
121 |
|
|
121,135 |
|
Resolution Funding Corp., 9.89%, 4/15/30 (c) |
|
|
13,000 |
|
|
6,508,008 |
|
|
|
|
|
|
|
11,602,855 |
|
Collateralized Mortgage Obligations 12.3% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 1991-46, Class S, 1.40%, 5/25/21 (a) |
|
|
95 |
|
|
6,055 |
|
Series 1991-87, Class S, 26.02%, 8/25/21 (a) |
|
|
53 |
|
|
80,246 |
|
Series 1993-247, Class SN, 10.00%, 12/25/23 (a) |
|
|
416 |
|
|
473,296 |
|
Series 2003-32, Class VT, 6.00%, 9/25/15 |
|
|
3,819 |
|
|
3,875,544 |
|
Series 2003-135, Class PB, 6.00%, 1/25/34 |
|
|
12,264 |
|
|
14,108,985 |
|
Series 2004-29, Class HC, 7.50%, 7/25/30 |
|
|
491 |
|
|
510,353 |
|
Series 2004-31, Class ZG, 7.50%, 5/25/34 |
|
|
3,172 |
|
|
4,021,390 |
|
Series 2005-73, Class DS, 16.98%, 8/25/35 (a) |
|
|
3,137 |
|
|
3,690,063 |
|
Series 2006-2, Class KP, 0.00%, 2/25/35 (a) |
|
|
150 |
|
|
148,972 |
|
Series G-7, Class S, 16.87%, 3/25/21 (a) |
|
|
|
(d) |
|
4,292 |
|
Series G-17, Class S, 0.58%, 6/25/21 (a) |
|
|
262 |
|
|
5,848 |
|
Series G-33, Class PV, 1.08%, 10/25/21 |
|
|
301 |
|
|
6,249 |
|
Series G-49, Class S, 5.55%, 12/25/21 (a) |
|
|
|
(d) |
|
2,152 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 19, Class F, 8.50%, 3/15/20 |
|
|
88 |
|
|
96,368 |
|
Series 19, Class R, 9.76%, 3/15/20 (a) |
|
|
8 |
|
|
1,395 |
|
Series 40, Class K, 6.50%, 8/17/24 |
|
|
362 |
|
|
426,046 |
|
Series 75, Class R, 9.50%, 1/15/21 |
|
|
|
(d) |
|
2 |
|
Series 75, Class RS, 25.07%, 1/15/21 (a) |
|
|
|
(d) |
|
2 |
|
Series 173, Class R, 9.00%, 11/15/21 |
|
|
12 |
|
|
12 |
|
Series 173, Class RS, 9.19%, 11/15/21 (a) |
|
|
|
(d) |
|
13 |
|
Series 192, Class U, 28.43%, 2/15/22 (a) |
|
|
3 |
|
|
55 |
|
Series 1057, Class J, 1.01%, 3/15/21 |
|
|
96 |
|
|
2,196 |
|
Series 1160, Class F, 39.10%, 10/15/21 (a) |
|
|
20 |
|
|
43,149 |
|
Series 1961, Class H, 6.50%, 5/15/12 |
|
|
|
(d) |
|
69 |
|
Series 2218, Class Z, 8.50%, 3/15/30 |
|
|
5,424 |
|
|
6,395,778 |
|
Series 2542, Class UC, 6.00%, 12/15/22 |
|
|
8,321 |
|
|
9,101,257 |
|
Series 2758, Class KV, 5.50%, 5/15/23 |
|
|
9,463 |
|
|
10,717,927 |
|
Series 2861, Class AX, 10.49%, 9/15/34 (a) |
|
|
229 |
|
|
253,981 |
|
Series 2927, Class BZ, 5.50%, 2/15/35 |
|
|
2,964 |
|
|
3,542,353 |
|
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 1996-5, Class Z, 7.00%, 5/16/26 |
|
|
558 |
|
|
613,291 |
|
Series 2001-33, Class PB, 6.50%, 7/20/31 |
|
|
916 |
|
|
956,057 |
|
Series 2004-89, Class PE, 6.00%, 10/20/34 |
|
|
3,392 |
|
|
3,739,831 |
|
|
|
|
|
|
|
62,823,227 |
|
Federal
Deposit Insurance Corporation |
|
|
|
|
|
|
|
Citigroup Funding, Inc., 1.88%, 10/22/12 |
|
|
3,800 |
|
|
3,867,933 |
|
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Interest
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 7, Class 2, 8.50%, 4/01/17 |
|
$ |
5 |
|
$ |
742 |
|
Series 89, Class 2, 8.00%, 10/01/18 |
|
|
7 |
|
|
1,011 |
|
Series 94, Class 2, 9.50%, 8/01/21 |
|
|
3 |
|
|
629 |
|
Series 1990-123, Class M, 1.01%, 10/25/20 |
|
|
23 |
|
|
482 |
|
Series 1990-136, Class S, 0.02%, 11/25/20 (a) |
|
|
12,500 |
|
|
19,280 |
|
Series 1991-99, Class L, 0.93%, 8/25/21 |
|
|
119 |
|
|
2,249 |
|
Series 1991-139, Class PT, 0.65%, 10/25/21 |
|
|
242 |
|
|
3,527 |
|
Series 1993-199, Class SB, 7.25%, 10/25/23 (a) |
|
|
774 |
|
|
102,379 |
|
Series 1996-68, Class SC, 7.85%, 1/25/24 (a) |
|
|
453 |
|
|
25,931 |
|
Series 1997-50, Class SI, 1.20%, 4/25/23 (a) |
|
|
352 |
|
|
13,578 |
|
Series 1997-90, Class M, 6.00%, 1/25/28 |
|
|
6,079 |
|
|
1,103,363 |
|
Series 1999-W4, Class IO, 6.50%, 12/25/28 |
|
|
343 |
|
|
73,898 |
|
Series 2005-43, Class IC, 6.00%, 3/25/34 |
|
|
11 |
|
|
81 |
|
Series 2010-75, Class PI, 4.50%, 12/25/36 |
|
|
27,822 |
|
|
2,357,580 |
|
Series 2010-126, Class UI, 5.50%, 10/25/40 |
|
|
22,095 |
|
|
3,516,430 |
|
Series G-10, Class S, 0.58%, 5/25/21 (a) |
|
|
531 |
|
|
14,473 |
|
Series G-12, Class S, 0.61%, 5/25/21 (a) |
|
|
392 |
|
|
10,083 |
|
Series G-50, Class G, 1.16%, 12/25/21 |
|
|
56 |
|
|
253 |
|
Series G92-5, Class H, 9.00%, 1/25/22 |
|
|
84 |
|
|
13,795 |
|
Series G92-12, Class C, 1.00%, 2/25/22 |
|
|
246 |
|
|
4,814 |
|
Series G92-60, Class SB, 1.60%, 10/25/22 (a) |
|
|
250 |
|
|
11,638 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 176, Class M, 1.01%, 7/15/21 |
|
|
31 |
|
|
688 |
|
Series 200, Class R, 195,991.50%, 12/15/22 (a) |
|
|
1 |
|
|
14 |
|
Series 1043, Class H, 0.02%, 2/15/21 (a) |
|
|
8,491 |
|
|
16,363 |
|
Series 1054, Class I, 0.44%, 3/15/21 (a) |
|
|
70 |
|
|
1,519 |
|
Series 1056, Class KD, 1.08%, 3/15/21 |
|
|
60 |
|
|
1,375 |
|
Series 1148, Class E, 0.59%, 10/15/21 (a) |
|
|
173 |
|
|
4,252 |
|
Series 1914, Class PC, 0.75%, 12/15/11 |
|
|
25 |
|
|
16 |
|
Series 2545, Class NI, 5.50%, 3/15/22 |
|
|
162 |
|
|
2,608 |
|
Series 2559, Class IO, 0.50%, 8/15/30 (a) |
|
|
204 |
|
|
2,234 |
|
Series 2611, Class QI, 5.50%, 9/15/32 |
|
|
3,802 |
|
|
515,265 |
|
Series 2949, Class IO, 5.50%, 3/15/35 |
|
|
685 |
|
|
41,949 |
|
Series 3744, Class PI, 4.00%, 6/15/39 |
|
|
21,364 |
|
|
3,948,496 |
|
Series 3745, Class IN, 4.00%, 1/15/35 |
|
|
48,340 |
|
|
7,016,832 |
|
Ginnie Mae Mortgage-Backed Securities, |
|
|
|
|
|
|
|
Series 2010-101, Class YT, 2.00%, 8/16/13 |
|
|
60,883 |
|
|
1,779,679 |
|
|
|
|
|
|
|
20,607,506 |
|
Mortgage-Backed Securities 123.9% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 12/01/40 (e) |
|
|
800 |
|
|
805,781 |
|
4.00%, 1/01/41 6/15/41 (e) |
|
|
31,400 |
|
|
32,585,182 |
|
4.50%, 8/01/25 5/01/40 (e)(f)(g) |
|
|
211,196 |
|
|
224,764,518 |
|
5.00%, 1/01/23 6/15/41 (e)(g) |
|
|
121,722 |
|
|
131,765,735 |
|
5.50%, 2/01/33 6/15/40 (e)(f)(g) |
|
|
135,378 |
|
|
148,634,707 |
|
5.97%, 8/01/16 |
|
|
3,054 |
|
|
3,514,676 |
|
6.00%, 6/15/41 (e) |
|
|
21,800 |
|
|
24,129,875 |
|
6.50%, 12/01/37 10/01/39 (g) |
|
|
48,571 |
|
|
54,577,985 |
|
7.50%, 2/01/22 |
|
|
|
(d) |
|
121 |
|
9.50%, 1/01/19 9/01/19 |
|
|
3 |
|
|
2,894 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
2.61%, 1/01/35 (a) |
|
|
203 |
|
|
204,875 |
|
4.51%, 11/01/17 (a) |
|
|
18 |
|
|
18,745 |
|
4.93%, 10/01/34 (a) |
|
|
305 |
|
|
318,806 |
|
5.00%, 2/01/22 4/01/22 (f) |
|
|
1,155 |
|
|
1,247,947 |
|
5.50%, 6/15/26 (e) |
|
|
7,000 |
|
|
7,603,750 |
|
9.00%, 9/01/20 (f) |
|
|
54 |
|
|
60,562 |
|
Ginnie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
7.50%, 8/15/21 12/15/23 |
|
|
223 |
|
|
257,432 |
|
8.00%, 10/15/22 2/15/29 |
|
|
81 |
|
|
95,381 |
|
9.00%, 6/15/18 9/15/21 |
|
|
8 |
|
|
9,584 |
|
|
|
|
|
|
|
630,598,556 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
85 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Trust, Inc. (BKT) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
Principal
Only Collateralized Mortgage |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 203, Class 1, 2/01/23 |
|
$ |
21 |
|
$ |
18,894 |
|
Series 228, Class 1, 6/01/23 |
|
|
14 |
|
|
12,415 |
|
Series 1991-7, Class J, 2/25/21 |
|
|
19 |
|
|
18,023 |
|
Series 1993-51, Class E, 2/25/23 |
|
|
68 |
|
|
66,496 |
|
Series 1993-70, Class A, 5/25/23 |
|
|
10 |
|
|
9,688 |
|
Series 1999-W4, Class PO, 2/25/29 |
|
|
184 |
|
|
166,956 |
|
Series 2002-13, Class PR, 3/25/32 |
|
|
396 |
|
|
369,084 |
|
Series G93-2, Class KB, 1/25/23 |
|
|
167 |
|
|
139,223 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series 1418, Class M, 11/15/22 |
|
|
73 |
|
|
68,385 |
|
Series 1571, Class G, 8/15/23 |
|
|
437 |
|
|
381,086 |
|
Series 1691, Class B, 3/15/24 |
|
|
1,019 |
|
|
941,912 |
|
Series 1739, Class B, 2/15/24 |
|
|
44 |
|
|
42,271 |
|
Series T-8, Class A10, 11/15/28 |
|
|
140 |
|
|
130,884 |
|
|
|
|
|
|
|
2,365,317 |
|
Total US
Government Sponsored |
|
|
|
|
|
731,865,394 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
US Treasury Obligations |
|
|
|
|
|
|
|
US Treasury Bonds: |
|
|
|
|
|
|
|
6.25%, 8/15/23 (g) |
|
|
3,320 |
|
|
4,589,382 |
|
4.38%, 5/15/40 (g) |
|
|
36,985 |
|
|
42,324,894 |
|
4.50%, 8/15/39 (f) |
|
|
330 |
|
|
385,481 |
|
4.38%, 5/15/41 (g) |
|
|
21,055 |
|
|
24,130,925 |
|
US Treasury Notes: |
|
|
|
|
|
|
|
1.00%, 8/31/16 |
|
|
10 |
|
|
10,023 |
|
2.25%, 7/31/18 |
|
|
3,375 |
|
|
3,535,576 |
|
2.63%, 8/15/20 (h) |
|
|
1,455 |
|
|
1,525,818 |
|
2.13%, 8/15/21 (g) |
|
|
25,700 |
|
|
25,483,092 |
|
Total US Treasury Obligations 20.0% |
|
|
|
|
|
101,985,191 |
|
Total
Long-Term Investments |
|
|
|
|
|
870,760,968 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
Borrowed Bond Agreements 1.6% |
|
|
|
|
|
|
|
BNP Paribas SA: |
|
|
|
|
|
|
|
0.08%, 2/15/14 |
|
|
941 |
|
|
940,700 |
|
0.04%, 2/29/16 |
|
|
7,059 |
|
|
7,058,906 |
|
|
|
|
|
|
|
7,999,606 |
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
Money Market Fund 0.8% |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
3,958,025 |
|
|
3,958,025 |
|
Total
Short-Term Securities |
|
|
|
|
|
11,957,631 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike Price $98.25, Expires 9/16/11 |
|
|
247 |
|
|
3,087 |
|
Strike Price $99.25, Expires 3/16/12 |
|
|
599 |
|
|
108,569 |
|
|
|
|
|
|
|
111,656 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Swaptions 0.3% |
|
|
|
|
|
|
|
Receive a fixed rate of 5.47% and pay a floating rate |
|
$ |
6,200 |
|
$ |
1,574,894 |
|
Over-the-Counter Put Swaptions 0.0% |
|
|
|
|
|
|
|
Pay a fixed rate of 5.47% and receive a floating rate |
|
|
6,200 |
|
|
2,632 |
|
Total
Options Purchased |
|
|
|
|
|
1,689,182 |
|
Total
Investments Before Borrowed Bonds, |
|
|
|
|
|
884,407,781 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
Par |
|
|
|
|
|
US Treasury Notes: |
|
|
|
|
|
|
|
1.25%, 2/15/14 |
|
|
920 |
|
|
(942,640 |
) |
2.13%, 2/29/16 |
|
|
6,845 |
|
|
(7,254,098 |
) |
Total
Borrowed Bonds |
|
|
|
|
|
(8,196,738 |
) |
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
TBA Sale Commitments (e) |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 12/01/40 |
|
|
800 |
|
|
(805,781 |
) |
4.50%, 9/19/26 9/13/41 |
|
|
18,100 |
|
|
(19,277,679 |
) |
5.00%, 9/19/16 |
|
|
1,300 |
|
|
(1,399,938 |
) |
Freddie Mac Mortgage-Backed Securities, |
|
|
1,100 |
|
|
(1,182,328 |
) |
Total TBA
Sale Commitments |
|
|
|
|
|
(22,665,726 |
) |
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options, Strike Price |
|
|
247 |
|
|
(1,544 |
) |
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
||
Over-the-Counter Call Swaptions (0.3)% |
|
|
|
|
|
|
|
Pay a fixed rate of 5.33% and receive a floating rate |
|
$ |
11,100 |
|
|
(1,598,371 |
) |
Over-the-Counter Put Swaptions (0.0)% |
|
|
|
|
|
|
|
Receive a fixed rate of 5.33% and pay a floating rate |
|
|
11,100 |
|
|
(27,850 |
) |
Total Options
Written |
|
|
|
|
|
(1,627,765 |
) |
Total
Investments, Net of TBA Sale Commitments, |
|
|
|
|
|
851,917,552 |
|
Liabilities in Excess of Other Assets (67.4)% |
|
|
|
|
|
(343,153,045 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
508,764,507 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
86 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Trust, Inc. (BKT) |
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
858,796,688 |
|
Gross unrealized appreciation |
|
$ |
43,478,114 |
|
Gross unrealized depreciation |
|
|
(17,867,021 |
) |
Net unrealized appreciation |
|
$ |
25,611,093 |
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(c) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(d) |
Amount is less than $500. |
|
|
(e) |
Represents or includes a TBA transaction. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Bank of America Securities |
|
$ |
(1,162,176 |
) |
$ |
2,020 |
|
Citigroup Global Markets, Inc. |
|
$ |
1,162,176 |
|
$ |
2,793 |
|
Credit Suisse International |
|
$ |
31,733,625 |
|
$ |
265,656 |
|
Deutsche Bank Securities, Inc. |
|
$ |
55,704,963 |
|
$ |
384,788 |
|
Goldman Sachs & Co. |
|
$ |
3,108,750 |
|
$ |
30,938 |
|
Greenwich Financial Services |
|
$ |
4,775,375 |
|
$ |
(2,063 |
) |
JPMorgan Chase Securities, Inc. |
|
$ |
(1,182,328 |
) |
$ |
(2,063 |
) |
Morgan Stanley & Co., Inc. |
|
$ |
51,168,473 |
|
$ |
397,238 |
|
Nomura Securities International, Inc. |
|
$ |
(105,652 |
) |
$ |
(965 |
) |
UBS AG |
|
$ |
(19,198,484 |
) |
$ |
(93,359 |
) |
|
|
(f) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(g) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(h) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
(i) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
857,657 |
|
|
3,100,368 |
|
|
3,958,025 |
|
$ |
10,455 |
|
|
|
(j) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Interest rate floors outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
Value |
|
Unrealized |
|
|||
Pay to broker the difference between |
|
$ |
23,000 |
|
$ |
(308,729 |
) |
$ |
132,104 |
|
|
|
|
Reverse repurchase agreements outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net |
|
Face |
|
||||
Barclays Capital, Inc. |
|
|
0.03 |
% |
5/03/11 |
|
Open |
|
$ |
4,229,276 |
|
$ |
4,228,850 |
|
|
Merrill Lynch & |
|
|
0.05 |
% |
5/06/11 |
|
Open |
|
|
29,786,969 |
|
|
29,782,087 |
|
|
BNP Paribas |
|
|
0.18 |
% |
8/10/11 |
|
9/13/11 |
|
|
96,787,108 |
|
|
96,776,463 |
|
|
BNP Paribas |
|
|
0.18 |
% |
8/11/11 |
|
9/13/11 |
|
|
61,653,106 |
|
|
61,646,633 |
|
|
Credit Suisse |
|
|
(0.45 |
)% |
8/29/11 |
|
9/15/11 |
|
|
7,949,404 |
|
|
7,950,000 |
|
|
BNP Paribas |
|
|
0.08 |
% |
8/31/11 |
|
9/01/11 |
|
|
6,448,764 |
|
|
6,448,750 |
|
|
Credit Suisse |
|
|
0.04 |
% |
8/31/11 |
|
Open |
|
|
9,210,010 |
|
|
9,210,000 |
|
|
Merrill Lynch & |
|
|
(0.10 |
)% |
8/31/11 |
|
11/15/11 |
|
|
17,633,576 |
|
|
17,633,625 |
|
|
Total |
|
|
|
|
|
|
|
|
|
$ |
233,698,213 |
|
$ |
233,676,408 |
|
|
|
|
|
1 |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
|
|
|
Financial futures contracts purchased as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
157 |
|
90-Day |
|
Chicago |
|
September |
|
$ |
39,009,132 |
|
$ |
96,625 |
|
41 |
|
5-Year
US |
|
Chicago |
|
December |
|
$ |
5,024,179 |
|
|
242 |
|
46 |
|
Ultra
Long US |
|
Chicago |
|
December |
|
$ |
6,556,513 |
|
|
28,674 |
|
143 |
|
90-Day |
|
Chicago |
|
March 2012 |
|
$ |
35,392,106 |
|
|
177,357 |
|
155 |
|
90-Day |
|
Chicago |
|
June 2012 |
|
$ |
38,372,877 |
|
|
189,186 |
|
169 |
|
90-Day |
|
Chicago |
|
September |
|
$ |
41,654,315 |
|
|
392,885 |
|
98 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
24,230,146 |
|
|
148,579 |
|
70 |
|
90-Day |
|
Chicago |
|
March 2013 |
|
$ |
17,115,955 |
|
|
293,920 |
|
96 |
|
90-Day |
|
Chicago |
|
June 2013 |
|
$ |
23,608,155 |
|
|
250,245 |
|
90 |
|
90-Day |
|
Chicago |
|
September |
|
$ |
21,943,335 |
|
|
396,915 |
|
57 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
13,823,094 |
|
|
300,793 |
|
26 |
|
90-Day |
|
Chicago |
|
March 2014 |
|
$ |
6,289,522 |
|
|
140,604 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
2,416,025 |
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
87 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Trust, Inc. (BKT) |
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
151 |
|
90-Day |
|
Chicago |
|
December |
|
$ |
37,444,703 |
|
$ |
(114,660 |
) |
213 |
|
2-Year
US |
|
Chicago |
|
December |
|
$ |
46,965,484 |
|
|
(1,016 |
) |
1,755 |
|
10-Year
US |
|
Chicago |
|
December |
|
$ |
226,899,195 |
|
|
449,351 |
|
42 |
|
30-Year
US |
|
Chicago |
|
December |
|
$ |
5,705,465 |
|
|
(7,848 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
325,827 |
|
|
|
|
Interest rate swaps outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
0.83%(a) |
|
3-month LIBOR |
|
Deutsche |
|
7/27/12 |
|
$ |
34,800 |
|
$ |
(116,845 |
) |
4.88%(b) |
|
3-month LIBOR |
|
UBS AG |
|
3/21/15 |
|
$ |
25,000 |
|
|
3,587,277 |
|
4.87%(b) |
|
3-month LIBOR |
|
Goldman
Sachs |
|
1/25/16 |
|
$ |
5,500 |
|
|
905,804 |
|
2.81%(b) |
|
3-month LIBOR |
|
Citibank NA |
|
2/06/16 |
|
$ |
20,000 |
|
|
1,517,825 |
|
5.72%(b) |
|
3-month LIBOR |
|
JPMorgan |
|
7/14/16 |
|
$ |
5,400 |
|
|
1,158,819 |
|
5.51%(b) |
|
3-month LIBOR |
|
Bank
of |
|
8/03/17 |
|
$ |
95,147 |
|
|
21,607,779 |
|
5.88%(a) |
|
3-month LIBOR |
|
Deutsche |
|
6/25/18 |
|
$ |
31,930 |
|
|
(8,052,450 |
) |
4.55%(a) |
|
3-month LIBOR |
|
Citibank NA |
|
9/26/18 |
|
$ |
41,600 |
|
|
(7,555,995 |
) |
4.31%(a) |
|
3-month LIBOR |
|
Deutsche |
|
10/01/18 |
|
$ |
66,000 |
|
|
(10,956,088 |
) |
3.09%(a) |
|
3-month LIBOR |
|
Deutsche |
|
3/09/19 |
|
$ |
25,700 |
|
|
(2,094,237 |
) |
3.17%(b) |
|
3-month LIBOR |
|
Bank
of |
|
3/18/19 |
|
$ |
4,700 |
|
|
406,238 |
|
2.88%(b) |
|
3-month LIBOR |
|
Deutsche |
|
4/01/19 |
|
$ |
39,700 |
|
|
2,605,034 |
|
3.23%(a) |
|
3-month LIBOR |
|
Deutsche |
|
5/19/19 |
|
$ |
2,800 |
|
|
(252,448 |
) |
3.90%(a) |
|
3-month LIBOR |
|
Barclays |
|
6/05/19 |
|
$ |
20,000 |
|
|
(2,791,780 |
) |
3.55%(a) |
|
3-month LIBOR |
|
Deutsche |
|
8/18/19 |
|
$ |
15,000 |
|
|
(1,828,914 |
) |
5.49%(a) |
|
3-month LIBOR |
|
JPMorgan |
|
10/28/19 |
|
$ |
1,400 |
|
|
(322,496 |
) |
3.67%(b) |
|
3-month LIBOR |
|
Deutsche |
|
12/21/19 |
|
$ |
2,000 |
|
|
242,962 |
|
5.67%(a) |
|
3-month LIBOR |
|
Citigroup
Global |
|
1/06/20 |
|
$ |
12,400 |
|
|
(2,913,926 |
) |
3.88%(b) |
|
3-month LIBOR |
|
Morgan
Stanley |
|
1/07/20 |
|
$ |
7,600 |
|
|
1,049,276 |
|
3.71%(a) |
|
3-month LIBOR |
|
Deutsche |
|
2/11/20 |
|
$ |
6,200 |
|
|
(769,331 |
) |
|
|
|
Interest rate swaps outstanding as of August 31, 2011 were as follows (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
3.73%(b) |
|
3-month LIBOR |
|
Morgan
Stanley. |
|
5/05/20 |
|
$ |
28,000 |
|
$ |
3,504,126 |
|
3.43%(b) |
|
3-month LIBOR |
|
JPMorgan |
|
3/28/21 |
|
$ |
7,000 |
|
|
986,126 |
|
5.41%(b) |
|
3-month LIBOR |
|
JPMorgan |
|
8/15/22 |
|
$ |
9,565 |
|
|
2,724,417 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
2,641,173 |
|
|
|
|
|
(a) |
Pays a fixed interest rate and receives floating rate. |
|
|
|
|
(b) |
Pays a floating interest rate and receives fixed rate. |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
88 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Income Trust, Inc. (BKT) |
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed |
|
|
|
|
$ |
9,961,595 |
|
$ |
1,038,628 |
|
$ |
11,000,223 |
|
Non-Agency |
|
|
|
|
|
21,477,633 |
|
|
4,432,527 |
|
|
25,910,160 |
|
US Government |
|
|
|
|
|
726,769,109 |
|
|
5,096,285 |
|
|
731,865,394 |
|
US Treasury |
|
|
|
|
|
101,985,191 |
|
|
|
|
|
101,985,191 |
|
Short-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
|
|
|
|
7,999,606 |
|
|
|
|
|
7,999,606 |
|
Money Market |
|
$ |
3,958,025 |
|
|
|
|
|
|
|
|
3,958,025 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
|
|
|
|
(8,196,738 |
) |
|
|
|
|
(8,196,738 |
) |
TBA Sale |
|
|
|
|
|
(22,665,726 |
) |
|
|
|
|
(22,665,726 |
) |
Total |
|
$ |
3,958,025 |
|
$ |
837,330,670 |
|
$ |
10,567,440 |
|
$ |
851,856,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
$ |
2,977,032 |
|
$ |
41,873,209 |
|
|
|
|
$ |
44,850,241 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
(125,068 |
) |
|
(39,589,460 |
) |
|
|
|
|
(39,714,528 |
) |
Total |
|
$ |
2,851,964 |
|
$ |
2,283,749 |
|
|
|
|
$ |
5,135,713 |
|
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, interest rate floors and options. Swaps and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument and interest rate floors and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed |
|
Non-Agency |
|
US
Government |
|
Total |
|
||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
1,261,564 |
|
$ |
8,085,631 |
|
$ |
5,750,715 |
|
$ |
15,097,910 |
|
Accrued discounts/premiums |
|
|
(502,565 |
) |
|
(2,293,485 |
) |
|
(14,881 |
) |
|
(2,810,931 |
) |
Realized gain (loss) |
|
|
|
|
|
|
|
|
(30,250 |
) |
|
(30,250 |
) |
Change in unrealized appreciation/depreciation2 |
|
|
279,629 |
|
|
1,315,068 |
|
|
102,805 |
|
|
1,697,502 |
|
Purchases |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sales |
|
|
|
|
|
|
|
|
(712,104 |
) |
|
(712,104 |
) |
Transfers in3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out3 |
|
|
|
|
|
(2,674,687 |
) |
|
|
|
|
(2,674,687 |
) |
Balance, as of August 31, 2011 |
|
$ |
1,038,628 |
|
$ |
4,432,527 |
|
$ |
5,096,285 |
|
$ |
10,567,440 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $(58,187). |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
89 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Income Trust, Inc. (BKT) |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
Interest
Rate |
|
|
Liabilities: |
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
(3,446,023 |
) |
Accrued discounts/premium |
|
|
|
|
Net realized gain (loss) |
|
|
166,000 |
|
Net change in unrealized appreciation/depreciation4 |
|
|
2,707,523 |
|
Purchases |
|
|
|
|
Issuances5 |
|
|
|
|
Sales |
|
|
|
|
Settlements6 |
|
|
572,500 |
|
Transfers in7 |
|
|
|
|
Transfers out7 |
|
|
|
|
Balance, as of August 31, 2011 |
|
|
|
|
|
|
|
|
4 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at August 31, 2011 was $0. |
|
|
|
|
5 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
6 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
|
|
7 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments are presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
90 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments August 31, 2011 |
BlackRock Strategic Bond Trust (BHD) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks (a) |
|
Shares |
|
Value |
|
||
Media 0.0% |
|
|
|
|
|
|
|
Adelphia Recovery Trust |
|
|
396,568 |
|
$ |
397 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
84 |
|
|
|
|
Total Common Stocks 0.0% |
|
|
|
|
|
397 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
Airlines 1.0% |
|
|
|
|
|
|
|
American Airlines, Inc., Series 2001-2, 7.86%, |
|
USD |
190 |
|
|
190,000 |
|
Continental Airlines, Inc., Series 2010-1-A, 4.75%, |
|
|
435 |
|
|
406,725 |
|
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 |
|
|
139 |
|
|
142,628 |
|
US Airways Pass-Through Trust, 10.88%, 10/22/14 |
|
|
250 |
|
|
243,750 |
|
|
|
|
|
|
|
983,103 |
|
Auto Components 0.8% |
|
|
|
|
|
|
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (b) |
|
|
75 |
|
|
69,750 |
|
Icahn Enterprises LP, 8.00%, 1/15/18 |
|
|
670 |
|
|
676,700 |
|
|
|
|
|
|
|
746,450 |
|
Beverages 0.1% |
|
|
|
|
|
|
|
Crown European Holdings SA, 7.13%, 8/15/18 (b) |
|
EUR |
90 |
|
|
124,760 |
|
Biotechnology 0.1% |
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
USD |
128 |
|
|
129,727 |
|
Building Products 0.7% |
|
|
|
|
|
|
|
Building Materials Corp. of America, 7.00%, |
|
|
210 |
|
|
210,000 |
|
Momentive Performance Materials, Inc.: |
|
|
|
|
|
|
|
11.50%, 12/01/16 |
|
|
175 |
|
|
173,250 |
|
9.00%, 1/15/21 |
|
|
360 |
|
|
307,800 |
|
|
|
|
|
|
|
691,050 |
|
Capital Markets 3.0% |
|
|
|
|
|
|
|
Credit Suisse AG, 5.40%, 1/14/20 |
|
|
480 |
|
|
478,053 |
|
E*Trade Financial Corp.: |
|
|
|
|
|
|
|
12.50%, 11/30/17 (c) |
|
|
315 |
|
|
362,250 |
|
Series A, 12.75%, 8/31/19 (d)(e) |
|
|
100 |
|
|
119,500 |
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
6.15%, 4/01/18 |
|
|
25 |
|
|
26,722 |
|
7.50%, 2/15/19 |
|
|
125 |
|
|
142,797 |
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
5.38%, 3/15/20 |
|
|
225 |
|
|
228,609 |
|
6.00%, 6/15/20 |
|
|
250 |
|
|
266,829 |
|
5.25%, 7/27/21 |
|
|
325 |
|
|
329,489 |
|
KKR Group Finance Co., 6.38%, 9/29/20 (b) |
|
|
170 |
|
|
180,872 |
|
Merrill Lynch & Co., Inc., 6.05%, 5/16/16 |
|
|
325 |
|
|
328,224 |
|
Morgan Stanley, 5.50%, 1/26/20 |
|
|
425 |
|
|
421,598 |
|
|
|
|
|
|
|
2,884,943 |
|
Chemicals 3.0% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
180 |
|
|
176,850 |
|
American Rock Salt Co. LLC, 8.25%, 5/01/18 (b) |
|
|
49 |
|
|
45,448 |
|
Celanese US Holdings LLC, 5.88%, 6/15/21 |
|
|
355 |
|
|
355,887 |
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
140 |
|
|
143,850 |
|
Hexion US Finance Corp.: |
|
|
|
|
|
|
|
8.88%, 2/01/18 |
|
|
170 |
|
|
158,950 |
|
9.00%, 11/15/20 |
|
|
115 |
|
|
100,338 |
|
Huntsman International LLC, 8.63%, 3/15/21 |
|
|
65 |
|
|
67,844 |
|
Ineos Finance Plc, 9.00%, 5/15/15 (b) |
|
|
155 |
|
|
156,937 |
|
Kinove German Bondco GmbH, 10.00%, 6/15/18 |
|
EUR |
209 |
|
|
283,716 |
|
Kraton Polymers LLC, 6.75%, 3/01/19 |
|
USD |
45 |
|
|
43,200 |
|
Lyondell Chemical Co., 11.00%, 5/01/18 |
|
|
540 |
|
|
602,775 |
|
Nexeo Solutions LLC, 8.38%, 3/01/18 (b) |
|
|
65 |
|
|
67,113 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Chemicals (concluded) |
|
|
|
|
|
|
|
OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b) |
|
USD |
290 |
|
$ |
287,100 |
|
Omnova Solutions, Inc., 7.88%, 11/01/18 |
|
|
195 |
|
|
171,112 |
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
80 |
|
|
82,400 |
|
TPC Group LLC, 8.25%, 10/01/17 (b) |
|
|
125 |
|
|
128,125 |
|
|
|
|
|
|
|
2,871,645 |
|
Commercial Banks 5.1% |
|
|
|
|
|
|
|
Amsouth Bank, Series AI, 4.85%, 4/01/13 |
|
|
650 |
|
|
607,750 |
|
BNP Paribas, 3.60%, 2/23/16 |
|
|
580 |
|
|
581,110 |
|
Barclays Bank Plc, 5.14%, 10/14/20 |
|
|
450 |
|
|
413,629 |
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
150 |
|
|
149,250 |
|
7.00%, 5/01/16 |
|
|
549 |
|
|
545,768 |
|
7.00%, 5/01/17 |
|
|
881 |
|
|
869,905 |
|
7.00%, 5/02/17 (b) |
|
|
140 |
|
|
138,250 |
|
HSBC Bank USA NA, 4.88%, 8/24/20 |
|
|
550 |
|
|
534,240 |
|
HSBC Holdings Plc, 5.10%, 4/05/21 |
|
|
350 |
|
|
375,480 |
|
Lloyds TSB Bank Plc, 5.80%, 1/13/20 (b) |
|
|
100 |
|
|
100,188 |
|
Standard Chartered Plc, 5.50%, 11/18/14 (b) |
|
|
450 |
|
|
490,876 |
|
|
|
|
|
|
|
4,806,446 |
|
Commercial Services & Supplies 1.4% |
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 |
|
|
195 |
|
|
213,281 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b) |
|
|
215 |
|
|
207,622 |
|
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) |
|
|
190 |
|
|
179,075 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
135 |
|
|
131,287 |
|
RSC Equipment Rental, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/17 (b) |
|
|
240 |
|
|
258,000 |
|
8.25%, 2/01/21 |
|
|
310 |
|
|
289,075 |
|
West Corp., 8.63%, 10/01/18 |
|
|
50 |
|
|
48,750 |
|
|
|
|
|
|
|
1,327,090 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Boart Longyear Management Ltd., 7.00%, |
|
|
75 |
|
|
74,438 |
|
Construction Materials 0.5% |
|
|
|
|
|
|
|
Calcipar SA, 6.88%, 5/01/18 (b) |
|
|
120 |
|
|
113,700 |
|
Inversiones CMPC SA, 4.75%, 1/19/18 (b) |
|
|
175 |
|
|
178,820 |
|
Xefin Lux SCA, 8.00%, 6/01/18 (b) |
|
EUR |
100 |
|
|
132,158 |
|
|
|
|
|
|
|
424,678 |
|
Consumer Finance 0.6% |
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 |
|
USD |
260 |
|
|
263,250 |
|
Ford Motor Credit Co. LLC, 7.80%, 6/01/12 |
|
|
250 |
|
|
257,506 |
|
|
|
|
|
|
|
520,756 |
|
Containers & Packaging 1.4% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, |
|
EUR |
260 |
|
|
350,147 |
|
Berry Plastics Corp., 8.25%, 11/15/15 |
|
USD |
50 |
|
|
51,500 |
|
GCL Holdings SCA, 9.38%, 4/15/18 (b) |
|
EUR |
100 |
|
|
125,694 |
|
Graphic Packaging International, Inc., 7.88%, |
|
USD |
135 |
|
|
141,750 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
195 |
|
|
179,400 |
|
Rock-Tenn Co., 9.25%, 3/15/16 |
|
|
20 |
|
|
21,000 |
|
Smurfit Kappa Acquisitions (b): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
190 |
|
|
262,018 |
|
7.75%, 11/15/19 |
|
|
130 |
|
|
178,341 |
|
|
|
|
|
|
|
1,309,850 |
|
Diversified Financial Services 6.9% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
8.30%, 2/12/15 |
|
USD |
400 |
|
|
420,000 |
|
6.25%, 12/01/17 (b) |
|
|
30 |
|
|
28,857 |
|
8.00%, 3/15/20 |
|
|
60 |
|
|
60,600 |
|
7.50%, 9/15/20 |
|
|
550 |
|
|
540,375 |
|
8.00%, 11/01/31 |
|
|
990 |
|
|
967,725 |
|
8.00%, 11/01/31 |
|
|
530 |
|
|
509,823 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
91 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
Axcan Intermediate Holdings, Inc., 12.75%, |
|
USD |
165 |
|
$ |
172,012 |
|
Bank of America Corp.: |
|
|
|
|
|
|
|
4.50%, 4/01/15 |
|
|
375 |
|
|
378,646 |
|
6.50%, 8/01/16 |
|
|
410 |
|
|
440,028 |
|
5.75%, 12/01/17 |
|
|
340 |
|
|
353,433 |
|
Boparan Holdings Ltd. (b): |
|
|
|
|
|
|
|
9.75%, 4/30/18 |
|
EUR |
100 |
|
|
110,624 |
|
9.88%, 4/30/18 |
|
GBP |
100 |
|
|
131,487 |
|
Citigroup, Inc., 8.13%, 7/15/39 |
|
USD |
55 |
|
|
66,241 |
|
FCE Bank Plc, 4.75%, 1/19/15 |
|
EUR |
100 |
|
|
130,722 |
|
Itau Unibanco Holding SA, 5.75%, 1/22/21 (b) |
|
USD |
225 |
|
|
227,911 |
|
JPMorgan Chase & Co., 5.50%, 10/15/40 |
|
|
350 |
|
|
346,318 |
|
KION Finance SA, 7.88%, 4/15/18 (b) |
|
EUR |
100 |
|
|
119,230 |
|
Morgan Stanley, 5.50%, 7/28/21 |
|
USD |
300 |
|
|
299,529 |
|
Reynolds Group DL Escrow, Inc., 8.50%, |
|
|
306 |
|
|
312,885 |
|
Reynolds Group Issuer, Inc. (b): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (f) |
|
EUR |
100 |
|
|
139,341 |
|
7.88%, 8/15/19 |
|
USD |
180 |
|
|
178,200 |
|
9.88%, 8/15/19 |
|
|
130 |
|
|
122,200 |
|
6.88%, 2/15/21 |
|
|
140 |
|
|
130,200 |
|
8.25%, 2/15/21 |
|
|
175 |
|
|
147,438 |
|
WMG Acquisition Corp. (b): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
45 |
|
|
45,900 |
|
11.50%, 10/01/18 |
|
|
210 |
|
|
191,100 |
|
|
|
|
|
|
|
6,570,825 |
|
Diversified Telecommunication Services 2.7% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., 11.38%, |
|
|
155 |
|
|
133,300 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
1,355 |
|
|
1,371,937 |
|
Series B, 7.50%, 2/15/14 |
|
|
380 |
|
|
384,750 |
|
Qwest Corp., 8.38%, 5/01/16 |
|
|
270 |
|
|
307,800 |
|
Telefonica Emisiones SAU, 5.46%, 2/16/21 |
|
|
250 |
|
|
241,797 |
|
Windstream Corp.: |
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
45 |
|
|
47,812 |
|
7.88%, 11/01/17 |
|
|
115 |
|
|
120,894 |
|
|
|
|
|
|
|
2,608,290 |
|
Electric Utilities 1.9% |
|
|
|
|
|
|
|
Progress Energy, Inc., 7.75%, 3/01/31 |
|
|
1,000 |
|
|
1,321,413 |
|
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 |
|
EUR |
400 |
|
|
491,283 |
|
|
|
|
|
|
|
1,812,696 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
USD |
45 |
|
|
50,738 |
|
Energy Equipment & Services 2.0% |
|
|
|
|
|
|
|
Antero Resources Finance Corp., 7.25%, |
|
|
60 |
|
|
58,350 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (b) |
|
|
90 |
|
|
87,300 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
55 |
|
|
55,275 |
|
Ensco Plc, 4.70%, 3/15/21 |
|
|
425 |
|
|
444,254 |
|
Exterran Holdings, Inc., 7.25%, 12/01/18 (b) |
|
|
160 |
|
|
155,200 |
|
Frac Tech Services LLC, 7.13%, 11/15/18 (b) |
|
|
415 |
|
|
429,525 |
|
Key Energy Services, Inc., 6.75%, 3/01/21 |
|
|
160 |
|
|
156,800 |
|
MEG Energy Corp., 6.50%, 3/15/21 (b) |
|
|
210 |
|
|
210,000 |
|
Oil States International, Inc., 6.50%, 6/01/19 (b) |
|
|
115 |
|
|
115,000 |
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (b) |
|
|
80 |
|
|
78,600 |
|
Thermon Industries, Inc., 9.50%, 5/01/17 |
|
|
133 |
|
|
139,650 |
|
|
|
|
|
|
|
1,929,954 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Food Products 1.4% |
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, 12/15/18 |
|
USD |
90 |
|
$ |
97,425 |
|
Del Monte Foods Co., 7.63%, 2/15/19 (b) |
|
|
200 |
|
|
198,500 |
|
JBS USA LLC, 7.25%, 6/01/21 (b) |
|
|
30 |
|
|
27,262 |
|
Kraft Foods, Inc.: |
|
|
|
|
|
|
|
6.50%, 8/11/17 |
|
|
600 |
|
|
725,147 |
|
6.13%, 8/23/18 |
|
|
250 |
|
|
297,227 |
|
|
|
|
|
|
|
1,345,561 |
|
Health Care Equipment & Supplies 1.9% |
|
|
|
|
|
|
|
CareFusion Corp., 6.38%, 8/01/19 |
|
|
195 |
|
|
232,367 |
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
830 |
|
|
858,012 |
|
7.75%, 4/15/18 (b) |
|
|
40 |
|
|
37,200 |
|
ExamWorks Group, Inc., 9.00%, 7/15/19 (b) |
|
|
104 |
|
|
98,020 |
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b) |
|
|
410 |
|
|
457,150 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
105 |
|
|
104,213 |
|
|
|
|
|
|
|
1,786,962 |
|
Health Care Providers & Services 6.6% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b) |
|
|
150 |
|
|
149,250 |
|
ConvaTec Healthcare E SA: |
|
|
|
|
|
|
|
7.38%, 12/15/17 |
|
EUR |
200 |
|
|
258,570 |
|
10.50%, 12/15/18 (b) |
|
USD |
200 |
|
|
182,000 |
|
Crown Newco 3 Plc, 7.00%, 2/15/18 |
|
GBP |
200 |
|
|
292,196 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
USD |
95 |
|
|
103,550 |
|
6.50%, 2/15/20 |
|
|
470 |
|
|
475,288 |
|
7.25%, 9/15/20 |
|
|
905 |
|
|
929,887 |
|
7.50%, 2/15/22 |
|
|
465 |
|
|
460,350 |
|
IASIS Healthcare LLC, 8.38%, 5/15/19 (b) |
|
|
270 |
|
|
236,250 |
|
INC Research LLC, 11.50%, 7/15/19 (b) |
|
|
145 |
|
|
134,125 |
|
inVentiv Health, Inc. 10.00%, 8/15/18 (b) |
|
|
140 |
|
|
126,350 |
|
Omnicare, Inc.: |
|
|
|
|
|
|
|
6.13%, 6/01/13 |
|
|
9 |
|
|
9,090 |
|
6.88%, 12/15/15 |
|
|
107 |
|
|
109,140 |
|
7.75%, 6/01/20 |
|
|
140 |
|
|
142,800 |
|
Symbion, Inc., 8.00%, 6/15/16 (b) |
|
|
125 |
|
|
116,250 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
515 |
|
|
545,900 |
|
10.00%, 5/01/18 |
|
|
665 |
|
|
731,500 |
|
8.88%, 7/01/19 |
|
|
195 |
|
|
206,700 |
|
WellPoint, Inc., 5.95%, 12/15/34 |
|
|
1,000 |
|
|
1,097,175 |
|
|
|
|
|
|
|
6,306,371 |
|
Health Care Technology 1.0% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (b) |
|
|
660 |
|
|
759,000 |
|
MedAssets, Inc., 8.00%, 11/15/18 (b) |
|
|
175 |
|
|
168,875 |
|
|
|
|
|
|
|
927,875 |
|
Hotels, Restaurants & Leisure 1.2% |
|
|
|
|
|
|
|
Diamond Resorts Corp., 12.00%, 8/15/18 |
|
|
310 |
|
|
300,700 |
|
El Dorado Resorts LLC, 8.63%, 6/15/19 (b) |
|
|
65 |
|
|
55,413 |
|
MGM Resorts International, 10.38%, 5/15/14 |
|
|
750 |
|
|
823,125 |
|
Tropicana Entertainment LLC, Series WI, 9.63%, |
|
|
50 |
|
|
5 |
|
|
|
|
|
|
|
1,179,243 |
|
Household Durables 2.1% |
|
|
|
|
|
|
|
Ashton Woods USA LLC, 0.00%, 6/30/15 (b)(f) |
|
|
314 |
|
|
225,438 |
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
8.13%, 6/15/16 |
|
|
50 |
|
|
35,250 |
|
12.00%, 10/15/17 |
|
|
280 |
|
|
284,200 |
|
9.13%, 6/15/18 |
|
|
215 |
|
|
149,156 |
|
Ideal Standard International, 11.75%, 5/01/18 |
|
EUR |
100 |
|
|
110,611 |
|
Ryland Group, Inc., 6.63%, 5/01/20 |
|
USD |
225 |
|
|
193,500 |
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
|
565 |
|
|
559,350 |
|
8.38%, 5/15/18 |
|
|
100 |
|
|
87,750 |
|
8.38%, 1/15/21 |
|
|
210 |
|
|
180,600 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
92 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Household Durables (concluded) |
|
|
|
|
|
|
|
United Rentals North America, Inc., 8.38%, 9/15/20 |
|
USD |
160 |
|
$ |
146,000 |
|
|
|
|
|
|
|
1,971,855 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 |
|
EUR |
100 |
|
|
128,567 |
|
IT Services 2.1% |
|
|
|
|
|
|
|
First Data Corp. (b): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
USD |
310 |
|
|
291,400 |
|
8.88%, 8/15/20 |
|
|
195 |
|
|
193,050 |
|
12.63%, 1/15/21 |
|
|
674 |
|
|
636,930 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
10.63%, 5/15/15 |
|
|
295 |
|
|
312,700 |
|
7.38%, 11/15/18 |
|
|
380 |
|
|
361,950 |
|
7.63%, 11/15/20 |
|
|
220 |
|
|
210,100 |
|
|
|
|
|
|
|
2,006,130 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (b) |
|
|
305 |
|
|
308,050 |
|
Calpine Corp. (b): |
|
|
|
|
|
|
|
7.50%, 2/15/21 |
|
|
70 |
|
|
70,700 |
|
7.88%, 1/15/23 |
|
|
235 |
|
|
239,700 |
|
Energy Future Holdings Corp., 10.00%, 1/15/20 |
|
|
1,005 |
|
|
1,008,890 |
|
Energy Future Intermediate Holding Co. LLC, |
|
|
28 |
|
|
28,249 |
|
NRG Energy, Inc., 7.63%, 1/15/18 (b) |
|
|
775 |
|
|
767,250 |
|
|
|
|
|
|
|
2,422,839 |
|
Industrial Conglomerates 1.5% |
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
460 |
|
|
478,400 |
|
13.50%, 12/01/15 |
|
|
854 |
|
|
905,515 |
|
|
|
|
|
|
|
1,383,915 |
|
Insurance 3.6% |
|
|
|
|
|
|
|
American International Group, Inc., 6.40%, 12/15/20 |
|
|
1,130 |
|
|
1,188,743 |
|
CNO Financial Group, Inc., 9.00%, 1/15/18 (b) |
|
|
130 |
|
|
135,200 |
|
The Dai-ichi Life Insurance Co. Ltd, 7.25% (b)(h)(i) |
|
|
120 |
|
|
122,268 |
|
Genworth Financial, Inc., 7.63%, 9/24/21 |
|
|
150 |
|
|
133,129 |
|
Lincoln National Corp., 8.75%, 7/01/19 |
|
|
575 |
|
|
713,076 |
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) |
|
|
90 |
|
|
86,400 |
|
MetLife, Inc., 4.75%, 2/08/21 |
|
|
300 |
|
|
314,626 |
|
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (b) |
|
|
250 |
|
|
272,729 |
|
Prudential Financial, Inc., 5.38%, 6/21/20 |
|
|
400 |
|
|
430,570 |
|
|
|
|
|
|
|
3,396,741 |
|
Machinery 0.8% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
220 |
|
|
192,775 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (e) |
|
|
430 |
|
|
474,612 |
|
8.25%, 11/01/21 |
|
|
60 |
|
|
62,100 |
|
SPX Corp., 6.88%, 9/01/17 |
|
|
65 |
|
|
67,763 |
|
|
|
|
|
|
|
797,250 |
|
Media 15.5% |
|
|
|
|
|
|
|
AMC Entertainment, Inc., 9.75%, 12/01/20 |
|
|
65 |
|
|
62,725 |
|
AMC Networks, Inc., 7.75%, 7/15/21 (b) |
|
|
80 |
|
|
82,800 |
|
Affinion Group, Inc., 7.88%, 12/15/18 |
|
|
290 |
|
|
256,650 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
289 |
|
|
334,290 |
|
CMP Susquehanna Corp., 3.52%, 5/15/14 |
|
|
40 |
|
|
38,000 |
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
230 |
|
|
177,100 |
|
Checkout Holding Corp., 10.98%, 11/15/15 (b)(d) |
|
|
245 |
|
|
144,550 |
|
Citadel Broadcasting Corp., 7.75%, 12/15/18 (b) |
|
|
135 |
|
|
145,462 |
|
Clear Channel Communications, Inc., 9.00%, 3/01/21 |
|
|
200 |
|
|
161,000 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
384 |
|
|
407,040 |
|
Series B, 9.25%, 12/15/17 |
|
|
1,854 |
|
|
1,983,780 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Cumulus Media, Inc., 7.75%, 5/01/19 (b) |
|
USD |
45 |
|
$ |
39,487 |
|
DIRECTV Holdings LLC, 6.00%, 8/15/40 |
|
|
175 |
|
|
184,368 |
|
DISH DBS Corp., 7.00%, 10/01/13 |
|
|
201 |
|
|
210,799 |
|
Gray Television, Inc., 10.50%, 6/29/15 |
|
|
270 |
|
|
260,550 |
|
Intelsat Luxembourg SA: |
|
|
|
|
|
|
|
11.25%, 2/04/17 |
|
|
60 |
|
|
58,200 |
|
11.50%, 2/04/17 (c) |
|
|
30 |
|
|
29,138 |
|
Interactive Data Corp., 10.25%, 8/01/18 |
|
|
380 |
|
|
402,800 |
|
The Interpublic Group of Cos., Inc., 10.00%, |
|
|
45 |
|
|
51,750 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
237 |
|
|
333,642 |
|
Kabel Deutschland Vertrieb und Service |
|
|
125 |
|
|
175,810 |
|
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b) |
|
USD |
150 |
|
|
144,375 |
|
Musketeer GmbH, 9.50%, 3/15/21 (b) |
|
EUR |
150 |
|
|
215,475 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
USD |
270 |
|
|
272,700 |
|
NBC Universal, Inc., 4.38%, 4/01/21 |
|
|
1,025 |
|
|
1,052,003 |
|
The New York Times Co., 6.63%, 12/15/16 |
|
|
500 |
|
|
503,125 |
|
News America, Inc., 6.20%, 12/15/34 |
|
|
1,500 |
|
|
1,575,352 |
|
Nielsen Finance LLC, 7.75%, 10/15/18 |
|
|
765 |
|
|
789,862 |
|
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b) |
|
GBP |
100 |
|
|
148,532 |
|
ProQuest LLC, 9.00%, 10/15/18 (b) |
|
USD |
130 |
|
|
127,400 |
|
Regal Entertainment Group, 9.13%, 8/15/18 |
|
|
85 |
|
|
85,850 |
|
TCI Communications, Inc., 7.88%, 2/15/26 |
|
|
1,000 |
|
|
1,350,406 |
|
Time Warner Cable, Inc., 5.88%, 11/15/40 |
|
|
410 |
|
|
428,931 |
|
UPC Holding BV, 9.88%, 4/15/18 (b) |
|
|
200 |
|
|
209,000 |
|
UPCB Finance II Ltd., 6.38%, 7/01/20 (b) |
|
EUR |
292 |
|
|
373,318 |
|
Unitymedia GmbH: |
|
|
|
|
|
|
|
9.63%, 12/01/19 |
|
|
50 |
|
|
72,364 |
|
9.63%, 12/01/19 (b) |
|
|
190 |
|
|
274,982 |
|
Unitymedia Hessen GmbH & Co. KG |
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
210 |
|
|
303,174 |
|
8.13%, 12/01/17 |
|
USD |
200 |
|
|
204,000 |
|
Virgin Media Secured Finance Plc: |
|
|
|
|
|
|
|
6.50%, 1/15/18 |
|
|
200 |
|
|
213,000 |
|
7.00%, 1/15/18 |
|
GBP |
100 |
|
|
168,012 |
|
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) |
|
EUR |
165 |
|
|
232,282 |
|
Ziggo Finance BV, 6.13%, 11/15/17 (b) |
|
|
295 |
|
|
413,174 |
|
|
|
|
|
|
|
14,697,258 |
|
Metals & Mining 4.2% |
|
|
|
|
|
|
|
Barrick Gold Corp., 2.90%, 5/30/16 (b) |
|
USD |
225 |
|
|
230,987 |
|
Barrick North America Finance LLC, 5.70%, |
|
|
250 |
|
|
263,970 |
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
9.00%, 10/15/14 (b) |
|
|
85 |
|
|
86,913 |
|
7.38%, 2/15/16 |
|
|
85 |
|
|
86,275 |
|
FMG Resources August 2006 Property Ltd., 7.00%, |
|
|
450 |
|
|
448,875 |
|
Goldcorp, Inc., 2.00%, 8/01/14 (e) |
|
|
220 |
|
|
289,575 |
|
JMC Steel Group, 8.25%, 3/15/18 (b) |
|
|
70 |
|
|
68,425 |
|
James River Escrow, Inc., 7.88%, 4/01/19 (b) |
|
|
80 |
|
|
72,400 |
|
New World Resources NV: |
|
|
|
|
|
|
|
7.88%, 5/01/18 |
|
EUR |
65 |
|
|
89,171 |
|
7.88%, 5/01/18 |
|
|
76 |
|
|
104,261 |
|
Newmont Mining Corp.: |
|
|
|
|
|
|
|
5.13%, 10/01/19 |
|
USD |
225 |
|
|
252,184 |
|
Series A, 1.25%, 7/15/14 (e) |
|
|
200 |
|
|
290,500 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
1,275 |
|
|
1,341,937 |
|
Taseko Mines Ltd., 7.75%, 4/15/19 |
|
|
115 |
|
|
108,962 |
|
Vedanta Resources Plc, 8.25%, 6/07/21 (b) |
|
|
200 |
|
|
191,000 |
|
Vulcan Materials Co., 7.50%, 6/15/21 |
|
|
84 |
|
|
82,733 |
|
|
|
|
|
|
|
4,008,168 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
93 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Multiline Retail 1.3% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, 7/15/17 (c) |
|
USD |
1,135 |
|
$ |
1,257,012 |
|
Oil, Gas & Consumable Fuels 12.5% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
110 |
|
|
107,525 |
|
6.25%, 6/01/21 |
|
|
355 |
|
|
347,456 |
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
365 |
|
|
410,292 |
|
6.38%, 9/15/17 |
|
|
75 |
|
|
86,608 |
|
Arch Coal, Inc.: |
|
|
|
|
|
|
|
7.25%, 10/01/20 |
|
|
205 |
|
|
201,925 |
|
7.25%, 6/15/21 (b) |
|
|
305 |
|
|
300,425 |
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
100 |
|
|
103,250 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
20 |
|
|
21,950 |
|
Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b) |
|
|
50 |
|
|
51,000 |
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
351 |
|
|
366,795 |
|
6.13%, 2/15/21 |
|
|
195 |
|
|
197,925 |
|
2.25%, 12/15/38 (e) |
|
|
275 |
|
|
244,750 |
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (b) |
|
|
99 |
|
|
104,940 |
|
Concho Resources, Inc., 7.00%, 1/15/21 |
|
|
150 |
|
|
153,750 |
|
Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (b) |
|
|
120 |
|
|
97,200 |
|
Consol Energy, Inc., 8.25%, 4/01/20 |
|
|
710 |
|
|
763,250 |
|
Continental Resources, Inc., 7.13%, 4/01/21 |
|
|
135 |
|
|
139,050 |
|
Copano Energy LLC, 7.13%, 4/01/21 |
|
|
120 |
|
|
119,400 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
65 |
|
|
67,275 |
|
Denbury Resources, Inc.: |
|
|
|
|
|
|
|
8.25%, 2/15/20 |
|
|
259 |
|
|
272,921 |
|
6.38%, 8/15/21 |
|
|
125 |
|
|
122,500 |
|
EV Energy Partners LP, 8.00%, 4/15/19 (b) |
|
|
55 |
|
|
53,900 |
|
Energy XXI Gulf Coast, Inc. (b): |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
155 |
|
|
158,875 |
|
7.75%, 6/15/19 |
|
|
320 |
|
|
300,800 |
|
Enterprise Products Operating LLC, 3.70%, 6/01/15 |
|
|
500 |
|
|
528,535 |
|
Forbes Energy Services Ltd., 9.00%, 6/15/19 (b) |
|
|
130 |
|
|
123,825 |
|
Hilcorp Energy I LP, 7.63%, 4/15/21 (b) |
|
|
200 |
|
|
202,000 |
|
Linn Energy LLC: |
|
|
|
|
|
|
|
6.50%, 5/15/19 (b) |
|
|
90 |
|
|
85,950 |
|
8.63%, 4/15/20 |
|
|
115 |
|
|
123,050 |
|
7.75%, 2/01/21 (b) |
|
|
360 |
|
|
367,200 |
|
MarkWest Energy Partners LP, 6.75%, 11/01/20 |
|
|
50 |
|
|
51,250 |
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 |
|
|
685 |
|
|
691,850 |
|
OGX Petroleo e Gas Participações SA, 8.50%, |
|
|
1,505 |
|
|
1,508,762 |
|
Oasis Petroleum, Inc., 7.25%, 2/01/19 (b) |
|
|
115 |
|
|
112,700 |
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
|
1,100 |
|
|
1,128,215 |
|
5.88%, 3/01/18 |
|
|
200 |
|
|
217,400 |
|
7.88%, 3/15/19 |
|
|
100 |
|
|
121,600 |
|
6.88%, 1/20/40 |
|
|
25 |
|
|
28,666 |
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
7.25%, 8/15/18 |
|
|
115 |
|
|
134,119 |
|
6.25%, 6/01/19 (b) |
|
|
315 |
|
|
366,188 |
|
Pioneer Natural Resources Co., 6.88%, 5/01/18 |
|
|
35 |
|
|
37,911 |
|
Precision Drilling Corp., 6.50%, 12/15/21 (b) |
|
|
105 |
|
|
105,000 |
|
Range Resources Corp.: |
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
50 |
|
|
54,375 |
|
5.75%, 6/01/21 |
|
|
115 |
|
|
115,575 |
|
SM Energy Co., 6.63%, 2/15/19 (b) |
|
|
100 |
|
|
100,000 |
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (b) |
|
|
335 |
|
|
326,625 |
|
Western Gas Partners LP, 5.38%, 6/01/21 |
|
|
325 |
|
|
342,222 |
|
The Williams Cos., Inc., 8.75%, 3/15/32 |
|
|
200 |
|
|
259,514 |
|
|
|
|
|
|
|
11,926,294 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Paper & Forest Products 2.5% |
|
|
|
|
|
|
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
USD |
45 |
|
$ |
47,812 |
|
8.00%, 4/01/20 |
|
|
65 |
|
|
66,462 |
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
160 |
|
|
175,200 |
|
7.13%, 11/01/18 |
|
|
215 |
|
|
216,075 |
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
355 |
|
|
405,413 |
|
International Paper Co.: |
|
|
|
|
|
|
|
7.95%, 6/15/18 |
|
|
220 |
|
|
262,885 |
|
7.30%, 11/15/39 |
|
|
5 |
|
|
5,603 |
|
Longview Fibre Paper & Packaging, Inc., 8.00%, |
|
|
120 |
|
|
118,800 |
|
NewPage Corp., 11.38%, 12/31/14 (a)(g) |
|
|
845 |
|
|
743,600 |
|
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b) |
|
|
50 |
|
|
44,500 |
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 |
|
|
297 |
|
|
314,820 |
|
|
|
|
|
|
|
2,401,170 |
|
Pharmaceuticals 1.3% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) |
|
EUR |
100 |
|
|
137,904 |
|
Endo Pharmaceuticals Holdings, Inc., 7.00%, |
|
USD |
65 |
|
|
65,813 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
470 |
|
|
446,500 |
|
Wyeth, 6.50%, 2/01/34 |
|
|
500 |
|
|
621,983 |
|
|
|
|
|
|
|
1,272,200 |
|
Professional Services 0.3% |
|
|
|
|
|
|
|
FTI Consulting, Inc., 6.75%, 10/01/20 |
|
|
265 |
|
|
261,356 |
|
Real Estate Investment Trusts (REITs) 1.3% |
|
|
|
|
|
|
|
FelCor Lodging LP, 6.75%, 6/01/19 (b) |
|
|
345 |
|
|
324,300 |
|
HCP, Inc., 5.38%, 2/01/21 |
|
|
225 |
|
|
229,228 |
|
iStar Financial, Inc., 5.65%, 9/15/11 |
|
|
500 |
|
|
496,250 |
|
The Rouse Co. LP, 6.75%, 11/09/15 |
|
|
145 |
|
|
146,812 |
|
|
|
|
|
|
|
1,196,590 |
|
Real Estate Management & Development 1.5% |
|
|
|
|
|
|
|
CB Richard Ellis Services, Inc., 6.63%, 10/15/20 |
|
|
90 |
|
|
87,975 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
11.50%, 4/15/17 (f) |
|
|
285 |
|
|
226,575 |
|
12.00%, 4/15/17 (f) |
|
|
35 |
|
|
28,000 |
|
7.88%, 2/15/19 (b) |
|
|
890 |
|
|
738,700 |
|
Shea Homes LP, 8.63%, 5/15/19 (b) |
|
|
395 |
|
|
333,775 |
|
|
|
|
|
|
|
1,415,025 |
|
Road & Rail 2.1% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC: |
|
|
|
|
|
|
|
9.63%, 3/15/18 |
|
|
190 |
|
|
194,275 |
|
8.25%, 1/15/19 |
|
|
280 |
|
|
270,900 |
|
Canadian National Railway Co., 6.90%, 7/15/28 |
|
|
500 |
|
|
636,970 |
|
The Hertz Corp. (b): |
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
|
335 |
|
|
328,300 |
|
6.75%, 4/15/19 |
|
|
160 |
|
|
149,200 |
|
7.38%, 1/15/21 |
|
|
430 |
|
|
410,650 |
|
|
|
|
|
|
|
1,990,295 |
|
Software 0.2% |
|
|
|
|
|
|
|
Oracle Corp., 5.38%, 7/15/40 (b) |
|
|
210 |
|
|
230,735 |
|
Specialty Retail 1.3% |
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., 8.38%, 11/15/20 |
|
|
130 |
|
|
127,725 |
|
Best Buy Co., Inc., 5.50%, 3/15/21 |
|
|
75 |
|
|
71,420 |
|
House of Fraser Plc, 8.88%, 8/15/18 (b) |
|
GBP |
100 |
|
|
137,984 |
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
USD |
320 |
|
|
360,400 |
|
Phones4u Finance Plc, 9.50%, 4/01/18 (b) |
|
GBP |
100 |
|
|
124,994 |
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
94 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Specialty Retail (concluded) |
|
|
|
|
|
|
|
QVC, Inc. (b): |
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
USD |
80 |
|
$ |
83,600 |
|
7.50%, 10/01/19 |
|
|
135 |
|
|
145,462 |
|
7.38%, 10/15/20 |
|
|
75 |
|
|
80,625 |
|
Sonic Automotive, Inc., 9.00%, 3/15/18 |
|
|
115 |
|
|
116,725 |
|
|
|
|
|
|
|
1,248,935 |
|
Tobacco 0.2% |
|
|
|
|
|
|
|
Altria Group, Inc., 9.25%, 8/06/19 |
|
|
105 |
|
|
138,727 |
|
Wireless Telecommunication Services 3.7% |
|
|
|
|
|
|
|
America Movil SAB de CV: |
|
|
|
|
|
|
|
2.38%, 9/08/16 |
|
|
200 |
|
|
198,376 |
|
5.00%, 3/30/20 |
|
|
400 |
|
|
434,199 |
|
American Tower Corp., 4.50%, 1/15/18 |
|
|
375 |
|
|
387,397 |
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
125 |
|
|
129,219 |
|
7.75%, 5/15/16 |
|
|
480 |
|
|
486,000 |
|
Crown Castle Towers LLC, 6.11%, 1/15/40 (b) |
|
|
375 |
|
|
423,510 |
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
170 |
|
|
170,000 |
|
9.13%, 1/15/15 (c) |
|
|
439 |
|
|
439,000 |
|
8.25%, 9/01/17 |
|
|
365 |
|
|
365,000 |
|
iPCS, Inc., 2.38%, 5/01/13 (i) |
|
|
20 |
|
|
18,550 |
|
SBA Tower Trust, 4.25%, 4/15/40 (b) |
|
|
325 |
|
|
345,249 |
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
140 |
|
|
125,300 |
|
|
|
|
|
|
|
3,521,800 |
|
Total Corporate Bonds 104.2% |
|
|
|
|
|
99,086,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
|
|
|
|
|
|
Airlines 0.3% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, |
|
|
275 |
|
|
253,459 |
|
Building Products 0.3% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
300 |
|
|
301,500 |
|
Commercial Services & Supplies 0.8% |
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, |
|
|
158 |
|
|
152,331 |
|
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 |
|
|
225 |
|
|
223,499 |
|
Volume Services America, Inc. (FKA Centerplate), |
|
|
357 |
|
|
341,818 |
|
|
|
|
|
|
|
717,648 |
|
Construction & Engineering 0.8% |
|
|
|
|
|
|
|
Safway Services, LLC, Last Out Term Loan, 7.25%, |
|
|
750 |
|
|
750,000 |
|
Consumer Finance 1.7% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
1,775 |
|
|
1,644,094 |
|
Diversified Consumer Services 0.5% |
|
|
|
|
|
|
|
Laureate Education, Series A New Term Loan, 5.25%, |
|
|
493 |
|
|
434,942 |
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Delayed Draw Term Loan, 2.72%, 7/24/14 |
|
|
3 |
|
|
2,928 |
|
Term Loan, 2.73%, 7/24/14 |
|
|
32 |
|
|
29,403 |
|
|
|
|
|
|
|
467,273 |
|
Diversified Telecommunication Services 0.2% |
|
|
|
|
|
|
|
Level 3 Financing, Inc., Incremental Tranche A Term |
|
|
200 |
|
|
184,800 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (i) |
|
Par |
|
Value |
|
||
Energy Equipment & Services 2.0% |
|
|
|
|
|
|
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal Co. Term Loan, 9.25%, 8/04/16 |
|
USD |
707 |
|
$ |
682,520 |
|
Gas Co. Term Loan, 9.25%, 8/04/16 |
|
|
1,293 |
|
|
1,270,700 |
|
|
|
|
|
|
|
1,953,220 |
|
Food Products 0.3% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
300 |
|
|
294,000 |
|
Health Care Providers & Services 0.6% |
|
|
|
|
|
|
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, 3/02/15 |
|
|
174 |
|
|
170,338 |
|
Tranche A Term Loan, 8.50%, 3/02/15 |
|
|
173 |
|
|
169,563 |
|
inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term |
|
|
267 |
|
|
251,949 |
|
|
|
|
|
|
|
591,850 |
|
Hotels, Restaurants & Leisure 0.1% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term Loan |
|
|
128 |
|
|
110,212 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric
Holdings Co., LLC (FKA TXU), |
|
|
1,171 |
|
|
859,886 |
|
Media 3.6% |
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
485 |
|
|
463,175 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
2,494 |
|
|
2,387,766 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 |
|
|
550 |
|
|
567,875 |
|
|
|
|
|
|
|
3,418,816 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, |
|
|
734 |
|
|
726,209 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan (Second Lien), 5.00%, |
|
|
544 |
|
|
528,841 |
|
Real Estate Management & Development 0.4% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan C, 4.44%, |
|
|
72 |
|
|
59,142 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
426 |
|
|
350,452 |
|
|
|
|
|
|
|
409,594 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
52 |
|
|
45,598 |
|
Wireless Telecommunication Services 1.3% |
|
|
|
|
|
|
|
Vodafone Americas Finance 2, Inc.: |
|
|
|
|
|
|
|
Initial Loan, 6.88%, 8/11/15 |
|
|
803 |
|
|
806,758 |
|
PIK Term Loan B, 6.25%, 7/11/16 |
|
|
400 |
|
|
402,000 |
|
|
|
|
|
|
|
1,208,758 |
|
Total Floating Rate Loan Interests 15.2% |
|
|
|
|
|
14,465,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
Republic of Indonesia, 5.88%, 3/13/20 (b) |
|
|
200 |
|
|
230,500 |
|
Qatar Government International Bond, 4.00%, |
|
|
200 |
|
|
212,250 |
|
Total Foreign Agency Obligations 0.5% |
|
|
|
|
|
442,750 |
|
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
95 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Other Interests (j) |
|
|
Beneficial |
|
|
Value |
|
Auto Components 1.8% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession
Holding Co. LLP, |
|
USD |
|
(k) |
$ |
1,715,513 |
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, Inc. |
|
|
1 |
|
|
95 |
|
Media 0.0% |
|
|
|
|
|
|
|
Adelphia Communications Corp., Class A |
|
|
400 |
|
|
244 |
|
Total Other Interests 1.8% |
|
|
|
|
|
1,715,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
|
|
Par |
|
|
|
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
State Street Capital Trust IV, 1.25%, 6/15/37 (i) |
|
|
200 |
|
|
151,668 |
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15% 11/15/66 (i) |
|
|
305 |
|
|
183,000 |
|
Total Capital Trusts 0.3% |
|
|
|
|
|
334,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Media 0.1% |
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp., |
|
|
9,328 |
|
|
79,288 |
|
Real Estate Investment Trusts (REITs) 0.0% |
|
|
|
|
|
|
|
MPG Office Trust, Inc., Series A, 7.63% (a) |
|
|
3,277 |
|
|
52,235 |
|
Total Preferred Stocks 0.1% |
|
|
|
|
|
131,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust Preferreds |
|
|
|
|
|
|
|
Diversified Financial Services 0.1% |
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i) |
|
|
3,000 |
|
|
63,893 |
|
Total Trust Preferreds 0.1% |
|
|
|
|
|
63,893 |
|
Total Preferred Securities 0.5% |
|
|
|
|
|
530,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
|
Par |
|
|
|
|
Metropolitan Transportation Authority, RB, Build |
|
USD |
300 |
|
|
351,072 |
|
Total Taxable Municipal Bonds 0.4% |
|
|
|
|
|
351,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Government Sponsored Agency Securities |
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 0.3% |
|
|
|
|
|
|
|
Ginnie Mae Mortgage-Backed Securities, Series |
|
|
310 |
|
|
335,608 |
|
Total US
Government Sponsored |
|
|
|
|
|
335,608 |
|
|
|
|
|
|
|
|
|
Warrants (l) |
|
Shares |
|
Value |
|
||
Media 0.1% |
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19) |
|
|
23,560 |
|
$ |
60,208 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. |
|
|
56 |
|
|
1 |
|
Total Warrants 0.1% |
|
|
|
|
|
60,209 |
|
Total
Long-Term Investments |
|
|
|
|
|
116,988,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
891,719 |
|
|
891,719 |
|
Total
Short-Term Securities |
|
|
|
|
|
891,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, Strike Price |
|
|
6 |
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
|
|
Total Investments (Cost $116,331,633*) 123.9% |
|
|
|
|
|
117,879,762 |
|
Liabilities in Excess of Other Assets (23.9)% |
|
|
|
|
|
(22,753,123 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
95,126,639 |
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
116,408,855 |
|
Gross unrealized appreciation |
|
$ |
4,530,568 |
|
Gross unrealized depreciation |
|
|
(3,059,661 |
) |
Net unrealized appreciation |
|
$ |
1,470,907 |
|
|
|
(a) |
Non-income producing security. |
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(c) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(d) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(e) |
Convertible security. |
|
|
(f) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(g) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(h) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(i) |
Variable rate security. Rate shown is as of report date. |
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
(k) |
Amount is less than $500. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
96 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
|
|
(l) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
(m) |
Investments in companies considered to be an affiliate of the Trust during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held at |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
1,132,109 |
|
|
(240,390 |
) |
|
891,719 |
|
$ |
2,251 |
|
|
|
(n) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
Financial futures contracts purchased as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
7 |
|
Ultra
Long US |
|
Chicago |
|
December |
|
$ |
997,730 |
|
$ |
4,363 |
|
|
|
|
Financial futures contracts sold as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
16 |
|
5-Year
US |
|
Chicago |
|
December |
|
$ |
1,961,876 |
|
$ |
1,126 |
|
8 |
|
10-Year
US |
|
Chicago |
|
December |
|
$ |
1,034,049 |
|
|
1,799 |
|
2 |
|
30-Year
US |
|
Chicago |
|
December |
|
$ |
271,027 |
|
|
(1,035 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,890 |
|
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
|
Unrealized |
|
||||
EUR |
|
91,000 |
|
USD |
|
130,833 |
|
Royal
Bank |
|
9/02/11 |
|
$ |
(112 |
) |
USD |
|
1,127,295 |
|
GBP |
|
705,500 |
|
Royal
Bank |
|
10/07/11 |
|
|
(17,497 |
) |
USD |
|
5,579,295 |
|
EUR |
|
3,892,000 |
|
Citibank NA |
|
10/26/11 |
|
|
(7,895 |
) |
USD |
|
342,195 |
|
EUR |
|
239,000 |
|
Deutsche Bank AG |
|
10/26/11 |
|
|
(903 |
) |
USD |
|
130,749 |
|
EUR |
|
91,000 |
|
Royal
Bank |
|
10/26/11 |
|
|
113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(26,294 |
) |
|
|
|
Credit default swaps on single-name issues buy protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||||
iStar |
|
|
5.00 |
% |
|
Morgan
Stanley |
|
|
9/20/11 |
|
$ |
500 |
|
$ |
(1,594 |
) |
Republic of |
|
|
1.00 |
% |
|
Deutsche |
|
|
12/20/15 |
|
$ |
110 |
|
|
2,325 |
|
K. Hovnanian |
|
|
5.00 |
% |
|
JPMorgan |
|
|
12/20/15 |
|
$ |
250 |
|
|
57,163 |
|
Raytheon Co. |
|
|
1.00 |
% |
|
Citibank NA |
|
|
9/20/16 |
|
$ |
200 |
|
|
807 |
|
Lockheed Martin |
|
|
1.00 |
% |
|
Deutsche |
|
|
9/20/16 |
|
$ |
625 |
|
|
2,651 |
|
Raytheon Co. |
|
|
1.00 |
% |
|
Deutsche |
|
|
9/20/16 |
|
$ |
240 |
|
|
(629 |
) |
General |
|
|
1.00 |
% |
|
JPMorgan |
|
|
9/20/16 |
|
$ |
500 |
|
|
2,573 |
|
General |
|
|
1.00 |
% |
|
Morgan
Stanley |
|
|
9/20/16 |
|
$ |
200 |
|
|
(248 |
) |
General |
|
|
1.00 |
% |
|
Morgan
Stanley |
|
|
9/20/16 |
|
$ |
150 |
|
|
24 |
|
Raytheon Co. |
|
|
1.00 |
% |
|
Morgan Stanley
|
|
|
9/20/16 |
|
$ |
200 |
|
|
(508 |
) |
The New York |
|
|
1.00 |
% |
|
Barclays Bank Plc |
|
|
12/20/16 |
|
$ |
500 |
|
|
10,180 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
72,744 |
|
|
|
|
Credit default swaps on single-name issues sold protection outstanding as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||||||
Aviva USA |
|
|
1.00 |
% |
|
Deutsche |
|
|
5/25/12 |
|
|
A |
|
$ |
375 |
|
$ |
(307 |
) |
MetLife, Inc. |
|
|
5.00 |
% |
|
Deutsche |
|
|
6/20/15 |
|
|
A |
|
$ |
150 |
|
|
6,063 |
|
MetLife, Inc. |
|
|
1.00 |
% |
|
UBS AG |
|
|
9/20/15 |
|
|
A |
|
$ |
175 |
|
|
864 |
|
ARAMARK |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
6/20/16 |
|
|
B |
|
$ |
300 |
|
|
(10,435 |
) |
ARAMARK |
|
|
5.00 |
% |
|
JPMorgan
Chase |
|
|
6/20/16 |
|
|
B |
|
$ |
150 |
|
|
(5,105 |
) |
ARAMARK |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
|
9/20/16 |
|
|
B |
|
$ |
150 |
|
|
(6,586 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(15,506 |
) |
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
97 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Strategic Bond Trust (BHD) |
|
|
|
|
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows: |
|
|
|
|
|
|
Level 1 price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
|
The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
The following tables summarize the inputs used as of August 31, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
397 |
|
|
|
|
|
|
|
$ |
397 |
|
Corporate Bonds |
|
|
|
|
$ |
99,048,308 |
|
$ |
38,005 |
|
|
99,086,313 |
|
Floating Rate |
|
|
|
|
|
10,873,015 |
|
|
3,592,743 |
|
|
14,465,758 |
|
Foreign Agency |
|
|
|
|
|
442,750 |
|
|
|
|
|
442,750 |
|
Other Interests |
|
|
|
|
|
1,715,757 |
|
|
95 |
|
|
1,715,852 |
|
Preferred Securities |
|
|
116,128 |
|
|
334,668 |
|
|
79,288 |
|
|
530,084 |
|
Taxable Municipal |
|
|
|
|
|
351,072 |
|
|
|
|
|
351,072 |
|
US Government |
|
|
|
|
|
335,608 |
|
|
|
|
|
335,608 |
|
Warrants |
|
|
|
|
|
|
|
|
60,209 |
|
|
60,209 |
|
Short-Term Securities |
|
|
891,719 |
|
|
|
|
|
|
|
|
891,719 |
|
Total |
|
$ |
1,008,244 |
|
$ |
113,101,178 |
|
$ |
3,770,340 |
|
$ |
117,879,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
82,650 |
|
|
|
|
$ |
82,650 |
|
Foreign currency |
|
|
|
|
|
113 |
|
|
|
|
|
113 |
|
Interest rate |
|
$ |
7,288 |
|
|
|
|
|
|
|
|
7,288 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(25,105 |
) |
$ |
(307 |
) |
|
(25,412 |
) |
Foreign currency |
|
|
|
|
|
(26,407 |
) |
|
|
|
|
(26,407 |
) |
Interest rate |
|
|
(1,035 |
) |
|
|
|
|
|
|
|
(1,035 |
) |
Total |
|
$ |
6,253 |
|
$ |
31,251 |
|
$ |
(307 |
) |
$ |
37,197 |
|
|
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value. |
|
|
|
See Notes to
Financial Statements. |
||
|
|
|
98 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Strategic Bond Trust (BHD) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded
Loan |
|
Total |
|
||||||||
Assets/Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2010 |
|
$ |
13,235 |
|
$ |
17,453 |
|
$ |
3,420,874 |
|
$ |
191 |
|
$ |
65,455 |
|
|
|
|
$ |
(8,879 |
) |
$ |
3,508,329 |
|
Accrued discounts/premiums |
|
|
|
|
|
3,584 |
|
|
(518 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,066 |
|
Net realized gain (loss) |
|
|
(339,690 |
) |
|
679 |
|
|
51,776 |
|
|
|
|
|
130,416 |
|
|
|
|
|
|
|
|
(156,819 |
) |
Net change in unrealized appreciation/depreciation2 |
|
|
363,363 |
|
|
33,246 |
|
|
(28,350 |
) |
|
(96 |
) |
|
65,999 |
|
$ |
60,208 |
|
|
8,879 |
|
|
503,249 |
|
Purchases |
|
|
|
|
|
|
|
|
1,350,204 |
|
|
|
|
|
|
|
|
1 |
|
|
|
|
|
1,350,205 |
|
Sales |
|
|
(36,908 |
) |
|
(16,993 |
) |
|
(1,730,249 |
) |
|
|
|
|
(182,582 |
) |
|
|
|
|
|
|
|
(1,966,732 |
) |
Transfers in3 |
|
|
|
|
|
36 |
|
|
583,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
583,723 |
|
Transfers out3 |
|
|
|
|
|
|
|
|
(54,681 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(54,681 |
) |
Balance, as of August 31, 2011 |
|
|
|
|
$ |
38,005 |
|
$ |
3,592,743 |
|
$ |
95 |
|
$ |
79,288 |
|
$ |
60,209 |
|
|
|
|
$ |
3,770,340 |
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at August 31, 2011 was $166,005. |
|
|
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
Credit |
|
|
Liabilities: |
|
|
|
|
Balance, as of August 31, 2010 |
|
|
|
|
Accrued discounts/premiums |
|
$ |
741 |
|
Net realized gain (loss) |
|
|
|
|
Net change in unrealized appreciation/depreciation4 |
|
|
(307 |
) |
Purchases |
|
|
|
|
Issuances5 |
|
|
(2,526 |
) |
Sales |
|
|
|
|
Settlements6 |
|
|
1,785 |
|
Transfers in7 |
|
|
|
|
Transfers out7 |
|
|
|
|
Balance, as of August 31, 2011 |
|
$ |
(307 |
) |
|
|
|
|
4 |
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at August 31, 2011 was $(307). |
|
|
|
|
5 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
6 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
|
|
7 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
|
|
|
|
See Notes to
Financial Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
|||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated1 |
|
$ |
573,657,896 |
|
$ |
504,823,857 |
|
$ |
525,207,550 |
|
$ |
145,207,645 |
|
|
Investments at value affiliated2 |
|
|
4,711,687 |
|
|
1,171,689 |
|
|
941,235 |
|
|
822,452 |
|
|
Foreign currency at value3 |
|
|
168,374 |
|
|
230,460 |
|
|
224,348 |
|
|
20,474 |
|
|
Cash |
|
|
161,409 |
|
|
12 |
|
|
|
|
|
|
|
|
Cash pledged as collateral for financial futures contracts |
|
|
765,000 |
|
|
3,025,000 |
|
|
3,010,000 |
|
|
586,000 |
|
|
Cash pledged as collateral for swaps |
|
|
2,000,000 |
|
|
|
|
|
|
|
|
|
|
|
Cash pledged as collateral for options written |
|
|
|
|
|
906,360 |
|
|
952,770 |
|
|
|
|
|
Investments sold receivable |
|
|
27,554,107 |
|
|
2,767,483 |
|
|
2,957,541 |
|
|
844,750 |
|
|
TBA sale commitments receivable |
|
|
29,465,199 |
|
|
|
|
|
|
|
|
|
|
|
Unrealized appreciation on swaps |
|
|
3,273,268 |
|
|
107,217 |
|
|
111,602 |
|
|
|
|
|
Interest receivable |
|
|
5,614,116 |
|
|
8,260,950 |
|
|
8,736,280 |
|
|
2,507,609 |
|
|
Swaps premiums paid |
|
|
1,018,397 |
|
|
1,100,156 |
|
|
1,149,410 |
|
|
|
|
|
Swaps receivable |
|
|
530,320 |
|
|
177,562 |
|
|
177,198 |
|
|
|
|
|
Principal paydown receivable |
|
|
|
|
|
492,224 |
|
|
532,403 |
|
|
146,080 |
|
|
Unrealized appreciation on foreign currency exchange contracts |
|
|
134,183 |
|
|
521 |
|
|
646 |
|
|
115 |
|
|
Dividends receivable unaffiliated |
|
|
10,384 |
|
|
36,095 |
|
|
17,268 |
|
|
8,706 |
|
|
Commitment fees receivable |
|
|
3,731 |
|
|
|
|
|
|
|
|
|
|
|
Dividends receivable affiliated |
|
|
266 |
|
|
392 |
|
|
382 |
|
|
72 |
|
|
Prepaid expenses |
|
|
22,068 |
|
|
62,834 |
|
|
65,168 |
|
|
25,374 |
|
|
Other assets |
|
|
43,747 |
|
|
75,109 |
|
|
78,540 |
|
|
8,396 |
|
|
Total assets |
|
|
649,134,152 |
|
|
523,237,921 |
|
|
544,162,341 |
|
|
150,177,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreements |
|
|
152,300,789 |
|
|
|
|
|
|
|
|
|
|
|
Investments purchased payable |
|
|
81,092,810 |
|
|
4,686,875 |
|
|
4,425,127 |
|
|
1,957,731 |
|
|
Payable for matured repurchase agreement |
|
|
1,312,160 |
|
|
|
|
|
|
|
|
|
|
|
Loan payable |
|
|
|
|
|
129,000,000 |
|
|
130,000,000 |
|
|
29,000,000 |
|
|
Cash held as collateral for swaps |
|
|
700,000 |
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral for reverse repurchase agreements |
|
|
1,795,000 |
|
|
|
|
|
|
|
|
|
|
|
TBA sale commitments at value4 |
|
|
29,651,066 |
|
|
|
|
|
|
|
|
|
|
|
Unrealized depreciation on swaps |
|
|
135,838 |
|
|
138,756 |
|
|
141,415 |
|
|
|
|
|
Options written at value5 |
|
|
7,779,123 |
|
|
1,415,067 |
|
|
1,507,668 |
|
|
|
|
|
Swaps payable |
|
|
113,285 |
|
|
504,249 |
|
|
497,891 |
|
|
|
|
|
Swaps premiums received |
|
|
803,136 |
|
|
438,769 |
|
|
459,901 |
|
|
|
|
|
Investment advisory fees payable |
|
|
246,282 |
|
|
263,899 |
|
|
320,584 |
|
|
93,982 |
|
|
Margin variation payable |
|
|
205,363 |
|
|
348,368 |
|
|
356,378 |
|
|
50,368 |
|
|
Interest expense payable |
|
|
108,838 |
|
|
125,702 |
|
|
126,551 |
|
|
44,943 |
|
|
Unrealized depreciation on foreign currency exchange contracts |
|
|
147,805 |
|
|
140,051 |
|
|
147,608 |
|
|
32,710 |
|
|
Income dividends payable |
|
|
51,086 |
|
|
74,385 |
|
|
95,012 |
|
|
25,946 |
|
|
Officers and Trustees fees payable |
|
|
46,583 |
|
|
91,058 |
|
|
70,860 |
|
|
10,883 |
|
|
Deferred income |
|
|
|
|
|
21,938 |
|
|
23,019 |
|
|
6,731 |
|
|
Other accrued expenses payable |
|
|
257,759 |
|
|
301,375 |
|
|
293,221 |
|
|
145,833 |
|
|
Other liabilities |
|
|
91,772 |
|
|
|
|
|
|
|
|
|
|
|
Total liabilities |
|
|
276,838,695 |
|
|
137,550,492 |
|
|
138,465,235 |
|
|
31,369,127 |
|
|
Net Assets |
|
$ |
372,295,457 |
|
$ |
385,687,429 |
|
$ |
405,697,106 |
|
$ |
118,808,546 |
|
|
1 |
Investments at cost unaffiliated |
|
$ |
559,176,694 |
|
$ |
519,698,626 |
|
$ |
541,296,934 |
|
$ |
149,022,725 |
|
2 |
Investments at cost affiliated |
|
$ |
4,711,687 |
|
$ |
1,171,689 |
|
$ |
941,235 |
|
$ |
822,452 |
|
3 |
Foreign currency at cost |
|
$ |
167,569 |
|
$ |
231,150 |
|
$ |
225,720 |
|
$ |
20,662 |
|
4 |
Proceeds from TBA sale commitments |
|
$ |
29,465,199 |
|
|
|
|
|
|
|
|
|
|
5 |
Premiums received |
|
$ |
5,259,483 |
|
$ |
985,255 |
|
$ |
1,073,535 |
|
|
|
|
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
100 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Statements of Assets and Liabilities (concluded) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
|||||
Net Assets Consist of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital6,7,8 |
|
$ |
378,671,939 |
|
$ |
469,820,049 |
|
$ |
505,109,182 |
|
$ |
160,514,715 |
|
|
Undistributed net investment income |
|
|
3,484,685 |
|
|
2,797,479 |
|
|
4,335,509 |
|
|
2,031,075 |
|
|
Accumulated net realized loss |
|
|
(24,305,497 |
) |
|
(69,055,047 |
) |
|
(84,738,897 |
) |
|
(39,701,954 |
) |
|
Net unrealized appreciation/depreciation |
|
|
14,444,330 |
|
|
(17,875,052 |
) |
|
(19,008,688 |
) |
|
(4,035,290 |
) |
|
Net Assets |
|
$ |
372,295,457 |
|
$ |
385,687,429 |
|
$ |
405,697,106 |
|
$ |
118,808,546 |
|
|
Net asset value |
|
$ |
13.78 |
|
$ |
11.71 |
|
$ |
11.49 |
|
$ |
2.18 |
|
|
6 |
Par value per share |
|
$ |
0.001 |
|
$ |
0.100 |
|
$ |
0.100 |
|
|
|
|
7 |
Shares outstanding |
|
|
27,023,027 |
|
|
32,944,087 |
|
|
35,294,009 |
|
|
54,620,872 |
|
8 |
Shares authorized |
|
|
unlimited |
|
|
200 million |
|
|
200 million |
|
|
unlimited |
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
101 |
|
|
Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
|||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated1 |
|
$ |
48,423,008 |
|
$ |
572,248,748 |
|
$ |
880,449,756 |
|
$ |
116,988,043 |
|
|
Investments at value affiliated2 |
|
|
421,345 |
|
|
3,706,293 |
|
|
3,958,025 |
|
|
891,719 |
|
|
Foreign currency at value3 |
|
|
|
|
|
104,439 |
|
|
|
|
|
13,941 |
|
|
Cash |
|
|
|
|
|
|
|
|
59,780 |
|
|
|
|
|
Cash pledged as collateral for financial futures contracts |
|
|
|
|
|
345,000 |
|
|
3,345,000 |
|
|
23,660 |
|
|
Cash pledged as collateral for swaps |
|
|
|
|
|
3,100,000 |
|
|
6,845,000 |
|
|
|
|
|
Investments sold receivable |
|
|
225,646 |
|
|
28,114,060 |
|
|
2,498,495 |
|
|
476,073 |
|
|
TBA sale commitments receivable |
|
|
|
|
|
29,622,531 |
|
|
22,580,355 |
|
|
|
|
|
Unrealized appreciation on swaps |
|
|
142,247 |
|
|
3,216,282 |
|
|
40,295,683 |
|
|
82,650 |
|
|
Interest receivable |
|
|
817,229 |
|
|
5,859,217 |
|
|
4,016,351 |
|
|
1,816,081 |
|
|
Swaps premiums paid |
|
|
58,667 |
|
|
795,509 |
|
|
129,681 |
|
|
150,300 |
|
|
Swaps receivable |
|
|
258,959 |
|
|
581,249 |
|
|
2,283,619 |
|
|
8,719 |
|
|
Principal paydown receivable |
|
|
51,089 |
|
|
|
|
|
5,496 |
|
|
106,283 |
|
|
Margin variation receivable |
|
|
|
|
|
|
|
|
658,258 |
|
|
|
|
|
Unrealized appreciation on foreign currency exchange contracts |
|
|
|
|
|
134,546 |
|
|
|
|
|
113 |
|
|
Dividends receivable unaffiliated |
|
|
2,478 |
|
|
|
|
|
|
|
|
|
|
|
Dividends receivable affiliated |
|
|
73 |
|
|
564 |
|
|
690 |
|
|
58 |
|
|
Prepaid expenses |
|
|
8,870 |
|
|
22,437 |
|
|
25,922 |
|
|
19,805 |
|
|
Other assets |
|
|
9,290 |
|
|
66,856 |
|
|
81,876 |
|
|
7,448 |
|
|
Total assets |
|
|
50,418,901 |
|
|
647,917,731 |
|
|
967,233,987 |
|
|
120,584,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreements |
|
|
|
|
|
154,883,292 |
|
|
233,676,408 |
|
|
|
|
|
Investments purchased payable |
|
|
357,854 |
|
|
82,431,136 |
|
|
148,668,336 |
|
|
1,061,175 |
|
|
Loan payable |
|
|
6,000,000 |
|
|
|
|
|
|
|
|
24,000,000 |
|
|
TBA sale commitments at value4 |
|
|
|
|
|
29,830,973 |
|
|
22,665,726 |
|
|
|
|
|
Unrealized depreciation on swaps |
|
|
1,029 |
|
|
139,926 |
|
|
37,654,510 |
|
|
25,412 |
|
|
Options written at value5 |
|
|
|
|
|
7,134,602 |
|
|
1,627,765 |
|
|
|
|
|
Borrowed bonds at value6 |
|
|
|
|
|
|
|
|
8,196,738 |
|
|
|
|
|
Interest rate floors at value7 |
|
|
|
|
|
|
|
|
308,729 |
|
|
|
|
|
Swaps payable |
|
|
2,028 |
|
|
143,495 |
|
|
3,254,352 |
|
|
11,790 |
|
|
Swaps premiums received |
|
|
256,148 |
|
|
825,145 |
|
|
1,363,858 |
|
|
58,800 |
|
|
Investment advisory fees payable |
|
|
18,887 |
|
|
128,664 |
|
|
153,909 |
|
|
75,387 |
|
|
Margin variation payable |
|
|
|
|
|
201,161 |
|
|
|
|
|
6,188 |
|
|
Interest expense payable |
|
|
5,700 |
|
|
113,917 |
|
|
172,048 |
|
|
15,992 |
|
|
Unrealized depreciation on foreign currency exchange contracts |
|
|
|
|
|
159,666 |
|
|
|
|
|
26,407 |
|
|
Income dividends payable |
|
|
1,843 |
|
|
51,411 |
|
|
88,236 |
|
|
10,467 |
|
|
Officers and Trustees fees payable |
|
|
10,469 |
|
|
72,247 |
|
|
84,141 |
|
|
8,242 |
|
|
Administration fees payable |
|
|
21,397 |
|
|
92,813 |
|
|
190,999 |
|
|
|
|
|
Bank overdraft |
|
|
|
|
|
3,771 |
|
|
|
|
|
|
|
|
Other affiliates payable |
|
|
|
|
|
|
|
|
|
|
|
2,056 |
|
|
Other accrued expenses payable |
|
|
99,308 |
|
|
530,192 |
|
|
363,725 |
|
|
156,338 |
|
|
Total liabilities |
|
|
6,774,663 |
|
|
276,742,411 |
|
|
458,469,480 |
|
|
25,458,254 |
|
|
Net Assets |
|
$ |
43,644,238 |
|
$ |
371,175,320 |
|
$ |
508,764,507 |
|
$ |
95,126,639 |
|
|
1 |
Investments at cost unaffiliated |
|
$ |
48,491,371 |
|
$ |
557,153,091 |
|
$ |
854,851,614 |
|
$ |
115,439,914 |
|
2 |
Investments at cost affiliated |
|
$ |
421,345 |
|
$ |
3,706,293 |
|
$ |
3,958,025 |
|
$ |
891,719 |
|
3 |
Foreign currency at cost |
|
|
|
|
$ |
101,971 |
|
|
|
|
$ |
13,964 |
|
4 |
Proceeds from TBA sale commitments |
|
|
|
|
$ |
29,622,531 |
|
$ |
22,580,355 |
|
|
|
|
5 |
Premiums received |
|
|
|
|
$ |
4,793,809 |
|
$ |
801,911 |
|
|
|
|
6 |
Proceeds from borrowed bonds |
|
|
|
|
|
|
|
$ |
7,717,874 |
|
|
|
|
7 |
Interest rate floors at cost |
|
|
|
|
|
|
|
$ |
440,833 |
|
|
|
|
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
102 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Statements of Assets and Liabilities (concluded) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
|||||
Net Assets Consist of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital8,9,10 |
|
$ |
58,516,207 |
|
$ |
402,924,496 |
|
$ |
478,542,248 |
|
$ |
98,450,652 |
|
|
Cost of shares held in treasury11 |
|
|
|
|
|
(17,377,850 |
) |
|
|
|
|
|
|
|
Undistributed (distributions in excess of) net investment income |
|
|
(107,518 |
) |
|
4,312,166 |
|
|
(33,473 |
) |
|
774,363 |
|
|
Accumulated net realized gain (loss) |
|
|
(14,838,186 |
) |
|
(34,035,704 |
) |
|
532,550 |
|
|
(5,682,155 |
) |
|
Net unrealized appreciation/depreciation |
|
|
73,735 |
|
|
15,352,212 |
|
|
29,723,182 |
|
|
1,583,779 |
|
|
Net Assets |
|
$ |
43,644,238 |
|
$ |
371,175,320 |
|
$ |
508,764,507 |
|
$ |
95,126,639 |
|
|
Net asset value |
|
$ |
6.79 |
|
$ |
10.77 |
|
$ |
7.96 |
|
$ |
13.48 |
|
|
8 |
Par value per share |
|
$ |
0.001 |
|
$ |
0.01 |
|
$ |
0.01 |
|
$ |
0.001 |
|
9 |
Shares outstanding |
|
|
6,427,525 |
|
|
34,456,370 |
|
|
63,942,535 |
|
|
7,058,401 |
|
10 |
Shares authorized |
|
|
unlimited |
|
|
200 million |
|
|
200 million |
|
|
unlimited |
|
11 |
Shares held in treasury |
|
|
|
|
|
1,757,400 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
||||
Investment Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest |
|
$ |
26,038,032 |
|
$ |
40,763,761 |
|
$ |
43,278,260 |
|
$ |
12,629,925 |
|
Dividends unaffiliated |
|
|
48,575 |
|
|
513,158 |
|
|
208,574 |
|
|
63,921 |
|
Foreign taxes withheld |
|
|
(776 |
) |
|
(774 |
) |
|
(1,032 |
) |
|
(258 |
) |
Dividends affiliated |
|
|
7,566 |
|
|
8,114 |
|
|
7,958 |
|
|
2,674 |
|
Total income |
|
|
26,093,397 |
|
|
41,284,259 |
|
|
43,493,760 |
|
|
12,696,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory |
|
|
2,856,702 |
|
|
3,156,080 |
|
|
3,789,466 |
|
|
1,138,755 |
|
Borrowing costs1 |
|
|
|
|
|
387,448 |
|
|
404,025 |
|
|
137,418 |
|
Professional |
|
|
130,954 |
|
|
181,449 |
|
|
172,794 |
|
|
78,384 |
|
Custodian |
|
|
117,650 |
|
|
71,737 |
|
|
72,435 |
|
|
30,822 |
|
Printing |
|
|
95,355 |
|
|
57,403 |
|
|
61,170 |
|
|
45,340 |
|
Accounting services |
|
|
78,907 |
|
|
77,853 |
|
|
79,820 |
|
|
42,316 |
|
Officer and Trustees |
|
|
46,116 |
|
|
48,426 |
|
|
50,536 |
|
|
14,135 |
|
Transfer agent |
|
|
12,145 |
|
|
48,626 |
|
|
48,380 |
|
|
28,212 |
|
Registration |
|
|
9,422 |
|
|
11,486 |
|
|
12,332 |
|
|
19,044 |
|
Miscellaneous |
|
|
87,406 |
|
|
85,905 |
|
|
71,491 |
|
|
35,734 |
|
Total expenses excluding interest expense |
|
|
3,434,657 |
|
|
4,126,413 |
|
|
4,762,449 |
|
|
1,570,160 |
|
Interest expense |
|
|
346,582 |
|
|
1,302,143 |
|
|
1,258,895 |
|
|
293,458 |
|
Total expenses |
|
|
3,781,239 |
|
|
5,428,556 |
|
|
6,021,344 |
|
|
1,863,618 |
|
Less fees waived by advisor |
|
|
(1,978 |
) |
|
(1,407 |
) |
|
(1,411 |
) |
|
(1,130 |
) |
Less fees paid indirectly |
|
|
(26 |
) |
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly |
|
|
3,779,235 |
|
|
5,427,149 |
|
|
6,019,933 |
|
|
1,862,488 |
|
Net investment income |
|
|
22,314,162 |
|
|
35,857,110 |
|
|
37,473,827 |
|
|
10,833,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
7,873,619 |
|
|
14,942,502 |
|
|
14,773,244 |
|
|
3,211,891 |
|
Financial futures contracts |
|
|
(7,142,111 |
) |
|
165,948 |
|
|
326,634 |
|
|
150,254 |
|
Foreign currency transactions |
|
|
(972,845 |
) |
|
(2,962,626 |
) |
|
(3,283,208 |
) |
|
(472,791 |
) |
Options written |
|
|
2,236,157 |
|
|
414,174 |
|
|
422,224 |
|
|
(44,888 |
) |
Swaps |
|
|
(1,169,248 |
) |
|
2,358,243 |
|
|
2,674,787 |
|
|
|
|
Borrowed bonds |
|
|
(1,472,865 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
(647,293 |
) |
|
14,918,241 |
|
|
14,913,681 |
|
|
2,844,466 |
|
Net change in unrealized appreciation/depreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(13,316,913 |
) |
|
(9,550,384 |
) |
|
(9,990,326 |
) |
|
(2,845,731 |
) |
Financial futures contracts |
|
|
(744,788 |
) |
|
(2,544,189 |
) |
|
(2,505,197 |
) |
|
(231,694 |
) |
Foreign currency transactions |
|
|
48,207 |
|
|
(132,635 |
) |
|
(95,158 |
) |
|
(28,582 |
) |
Options written |
|
|
904,721 |
|
|
(537,705 |
) |
|
(547,717 |
) |
|
|
|
Swaps |
|
|
3,924,338 |
|
|
12,515 |
|
|
(106,869 |
) |
|
|
|
Borrowed bonds |
|
|
(27 |
) |
|
|
|
|
|
|
|
|
|
Unfunded loan commitments |
|
|
|
|
|
70,021 |
|
|
36,123 |
|
|
2,026 |
|
|
|
|
(9,184,462 |
) |
|
(12,682,377 |
) |
|
(13,209,144 |
) |
|
(3,103,981 |
) |
Total realized and unrealized gain (loss) |
|
|
(9,831,755 |
) |
|
2,235,864 |
|
|
1,704,537 |
|
|
(259,515 |
) |
Net Increase in Net Assets Resulting from Operations |
|
$ |
12,482,407 |
|
$ |
38,092,974 |
|
$ |
39,178,364 |
|
$ |
10,574,259 |
|
|
|
|
|
1 |
See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
104 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Statements of Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
||||
Investment Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest |
|
$ |
4,182,304 |
|
$ |
25,236,825 |
|
$ |
27,320,865 |
|
$ |
8,976,127 |
|
Dividends unaffiliated |
|
|
11,175 |
|
|
|
|
|
|
|
|
|
|
Dividends affiliated |
|
|
2,932 |
|
|
8,798 |
|
|
18,110 |
|
|
2,908 |
|
Total income |
|
|
4,196,411 |
|
|
25,245,623 |
|
|
27,338,975 |
|
|
8,979,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory |
|
|
537,737 |
|
|
2,199,864 |
|
|
3,238,615 |
|
|
910,284 |
|
Administration |
|
|
52,966 |
|
|
366,644 |
|
|
747,371 |
|
|
|
|
Borrowing costs1 |
|
|
48,050 |
|
|
|
|
|
|
|
|
96,192 |
|
Professional |
|
|
73,807 |
|
|
114,600 |
|
|
129,886 |
|
|
81,265 |
|
Custodian |
|
|
17,225 |
|
|
125,278 |
|
|
130,254 |
|
|
28,762 |
|
Printing |
|
|
21,266 |
|
|
103,112 |
|
|
124,659 |
|
|
31,230 |
|
Accounting services |
|
|
10,785 |
|
|
55,919 |
|
|
82,960 |
|
|
23,432 |
|
Officer and Trustees |
|
|
5,440 |
|
|
47,008 |
|
|
57,862 |
|
|
9,769 |
|
Transfer agent |
|
|
13,294 |
|
|
20,791 |
|
|
64,127 |
|
|
11,668 |
|
Registration |
|
|
9,372 |
|
|
12,013 |
|
|
22,294 |
|
|
9,372 |
|
Miscellaneous |
|
|
53,778 |
|
|
90,742 |
|
|
84,997 |
|
|
45,478 |
|
Total expenses excluding interest expense |
|
|
843,720 |
|
|
3,135,971 |
|
|
4,683,025 |
|
|
1,247,452 |
|
Interest expense |
|
|
84,945 |
|
|
344,859 |
|
|
573,496 |
|
|
247,843 |
|
Total expenses |
|
|
928,665 |
|
|
3,480,830 |
|
|
5,256,521 |
|
|
1,495,295 |
|
Less fees waived by advisor |
|
|
(987 |
) |
|
(1,502 |
) |
|
(6,957 |
) |
|
(1,031 |
) |
Less fees paid indirectly |
|
|
(47 |
) |
|
(62 |
) |
|
(259 |
) |
|
(122 |
) |
Total expenses after fees waived and paid indirectly |
|
|
927,631 |
|
|
3,479,266 |
|
|
5,249,305 |
|
|
1,494,142 |
|
Net investment income |
|
|
3,268,780 |
|
|
21,766,357 |
|
|
22,089,670 |
|
|
7,484,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(795,834 |
) |
|
6,572,587 |
|
|
15,886,243 |
|
|
1,951,318 |
|
Financial futures contracts |
|
|
|
|
|
(9,240,339 |
) |
|
(19,646,123 |
) |
|
(104,157 |
) |
Foreign currency transactions |
|
|
|
|
|
(743,628 |
) |
|
(1,497 |
) |
|
(330,332 |
) |
Options written |
|
|
13,000 |
|
|
2,265,086 |
|
|
1,532,906 |
|
|
28,625 |
|
Swaps |
|
|
(79,879 |
) |
|
4,792,003 |
|
|
4,883,203 |
|
|
(189,942 |
) |
Borrowed bonds |
|
|
|
|
|
(770,974 |
) |
|
(1,226,603 |
) |
|
|
|
Interest rate floors |
|
|
|
|
|
|
|
|
(2,294,217 |
) |
|
|
|
|
|
|
(862,713 |
) |
|
2,874,735 |
|
|
(866,088 |
) |
|
1,355,512 |
|
Net change in unrealized appreciation/depreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
1,476,798 |
|
|
(12,315,981 |
) |
|
10,616,936 |
|
|
(1,670,166 |
) |
Financial futures contracts |
|
|
|
|
|
(532,119 |
) |
|
4,164,429 |
|
|
11,871 |
|
Foreign currency transactions |
|
|
|
|
|
35,123 |
|
|
|
|
|
(25,326 |
) |
Options written |
|
|
(12,341 |
) |
|
1,399,467 |
|
|
(297,874 |
) |
|
(27,158 |
) |
Swaps |
|
|
144,749 |
|
|
(1,144,401 |
) |
|
(3,349,916 |
) |
|
39,432 |
|
Borrowed bonds |
|
|
|
|
|
(27 |
) |
|
(478,864 |
) |
|
|
|
Unfunded loan commitments |
|
|
4,001 |
|
|
|
|
|
|
|
|
8,879 |
|
Interest rate floors |
|
|
|
|
|
|
|
|
2,398,794 |
|
|
|
|
|
|
|
1,613,207 |
|
|
(12,557,938 |
) |
|
13,053,505 |
|
|
(1,662,468 |
) |
Total realized and unrealized gain (loss) |
|
|
750,494 |
|
|
(9,683,203 |
) |
|
12,187,417 |
|
|
(306,956 |
) |
Net Increase in Net Assets Resulting from Operations |
|
$ |
4,019,274 |
|
$ |
12,083,154 |
|
$ |
34,277,087 |
|
$ |
7,177,937 |
|
|
|
|
|
1 |
See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock |
|
|
BlackRock Corporate |
|
||||||||
|
|
Year Ended August 31, |
|
|
Year Ended August 31, |
|
||||||||
Increase (Decrease) in Net Assets: |
|
2011 |
|
2010 |
|
|
2011 |
|
2010 |
|
||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
22,314,162 |
|
$ |
23,504,592 |
|
|
$ |
35,857,110 |
|
$ |
34,998,740 |
|
Net realized gain (loss) |
|
|
(647,293 |
) |
|
22,830,017 |
|
|
|
14,918,241 |
|
|
7,089,947 |
|
Net change in unrealized appreciation/depreciation |
|
|
(9,184,462 |
) |
|
24,703,783 |
|
|
|
(12,682,377 |
) |
|
54,072,650 |
|
Net increase in net assets resulting from operations |
|
|
12,482,407 |
|
|
71,038,392 |
|
|
|
38,092,974 |
|
|
96,161,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends to Shareholders From |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(23,726,515 |
) |
|
(27,023,027 |
) |
|
|
(35,008,792 |
) |
|
(33,602,969 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
(11,244,108 |
) |
|
44,015,365 |
|
|
|
3,084,182 |
|
|
62,558,368 |
|
Beginning of year |
|
|
383,539,565 |
|
|
339,524,200 |
|
|
|
382,603,247 |
|
|
320,044,879 |
|
End of year |
|
$ |
372,295,457 |
|
$ |
383,539,565 |
|
|
$ |
385,687,429 |
|
$ |
382,603,247 |
|
Undistributed net investment income |
|
$ |
3,484,685 |
|
$ |
7,202,897 |
|
|
$ |
2,797,479 |
|
$ |
5,001,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock
Corporate |
|
|
BlackRock |
|
||||||||
|
|
Year Ended August 31, |
|
|
Year Ended August 31, |
|
||||||||
Increase (Decrease) in Net Assets: |
|
2011 |
|
2010 |
|
|
2011 |
|
2010 |
|
||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
37,473,827 |
|
$ |
36,935,470 |
|
|
$ |
10,833,774 |
|
$ |
10,792,615 |
|
Net realized gain (loss) |
|
|
14,913,681 |
|
|
1,901,818 |
|
|
|
2,844,466 |
|
|
(276,674 |
) |
Net change in unrealized appreciation/depreciation |
|
|
(13,209,144 |
) |
|
57,412,973 |
|
|
|
(3,103,981 |
) |
|
17,435,391 |
|
Net increase in net assets resulting from operations |
|
|
39,178,364 |
|
|
96,250,261 |
|
|
|
10,574,259 |
|
|
27,951,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends to Shareholders From |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(35,241,068 |
) |
|
(35,992,789 |
) |
|
|
(11,407,404 |
) |
|
(9,230,927 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reinvestment of dividends |
|
|
|
|
|
87,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
3,937,296 |
|
|
60,344,562 |
|
|
|
(833,145 |
) |
|
18,720,405 |
|
Beginning of year |
|
|
401,759,810 |
|
|
341,415,248 |
|
|
|
119,641,691 |
|
|
100,921,286 |
|
End of year |
|
$ |
405,697,106 |
|
$ |
401,759,810 |
|
|
$ |
118,808,546 |
|
$ |
119,641,691 |
|
Undistributed net investment income |
|
$ |
4,335,509 |
|
$ |
5,651,991 |
|
|
$ |
2,031,075 |
|
$ |
2,972,065 |
|
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
106 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Statements of Changes in Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock |
|
|
BlackRock
Corporate |
|
||||||||
|
|
Year Ended August 31, |
|
|
Year Ended August 31, |
|
||||||||
Increase (Decrease) in Net Assets: |
|
2011 |
|
2010 |
|
|
2011 |
|
2010 |
|
||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
3,268,780 |
|
$ |
3,296,839 |
|
|
$ |
21,766,357 |
|
$ |
20,499,390 |
|
Net realized gain (loss) |
|
|
(862,713 |
) |
|
(1,522,025 |
) |
|
|
2,874,735 |
|
|
21,968,948 |
|
Net change in unrealized appreciation/depreciation |
|
|
1,613,207 |
|
|
7,423,666 |
|
|
|
(12,557,938 |
) |
|
20,927,252 |
|
Net increase in net assets resulting from operations |
|
|
4,019,274 |
|
|
9,198,480 |
|
|
|
12,083,154 |
|
|
63,395,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends and Distributions to Shareholders From |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(3,278,764 |
) |
|
(3,246,508 |
) |
|
|
(22,287,310 |
) |
|
(27,117,163 |
) |
Tax return of capital |
|
|
(76,404 |
) |
|
(108,660 |
) |
|
|
|
|
|
|
|
Decrease in net assets resulting from dividends and distributions to shareholders |
|
|
(3,355,168 |
) |
|
(3,355,168 |
) |
|
|
(22,287,310 |
) |
|
(27,117,163 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
664,106 |
|
|
5,843,312 |
|
|
|
(10,204,156 |
) |
|
36,278,427 |
|
Beginning of year |
|
|
42,980,132 |
|
|
37,136,820 |
|
|
|
381,379,476 |
|
|
345,101,049 |
|
End of year |
|
$ |
43,644,238 |
|
$ |
42,980,132 |
|
|
$ |
371,175,320 |
|
$ |
381,379,476 |
|
Undistributed (distribution in excess of) net investment income |
|
$ |
(107,518 |
) |
$ |
(99,314 |
) |
|
$ |
4,312,166 |
|
$ |
6,733,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock |
|
|
BlackRock |
|
||||||||
|
|
Year Ended August 31, |
|
|
Year Ended August 31, |
|
||||||||
Increase (Decrease) in Net Assets: |
|
2011 |
|
2010 |
|
|
2011 |
|
2010 |
|
||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
22,089,670 |
|
$ |
12,848,017 |
|
|
$ |
7,484,893 |
|
$ |
7,157,170 |
|
Net realized gain (loss) |
|
|
(866,088 |
) |
|
28,601,188 |
|
|
|
1,355,512 |
|
|
2,597,390 |
|
Net change in unrealized appreciation/depreciation |
|
|
13,053,505 |
|
|
17,697,571 |
|
|
|
(1,662,468 |
) |
|
6,849,508 |
|
Net increase in net assets resulting from operations |
|
|
34,277,087 |
|
|
59,146,776 |
|
|
|
7,177,937 |
|
|
16,604,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends and Distributions to Shareholders From |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(21,772,433 |
) |
|
(16,372,760 |
) |
|
|
(7,845,469 |
) |
|
(6,391,382 |
) |
Net realized gain |
|
|
|
|
|
(2,042,690 |
) |
|
|
|
|
|
|
|
Decrease in net assets resulting from dividends and distributions to shareholders |
|
|
(21,772,433 |
) |
|
(18,415,450 |
) |
|
|
(7,845,469 |
) |
|
(6,391,382 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets |
|
|
12,504,654 |
|
|
40,731,326 |
|
|
|
(667,532 |
) |
|
10,212,686 |
|
Beginning of year |
|
|
496,259,853 |
|
|
455,528,527 |
|
|
|
95,794,171 |
|
|
85,581,485 |
|
End of year |
|
$ |
508,764,507 |
|
$ |
496,259,853 |
|
|
$ |
95,126,639 |
|
$ |
95,794,171 |
|
Undistributed (distribution in excess of) net investment income |
|
$ |
(33,473 |
) |
$ |
(83,711 |
) |
|
$ |
774,363 |
|
$ |
1,512,890 |
|
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
||||
Cash Provided by (Used for) Operating Activities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations |
|
$ |
12,482,407 |
|
$ |
38,092,974 |
|
$ |
39,178,364 |
|
$ |
10,574,259 |
|
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in interest receivable |
|
|
(203,308 |
) |
|
118,777 |
|
|
188,919 |
|
|
108,878 |
|
Increase (decrease) in swaps receivable |
|
|
(245,217 |
) |
|
(104,212 |
) |
|
(97,848 |
) |
|
|
|
(Increase) decrease in other assets |
|
|
(851 |
) |
|
169,080 |
|
|
223,230 |
|
|
47,184 |
|
Decrease in prepaid expenses |
|
|
9,843 |
|
|
56,030 |
|
|
59,603 |
|
|
25,574 |
|
(Increase) in commitment fees receivable |
|
|
(3,731 |
) |
|
|
|
|
|
|
|
|
|
(Increase) in dividends receivable unaffiliated |
|
|
(10,384 |
) |
|
(36,095 |
) |
|
(17,268 |
) |
|
(8,706 |
) |
(Increase) decrease in margin variation receivable |
|
|
182,210 |
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in dividends receivable affiliated |
|
|
22 |
|
|
(203 |
) |
|
(100 |
) |
|
2 |
|
(Increase) decrease in cash pledged as collateral for financial futures contracts and options written |
|
|
(236,000 |
) |
|
(2,801,372 |
) |
|
(2,802,770 |
) |
|
(346,000 |
) |
(Increase) decrease in cash pledged as collateral for swaps and reverse repurchase agreements |
|
|
495,000 |
|
|
|
|
|
|
|
|
|
|
Increase (decrease) in investment advisory fees payable |
|
|
10,809 |
|
|
25,882 |
|
|
31,444 |
|
|
3,668 |
|
Increase (decrease) in interest expense payable |
|
|
20,553 |
|
|
(48,621 |
) |
|
(49,374 |
) |
|
289 |
|
Increase (decrease) in other affiliates payable |
|
|
(1,686 |
) |
|
(1,502 |
) |
|
(1,556 |
) |
|
(456 |
) |
(Decrease) in commitment fees payable |
|
|
(682 |
) |
|
(2,524 |
) |
|
(2,737 |
) |
|
(829 |
) |
Increase in other liabilities |
|
|
91,772 |
|
|
|
|
|
|
|
|
6,731 |
|
Increase in other accrued expenses payable |
|
|
76,996 |
|
|
151,199 |
|
|
146,245 |
|
|
6,788 |
|
Increase (decrease) in margin variation payable |
|
|
205,363 |
|
|
314,768 |
|
|
321,978 |
|
|
43,168 |
|
Increase (decrease) in swaps payable |
|
|
(23,765 |
) |
|
468,949 |
|
|
465,591 |
|
|
|
|
Increase (decrease) in Officers and Trustees fees payable and deferred income |
|
|
1,291 |
|
|
52,163 |
|
|
31,024 |
|
|
577 |
|
Net periodic and termination payments of swaps |
|
|
(340,492 |
) |
|
(701,666 |
) |
|
(814,538 |
) |
|
|
|
Net realized and unrealized (gain) loss on investments |
|
|
(1,669,251 |
) |
|
(5,218,488 |
) |
|
(4,491,243 |
) |
|
(294,716 |
) |
Amortization of premium and accretion of discount on investments |
|
|
558,384 |
|
|
(934,091 |
) |
|
(636,923 |
) |
|
(267,523 |
) |
Paid-in-kind income |
|
|
|
|
|
(1,376,746 |
) |
|
(1,140,588 |
) |
|
(233,169 |
) |
Premiums received from options written |
|
|
14,541,888 |
|
|
1,675,733 |
|
|
1,769,310 |
|
|
19,717 |
|
Proceeds from sales of long-term investments |
|
|
4,544,536,086 |
|
|
458,345,782 |
|
|
470,660,718 |
|
|
132,830,055 |
|
Purchases of long-term investments |
|
|
(4,511,112,612 |
) |
|
(491,755,681 |
) |
|
(508,866,647 |
) |
|
(136,237,864 |
) |
Proceeds from borrowed bond transactions |
|
|
121,520,617 |
|
|
|
|
|
|
|
|
|
|
Payments for borrowed bond transactions |
|
|
(122,993,482 |
) |
|
|
|
|
|
|
|
|
|
Net proceeds from sales (purchases) of short-term securities |
|
|
(3,906,633 |
) |
|
1,554,235 |
|
|
867,523 |
|
|
1,210,366 |
|
Premiums paid on closing options written |
|
|
(13,496,046 |
) |
|
151,761 |
|
|
(393,302 |
) |
|
(64,604 |
) |
Cash provided by (used for) operating activities |
|
|
40,489,101 |
|
|
(1,803,868 |
) |
|
(5,370,945 |
) |
|
7,423,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Provided by (Used for) Financing Activities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash receipts from borrowings |
|
|
1,022,660,566 |
|
|
268,000,000 |
|
|
279,000,000 |
|
|
83,000,000 |
|
Cash payments on borrowings |
|
|
(1,039,297,481 |
) |
|
(231,000,000 |
) |
|
(238,000,000 |
) |
|
(79,000,000 |
) |
Cash dividends paid to shareholders |
|
|
(23,720,290 |
) |
|
(35,010,264 |
) |
|
(35,239,549 |
) |
|
(11,414,564 |
) |
Decrease in bank overdraft |
|
|
|
|
|
|
|
|
(212,807 |
) |
|
|
|
Cash provided by (used for) financing activities |
|
|
(40,357,205 |
) |
|
1,989,736 |
|
|
5,547,644 |
|
|
(7,414,564 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Impact from Foreign Exchange Fluctuations |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash impact from foreign exchange fluctuations |
|
|
775 |
|
|
(461 |
) |
|
(1,272 |
) |
|
(44 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and Foreign Currency |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in cash and foreign currency |
|
|
132,671 |
|
|
185,407 |
|
|
175,427 |
|
|
8,781 |
|
Cash and foreign currency at beginning of year |
|
|
197,112 |
|
|
45,065 |
|
|
48,921 |
|
|
11,693 |
|
Cash and foreign currency at end of year |
|
$ |
329,783 |
|
$ |
230,472 |
|
$ |
224,348 |
|
$ |
20,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Flow Information |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash paid during the year for interest |
|
$ |
326,029 |
|
$ |
1,350,764 |
|
$ |
1,308,269 |
|
$ |
293,169 |
|
|
|
|
A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets. |
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
108 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Statements of Cash Flows |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended August 31, 2011 |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
BlackRock |
|
||||
Cash Provided by (Used for) Operating Activities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations |
|
$ |
4,019,274 |
|
$ |
12,083,154 |
|
$ |
34,277,087 |
|
$ |
7,177,937 |
|
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in interest receivable |
|
|
57,523 |
|
|
(599,645 |
) |
|
(508,422 |
) |
|
(22,109 |
) |
Increase in swaps receivable |
|
|
(258,409 |
) |
|
85,729 |
|
|
632,429 |
|
|
(5,369 |
) |
(Increase) decrease in other assets |
|
|
24,455 |
|
|
(376 |
) |
|
730 |
|
|
79 |
|
Decrease in prepaid expenses |
|
|
8,624 |
|
|
10,120 |
|
|
5,481 |
|
|
9,467 |
|
Increase in dividends receivable |
|
|
(2,478 |
) |
|
|
|
|
|
|
|
|
|
(Increase) decrease in margin variation receivable |
|
|
|
|
|
305,240 |
|
|
(658,258 |
) |
|
|
|
(Increase) decrease in income receivable affiliated |
|
|
(14 |
) |
|
(564 |
) |
|
(365 |
) |
|
(29 |
) |
(Increase) decrease in cash pledged as collateral for financial futures contracts |
|
|
|
|
|
(345,000 |
) |
|
(1,345,000 |
) |
|
16,340 |
|
(Increase) decrease in cash pledged as collateral for swaps and reverse repurchase agreements |
|
|
|
|
|
(3,100,000 |
) |
|
(5,745,000 |
) |
|
|
|
Increase (decrease) in investment advisory fees payable |
|
|
(26,497 |
) |
|
(61,938 |
) |
|
(119,003 |
) |
|
7,704 |
|
Increase (decrease) in interest expense payable |
|
|
(14,535 |
) |
|
56,971 |
|
|
149,019 |
|
|
(4,986 |
) |
Decrease in commitment fees payable |
|
|
(333 |
) |
|
|
|
|
|
|
|
1,722 |
|
Increase (decrease) in administration fees payable |
|
|
17,065 |
|
|
61,039 |
|
|
127,934 |
|
|
|
|
Increase in other accrued expenses payable |
|
|
15,044 |
|
|
340,854 |
|
|
148,883 |
|
|
56,860 |
|
Increase (decrease) in margin variation payable |
|
|
|
|
|
201,161 |
|
|
(628,752 |
) |
|
5,239 |
|
Increase (decrease) in swaps payable |
|
|
1,328 |
|
|
(63,427 |
) |
|
(1,374,153 |
) |
|
6,790 |
|
Increase (decrease) in Officers and Trustees fees payable |
|
|
488 |
|
|
3,622 |
|
|
(762 |
) |
|
(966 |
) |
Net periodic and termination payments of swaps |
|
|
198,061 |
|
|
(664,545 |
) |
|
57,695 |
|
|
(30,691 |
) |
Net realized and unrealized (gain) loss on investments |
|
|
(830,373 |
) |
|
3,188,146 |
|
|
(21,680,896 |
) |
|
(305,682 |
) |
Amortization of premium and accretion of discount on investments |
|
|
(50,399 |
) |
|
885,777 |
|
|
(418,012 |
) |
|
(188,883 |
) |
Paid-in-kind income |
|
|
(41,294 |
) |
|
|
|
|
|
|
|
(75,035 |
) |
Premiums received from options written |
|
|
|
|
|
14,303,896 |
|
|
1,672,871 |
|
|
|
|
Proceeds from sales of long-term investments |
|
|
42,200,939 |
|
|
4,216,223,928 |
|
|
7,714,103,832 |
|
|
85,445,552 |
|
Purchases of long-term investments |
|
|
(41,113,382 |
) |
|
(4,198,926,849 |
) |
|
(7,810,228,236 |
) |
|
(96,678,219 |
) |
Proceeds from borrowed bond transactions |
|
|
|
|
|
105,966,309 |
|
|
89,438,059 |
|
|
|
|
Payments for borrowed bond transactions |
|
|
|
|
|
(106,737,283 |
) |
|
(90,664,662 |
) |
|
|
|
Net proceeds from sales (purchases) of short-term securities |
|
|
1,151,877 |
|
|
(3,412,577 |
) |
|
(11,099,974 |
) |
|
240,490 |
|
Premiums paid on closing options written |
|
|
|
|
|
(13,829,343 |
) |
|
(1,040,945 |
) |
|
|
|
Cash provided by (used for) operating activities |
|
|
5,356,964 |
|
|
25,974,399 |
|
|
(104,898,420 |
) |
|
(4,343,789 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Provided by (Used for) Financing Activities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash receipts from borrowings |
|
|
18,000,000 |
|
|
869,922,653 |
|
|
965,214,923 |
|
|
67,000,000 |
|
Cash payments on borrowings |
|
|
(20,000,000 |
) |
|
(872,815,217 |
) |
|
(838,523,110 |
) |
|
(55,000,000 |
) |
Cash dividends paid to shareholders |
|
|
(3,358,916 |
) |
|
(22,283,275 |
) |
|
(21,733,613 |
) |
|
(7,845,278 |
) |
Decrease in bank overdraft |
|
|
|
|
|
(769,151 |
) |
|
|
|
|
(515 |
) |
Cash provided by (used for) financing activities |
|
|
(5,358,916 |
) |
|
(25,944,990 |
) |
|
104,958,200 |
|
|
4,154,207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Impact from Foreign Exchange Fluctuations |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash impact from foreign exchange fluctuations |
|
|
|
|
|
2,939 |
|
|
|
|
|
4,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and Foreign Currency |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash and foreign currency |
|
|
(1,952 |
) |
|
32,348 |
|
|
59,780 |
|
|
(185,212 |
) |
Cash and foreign currency at beginning of year |
|
|
1,952 |
|
|
72,091 |
|
|
|
|
|
199,153 |
|
Cash and foreign currency at end of year |
|
$ |
|
|
$ |
104,439 |
|
$ |
59,780 |
|
$ |
13,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Flow Information |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash paid during the year for interest |
|
$ |
99,480 |
|
$ |
287,888 |
|
$ |
424,477 |
|
$ |
252,829 |
|
|
|
|
A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets. |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
109 |
|
|
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
November 1, |
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
2007 to |
|
Year Ended |
|||||||||
|
|
Year Ended August 31, |
|
August 31, |
|
October 31, |
|||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
2006 |
|
||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
14.19 |
|
$ |
12.56 |
|
$ |
12.81 |
|
$ |
13.63 |
|
$ |
13.82 |
|
$ |
14.27 |
|
Net investment income |
|
|
0.83 |
1 |
|
0.87 |
1 |
|
0.80 |
1 |
|
0.50 |
1 |
|
0.74 |
|
|
0.66 |
|
Net realized and unrealized gain (loss) |
|
|
(0.36 |
) |
|
1.76 |
|
|
(0.28 |
) |
|
(0.69 |
) |
|
(0.13 |
) |
|
0.11 |
|
Net increase (decrease) from investment operations |
|
|
0.47 |
|
|
2.63 |
|
|
0.52 |
|
|
(0.19 |
) |
|
0.61 |
|
|
0.77 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.88 |
) |
|
(1.00 |
) |
|
(0.77 |
) |
|
(0.61 |
) |
|
(0.61 |
) |
|
(0.93 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.29 |
) |
Tax return of capital |
|
|
|
|
|
|
|
|
|
|
|
(0.02 |
) |
|
(0.19 |
) |
|
|
|
Total dividends and distributions |
|
|
(0.88 |
) |
|
(1.00 |
) |
|
(0.77 |
) |
|
(0.63 |
) |
|
(0.80 |
) |
|
(1.22 |
) |
Net asset value, end of period |
|
$ |
13.78 |
|
$ |
14.19 |
|
$ |
12.56 |
|
$ |
12.81 |
|
$ |
13.63 |
|
$ |
13.82 |
|
Market price, end of period |
|
$ |
12.69 |
|
$ |
13.92 |
|
$ |
11.98 |
|
$ |
11.51 |
|
$ |
12.23 |
|
$ |
12.86 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
4.02 |
% |
|
22.44 |
% |
|
5.28 |
% |
|
(1.00 |
)%3 |
|
5.04 |
% |
|
6.20 |
% |
Based on market price |
|
|
(2.35 |
)% |
|
25.93 |
% |
|
11.76 |
% |
|
(0.87 |
)%3 |
|
1.29 |
% |
|
3.07 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.02 |
% |
|
1.18 |
% |
|
1.06 |
% |
|
2.29 |
%4 |
|
1.60 |
% |
|
1.08 |
% |
Total expenses after fees waived and paid indirectly |
|
|
1.02 |
% |
|
1.18 |
% |
|
1.06 |
% |
|
2.29 |
%4 |
|
1.60 |
% |
|
1.08 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
0.93 |
% |
|
0.95 |
% |
|
0.83 |
% |
|
0.89 |
%4 |
|
0.78 |
% |
|
0.77 |
% |
Net investment income |
|
|
6.05 |
% |
|
6.62 |
% |
|
7.09 |
% |
|
4.55 |
%4 |
|
5.36 |
% |
|
4.78 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
372,295 |
|
$ |
383,540 |
|
$ |
339,524 |
|
$ |
346,177 |
|
$ |
368,335 |
|
$ |
373,518 |
|
Borrowings outstanding, end of period (000) |
|
$ |
152,301 |
|
$ |
168,938 |
|
$ |
74,572 |
|
$ |
107,690 |
|
$ |
103,354 |
|
$ |
3,911 |
|
Average borrowings outstanding during the period (000) |
|
$ |
151,080 |
|
$ |
162,760 |
|
$ |
73,467 |
|
$ |
134,784 |
|
$ |
44,786 |
|
$ |
25,340 |
|
Portfolio turnover |
|
|
824 |
%5 |
|
641 |
%6 |
|
315 |
%7 |
|
598 |
%8 |
|
122 |
% |
|
88 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
3,444 |
|
$ |
3,270 |
|
$ |
5,553 |
|
$ |
4,215 |
|
$ |
4,564 |
|
$ |
96,502 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
|
5 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%. |
|
|
|
|
6 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%. |
|
|
|
|
7 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%. |
|
|
|
|
8 |
Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%. |
|
|
|
See Notes to Financial
Statements. |
||
|
|
|
110 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
Financial Highlights |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Corporate |
|
BlackRock Corporate |
||||||||||||||||||||||||||||
|
|
Year Ended August 31, |
|
Year Ended August 31, |
||||||||||||||||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
2011 |
|
2010 |
|
2009 |
|
2008 |
|
2007 |
|
|||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
$ |
11.61 |
|
$ |
9.71 |
|
$ |
11.94 |
|
$ |
13.83 |
|
$ |
14.10 |
|
|
$ |
11.38 |
|
$ |
9.68 |
|
$ |
11.89 |
|
$ |
13.81 |
|
$ |
14.12 |
|
Net investment income1 |
|
|
1.09 |
|
|
1.06 |
|
|
1.07 |
|
|
1.18 |
|
|
1.20 |
|
|
|
1.06 |
|
|
1.05 |
|
|
1.05 |
|
|
1.16 |
|
|
1.18 |
|
Net realized and unrealized gain (loss) |
|
|
0.07 |
|
|
1.86 |
|
|
(2.10 |
) |
|
(1.85 |
) |
|
(0.33 |
) |
|
|
0.05 |
|
|
1.67 |
|
|
(2.07 |
) |
|
(1.87 |
) |
|
(0.39 |
) |
Net increase (decrease) from |
|
|
1.16 |
|
|
2.92 |
|
|
(1.03 |
) |
|
(0.67 |
) |
|
0.87 |
|
|
|
1.11 |
|
|
2.72 |
|
|
(1.02 |
) |
|
(0.71 |
) |
|
0.79 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.06 |
) |
|
(1.02 |
) |
|
(1.20 |
) |
|
(1.17 |
) |
|
(1.14 |
) |
|
|
(1.00 |
) |
|
(1.02 |
) |
|
(1.19 |
) |
|
(1.21 |
) |
|
(1.10 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
(0.05 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends and distributions |
|
|
(1.06 |
) |
|
(1.02 |
) |
|
(1.20 |
) |
|
(1.22 |
) |
|
(1.14 |
) |
|
|
(1.00 |
) |
|
(1.02 |
) |
|
(1.19 |
) |
|
(1.21 |
) |
|
(1.10 |
) |
Net asset value, end of year |
|
$ |
11.71 |
|
$ |
11.61 |
|
$ |
9.71 |
|
$ |
11.94 |
|
$ |
13.83 |
|
|
$ |
11.49 |
|
$ |
11.38 |
|
$ |
9.68 |
|
$ |
11.89 |
|
$ |
13.81 |
|
Market price, end of year |
|
$ |
11.55 |
|
$ |
11.40 |
|
$ |
9.32 |
|
$ |
10.15 |
|
$ |
12.24 |
|
|
$ |
11.21 |
|
$ |
11.19 |
|
$ |
9.47 |
|
$ |
10.14 |
|
$ |
12.15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
10.29 |
% |
|
31.40 |
% |
|
(3.83 |
)% |
|
(3.99 |
)% |
|
6.76 |
% |
|
|
9.95 |
% |
|
29.26 |
% |
|
(4.03 |
)% |
|
(4.30 |
)% |
|
6.29 |
% |
Based on market price |
|
|
10.79 |
% |
|
34.42 |
% |
|
8.59 |
% |
|
(7.78 |
)% |
|
4.00 |
% |
|
|
9.09 |
% |
|
29.92 |
% |
|
10.09 |
% |
|
(7.24 |
)% |
|
5.80 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.34 |
% |
|
1.26 |
% |
|
1.84 |
% |
|
2.11 |
% |
|
3.20 |
% |
|
|
1.41 |
% |
|
1.34 |
% |
|
2.01 |
% |
|
2.24 |
% |
|
3.35 |
% |
Total expenses after fees waived and |
|
|
1.34 |
% |
|
1.26 |
% |
|
1.84 |
% |
|
2.11 |
% |
|
3.20 |
% |
|
|
1.41 |
% |
|
1.34 |
% |
|
2.01 |
% |
|
2.24 |
% |
|
3.35 |
% |
Total expenses after fees waived |
|
|
1.02 |
% |
|
0.99 |
% |
|
1.16 |
% |
|
0.97 |
% |
|
0.99 |
% |
|
|
1.12 |
% |
|
1.09 |
% |
|
1.28 |
% |
|
1.10 |
% |
|
1.12 |
% |
Net investment income |
|
|
8.82 |
% |
|
9.52 |
% |
|
13.00 |
% |
|
9.16 |
% |
|
8.23 |
% |
|
|
8.80 |
% |
|
9.52 |
% |
|
12.82 |
% |
|
9.02 |
% |
|
8.03 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year (000) |
|
$ |
385,687 |
|
$ |
382,603 |
|
$ |
320,045 |
|
$ |
393,389 |
|
$ |
455,710 |
|
|
$ |
405,697 |
|
$ |
401,760 |
|
$ |
341,415 |
|
$ |
419,502 |
|
$ |
487,251 |
|
Borrowings outstanding, end of |
|
$ |
129,000 |
|
$ |
92,000 |
|
$ |
54,000 |
|
$ |
94,700 |
|
$ |
127,700 |
|
|
$ |
130,000 |
|
$ |
89,000 |
|
$ |
58,000 |
|
$ |
110,900 |
|
$ |
135,900 |
|
Average borrowings outstanding during |
|
$ |
119,652 |
|
$ |
79,427 |
|
$ |
65,403 |
|
$ |
106,140 |
|
$ |
188,373 |
|
|
$ |
115,512 |
|
$ |
76,356 |
|
$ |
73,784 |
|
$ |
113,996 |
|
$ |
202,705 |
|
Portfolio turnover |
|
|
87 |
% |
|
90 |
% |
|
65 |
% |
|
46 |
% |
|
51 |
% |
|
|
87 |
% |
|
85 |
% |
|
60 |
% |
|
45 |
% |
|
51 |
% |
Asset coverage, end of year per $1,000 |
|
$ |
3,990 |
|
$ |
5,159 |
|
$ |
6,927 |
|
$ |
5,154 |
|
$ |
4,569 |
|
|
$ |
4,121 |
|
$ |
5,514 |
|
$ |
6,886 |
|
$ |
4,783 |
|
$ |
4,585 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
See Notes to Financial
Statements. |
|||
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
111 |
|
|
|
|
|
|
Financial Highlights |
BlackRock High Income Shares (HIS) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
Year
Ended |
|
|||||||||
|
|
Year Ended August 31, |
|
|
|
||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
|
2007 |
|
2006 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
2.19 |
|
$ |
1.85 |
|
$ |
2.23 |
|
$ |
2.47 |
|
$ |
2.68 |
|
$ |
2.61 |
|
Net investment income |
|
|
0.20 |
1 |
|
0.20 |
1 |
|
0.19 |
1 |
|
0.15 |
1 |
|
0.24 |
|
|
0.22 |
|
Net realized and unrealized gain (loss) |
|
|
|
|
|
0.31 |
|
|
(0.36 |
) |
|
(0.26 |
) |
|
(0.21 |
) |
|
0.08 |
|
Net increase (decrease) from investment operations |
|
|
0.20 |
|
|
0.51 |
|
|
(0.17 |
) |
|
(0.11 |
) |
|
0.03 |
|
|
0.30 |
|
Dividends from net investment income |
|
|
(0.21 |
) |
|
(0.17 |
) |
|
(0.21 |
) |
|
(0.13 |
) |
|
(0.24 |
) |
|
(0.23 |
) |
Net asset value, end of period |
|
$ |
2.18 |
|
$ |
2.19 |
|
$ |
1.85 |
|
$ |
2.23 |
|
$ |
2.47 |
|
$ |
2.68 |
|
Market price, end of period |
|
$ |
2.10 |
|
$ |
2.09 |
|
$ |
1.68 |
|
$ |
1.88 |
|
$ |
2.14 |
|
$ |
2.55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
9.56 |
% |
|
28.95 |
% |
|
(3.01 |
)% |
|
(4.00 |
)%3 |
|
1.58 |
% |
|
12.32 |
% |
Based on market price |
|
|
10.59 |
% |
|
35.52 |
% |
|
4.47 |
% |
|
(6.59 |
)%3 |
|
(7.51 |
)% |
|
19.70 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.49 |
% |
|
1.49 |
% |
|
2.01 |
% |
|
1.98 |
%4 |
|
3.56 |
% |
|
3.78 |
% |
Total expenses after fees waived and paid indirectly |
|
|
1.49 |
% |
|
1.49 |
% |
|
2.01 |
% |
|
1.98 |
%4 |
|
3.55 |
% |
|
3.77 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
1.25 |
% |
|
1.27 |
% |
|
1.41 |
% |
|
1.05 |
%4 |
|
1.27 |
% |
|
1.34 |
% |
Net investment income |
|
|
8.66 |
% |
|
9.34 |
% |
|
12.06 |
% |
|
9.52 |
%4 |
|
8.89 |
% |
|
8.42 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
118,809 |
|
$ |
119,642 |
|
$ |
100,921 |
|
$ |
121,808 |
|
$ |
135,098 |
|
$ |
146,538 |
|
Borrowings outstanding, end of period (000) |
|
$ |
29,000 |
|
$ |
25,000 |
|
$ |
18,000 |
|
$ |
27,000 |
|
$ |
46,000 |
|
$ |
62,000 |
|
Average borrowings outstanding during the period (000) |
|
$ |
26,729 |
|
$ |
21,027 |
|
$ |
21,220 |
|
$ |
27,069 |
|
$ |
55,868 |
|
$ |
62,838 |
|
Portfolio turnover |
|
|
90 |
% |
|
85 |
% |
|
55 |
% |
|
25 |
% |
|
69 |
% |
|
83 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
5,097 |
|
$ |
5,786 |
|
$ |
6,607 |
|
$ |
5,512 |
|
$ |
3,937 |
|
$ |
3,364 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
112 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
|
|
Financial Highlights |
BlackRock High Yield Trust (BHY) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
Year
Ended |
|
||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
Year Ended August 31, |
|
|
|||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
|
2007 |
|
2006 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
6.69 |
|
$ |
5.78 |
|
$ |
6.84 |
|
$ |
7.91 |
|
$ |
7.85 |
|
$ |
7.48 |
|
Net investment income |
|
|
0.51 |
1 |
|
0.51 |
1 |
|
0.51 |
1 |
|
0.50 |
1 |
|
0.63 |
|
|
0.66 |
|
Net realized and unrealized gain (loss) |
|
|
0.11 |
|
|
0.92 |
|
|
(1.00 |
) |
|
(1.06 |
) |
|
0.04 |
|
|
0.36 |
|
Net increase (decrease) from investment operations |
|
|
0.62 |
|
|
1.43 |
|
|
(0.49 |
) |
|
(0.56 |
) |
|
0.67 |
|
|
1.02 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.51 |
) |
|
(0.50 |
) |
|
(0.55 |
) |
|
(0.51 |
) |
|
(0.61 |
) |
|
(0.65 |
) |
Tax return of capital |
|
|
(0.01 |
) |
|
(0.02 |
) |
|
(0.02 |
) |
|
|
|
|
|
|
|
|
|
Total dividends and distributions |
|
|
(0.52 |
) |
|
(0.52 |
) |
|
(0.57 |
) |
|
(0.51 |
) |
|
(0.61 |
) |
|
(0.65 |
) |
Net asset value, end of period |
|
$ |
6.79 |
|
$ |
6.69 |
|
$ |
5.78 |
|
$ |
6.84 |
|
$ |
7.91 |
|
$ |
7.85 |
|
Market price, end of period |
|
$ |
6.60 |
|
$ |
6.44 |
|
$ |
5.84 |
|
$ |
5.96 |
|
$ |
6.92 |
|
$ |
7.77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
9.66 |
% |
|
25.70 |
% |
|
(5.30 |
)% |
|
(6.47 |
)%3 |
|
9.03 |
% |
|
14.25 |
% |
Based on market price |
|
|
10.73 |
% |
|
19.76 |
% |
|
9.81 |
% |
|
(6.85 |
)%3 |
|
(3.63 |
)% |
|
14.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
2.04 |
% |
|
2.10 |
% |
|
2.61 |
% |
|
2.61 |
%4 |
|
4.16 |
% |
|
4.50 |
% |
Total expenses after fees waived and paid indirectly |
|
|
2.04 |
% |
|
2.10 |
% |
|
2.61 |
% |
|
2.61 |
%4 |
|
4.14 |
% |
|
4.49 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
1.85 |
% |
|
1.91 |
% |
|
2.16 |
% |
|
1.77 |
%4 |
|
2.10 |
% |
|
2.19 |
% |
Net investment income |
|
|
7.18 |
% |
|
7.89 |
% |
|
10.22 |
% |
|
8.34 |
%4 |
|
7.84 |
% |
|
8.74 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
43,644 |
|
$ |
42,980 |
|
$ |
37,137 |
|
$ |
43,897 |
|
$ |
50,782 |
|
$ |
50,385 |
|
Borrowings outstanding, end of period (000) |
|
$ |
6,000 |
|
$ |
8,000 |
|
$ |
4,000 |
|
$ |
6,250 |
|
$ |
9,250 |
|
$ |
20,250 |
|
Average borrowings outstanding during the period (000) |
|
$ |
7,427 |
|
$ |
6,427 |
|
$ |
5,223 |
|
$ |
7,443 |
|
$ |
17,710 |
|
$ |
20,621 |
|
Portfolio turnover |
|
|
81 |
% |
|
80 |
% |
|
54 |
% |
|
34 |
% |
|
69 |
% |
|
85 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
8,274 |
|
$ |
6,373 |
|
$ |
10,284 |
|
$ |
8,023 |
|
$ |
6,490 |
|
$ |
3,488 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
113 |
|
|
|
|
Financial Highlights |
BlackRock Income Opportunity Trust, Inc. (BNA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
Year
Ended |
|
||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
Year Ended August 31, |
|
|
|||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
|
2007 |
|
2006 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
11.07 |
|
$ |
10.02 |
|
$ |
10.35 |
|
$ |
11.02 |
|
$ |
11.17 |
|
$ |
11.56 |
|
Net investment income |
|
|
0.63 |
1 |
|
0.59 |
1 |
|
0.59 |
1 |
|
0.53 |
1 |
|
0.62 |
|
|
0.57 |
|
Net realized and unrealized gain (loss) |
|
|
(0.28 |
) |
|
1.25 |
|
|
(0.31 |
) |
|
(0.69 |
) |
|
(0.11 |
) |
|
0.01 |
|
Net increase (decrease) from investment operations |
|
|
0.35 |
|
|
1.84 |
|
|
0.28 |
|
|
(0.16 |
) |
|
0.51 |
|
|
0.58 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.65 |
) |
|
(0.79 |
) |
|
(0.61 |
) |
|
(0.51 |
) |
|
(0.61 |
) |
|
(0.65 |
) |
Net realized gain |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.26 |
) |
Tax return of capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.05 |
) |
|
(0.06 |
) |
Total dividends and distributions |
|
|
(0.65 |
) |
|
(0.79 |
) |
|
(0.61 |
) |
|
(0.51 |
) |
|
(0.66 |
) |
|
(0.97 |
) |
Net asset value, end of period |
|
$ |
10.77 |
|
$ |
11.07 |
|
$ |
10.02 |
|
$ |
10.35 |
|
$ |
11.02 |
|
$ |
11.17 |
|
Market price, end of period |
|
$ |
9.85 |
|
$ |
10.56 |
|
$ |
9.65 |
|
$ |
9.82 |
|
$ |
10.19 |
|
$ |
10.58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
3.91 |
% |
|
19.83 |
% |
|
3.90 |
% |
|
(1.07 |
)%3 |
|
5.11 |
% |
|
5.76 |
% |
Based on market price |
|
|
(0.37 |
)% |
|
18.69 |
% |
|
5.46 |
% |
|
1.51 |
%3 |
|
2.62 |
% |
|
6.27 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
0.95 |
% |
|
1.09 |
% |
|
0.95 |
% |
|
2.25 |
%4 |
|
2.01 |
% |
|
1.61 |
% |
Total expenses after fees waived and paid indirectly |
|
|
0.95 |
% |
|
1.09 |
% |
|
0.95 |
% |
|
2.25 |
%4 |
|
2.00 |
% |
|
1.61 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
0.85 |
% |
|
0.86 |
% |
|
0.85 |
% |
|
0.83 |
%4 |
|
0.87 |
% |
|
0.89 |
% |
Net investment income |
|
|
5.94 |
% |
|
5.81 |
% |
|
6.45 |
% |
|
5.89 |
%4 |
|
5.68 |
% |
|
5.11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
371,175 |
|
$ |
381,379 |
|
$ |
345,101 |
|
$ |
356,456 |
|
$ |
379,605 |
|
$ |
384,850 |
|
Borrowings outstanding, end of period (000) |
|
$ |
154,883 |
|
$ |
157,776 |
|
$ |
77,474 |
|
$ |
100,740 |
|
$ |
105,262 |
|
$ |
34,326 |
|
Average borrowings outstanding during the period (000) |
|
$ |
148,617 |
|
$ |
151,700 |
|
$ |
49,573 |
|
$ |
131,462 |
|
$ |
68,241 |
|
$ |
59,691 |
|
Portfolio turnover |
|
|
774 |
%5 |
|
720 |
%6 |
|
270 |
%7 |
|
44 |
%8 |
|
196 |
% |
|
131 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
3,396 |
|
$ |
3,417 |
|
$ |
5,454 |
|
$ |
4,538 |
|
$ |
4,606 |
|
$ |
12,212 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
|
5 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 492%. |
|
|
|
|
6 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 608%. |
|
|
|
|
7 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 165%. |
|
|
|
|
8 |
Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%. |
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
|
114 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
|
Financial Highlights |
BlackRock Income Trust, Inc. (BKT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
Year
Ended |
|
|||||||||
|
|
Year Ended August 31, |
|
|
|||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
|
2007 |
|
2006 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
7.76 |
|
$ |
7.12 |
|
$ |
6.94 |
|
$ |
6.53 |
|
$ |
6.48 |
|
$ |
6.54 |
|
Net investment income |
|
|
0.35 |
1 |
|
0.20 |
1 |
|
0.28 |
1 |
|
0.26 |
1 |
|
0.30 |
|
|
0.32 |
|
Net realized and unrealized gain |
|
|
0.19 |
|
|
0.73 |
|
|
0.19 |
|
|
0.40 |
|
|
0.12 |
|
|
0.05 |
|
Net increase from investment operations |
|
|
0.54 |
|
|
0.93 |
|
|
0.47 |
|
|
0.66 |
|
|
0.42 |
|
|
0.37 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.34 |
) |
|
(0.26 |
) |
|
(0.29 |
) |
|
(0.25 |
) |
|
(0.29 |
) |
|
(0.34 |
) |
Net realized gain |
|
|
|
|
|
(0.03 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Tax return of capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.08 |
) |
|
(0.09 |
) |
Total dividends and distributions |
|
|
(0.34 |
) |
|
(0.29 |
) |
|
(0.29 |
) |
|
(0.25 |
) |
|
(0.37 |
) |
|
(0.43 |
) |
Net asset value, end of period |
|
$ |
7.96 |
|
$ |
7.76 |
|
$ |
7.12 |
|
$ |
6.94 |
|
$ |
6.53 |
|
$ |
6.48 |
|
Market price, end of period |
|
$ |
7.18 |
|
$ |
6.95 |
|
$ |
6.53 |
|
$ |
6.07 |
|
$ |
5.81 |
|
$ |
6.07 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
7.70 |
% |
|
13.86 |
% |
|
7.64 |
% |
|
10.82 |
%3 |
|
7.06 |
% |
|
6.06 |
% |
Based on market price |
|
|
8.47 |
% |
|
11.19 |
% |
|
12.87 |
% |
|
8.94 |
%3 |
|
1.69 |
% |
|
10.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.06 |
% |
|
1.05 |
% |
|
1.09 |
% |
|
1.63 |
%4 |
|
2.77 |
% |
|
2.85 |
% |
Total expenses after fees waived and before fees paid indirectly |
|
|
1.05 |
% |
|
1.02 |
% |
|
1.08 |
% |
|
1.63 |
%4 |
|
2.77 |
% |
|
2.85 |
% |
Total expenses after fees waived and paid indirectly |
|
|
1.05 |
% |
|
1.02 |
% |
|
1.08 |
% |
|
1.63 |
%4 |
|
2.76 |
% |
|
2.84 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
0.94 |
% |
|
0.92 |
% |
|
0.93 |
% |
|
0.91 |
%4 |
|
0.98 |
% |
|
1.00 |
% |
Net investment income |
|
|
4.43 |
% |
|
2.72 |
% |
|
4.09 |
% |
|
4.67 |
%4 |
|
4.60 |
% |
|
4.92 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
508,765 |
|
$ |
496,260 |
|
$ |
455,529 |
|
$ |
444,054 |
|
$ |
417,651 |
|
$ |
414,460 |
|
Borrowings outstanding end of period (000) |
|
$ |
233,676 |
|
$ |
106,985 |
|
$ |
11,815 |
|
|
|
|
$ |
33,895 |
|
$ |
70,691 |
|
Average borrowings outstanding during the period (000) |
|
$ |
116,771 |
|
$ |
23,316 |
|
$ |
537 |
|
$ |
61,777 |
|
$ |
93,325 |
|
$ |
104,393 |
|
Portfolio turnover |
|
|
899 |
%5 |
|
883 |
%6 |
|
700 |
%7 |
|
263 |
%8 |
|
250 |
% |
|
80 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
3,177 |
|
$ |
5,639 |
|
$ |
39,555 |
|
|
|
|
$ |
13,322 |
|
$ |
6,863 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
|
5 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 387%. |
|
|
|
|
6 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 207%. |
|
|
|
|
7 |
Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 184%. |
|
|
|
|
8 |
Includes TBA transactions. Excluding these transactions, the portfolio turnover rate would have been 0%. |
|
|
|
|
See Notes to Financial Statements. |
|||
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
115 |
|
|
|
|
Financial Highlights |
BlackRock Strategic Bond Trust (BHD) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period |
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
Year
Ended |
|
|||||||||
|
|
Year Ended August 31, |
|
|
|||||||||||||||
|
|
2011 |
|
2010 |
|
2009 |
|
|
2007 |
|
2006 |
|
|||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
13.57 |
|
$ |
12.12 |
|
$ |
12.76 |
|
$ |
13.80 |
|
$ |
13.83 |
|
$ |
13.68 |
|
Net investment income |
|
|
1.06 |
1 |
|
1.01 |
1 |
|
0.93 |
1 |
|
0.76 |
1 |
|
0.95 |
|
|
0.99 |
|
Net realized and unrealized gain (loss) |
|
|
(0.04 |
) |
|
1.35 |
|
|
(0.69 |
) |
|
(1.03 |
) |
|
(0.06 |
) |
|
0.18 |
|
Net increase (decrease) from investment operations |
|
|
1.02 |
|
|
2.36 |
|
|
0.24 |
|
|
(0.27 |
) |
|
0.89 |
|
|
1.17 |
|
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.11 |
) |
|
(0.91 |
) |
|
(0.88 |
) |
|
(0.77 |
) |
|
(0.92 |
) |
|
(0.98 |
) |
Tax return of capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.04 |
) |
Total dividends and distributions |
|
|
(1.11 |
) |
|
(0.91 |
) |
|
(0.88 |
) |
|
(0.77 |
) |
|
(0.92 |
) |
|
(1.02 |
) |
Net asset value, end of period |
|
$ |
13.48 |
|
$ |
13.57 |
|
$ |
12.12 |
|
$ |
12.76 |
|
$ |
13.80 |
|
$ |
13.83 |
|
Market price, end of period |
|
$ |
12.93 |
|
$ |
13.17 |
|
$ |
11.43 |
|
$ |
10.85 |
|
$ |
11.88 |
|
$ |
12.85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
8.09 |
% |
|
20.38 |
% |
|
3.99 |
% |
|
(1.19 |
)%3 |
|
7.26 |
% |
|
9.58 |
% |
Based on market price |
|
|
6.83 |
% |
|
23.88 |
% |
|
15.34 |
% |
|
(2.40 |
)%3 |
|
(0.62 |
)% |
|
11.87 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.52 |
% |
|
1.13 |
% |
|
1.00 |
% |
|
0.93 |
%4 |
|
1.45 |
% |
|
2.25 |
% |
Total expenses after fees waived and before fees paid indirectly |
|
|
1.51 |
% |
|
1.11 |
% |
|
0.92 |
% |
|
0.82 |
%4 |
|
1.27 |
% |
|
2.25 |
% |
Total expenses after fees waived and paid indirectly |
|
|
1.51 |
% |
|
1.11 |
% |
|
0.92 |
% |
|
0.82 |
%4 |
|
1.27 |
% |
|
2.00 |
% |
Total expenses after fees waived and paid indirectly and excluding interest expense |
|
|
1.26 |
% |
|
1.04 |
% |
|
0.92 |
% |
|
0.81 |
%4 |
|
0.87 |
% |
|
0.94 |
% |
Net investment income |
|
|
7.59 |
% |
|
7.77 |
% |
|
8.67 |
% |
|
6.85 |
%4 |
|
6.86 |
% |
|
7.26 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
$ |
95,127 |
|
$ |
95,794 |
|
$ |
85,581 |
|
$ |
90,092 |
|
$ |
97,410 |
|
$ |
97,614 |
|
Borrowings outstanding, end of period (000) |
|
$ |
24,000 |
|
$ |
12,000 |
|
|
|
|
$ |
1,571 |
|
$ |
413 |
|
$ |
14,951 |
|
Average borrowings outstanding during the period (000) |
|
$ |
22,696 |
|
$ |
5,701 |
|
$ |
303 |
|
$ |
391 |
|
$ |
7,240 |
|
$ |
21,104 |
|
Portfolio turnover |
|
|
72 |
% |
|
83 |
% |
|
61 |
% |
|
27 |
% |
|
34 |
% |
|
56 |
% |
Asset coverage, end of period per $1,000 |
|
$ |
4,964 |
|
$ |
8,983 |
|
|
|
|
$ |
58,347 |
|
$ |
236,789 |
|
$ |
7,529 |
|
|
|
|
|
1 |
Based on average shares outstanding. |
|
|
|
|
2 |
Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
|
|
|
|
3 |
Aggregate total investment return. |
|
|
|
|
4 |
Annualized. |
|
|
|
See Notes to Financial Statements. |
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116 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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1. Organization and Significant Accounting Policies:
BlackRock Core Bond Trust (BHK), BlackRock Corporate High Yield Fund V, Inc. (HYV), BlackRock Corporate High Yield Fund VI, Inc. (HYT), BlackRock High Income Shares (HIS), BlackRock High Yield Trust (BHY), BlackRock Income Opportunity Trust, Inc. (BNA), BlackRock Income Trust, Inc. (BKT) and BlackRock Strategic Bond Trust (BHD) (collectively, the Trusts) are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Trusts financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Trusts are referred to throughout this report as the Board of Trustees or the Board. The Trusts determine and make available for publication the net asset values on a daily basis.
The following is a summary of significant accounting policies followed by the Trusts:
Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Boards. The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (TBA) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Municipal investments (including commitments to purchase such investments on a when-issued basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the NYSE. Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. Over-the-counter (OTC) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Boards as reflecting fair value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Boards or a committee thereof.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Trusts net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Boards.
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ANNUAL REPORT |
AUGUST 31, 2011 |
117 |
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Notes to Financial Statements (continued) |
Foreign Currency Transactions: The Trusts books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (CMOs) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the Mortgage Assets), the payments on which are used to make payments on the CMOs or multiple class pass-through securities. Classes of CMOs include interest only (IOs), principal only (POs), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying mortgage assets experience greater than anticipated pre-payments of principal, the Trust may not fully recoup its initial investment in IOs.
Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
Capital Trusts: Certain Trusts may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing companys senior debt securities.
Preferred Stock: Certain Trusts may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred
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118 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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Notes to Financial Statements (continued) |
stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the borrower) by banks, other financial institutions, and privately and publicly offered corporations (the lender). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly levered. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.
When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrowers option. The Trusts may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.
Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security it does not hold in anticipation of a decline in the market price of that security. When the Trusts make a short sale, it will borrow the security sold short and deliver it to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Trusts are reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty any interest received on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statements of Operations. The Trusts maintain a segregated account of securities or deposit cash with the broker-dealer as collateral for the short sales. The Trusts may receive interest on its cash collateral deposited with the broker-dealer. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.
Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.
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ANNUAL REPORT |
AUGUST 31, 2011 |
119 |
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|
Notes to Financial Statements (continued) |
TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions. These transactions may increase the Trusts portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.
Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction, the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts obligation to repurchase the securities.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (SEC) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written) or certain borrowings (e.g., reverse repurchase agreements, treasury roll transactions and loan payable) the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.
Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.
Income Taxes: It is each Trusts policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BHK, HIS, BHY, BNA, BKT and BHDs US federal tax returns remains open for the period ended August 31, 2008 and for each of the three years ended
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120 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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Notes to Financial Statements (continued) |
August 31, 2011. The statutes of limitations on HYV and HYTs tax returns remains open for each of the four years ended August 31, 2011. The statutes of limitations on the Trusts state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
HYV and HYT have a wholly owned subsidiary (the Subsidiary) which holds shares of a private Canadian company. Such shares are held in the Subsidiary in order to realize benefits under the Double Tax Avoidance Convention (the DTAC) between Canada and Luxembourg, the result of which is that gains on the sale of such shares will not be subject to capital gains taxes in Canada. Accordingly, no income tax provision has been made in the accompanying financial statements.
Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011 and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts financial statements and disclosures.
Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trusts Board, independent Trustees (Independent Trustees) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.
The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trusts deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends affiliated in the Statements of Operations.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (inflation risk). These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Trusts maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (ISDA Master Agreement) implemented between a Trust and each of its respective counterparties. The ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instruments payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 Segregation and Collateralization for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty
Financial Futures Contracts: The Trusts purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or in the values of equity securities (equity risk). Financial futures contracts are agreements between the Trusts and counterparty to buy or sell a specific
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121 |
|
|
Notes to Financial Statements (continued) |
quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.
Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counter-party to the contract does not perform its obligations under the agreement.
Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trust enters into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is covered, meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.
Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement at any time before the expiration of the option.
The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security at a price different from the current market value.
Swaps: The Trusts enter into swap agreements, in which the Trusts and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
|
|
|
Credit default swaps The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on |
|
|
|
|
|
|
122 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Notes to Financial Statements (continued) |
|
|
|
single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
|
|
|
Total return swaps The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty. |
|
|
|
Interest rate swaps The Trusts enter into interest rate swaps to gain or reduce exposure to or manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another partys stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Financial Instruments as of August 31, 2011 |
|||||||||||||||||||||||||||
|
|
Asset Derivatives |
|||||||||||||||||||||||||
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
|
|
Statements
of Assets and |
|
Value |
|||||||||||||||||||||||
Interest rate contracts |
|
Net unrealized appreciation/ depreciation*; Unrealized appreciation on swaps; Investments at value unaffiliated** |
|
$ |
5,395,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,334,287 |
|
$ |
44,850,241 |
|
$ |
7,288 |
|
|
|||||||||||||||||||||||||||
Foreign currency exchange contracts |
|
Unrealized appreciation on foreign currency exchange contracts; Investments at value unaffiliated** |
|
|
542,794 |
|
$ |
521 |
|
$ |
646 |
|
$ |
115 |
|
|
|
|
|
544,049 |
|
|
|
|
|
113 |
|
|
|||||||||||||||||||||||||||
Credit contracts |
|
Unrealized appreciation on swaps; Investments at value unaffiliated** |
|
|
1,809,614 |
|
|
181,897 |
|
|
182,479 |
|
|
|
|
$ |
133,235 |
|
|
1,807,166 |
|
|
|
|
|
82,650 |
|
|
|||||||||||||||||||||||||||
Equity contracts |
|
Net unrealized appreciation/depreciation*; Investments at value unaffiliated** |
|
|
|
|
|
55,887 |
|
|
59,029 |
|
|
13,951 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Other contracts |
|
Unrealized appreciation on swaps |
|
|
|
|
|
75,845 |
|
|
79,649 |
|
|
|
|
|
9,012 |
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
$ |
7,747,812 |
|
$ |
314,150 |
|
$ |
321,803 |
|
$ |
14,066 |
|
$ |
142,247 |
|
$ |
7,685,502 |
|
$ |
44,850,241 |
|
$ |
90,051 |
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
123 |
|
|
Notes to Financial Statements (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives |
|||||||||||||||||||||||||
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
|
|
Statements
of Assets and |
|
Value |
|||||||||||||||||||||||
Interest rate contracts |
|
Net unrealized appreciation/ depreciation*; Unrealized depreciation on swaps; Options written at value Floors at value |
|
$ |
8,189,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
7,325,433 |
|
$ |
39,714,528 |
|
$ |
1,035 |
|
|
|||||||||||||||||||||||||||
Foreign currency exchange contracts |
|
Unrealized depreciation on foreign currency exchange contracts; Options written at value |
|
|
328,642 |
|
$ |
140,051 |
|
$ |
147,608 |
|
$ |
32,710 |
|
|
|
|
|
340,887 |
|
|
|
|
|
26,407 |
|
|
|||||||||||||||||||||||||||
Credit contracts |
|
Unrealized depreciation on swaps; Options written at value |
|
|
15,562 |
|
|
1,417,703 |
|
|
1,505,993 |
|
|
|
|
$ |
1,029 |
|
|
15,509 |
|
|
|
|
|
25,412 |
|
|
|||||||||||||||||||||||||||
Equity contracts |
|
Net unrealized depreciation on swaps; Options written at value |
|
|
|
|
|
2,504,806 |
|
|
2,467,731 |
|
|
186,216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
$ |
8,534,049 |
|
$ |
4,062,560 |
|
$ |
4,121,332 |
|
$ |
218,926 |
|
$ |
1,029 |
|
$ |
7,681,829 |
|
$ |
39,714,528 |
|
$ |
52,854 |
|
|
|
* |
Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current days margin variation is reported within the Statements of Assets and Liabilities. |
|
|
** |
Includes options purchased at value as reported in the Schedules of Investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The
Effect of Derivative Financial Instruments in the Statements of Operations |
|||||||||||||||||||||||||
|
|
Net Realized Gain (Loss) from |
|||||||||||||||||||||||
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
Interest rate contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts |
|
$ |
(7,142,111 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(9,240,339 |
) |
$ |
(19,646,123 |
) |
$ |
(104,157 |
) |
Swaps |
|
|
(978,528 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,515,799 |
|
|
4,883,203 |
|
|
|
|
Options*** |
|
|
(1,690,949 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,164,583 |
) |
|
1,014,298 |
|
|
28,625 |
|
Interest rate floors |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,294,217 |
) |
|
|
|
Foreign currency exchange contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts**** |
|
|
(1,069,087 |
) |
$ |
(4,441,078 |
) |
$ |
(3,836,963 |
) |
$ |
(500,574 |
) |
|
|
|
|
(1,096,663 |
) |
|
|
|
|
(359,509 |
) |
Options*** |
|
|
(76,331 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(223,088 |
) |
|
|
|
|
|
|
Credit contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps |
|
|
(565,432 |
) |
|
2,358,243 |
|
|
2,674,787 |
|
|
|
|
$ |
(79,879 |
) |
|
901,492 |
|
|
|
|
|
(189,942 |
) |
Options*** |
|
|
|
|
|
685,081 |
|
|
695,383 |
|
|
|
|
|
13,000 |
|
|
|
|
|
|
|
|
|
|
Equity contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts |
|
|
|
|
|
165,948 |
|
|
326,634 |
|
|
150,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Options*** |
|
|
|
|
|
2,783,178 |
|
|
2,895,483 |
|
|
211,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps |
|
|
374,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
374,712 |
|
|
|
|
|
|
|
Total |
|
$ |
(11,147,726 |
) |
$ |
1,551,372 |
|
$ |
2,755,324 |
|
$ |
(139,243 |
) |
$ |
(66,879 |
) |
$ |
(6,932,670 |
) |
$ |
(16,042,839 |
) |
$ |
(624,983 |
) |
|
|
*** |
Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
|
|
**** |
Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net change in unrealized appreciation/depreciation on foreign currency transactions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Change in Unrealized Appreciation/Depreciation on |
|||||||||||||||||||||||
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
Interest rate contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts |
|
$ |
(744,788 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(532,119 |
) |
$ |
4,164,429 |
|
$ |
11,871 |
|
Swaps |
|
|
2,676,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,266,107 |
) |
|
(3,349,916 |
) |
|
|
|
Options*** |
|
|
(319,252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
229,053 |
|
|
(291,373 |
) |
|
|
|
Interest rate floors |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,398,794 |
|
|
|
|
Foreign currency exchange contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts**** |
|
|
46,445 |
|
$ |
(97,337 |
) |
$ |
(105,065 |
) |
$ |
(32,253 |
) |
|
|
|
|
32,319 |
|
|
|
|
|
(29,748 |
) |
Options*** |
|
|
(135,731 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(135,962 |
) |
|
|
|
|
|
|
Credit contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps |
|
|
1,865,730 |
|
|
(63,330 |
) |
|
(186,518 |
) |
|
|
|
$ |
135,737 |
|
|
1,121,706 |
|
|
|
|
|
39,432 |
|
Options*** |
|
|
|
|
|
(550,679 |
) |
|
(554,931 |
) |
|
|
|
|
(12,341 |
) |
|
|
|
|
|
|
|
(27,158 |
) |
Equity contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts |
|
|
|
|
|
(2,544,189 |
) |
|
(2,505,197 |
) |
|
(231,694 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Options*** |
|
|
|
|
|
(138,691 |
) |
|
(145,791 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps |
|
|
(617,527 |
) |
|
75,845 |
|
|
79,649 |
|
|
|
|
|
9,012 |
|
|
(617,527 |
) |
|
|
|
|
|
|
Total |
|
$ |
2,771,012 |
|
$ |
(3,318,381 |
) |
$ |
(3,417,853 |
) |
$ |
(263,947 |
) |
$ |
132,408 |
|
$ |
(2,168,637 |
) |
$ |
2,921,934 |
|
$ |
(5,603 |
) |
|
|
*** |
Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
|
|
**** |
Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net change in unrealized appreciation/depreciation on foreign currency transactions. |
|
|
|
|
|
|
124 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Notes to Financial Statements (continued) |
For the year ended August 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
Financial futures contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts purchased |
|
|
465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
472 |
|
|
965 |
|
|
48 |
|
Average number of contracts sold |
|
|
823 |
|
|
307 |
|
|
319 |
|
|
53 |
|
|
|
|
|
864 |
|
|
2,441 |
|
|
38 |
|
Average notional value of contracts purchased |
|
$ |
70,039,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
71,162,808 |
|
$ |
227,805,289 |
|
$ |
6,819,210 |
|
Average notional value of contracts sold |
|
$ |
117,698,634 |
|
$ |
18,419,134 |
|
$ |
19,156,211 |
|
$ |
3,253,270 |
|
|
|
|
$ |
122,993,424 |
|
$ |
347,164,880 |
|
$ |
4,702,298 |
|
Foreign currency exchange contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts US dollars purchased |
|
|
13 |
|
|
12 |
|
|
11 |
|
|
6 |
|
|
|
|
|
15 |
|
|
|
|
|
6 |
|
Average number of contracts US dollars sold |
|
|
10 |
|
|
1 |
|
|
1 |
|
|
2 |
|
|
|
|
|
10 |
|
|
|
|
|
2 |
|
Average US dollar amounts purchased |
|
$ |
21,089,713 |
|
$ |
32,442,815 |
|
$ |
34,620,164 |
|
$ |
6,460,777 |
|
|
|
|
$ |
17,534,589 |
|
|
|
|
$ |
5,694,414 |
|
Average US dollar amounts sold |
|
$ |
14,773,638 |
|
$ |
202,948 |
|
$ |
258,329 |
|
$ |
64,108 |
|
|
|
|
$ |
14,747,745 |
|
|
|
|
$ |
55,725 |
|
Options: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of option contracts purchased |
|
|
30,263 |
|
|
297 |
|
|
313 |
|
|
39 |
|
|
3 |
|
|
66,599 |
|
|
479 |
|
|
6 |
|
Average number of option contracts written |
|
|
12,796 |
|
|
166 |
|
|
175 |
|
|
|
|
|
|
|
|
15,334 |
|
|
328 |
|
|
|
|
Average notional value of option contracts purchased |
|
$ |
3,107,647 |
|
$ |
2,013,900 |
|
$ |
2,120,500 |
|
$ |
504,250 |
|
$ |
2,829 |
|
$ |
3,492,578 |
|
$ |
1,053,375 |
|
$ |
5,657 |
|
Average notional value of option contracts written |
|
$ |
1,386,575 |
|
$ |
215,800 |
|
$ |
226,850 |
|
|
|
|
|
|
|
$ |
1,414,000 |
|
$ |
626,625 |
|
|
|
|
Average number of swaption contracts purchased |
|
|
43 |
|
|
1 |
|
|
1 |
|
|
|
|
|
|
|
|
42 |
|
|
2 |
|
|
|
|
Average number of swaption contracts written |
|
|
56 |
|
|
1 |
|
|
1 |
|
|
|
|
|
|
|
|
57 |
|
|
3 |
|
|
|
|
Average notional value of swaption contracts purchased |
|
$ |
183,975,000 |
|
$ |
3,750,000 |
|
$ |
3,750,000 |
|
|
|
|
|
|
|
$ |
173,475,000 |
|
$ |
12,400,000 |
|
|
|
|
Average notional value of swaption contracts written |
|
$ |
210,300,000 |
|
$ |
12,662,500 |
|
$ |
13,431,250 |
|
|
|
|
|
|
|
$ |
211,500,000 |
|
$ |
25,700,000 |
|
|
|
|
Credit default swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts buy protection |
|
|
9 |
|
|
6 |
|
|
6 |
|
|
|
|
|
4 |
|
|
9 |
|
|
|
|
|
8 |
|
Average number of contracts sell protection |
|
|
3 |
|
|
14 |
|
|
14 |
|
|
|
|
|
5 |
|
|
2 |
|
|
|
|
|
9 |
|
Average notional value buy protection |
|
$ |
14,730,500 |
|
$ |
5,821,250 |
|
$ |
5,778,750 |
|
|
|
|
$ |
587,500 |
|
$ |
16,211,750 |
|
|
|
|
$ |
2,245,000 |
|
Average notional value sell protection |
|
$ |
3,663,750 |
|
$ |
7,230,841 |
|
$ |
7,805,794 |
|
|
|
|
$ |
992,119 |
|
$ |
4,870,000 |
|
|
|
|
$ |
1,321,250 |
|
Interest rate swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts pays fixed rate |
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
|
|
13 |
|
|
|
|
Average number of contracts receives fixed rate |
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 |
|
|
12 |
|
|
|
|
Average notional value pays fixed rate |
|
$ |
48,450,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
43,822,500 |
|
$ |
325,580,000 |
|
|
|
|
Average notional value receives fixed rate |
|
$ |
32,275,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
32,875,000 |
|
$ |
246,761,600 |
|
|
|
|
Total return swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts |
|
|
|
|
|
1 |
|
|
1 |
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Average notional value |
|
|
|
|
$ |
2,146,250 |
|
$ |
2,253,750 |
|
|
|
|
$ |
258,750 |
|
|
|
|
|
|
|
|
|
|
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Manager), the Trusts investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.
The following Trusts investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trusts average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):
|
|
|
|
|
BHK |
|
0.55% |
|
|
HIS |
|
0.75% |
|
of the first |
BHD |
|
0.75% |
|
|
BHY paid the Manager an investment advisory fee computed weekly and payable monthly based on an annual rate of 1.05% from September 1, 2010 to June 1, 2011. Effective June 1, 2011, BHY paid the Manager an investment advisory fee computed weekly and payable monthly based on an annual rate of 0.90%.
The following Trusts investment advisory fee paid to the Manager is computed daily and payable monthly based on an annual rate of each Trusts average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):
|
|
|
|
|
HYV |
|
|
0.60 |
% |
HYT |
|
|
0.70 |
% |
The following Trusts investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trusts average net assets:
|
|
|
|
|
BNA |
|
|
0.60 |
% |
BKT |
|
|
0.65 |
% |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
125 |
|
|
|
Notes to Financial Statements (continued) |
BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trusts average net assets and 0.10% for BHY of the Trusts average weekly total assets.
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds, however, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trusts investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the year ended August 31, 2011, the amounts waived were as follows:
|
|
|
|
|
|
||||
BHK |
|
$ |
1,978 |
|
HYV |
|
$ |
1,407 |
|
HYT |
|
$ |
1,411 |
|
HIS |
|
$ |
1,130 |
|
BHY |
|
$ |
987 |
|
BNA |
|
$ |
1,502 |
|
BKT |
|
$ |
6,957 |
|
BHD |
|
$ |
1,031 |
|
The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (BFM), an affiliate of the Manager with respect to BHK, HYV, HYT, HIS and BHD. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.
For the year ended August 31, 2011, certain Trusts reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:
|
|
|
|
|
|
||||
BHK |
|
$ |
3,220 |
|
HYV |
|
$ |
3,216 |
|
HYT |
|
$ |
3,311 |
|
HIS |
|
$ |
947 |
|
BHD |
|
$ |
751 |
|
Effective January 1, 2011, the Trusts no longer reimburse the Manager for accounting services.
Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts Chief Compliance Officer.
4. Investments:
Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the year ended August 31, 2011, were as follows:
|
|
|
|
|
|
|
|
|
|||||||
|
|
Purchases |
|
Sales |
|
||
BHK |
|
$ |
3,006,867,147 |
|
$ |
2,965,730,007 |
|
HYV |
|
$ |
487,022,887 |
|
$ |
451,332,643 |
|
HYT |
|
$ |
505,906,535 |
|
$ |
463,446,498 |
|
HIS |
|
$ |
136,400,249 |
|
$ |
132,432,768 |
|
BHY |
|
$ |
41,113,382 |
|
$ |
42,200,939 |
|
BNA |
|
$ |
2,921,527,698 |
|
$ |
2,867,113,163 |
|
BKT |
|
$ |
6,400,874,858 |
|
$ |
6,445,860,343 |
|
BHD |
|
$ |
93,539,922 |
|
$ |
82,199,216 |
|
Purchases and sales of US government securities, for the year ended August 31, 2011, were as follows:
|
|
|
|
|
|
|
|
|
|||||||
|
|
Purchases |
|
Sales |
|
||
BHK |
|
$ |
1,441,977,966 |
|
$ |
1,458,703,784 |
|
BNA |
|
$ |
1,225,466,349 |
|
$ |
1,238,764,760 |
|
BKT |
|
$ |
1,029,095,546 |
|
$ |
1,035,971,047 |
|
BHD |
|
$ |
3,790,459 |
|
$ |
3,691,657 |
|
For the year ended August 31, 2011, purchases and sales of mortgage dollar rolls were as follows:
|
|
|
|
|
|
|
|
|
|||||||
|
|
Purchases |
|
Sales |
|
||
BHK |
|
$ |
1,501,217,914 |
|
$ |
1,502,164,520 |
|
BNA |
|
$ |
1,497,338,238 |
|
$ |
1,498,256,164 |
|
BKT |
|
$ |
4,258,308,117 |
|
$ |
4,264,499,875 |
|
|
|
|
|
|
|
126 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
|
Notes to Financial Statements (continued) |
Transactions in options written for the year ended August 31, 2011, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
Puts |
|
||||||||||||||
|
|
Option |
|
Swaptions |
|
Premiums |
|
Option |
|
Swaptions |
|
Premiums |
|
||||||
BHK |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
75,700 |
|
$ |
4,043,175 |
|
|
|
|
$ |
117,300 |
|
$ |
4,587,195 |
|
Options written |
|
|
18,015 |
|
|
200,635 |
|
|
6,760,049 |
|
|
6,972 |
|
|
280,615 |
|
|
7,527,241 |
|
Options expired |
|
|
(476 |
) |
|
(49,735 |
) |
|
(1,205,111 |
) |
|
(145 |
) |
|
(126,480 |
) |
|
(2,156,740 |
) |
Options exercised |
|
|
|
|
|
(15,000 |
) |
|
(798,750 |
) |
|
(3 |
) |
|
|
|
|
(930 |
) |
Options closed |
|
|
(17,539 |
) |
|
(148,300 |
) |
|
(6,357,921 |
) |
|
(6,286 |
) |
|
(184,450 |
) |
|
(7,138,725 |
) |
Outstanding options, end of year |
|
|
|
|
$ |
63,300 |
|
$ |
2,441,442 |
|
|
538 |
|
$ |
86,985 |
|
$ |
2,818,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
HYV |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
13,250 |
|
$ |
94,750 |
|
|
|
|
$ |
4,750 |
|
$ |
71,250 |
|
Options written |
|
|
|
|
|
44,175 |
|
|
568,085 |
|
|
2,242 |
|
|
67,970 |
|
|
1,107,648 |
|
Options expired |
|
|
|
|
|
(28,500 |
) |
|
(313,750 |
) |
|
|
|
|
(46,245 |
) |
|
(371,331 |
) |
Options exercised |
|
|
|
|
|
(4,750 |
) |
|
(52,250 |
) |
|
|
|
|
|
|
|
|
|
Options closed |
|
|
|
|
|
|
|
|
|
|
|
(1,578 |
) |
|
|
|
|
(119,147 |
) |
Outstanding options, end of year |
|
|
|
|
$ |
24,175 |
|
$ |
296,835 |
|
|
664 |
|
$ |
26,475 |
|
$ |
688,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
HYT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
13,950 |
|
$ |
99,750 |
|
|
|
|
$ |
5,000 |
|
$ |
75,000 |
|
Options written |
|
|
|
|
|
46,025 |
|
|
603,755 |
|
|
2,304 |
|
|
70,260 |
|
|
1,165,556 |
|
Options expired |
|
|
|
|
|
(28,950 |
) |
|
(316,000 |
) |
|
|
|
|
(47,560 |
) |
|
(379,383 |
) |
Options exercised |
|
|
|
|
|
(5,000 |
) |
|
(55,000 |
) |
|
|
|
|
|
|
|
|
|
Options closed |
|
|
|
|
|
|
|
|
|
|
|
(1,606 |
) |
|
|
|
|
(120,143 |
) |
Outstanding options, end of year |
|
|
|
|
$ |
26,025 |
|
$ |
332,505 |
|
|
698 |
|
$ |
27,700 |
|
$ |
741,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
HIS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
200 |
|
$ |
19,717 |
|
Options closed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
|
|
19,717 |
|
Outstanding options, end of year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
BHY |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
1,500 |
|
$ |
10,800 |
|
|
|
|
$ |
550 |
|
$ |
8,250 |
|
Options expired |
|
|
|
|
|
(1,500 |
) |
|
(10,800 |
) |
|
|
|
|
(550 |
) |
|
(8,250 |
) |
Outstanding options, end of year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
BNA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
79,400 |
|
$ |
3,860,147 |
|
|
|
|
$ |
116,000 |
|
$ |
4,379,013 |
|
Options written |
|
|
17,936 |
|
|
196,690 |
|
|
6,666,948 |
|
|
6,945 |
|
|
276,405 |
|
|
7,432,612 |
|
Options expired |
|
|
(476 |
) |
|
(54,890 |
) |
|
(1,399,852 |
) |
|
(145 |
) |
|
(124,590 |
) |
|
(2,315,716 |
) |
Options exercised |
|
|
|
|
|
(15,000 |
) |
|
(798,750 |
) |
|
(3 |
) |
|
|
|
|
(930 |
) |
Options closed |
|
|
(17,460 |
) |
|
(144,900 |
) |
|
(6,120,300 |
) |
|
(6,258 |
) |
|
(182,800 |
) |
|
(6,909,363 |
) |
Outstanding options, end of year |
|
|
|
|
$ |
61,300 |
|
$ |
2,208,193 |
|
|
539 |
|
$ |
85,015 |
|
$ |
2,585,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
BKT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
18,100 |
|
$ |
679,458 |
|
|
|
|
$ |
18,100 |
|
$ |
679,458 |
|
Options written |
|
|
24,077 |
|
|
|
|
|
969,538 |
|
|
8,607 |
|
|
|
|
|
703,333 |
|
Options expired |
|
|
(588 |
) |
|
(7,000 |
) |
|
(761,566 |
) |
|
(159 |
) |
|
(7,000 |
) |
|
(427,365 |
) |
Options exercised |
|
|
|
|
|
|
|
|
|
|
|
(7,643 |
) |
|
|
|
|
(90,756 |
) |
Options closed |
|
|
(23,489 |
) |
|
|
|
|
(534,172 |
) |
|
(558 |
) |
|
|
|
|
(416,017 |
) |
Outstanding options, end of year |
|
|
|
|
$ |
11,100 |
|
$ |
353,258 |
|
|
247 |
|
$ |
11,100 |
|
$ |
448,653 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
BHD |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year |
|
|
|
|
$ |
3,325 |
|
$ |
23,825 |
|
|
|
|
$ |
1,200 |
|
$ |
18,000 |
|
Options expired |
|
|
|
|
|
(2,125 |
) |
|
(10,625 |
) |
|
|
|
|
(1,200 |
) |
|
(18,000 |
) |
Options exercised |
|
|
|
|
|
(1,200 |
) |
|
(13,200 |
) |
|
|
|
|
|
|
|
|
|
Outstanding options, end of year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
127 |
|
|
Notes to Financial Statements (continued) |
5. Income Tax Information:
Reclassifications: US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2011 attributable to the accounting of swap agreements, amortization methods on fixed income securities, the classification of settlement proceeds, the classification of investments, foreign currency transactions, the reclassification of distributions, securities in default, income recognized from pass-through entities, the expiration of capital loss carryforwards and net paydown losses were reclassified to the following accounts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
Paid-in capital |
|
|
|
|
$ |
(112 |
) |
$ |
(65 |
) |
$ |
(24,263,759 |
) |
$ |
(4,771,434 |
) |
|
|
|
|
|
|
|
|
|
Undistributed (distributions in excess of) net investment income |
|
$ |
(2,305,859 |
) |
$ |
(3,052,241 |
) |
$ |
(3,549,241 |
) |
$ |
(367,360 |
) |
$ |
1,780 |
|
$ |
(1,900,471 |
) |
$ |
(266,999 |
) |
$ |
(377,951 |
) |
Accumulated net realized gain (loss) |
|
$ |
2,305,859 |
|
$ |
3,052,353 |
|
$ |
3,549,306 |
|
$ |
24,631,119 |
|
$ |
4,769,654 |
|
$ |
1,900,471 |
|
$ |
266,999 |
|
$ |
377,951 |
|
The tax character of distributions paid during the fiscal years ended August 31, 2011 and August 31, 2010 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
|||||||||
Ordinary income |
|
8/31/2011 |
|
$ |
23,726,515 |
|
$ |
35,008,792 |
|
$ |
35,241,068 |
|
$ |
11,407,404 |
|
$ |
3,278,764 |
|
$ |
22,287,310 |
|
$ |
21,772,433 |
|
$ |
7,845,469 |
|
|
|
8/31/2010 |
|
|
27,023,027 |
|
|
33,602,969 |
|
|
35,992,789 |
|
|
9,230,927 |
|
|
3,246,508 |
|
|
27,117,163 |
|
|
16,803,787 |
|
|
6,391,382 |
|
Long-term capital gains |
|
8/31/2011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/31/2010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,611,663 |
|
|
|
|
Tax return of capital |
|
8/31/2011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,404 |
|
|
|
|
|
|
|
|
|
|
|
|
8/31/2010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
108,660 |
|
|
|
|
|
|
|
|
|
|
Total |
|
8/31/2011 |
|
$ |
23,726,515 |
|
$ |
35,008,792 |
|
$ |
35,241,068 |
|
$ |
11,407,404 |
|
$ |
3,355,168 |
|
$ |
22,287,310 |
|
$ |
21,772,433 |
|
$ |
7,845,469 |
|
|
|
8/31/2010 |
|
$ |
27,023,027 |
|
$ |
33,602,969 |
|
$ |
35,992,789 |
|
$ |
9,230,927 |
|
$ |
3,355,168 |
|
$ |
27,117,163 |
|
$ |
18,415,450 |
|
$ |
6,391,382 |
|
As of August 31, 2011, the tax components of accumulated net earnings (losses) were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BKT |
|
BHD |
|
||||||||
Undistributed ordinary income |
|
$ |
3,433,395 |
|
$ |
3,426,102 |
|
$ |
4,841,214 |
|
$ |
2,123,148 |
|
|
|
|
$ |
4,363,403 |
|
$ |
12,771,797 |
|
$ |
824,161 |
|
Capital loss carryforwards |
|
|
(24,427,639 |
) |
|
(71,250,686 |
) |
|
(86,867,292 |
) |
|
(38,522,190 |
) |
$ |
(13,730,119 |
) |
|
(31,844,749 |
) |
|
|
|
|
(5,453,149 |
) |
Net unrealized gains (losses)* |
|
|
14,617,762 |
|
|
(16,308,036 |
) |
|
(17,385,998 |
) |
|
(5,307,127 |
) |
|
(1,141,850 |
) |
|
13,110,020 |
|
|
17,450,462 |
|
|
1,304,975 |
|
Total |
|
$ |
(6,376,482 |
) |
$ |
(84,132,620 |
) |
$ |
(99,412,076 |
) |
$ |
(41,706,169 |
) |
$ |
(14,871,969 |
) |
$ |
(14,371,326 |
) |
$ |
30,222,259 |
|
$ |
(3,324,013 |
) |
|
|
|
|
* |
The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, the deferral of post-October capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements, the realization for tax purposes of unrealized gain on investments in passive foreign investment companies, the deferral of compensation to trustees and directors, the classification of investments and the classification of settlement proceeds. |
As of August 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expires August 31, |
|
BHK |
|
HYV |
|
HYT |
|
HIS |
|
BHY |
|
BNA |
|
BHD |
|
|||||||
2012 |
|
|
|
|
|
|
|
|
|
|
$ |
2,339,279 |
|
$ |
316,410 |
|
|
|
|
|
|
|
2014 |
|
|
|
|
|
|
|
|
|
|
|
7,043,976 |
|
|
2,060,533 |
|
|
|
|
|
|
|
2015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,467,772 |
|
|
|
|
|
|
|
2016 |
|
$ |
17,011,639 |
|
|
|
|
|
|
|
|
10,829,322 |
|
|
2,039,760 |
|
$ |
13,511,023 |
|
$ |
687,454 |
|
2017 |
|
|
7,416,000 |
|
$ |
25,464,032 |
|
$ |
31,939,528 |
|
|
3,140,056 |
|
|
916,541 |
|
|
7,369,088 |
|
$ |
930,008 |
|
2018 |
|
|
|
|
|
45,786,654 |
|
|
54,927,764 |
|
|
15,169,557 |
|
|
5,191,260 |
|
|
10,964,638 |
|
$ |
3,835,687 |
|
2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
737,843 |
|
|
|
|
|
|
|
Total |
|
$ |
24,427,639 |
|
$ |
71,250,686 |
|
$ |
86,867,292 |
|
$ |
38,522,190 |
|
$ |
13,730,119 |
|
$ |
31,844,749 |
|
$ |
5,453,149 |
|
Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.
|
|
|
|
|
|
128 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Notes to Financial Statements (continued) |
6. Borrowings:
On March 4, 2010, HYV, HYT, HIS, BHY and BHD entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the SSB Agreement) with State Street Bank and Trust Company (SSB). The Trusts have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:
|
|
|
|
|
|
|
Commitment |
|
|
HYV |
|
$ |
140,000,000 |
|
HYT |
|
$ |
145,000,000 |
|
HIS |
|
$ |
45,000,000 |
|
BHY |
|
$ |
18,000,000 |
|
BHD |
|
$ |
30,000,000 |
|
Advances were made by SSB to the Trusts, at the Trusts option of (a) the higher of (i) 1.0% above the Fed Funds rate or (ii) 1.0% above the Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR.
Effective March 3, 2011, the SSB Agreement was renewed for 364 days. The SSB Agreement allows for the following maximum commitment amounts:
|
|
|
|
|
|
|
Commitment |
|
|
HYV |
|
$ |
204,500,000 |
|
HYT |
|
$ |
213,800,000 |
|
HIS |
|
$ |
63,600,000 |
|
BHY |
|
$ |
23,000,000 |
|
BHD |
|
$ |
50,200,000 |
|
Advances were made by SSB to the Trusts, at the Trusts option of (a) the higher of (i) 0.80% above the Fed Funds rate or (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. In addition, the Trusts pay a facility fee and a commitment fee based upon SSBs total commitment to the Trusts. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of August 31, 2011 are shown in the Statements of Assets and Liabilities as loan payable.
The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
During the year ended August 31, 2011, BHK, BNA and BKT borrowed under the Term Asset-Backed Securities Loan Facility (TALF). The TALF program was launched by the US Department of Treasury and the Federal Reserve Board as a credit facility designed to restore liquidity to the market for asset-backed securities. The Federal Reserve Bank of New York (FRBNY) provided up to $1 trillion in non-recourse loans to support the issuance of certain AAA-rated asset-backed securities and commercial mortgage-backed securities (Eligible Securities). BKT posted as collateral already-held Eligible Securities, which were all commercial mortgage-backed securities, in return for non-recourse, 5-year term loans (TALF loans) in an amount equal to approximately 85% of the value of such Eligible Securities.
The non-recourse provision of the TALF loans allowed the Trusts to satisfy loan obligations with Eligible Securities, subject to certain conditions, even if the value of the Eligible Securities falls below the outstanding amount of the loan. The Trusts were able to repay TALF loans prior to the maturity dates with no penalty. Principal and interest due on the loans will typically be paid with principal paydowns and interest received from the Eligible Securities. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Securities fall short of amounts due to the FRBNY. The Trusts paid to the FRBNY a one time administration fee of 0.20% of the amount borrowed. The Trusts also paid a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount payable monthly, which is included in interest expense in the Statements of Operations.
During the year ended August 31, 2011, BHK, BNA and BKT repaid their outstanding TALF loans and the Eligible Securities posted as collateral were returned to the Trusts. The Trusts financed the repayment of the TALF loans by entering into reverse repurchase agreements.
Since the Trusts had the ability to potentially satisfy TALF loan obligations by surrendering Eligible Securities, potential losses by the Trusts associated with the TALF loans were limited to the difference between the amount of Eligible Securities posted at the time of loan initiation and the loan proceeds received by the Trusts.
The Trusts elected to account for the outstanding TALF loans at fair value. The Trusts elected to fair value their TALF loans to more closely align changes in the value of the TALF loans with changes in the value of the Eligible Securities and to reduce the potential volatility in the Statements of Operations which could result if only the Eligible Securities were fair valued. The TALF loans were valued utilizing quotations received from a board approved pricing service. TALF-eligible Asset-Backed Securities/Collateralized Mortgage-Backed Securities (ABS/CMBS) value may be affected by historic defaults and prepayments on the asset pool, expected future defaults and prepayments, current interest rate levels, current and forward modeled ABS/CMBS spread levels. Accordingly, TALF loan valuation methodologies may have included, but were not limited to, the following inputs: (i) ABS/CMBS prepayment assumptions, (ii) discount rates and (iii) the non-recourse put option valuation. The resulting TALF loan valuation combined the present value of the future loan cash flows, plus the value of the non-recourse option. The change in unrealized gain or loss associated with fair valuing the TALF loans was reflected in the Statements of Operations.
For the year ended August 31, 2011, the daily weighted average interest rates for Trusts with borrowings from reverse repurchase agreements, treasury roll transactions and TALF loans were as follows:
|
|
|
|
|
|
|
Daily
Weighted |
|
|
BHK |
|
|
0.22 |
% |
BNA |
|
|
0.23 |
% |
BKT |
|
|
0.48 |
% |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
129 |
|
|
Notes to Financial Statements (concluded) |
For the year ended August 31, 2011, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:
|
|
|
|
|
|
|
Daily
Weighted |
|
|
HYV |
|
|
1.09 |
% |
HYT |
|
|
1.09 |
% |
HIS |
|
|
1.10 |
% |
BHY |
|
|
1.14 |
% |
BHD |
|
|
1.09 |
% |
7. Commitments:
Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into unfunded floating rate loan interests (commitments). In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations.
8. Concentration, Market and Credit Risk:
In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts Statements of Assets and Liabilities, less any collateral held by the Trusts.
Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
9. Capital Share Transactions:
BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.
For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
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Year
Ended |
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Year
Ended |
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||
HYT |
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7,573 |
|
Shares issued and outstanding remained constant during the years ended August 31, 2011 and August 31, 2010 for BHK, HYV, HIS, BHY, BNA, BKT and BHD.
10. Subsequent Events:
Managements evaluation of the impact of all subsequent events on the Trusts financial statements was completed through the date the financial statements were issued and the following items were noted:
The Trusts paid a net investment income dividend in the following amounts per share on September 30, 2011 to shareholders of record on September 15, 2011:
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Common
Dividend |
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BHK |
|
$ |
0.0670 |
|
HYV |
|
$ |
0.0850 |
|
HYT |
|
$ |
0.0825 |
|
HIS |
|
$ |
0.0142 |
|
BHY |
|
$ |
0.0435 |
|
BNA |
|
$ |
0.0510 |
|
BKT |
|
$ |
0.0365 |
|
BHD |
|
$ |
0.0845 |
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|
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130 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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To the Shareholders and Board of Trustees/Directors of
BlackRock Core Bond Trust,
BlackRock Corporate High Yield Fund V, Inc.,
BlackRock Corporate High Yield Fund VI, Inc.,
BlackRock High Income Shares,
BlackRock High Yield Trust,
BlackRock Income Opportunity Trust, Inc.,
BlackRock Income Trust, Inc., and
BlackRock Strategic Bond Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund V, Inc., BlackRock Corporate High Yield Fund VI, Inc., BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust (collectively the Trusts) as of August 31, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trusts management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting.
Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2011, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund V, Inc., BlackRock Corporate High Yield Fund VI, Inc., BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust as of August 31, 2011, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
October 29, 2011
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The following information is provided with respect to the ordinary income paid by the Trusts for the taxable year ended August 31, 2011.
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BHK |
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HYV |
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HYT |
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HIS |
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BHY |
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BNA |
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BKT |
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BHD |
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Federal Obligation Interest(1) |
|
|
9.58 |
% |
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|
|
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|
|
|
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|
|
9.63 |
% |
|
11.71 |
% |
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|
|
Interest-Related Dividends for Non-US Residents:(2) |
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|
September 2010 October 2010 |
|
|
88.59 |
% |
|
76.11 |
% |
|
75.12 |
% |
|
84.24 |
% |
|
79.48 |
% |
|
80.08 |
% |
|
57.54 |
% |
|
86.53 |
% |
November 2010 |
|
|
88.59 |
% |
|
76.11 |
% |
|
75.12 |
% |
|
84.24 |
% |
|
79.48 |
% |
|
80.08 |
% |
|
57.54 |
% |
|
86.34 |
% |
December 2010 |
|
|
88.08 |
% |
|
76.11 |
% |
|
75.12 |
% |
|
84.24 |
% |
|
79.48 |
% |
|
78.50 |
% |
|
57.54 |
% |
|
85.75 |
% |
January 2011 |
|
|
81.00 |
% |
|
76.11 |
% |
|
75.12 |
% |
|
82.45 |
% |
|
79.48 |
% |
|
73.35 |
% |
|
57.54 |
% |
|
85.75 |
% |
February 2011 August 2011 |
|
|
92.27 |
% |
|
98.58 |
% |
|
100.00 |
% |
|
94.41 |
% |
|
96.15 |
% |
|
94.79 |
% |
|
100.00 |
% |
|
69.80 |
% |
|
|
(1) |
The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes. |
|
|
(2) |
Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations. |
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|
ANNUAL REPORT |
AUGUST 31, 2011 |
131 |
|
|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
The Board of Directors or Trustees and as applicable (each, a Board, collectively, the Boards, and the members of which are referred to as Board Members) of BlackRock Core Bond Trust (BHK), BlackRock Corporate High Yield Fund V, Inc. (HYV), BlackRock Corporate High Yield Fund VI, Inc. (HYT), BlackRock High Income Shares (HIS), BlackRock High Yield Trust (BHY), BlackRock Income Opportunity Trust, Inc. (BNA), BlackRock Income Trust, Inc. (BKT) and BlackRock Strategic Bond Trust (BHD and together with BHK, HYV, HYT, HIS, BHY, BNA and BKT, each a Fund, and, collectively, the Funds) met on April 14, 2011 and May 1213, 2011 to consider the approval of each Funds investment advisory agreement (each, an Advisory Agreement) with BlackRock Advisors, LLC (the Manager), each Funds investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a Sub-Advisory Agreement) between the Manager and BlackRock Financial Management, Inc. (the Sub-Advisor), with respect to each Fund. The Manager and the Sub-Advisor are referred to herein as BlackRock. The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the Agreements.
Activities and Composition of the Board
Each Board consists of eleven individuals, nine of whom are not interested persons of such Fund as defined in the Investment Company Act of 1940 (the 1940 Act) (the Independent Board Members). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. Each Board also established an ad hoc committee, the Joint Product Pricing Committee, which consisted of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who were not interested persons of their respective funds.
The Agreements
Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance program and assistance in meeting applicable legal and regulatory requirements.
The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior managements and portfolio managers analysis of the reasons for any over performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory and, with respect to BHY, BNA and BKT, administration, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds investment objectives, policies and restrictions; (e) the Funds compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRocks and other service providers internal controls and risk and compliance oversight mechanisms; (h) BlackRocks implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRocks implementation of the Funds valuation and liquidity procedures; (k) an analysis of contractual and actual management fee ratios for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRocks compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRocks business.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April 14, 2011 meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock to review periodically the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (Lipper) on Fund fees and expenses and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper (collectively, Peers), as well as the gross investment performance of each of BHK, BNA, BKT and BHD as compared with its respective custom benchmark; (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.
At an in-person meeting held on April 14, 2011, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 14, 2011 meeting, and as a culmination of the Boards year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 1213, 2011 Board meeting.
At an in-person meeting held on May 1213, 2011, each Board, including the Independent Board Members, unanimously approved the continuation of
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132 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) |
the Advisory Agreement between the Manager and its Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to its Fund, each for a one-year term ending June 30, 2012. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) other factors deemed relevant by the Board Members.
The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, if any. The Boards met with BlackRocks senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its Funds portfolio management team discussing Fund performance and the Funds investment objective, strategies and outlook.
The Boards considered, among other factors, the number, education and experience of BlackRocks investment personnel generally and their Funds portfolio management teams, investments by portfolio managers in the funds they manage, BlackRocks portfolio trading capabilities, BlackRocks use of technology, BlackRocks commitment to compliance, BlackRocks credit analysis capabilities, BlackRocks risk analysis capabilities and BlackRocks approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRocks compensation structure with respect to their Funds portfolio management teams and BlackRocks ability to attract and retain high-quality talent and create performance incentives.
In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In addition to investment advisory services, BlackRock and its affiliates provide the Funds with other services, including (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRocks fund administration, accounting, legal and compliance departments and considered BlackRocks policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Fund and BlackRock: The Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation for the April 14, 2011 meeting, the Boards worked with BlackRock and Lipper to develop a template for, and was provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Funds performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lippers rankings. In connection with its review, each Board received and reviewed information regarding the investment performance of its Fund as compared to funds in that Funds applicable Lipper category and, with respect to BHK, BNA, BKT and BHD, the gross investment performance of each such Fund as compared with its respective custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer funds. The Boards and each Boards Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Funds throughout the year.
The Board of each of BHK, BKT and BHD noted that its respective Funds gross performance exceeded its custom benchmark during each of the one-, three- and five-year periods reported.
The Board of each of HYV and HIS noted that, in general, its respective Fund performed better than its Peers in that the Funds performance was at or above the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported.
The Board of HYT noted that the Fund performed below the median of its Lipper Performance Universe in the three- and five-year periods reported, but that the Fund performed at or above the median of its Lipper Performance Universe in the one-year period reported. The Board of HYT and BlackRock reviewed and discussed the reasons for the Funds underperformance during the three- and five-year periods compared with its Peers. The Board of HYT was informed that, among other things, one of the major factors impacting performance was the relative use of leverage.
The Board of BHY noted that the Fund performed below the median of its Lipper Performance Universe in the one- and three-year periods reported, but that the Fund performed at or above the median of its Lipper Performance Universe in the five-year period reported. The Board of BHY and BlackRock reviewed and discussed the reasons for the Funds underperformance during the one- and three-year periods compared with its Peers. The Board of BHY
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ANNUAL REPORT |
AUGUST 31, 2011 |
133 |
|
|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) |
was informed that, among other things, one of the major factors impacting performance was the relative use of leverage.
The Board of BNA noted that the Funds gross performance was below its custom benchmark in the three- and five-year periods reported, but that the Funds gross performance exceeded its custom benchmark in the one-year period reported. The Board of BNA and BlackRock reviewed and discussed the reasons for the Funds underperformance during the three- and five-year periods compared with its custom benchmark. The Board of BNA was informed that, among other things, the Funds portfolio management teams goal has been, and continues to be, to purchase higher quality assets that offer attractive yields without taking significant credit risk. BNA therefore underperformed its custom benchmark for the three- and five-year periods as a result of the Funds underweight to high yield and subsequent overweight to high quality government related debt and securitized products such as mortgaged-backed securities (MBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS).
The Board of each of HYT, BHY and BNA discussed with BlackRock its strategy for improving the respective Funds performance and BlackRocks commitment to providing the resources necessary to assist the Funds portfolio managers and to improve the Funds performance.
The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team.
C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund: Each Board, including the Independent Board Members, reviewed its Funds contractual management fee ratio compared with the other funds in its Lipper category. It also compared the Funds total expense ratio, as well as actual management fee ratio, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.
The Boards received and reviewed statements relating to BlackRocks financial condition and profitability with respect to the services it provided the Funds. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRocks profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2010 compared to available aggregate profitability data provided for the years ended December 31, 2009, and December 31, 2008. The Boards reviewed BlackRocks profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRocks assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.
The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRocks overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock, in general and with respect to its registered funds, are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRocks operating margin with that of other publicly-traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.
In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRocks and its affiliates profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRocks methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.
The Board of each of BHK, HYV, HYT, BKT and BHD noted that its respective Funds contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Funds Peers, in each case before taking into account any expense reimbursements or fee waivers.
The Board of HIS noted that the Funds contractual management fee ratio was lower than or equal to the median contractual management fee ratio paid by the Funds Peers, in each case before taking into account any expense reimbursements or fee waivers. The Board of HIS also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels.
The Board of BHY noted that the Funds contractual management fee ratio was above the median contractual management fee ratio paid by the Funds Peers, in each case before taking into account any expense reimbursements or fee waivers. The Board of BHY also noted, however, that although the Funds actual total expense ratio, after giving effect to any expense reimbursement or fee waivers by BlackRock, was above the median actual total expense ratio of its Peers, after giving effect to any expense reimbursement or fee waivers, the actual total expense ratio was in the third quartile.
The Board of BHY noted that after discussions between the Board, including the Independent Board Members, and BlackRock, the Board approved BlackRocks proposed contractual advisory fee reduction effective June 1, 2011.
The Board of BNA noted that the Funds contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by the Funds Peers, in each case before taking into account any expense reimbursements
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134 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded) |
or fee waivers. The Board of BNA also noted, however, that the Funds actual management fee ratio, after giving effect to any expense reimbursements or fee waivers by BlackRock, was lower than or equal to the median actual management fee ratio paid by the Funds Peers, after giving effect to any expense reimbursements or fee waivers.
D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints, and in the case of HIS, revised breakpoints, in the advisory fee based upon the asset level of the Fund. Based on the ad hoc Joint Product Pricing Committees and the Boards review and consideration of this issue, the Boards concluded that closed-end funds are typically priced at scale at a funds inception; therefore, the implementation of breakpoints was not necessary.
The Boards noted that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. The Boards noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its advisory fee structure.
E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or fall-out benefits that BlackRock or its affiliates and significant shareholders may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRocks ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRocks profile in the investment advisory community, and the engagement of BlackRocks affiliates as service providers to the Funds, including securities lending services. The Boards also considered BlackRocks overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRocks funds may invest in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreements, the Boards also received information regarding BlackRocks brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Boards noted the competitive nature of the closed-end fund marketplace and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Funds fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2012 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Fund, for a one-year term ending June 30, 2012. As part of its approval, the Boards considered the detailed review of BlackRocks fee structure, as it applies to the Funds, conducted by the ad hoc Joint Product Pricing Committee. Based upon their evaluations of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members conclusions may be based in part on their consideration of these arrangements in prior years.
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ANNUAL REPORT |
AUGUST 31, 2011 |
135 |
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|
Pursuant to each Trusts Dividend Reinvestment Plan (the Reinvestment Plan), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the Reinvestment Plan Agent) in the respective Trusts shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.
After the Trusts declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (newly issued shares) or (ii) by purchase of outstanding shares on the open market or on the Trusts primary exchange (open-market purchases). If, on the dividend payment date, the net asset value per share (NAV) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a market premium), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participants account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a market discount), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.
Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Reinvestment Plan Agents fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agents open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.
Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares through the Reinvestment Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to the Reinvestment Plan Agent: Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.
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136 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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|
|
|
|
|
|
|
|
|
Name, Address |
|
Position(s) |
|
Length |
|
Principal Occupation(s) During Past Five Years |
|
Number of BlackRock- |
|
Public |
|
Independent Trustees1 |
|||||||||||
Richard E.
Cavanagh |
|
Chairman of the Board and Trustee |
|
Since |
|
Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Trustee, Educational Testing Service from 1997 to 2009 and Chairman from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer of The Conference Board, Inc. (global business research organization) from 1995 to 2007. |
|
96 RICs consisting of |
|
Arch Chemical (chemical and allied products) |
|
Karen P.
Robards |
|
Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee |
|
Since |
|
Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Director of Enable Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from 1976 to 1987. |
|
96 RICs consisting of |
|
AtriCure, Inc. (medical devices) |
|
Michael J.
Castellano |
|
Trustee and Member of the Audit Committee |
|
Since |
|
Managing Director and Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religions (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010. |
|
96 RICs consisting of |
|
None |
|
Frank J.
Fabozzi |
|
Trustee and Member of the Audit Committee |
|
Since |
|
Editor of and Consultant for The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006. |
|
96 RICs consisting of |
|
None |
|
Kathleen
F. Feldstein |
|
Trustee |
|
Since |
|
President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009. |
|
96 RICs consisting of |
|
The McClatchy Company (publishing); BellSouth (telecommunications); Knight Ridder (publishing) |
|
James T.
Flynn |
|
Trustee and Member of the Audit Committee |
|
Since |
|
Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995. |
|
96 RICs consisting of |
|
None |
|
Jerrold B.
Harris |
|
Trustee |
|
Since |
|
Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999. |
|
96 RICs consisting of |
|
BlackRock Kelso Capital Corp. (business development company) |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
137 |
|
|
Officers and Trustees (continued) |
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|
|
|
|
|
|
|
|
|
|
|
Name, Address |
|
Position(s) |
|
Length |
|
Principal Occupation(s) During Past Five Years |
|
Number of BlackRock- |
|
Public |
|
Independent Trustees1 (concluded) |
|||||||||||
R. Glenn
Hubbard |
|
Trustee |
|
Since |
|
Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business Schools Entrepreneurship Program from 1997 to 2004; Chairman, US Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003. |
|
96 RICs consisting of |
|
ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance) |
|
W. Carl
Kester |
|
Trustee and Member of the Audit Committee |
|
Since |
|
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Department, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. |
|
96 RICs consisting of |
|
None |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. In 2011, the Board of Trustees unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders. |
||||||||
|
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|
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|
|
|
|
|
|
|
|
2 |
Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (MLIM) and BlackRock, Inc. (BlackRock) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows certain trustees as joining the Funds board in 2007, each director first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998. |
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|
|
|
|
|
|
|
|
|
Interested Trustees3 |
|||||||||||
Paul L.
Audet |
|
Trustee |
|
Since |
|
Senior Managing Director, BlackRock, Inc., and Head of BlackRocks Real Estate business from 2008 to 2011; Member of BlackRocks Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRocks Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005; Senior Vice President of Finance at PNC Bank Corp. and Chief Financial Officer of the Investment Management and Mutual Fund Processing businesses from 1996 to 1998 and Head of PNCs Mergers & Acquisitions unit from 1992 to 1998; Member of PNCs Corporate Asset-Liability Committee and Marketing Committees from 1992 to 1998; Chief Financial Officer of PNCs eastern operations from 1991 to 1992; Senior Vice President of First Fidelity Bancorporation, responsible for the Corporate Finance, Asset-Liability Committee, and Mergers & Acquisitions functions from 1986 to 1991. |
|
96 RICs consisting of |
|
None |
|
Henry
Gabbay |
|
Trustee |
|
Since |
|
Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. |
|
158 RICs consisting of |
|
None |
|
|
|
3 |
Mr. Audet is an interested person, as defined in the 1940 Act, of the Trusts based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an interested person of the Trusts based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
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|
|
|
|
138 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Officers and Trustees (concluded) |
|
|
|
|
|
|
|
Name, Address |
|
Position(s) |
|
Length |
|
Principal Occupation(s) During Past Five Years |
Trusts Officers1 |
||||||
John M.
Perlowski |
|
President and Chief Executive Officer |
|
Since |
|
Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. |
Anne
Ackerley |
|
Vice President |
|
Since |
|
Managing Director of BlackRock, Inc. since 2000; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRocks Global Client Group since 2009; Chief Operating Officer of BlackRocks U.S. Retail Group from 2006 to 2009; Head of BlackRocks Mutual Fund Group from 2000 to 2006. |
Brendan
Kyne |
|
Vice President |
|
Since |
|
Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRocks US Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. |
Neal
Andrews |
|
Chief Financial Officer |
|
Since |
|
Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. |
Jay Fife |
|
Treasurer |
|
Since |
|
Managing Director of BlackRock, Inc. since 2007 and Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. |
Brian
Kindelan |
|
Chief Compliance Officer and Anti-Money Laundering Officer |
|
Since |
|
Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005. |
Ira P.
Shapiro |
|
Secretary |
|
Since |
|
Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008. |
|
|
|
|
1 |
Officers of the Trusts serve at the pleasure of the Board of Trustees. |
|
|
|
|
2 |
Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011. |
|
Investment Advisor |
BlackRock Advisors, LLC |
Wilmington, DE 19809 |
|
Sub-Advisor3 |
BlackRock Financial |
Management, Inc. |
New York, NY 10055 |
|
Custodian |
State Street Bank and |
Trust Company |
Boston, MA 02111 |
|
Independent Registered Public Accounting Firm |
Deloitte & Touche LLP |
Boston, MA 02116 |
|
Transfer Agent |
Computershare Trust Company, N.A. |
Providence, RI 02940 |
|
Legal Counsel |
Skadden, Arps, Slate, Meagher & Flom LLP |
New York, NY 10036 |
|
Accounting Agent |
State Street Bank and Trust Company |
Boston, MA 02116 |
|
Address of the Trusts |
100 Bellevue Parkway |
Wilmington, DE 19809 |
|
|
3 |
For BHK, HYV, HYT, HIS and BHD. |
|
|
Effective April 14, 2011, Michael J. Castellano became Trustee of the Trusts and Member of the Audit Committee. |
|
Effective July 28, 2011, Richard S. Davis resigned as Trustee of the Trusts, and Paul L. Audet became Trustee of the Trusts. |
|
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
139 |
|
|
|
Proxy Results |
The Annual Meeting of Shareholders was held on July 28, 2011 for shareholders of record on May 31, 2011 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.
Approved the Class I Trustees as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paul L. Audet |
|
Michael J. Castellano |
|
R. Glenn Hubbard |
|
|||||||||||||||||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
|||||||||
BHK |
|
|
21,025,192 |
|
|
385,259 |
|
|
0 |
|
|
21,042,740 |
|
|
367,711 |
|
|
0 |
|
|
21,016,653 |
|
|
393,798 |
|
|
0 |
|
HIS |
|
|
43,512,255 |
|
|
1,347,777 |
|
|
0 |
|
|
43,379,883 |
|
|
1,480,150 |
|
|
0 |
|
|
43,443,209 |
|
|
1,416,823 |
|
|
0 |
|
BHY |
|
|
5,725,983 |
|
|
97,376 |
|
|
0 |
|
|
5,724,031 |
|
|
99,328 |
|
|
0 |
|
|
5,724,537 |
|
|
98,822 |
|
|
0 |
|
BNA |
|
|
27,010,342 |
|
|
422,110 |
|
|
0 |
|
|
26,981,382 |
|
|
451,069 |
|
|
0 |
|
|
26,987,638 |
|
|
444,813 |
|
|
0 |
|
BKT |
|
|
55,657,170 |
|
|
1,501,720 |
|
|
0 |
|
|
55,635,168 |
|
|
1,523,722 |
|
|
0 |
|
|
55,627,503 |
|
|
1,531,387 |
|
|
0 |
|
BHD |
|
|
6,137,995 |
|
|
137,922 |
|
|
0 |
|
|
6,134,156 |
|
|
141,761 |
|
|
0 |
|
|
6,119,975 |
|
|
155,942 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
W. Carl Kester |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
BHK |
|
|
21,082,641 |
|
|
327,810 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HIS |
|
|
43,414,832 |
|
|
1,445,201 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHY |
|
|
5,725,639 |
|
|
97,720 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNA |
|
|
27,009,365 |
|
|
423,086 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BKT |
|
|
55,709,783 |
|
|
1,449,107 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHD |
|
|
6,130,943 |
|
|
144,974 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.
Approved the Trustees as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paul L. Audet |
|
Michael J. Castellano |
|
Richard E. Cavanagh |
|
|||||||||||||||||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
|||||||||
HYV |
|
|
25,293,724 |
|
|
445,608 |
|
|
0 |
|
|
25,298,800 |
|
|
440,532 |
|
|
0 |
|
|
25,301,960 |
|
|
437,372 |
|
|
0 |
|
HYT |
|
|
27,711,164 |
|
|
357,870 |
|
|
0 |
|
|
27,694,036 |
|
|
374,998 |
|
|
0 |
|
|
27,695,337 |
|
|
373,697 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Frank J. Fabozzi |
|
Kathleen F. Feldstein |
|
James T. Flynn |
|
|||||||||||||||||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
|||||||||
HYV |
|
|
25,306,587 |
|
|
432,745 |
|
|
0 |
|
|
25,244,294 |
|
|
495,038 |
|
|
0 |
|
|
25,298,857 |
|
|
440,475 |
|
|
0 |
|
HYT |
|
|
27,676,266 |
|
|
392,768 |
|
|
0 |
|
|
27,670,866 |
|
|
398,168 |
|
|
0 |
|
|
27,659,277 |
|
|
409,757 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Henry Gabbay |
|
Jerrold B. Harris |
|
R. Glenn Hubbard |
|
|||||||||||||||||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
|||||||||
HYV |
|
|
25,289,605 |
|
|
449,727 |
|
|
0 |
|
|
25,287,464 |
|
|
451,868 |
|
|
0 |
|
|
25,298,996 |
|
|
440,336 |
|
|
0 |
|
HYT |
|
|
27,709,310 |
|
|
359,724 |
|
|
0 |
|
|
27,671,336 |
|
|
397,698 |
|
|
0 |
|
|
27,647,852 |
|
|
421,182 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
W. Carl Kester |
|
Karen P. Robards |
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
|
Votes For |
|
Votes |
|
Abstain |
|
Votes For |
|
Votes |
|
Abstain |
|
|
|
|
|
|
|
|
|
|
||||||
HYV |
|
|
25,288,093 |
|
|
451,239 |
|
|
0 |
|
|
25,272,341 |
|
|
466,991 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
HYT |
|
|
27,666,802 |
|
|
402,232 |
|
|
0 |
|
|
27,710,422 |
|
|
358,612 |
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Additional Information (continued) |
|
Trust Certification |
Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSEs listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.
|
Dividend Policy |
The Trusts dividend policy is to distribute all or a portion of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.
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|||
|
ANNUAL REPORT |
AUGUST 31, 2011 |
141 |
|
Additional Information (continued) |
|
General Information |
The Trusts do not make available copies of their Statements of Additional Information because the Trusts shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trusts offerings and the information contained in each Trusts Statement of Additional Information may have become outdated.
Other than the revisions discussed in the Board Approval on page 143, there were no material changes in the Trusts investment objectives or policies or to the Trusts charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts portfolios.
Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRocks website, which can be accessed at http://www.blackrock.com. This reference to BlackRocks website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRocks website into this report.
|
Electronic Delivery |
|
Electronic copies of most financial reports are available on the Trusts web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts electronic delivery program. |
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Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages: |
|
Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service. |
|
Householding |
|
The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called householding and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762. |
|
Availability of Quarterly Schedule of Investments |
|
Each Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts Forms N-Q are available on the SECs website at http://www.sec.gov and may also be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on how to access documents on the SECs website without charge may be obtained by calling (800) SEC-0330. Each Trusts Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762. |
|
Availability of Proxy Voting Policies and Procedures |
|
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SECs website at http://www.sec.gov. |
|
Availability of Proxy Voting Record |
|
Information about how the Trusts voted proxies relating to securities held in the Trusts portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SECs website at http://www.sec.gov. |
|
Availability of Trust Updates |
|
BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the Closed-end Funds section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. |
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||
142 |
ANNUAL REPORT |
AUGUST 31, 2011 |
|
|
Additional Information (concluded) |
|
|
Board Approval |
The HIS Board approved changes to the Trusts investment guidelines, effective August 22, 2011, to permit the Trust to acquire common stock in connection with or incidental to the Trusts investment in income-generating securities that would otherwise be attractive to the Trust. This change also permits HIS to acquire equity interests (or their substantial equivalent) through follow on or rights offerings for interests in an issuer which HIS previously acquired in connection with its investment in income-generating securities. HIS had previously been restricted from acquiring common stock except in certain limited circumstances.
|
Section 19(a) Notices |
These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Trusts investment experience during the year and may be subject to changes based on the tax regulations. The Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.
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|
August 31, 2011 |
|
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|
|
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|
|
|
|
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|
|
|
|
Total
Fiscal Year-to-Date |
|
Percentage
of Fiscal Year-to-Date |
|
||||||||||||||||||||
|
|
Net |
|
Net |
|
Return |
|
Total
Per |
|
Net |
|
Net |
|
Return |
|
Total
Per |
|
||||||||
BHY |
|
$ |
0.502214 |
|
|
|
|
$ |
0.019786 |
|
$ |
0.522000 |
|
|
96 |
% |
|
0 |
% |
|
4 |
% |
|
100 |
% |
The Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholders investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trusts investment performance and should not be confused with yield or income.
|
BlackRock Privacy Principles |
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, Clients) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
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|||
|
ANNUAL REPORT |
AUGUST 31, 2011 |
143 |
This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares yield. Statements and other information herein are as dated and are subject to change.
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#CEF -1-8-08/11 |
|
Item 2 – |
Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com. |
|
|
Item 3 – |
Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
|
|
|
Frank J. Fabozzi |
|
James T. Flynn |
|
W. Carl Kester |
|
Karen P. Robards |
|
|
|
The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR. |
|
|
|
Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements. |
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|
|
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization. |
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|
|
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors. |
Item 4 – |
Principal Accountant Fees and Services |
|
|
|
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund: |
|
(a) Audit Fees |
(b) Audit-Related Fees1 |
(c) Tax Fees2 |
(d) All Other Fees3 |
||||
Entity Name |
Current |
Previous |
Current |
Previous |
Current |
Previous |
Current |
Previous |
|
|
|
|
|
|
|
|
|
BlackRock Strategic Bond Trust |
$38,100 |
$36,300 |
$0 |
$0 |
$7,700 |
$6,100 |
$0 |
$0 |
|
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”): |
|
Current Fiscal Year End |
Previous Fiscal Year End |
(b) Audit-Related Fees1 |
$0 |
$0 |
(c) Tax Fees2 |
$0 |
$0 |
(d) All Other Fees3 |
$3,030,000 |
$2,950,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services includes tax compliance, tax advice and tax planning.
3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.
|
(e)(1) Audit Committee Pre-Approval Policies and Procedures: |
|
|
|
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels. |
|
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels. |
|
|
|
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
|
|
|
(f) Not Applicable |
|
|
|
(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were: |
Entity Name |
Current Fiscal Year End |
Previous Fiscal Year End |
|
|
|
BlackRock Strategic Bond Trust |
$7,700 |
$16,877 |
|
Additionally, SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and $2,950,000, respectively, were billed by D&T to the Investment Adviser. |
|
|
|
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
|
|
Item 5 – |
Audit Committee of Listed Registrants |
|
(a) |
The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)): |
|
|
Michael Castellano |
|
|
Frank J. Fabozzi |
|
|
James T. Flynn |
|
|
W. Carl Kester |
|
|
Karen P. Robards |
|
|
|
|
(b) |
Not Applicable |
Item 6 – |
Investments |
|
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. |
|
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
Item 7 – |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov. |
|
|
Item 8 – |
Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2011. |
|
(a)(1) |
The Fund is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Jeffrey Cucunato, Managing Director at BlackRock and Derek Schoenhofen, Director at BlackRock. Messrs. Keenan, Cucunato and Schoenhofen are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s portfolio management team since 2007. Messrs. Cucunato and Schoenhofen have been members of the Fund’s portfolio management team since 2009. |
Portfolio Manager |
Biography |
James E. Keenan |
Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005. |
Jeffrey Cucunato |
Managing Director of BlackRock since 2005. |
Derek Schoenhofen |
Director of BlackRock since 2006; Vice President of BlackRock from 2000 to 2005. |
|
(a)(2) |
As of August 31, 2011: |
|
(ii) Number of Other Accounts Managed and Assets by Account Type |
(iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based |
||||
(i) Name of Portfolio Manager |
Other Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts |
Other Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts |
James E. Keenan |
22 |
24 |
32 |
0 |
14 |
4 |
|
$11.39 Billion |
$7.00 Billion |
$5.25 Billion |
$0 |
$2.73 Billion |
$564.7 Million |
Jeffrey Cucunato |
2 |
13 |
85 |
0 |
9 |
5 |
|
$587.7 Million |
$1.29 Billion |
$48.86 Billion |
$0 |
$850.7 Million |
$4.84 Billion |
Derek Schoenhofen |
12 |
4 |
1 |
0 |
0 |
0 |
|
$7.75 Billion |
$3.57 Billion |
$2,346 |
$0 |
$0 |
$0 |
|
(iv) |
Potential Material Conflicts of Interest |
|
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted Messrs. Keenan, Schoenhofen and Cucunato may be managing certain hedge fund and/or long only accounts, or may be part of a team managing certain hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, Schoenhofen and Cucunato may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees. |
|
|
|
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate. |
|
(a)(3) |
As of August 31, 2011: |
|
Portfolio Manager Compensation Overview |
|
|
|
BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock. |
|
|
|
Base compensation. Generally, portfolio managers receive base compensation based on their position with BlackRock. |
|
|
|
Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated. With respect to the portfolio managers, such benchmarks include the following: |
Portfolio Manager |
Applicable Benchmarks |
James Keenan Derek Schoenhofen |
A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer Capped™ Index), certain customized indices and certain fund industry peer groups. |
Jeffrey Cucunato |
A combination of market-based indices (e.g., S&P 500 Index and Barclays Capital Aggregate Index), certain customized indices and certain fund industry peer groups. |
|
Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. |
|
|
|
Performance of fixed income funds is measured on both a pre-tax and after-tax basis over various time periods including 1-, 3- and 5-year periods, as applicable. With respect to the performance of the other listed Index and Multi-Asset Funds, performance is measured on, among other things, a pre-tax basis over various time periods including 1-, 3- and 5-year periods, as applicable. |
|
Distribution of Discretionary Incentive Compensation |
|
|
|
Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of annual bonuses in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results. |
|
|
|
Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Keenan, Schoenhofen and Cucunato have each received long-term incentive awards. |
|
|
|
Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is permitted to allocate his deferred amounts among various BlackRock investment options. Messrs. Keenan, Schoenhofen and Cucunato have each participated in the deferred compensation program. |
|
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Other compensation benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following incentive savings plans. BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation. The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into an index target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager is eligible to participate in these plans. |
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(a)(4) |
Beneficial Ownership of Securities – As of August 31, 2011. |
Portfolio Manager |
Dollar Range of Equity Securities |
James E. Keenan |
$1 - $10,000 |
Jeffrey Cucunato |
None |
Derek Schoenhofen |
None |
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(b) Not Applicable |
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Item 9 – |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report. |
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Item 10 – |
Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
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Item 11 – |
Controls and Procedures |
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(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
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(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 12 – |
Exhibits attached hereto |
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(a)(1) – |
Code of Ethics – See Item 2 |
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(a)(2) – |
Certifications – Attached hereto |
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(a)(3) – |
Not Applicable |
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(b) – |
Certifications – Attached hereto |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
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BlackRock Strategic Bond Trust |
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By: | /s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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BlackRock Strategic Bond Trust |
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Date: November 4, 2011 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
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By: | /s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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BlackRock Strategic Bond Trust |
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Date: November 4, 2011 |
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By: | /s/ Neal J. Andrews |
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Neal J. Andrews |
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Chief Financial Officer (principal financial officer) of |
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BlackRock Strategic Bond Trust |
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Date: November 4, 2011 |
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Strategic Bond Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Strategic Bond Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: November 4, 2011
/s/ John M. Perlowski |
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John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Strategic Bond Trust
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Strategic Bond Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Strategic Bond Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: November 4, 2011
/s/ Neal J. Andrews |
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Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Strategic Bond Trust
Exhibit 99.1350CERT
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Strategic Bond Trust (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended August 31, 2011 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: November 4, 2011
/s/ John M. Perlowski |
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John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Strategic Bond Trust
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Strategic Bond Trust (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended August 31, 2011 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: November 4, 2011
/s/ Neal J. Andrews |
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Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Strategic Bond Trust
This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.
CONFIDENTIAL
Proxy Voting Policies
For The BlackRock-Advised Funds
December, 2009
Copyright © 2010 BlackRock, Inc.
All rights reserved.
Table of Contents
Page | |||
I. | INTRODUCTION | 1 | |
II. | PROXY VOTING POLICIES | 2 | |
A. | Boards of Directors | 2 | |
B. | Auditors | 2 | |
C. | Compensation and Benefits | 2 | |
D. | Capital Structure | 2 | |
E. | Corporate Charter and By-Laws | 3 | |
F. | Environmental and Social Issues | 3 | |
III. | CONFLICTS MANAGEMENT | 3 | |
IV. | REPORTS TO THE BOARD | 3 |
I. |
INTRODUCTION |
The Trustees/Directors (“Directors”) of the BlackRock-Advised Funds (the “Funds”) have the responsibility for voting proxies relating to portfolio securities of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to delegate that responsibility to BlackRock Advisors, LLC and its affiliated U.S. registered investment advisers (“BlackRock”), the investment adviser to the Funds, as part of BlackRock’s authority to manage, acquire and dispose of account assets. The Directors hereby direct BlackRock to vote such proxies in accordance with this Policy, and any proxy voting guidelines that the Adviser determines are appropriate and in the best interests of the Funds’ shareholders and which are consistent with the principles outlined in this Policy. The Directors have authorized BlackRock to utilize an unaffiliated third-party as its agent to vote portfolio proxies in accordance with this Policy and to maintain records of such portfolio proxy voting.
Rule 206(4)-6 under the Investment Advisers Act of 1940 requires, among other things, that an investment adviser that exercises voting authority over clients’ proxy voting adopt policies and procedures reasonably designed to ensure that the adviser votes proxies in the best interests of clients, discloses to its clients information about those policies and procedures and also discloses to clients how they may obtain information on how the adviser has voted their proxies.
BlackRock has adopted separate but substantially similar guidelines and procedures that are consistent with the principles of this Policy. BlackRock’s Corporate Governance Committee (the “Committee”), addresses proxy voting issues on behalf of BlackRock and its clients, including the Funds. The Committee is comprised of senior members of BlackRock’s Portfolio Management and Administration Groups and is advised by BlackRock’s Legal and Compliance Department.
BlackRock votes (or refrains from voting) proxies for each Fund in a manner that BlackRock, in the exercise of its independent business judgment, concludes are in the best economic interests of such Fund. In some cases, BlackRock may determine that it is in the best economic interests of a Fund to refrain from exercising the Fund’s proxy voting rights (such as, for example, proxies on certain non-U.S. securities that might impose costly or time-consuming in-person voting requirements). With regard to the relationship between securities lending and proxy voting, BlackRock’s approach is also driven by our clients’ economic interests. The evaluation of the economic desirability of recalling loans involves balancing the revenue producing value of loans against the likely economic value of casting votes. Based on our evaluation of this relationship, BlackRock believes that the likely economic value of casting a vote generally is less than the securities lending income, either because the votes will not have significant economic consequences or because the outcome of the vote would not be affected by BlackRock recalling loaned securities in order to ensure they are voted. Periodically, BlackRock analyzes the process and benefits of voting proxies for securities on loan, and will consider whether any modification of its proxy voting policies or procedures are necessary in light of any regulatory changes.
BlackRock will normally vote on specific proxy issues in accordance with BlackRock’s proxy voting guidelines. BlackRock’s proxy voting guidelines provide detailed guidance as to how to vote proxies on certain important or commonly raised issues. BlackRock may, in the exercise of its business judgment, conclude that the proxy voting guidelines do not cover the specific matter upon which a proxy vote is requested, or that an exception to the proxy voting guidelines would be in the best economic interests of a Fund. BlackRock
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votes (or refrains from voting) proxies without regard to the relationship of the issuer of the proxy (or any shareholder of such issuer) to the Fund, the Fund’s affiliates (if any), BlackRock or BlackRock’s affiliates. When voting proxies, BlackRock attempts to encourage companies to follow practices that enhance shareholder value and increase transparency and allow the market to place a proper value on their assets.
II. |
PROXY VOTING POLICIES |
A. |
Boards of Directors |
The Funds generally support the board’s nominees in the election of directors and generally support proposals that strengthen the independence of boards of directors. As a general matter, the Funds believe that a company’s board of directors (rather than shareholders) is most likely to have access to important, nonpublic information regarding a company’s business and prospects, and is therefore best-positioned to set corporate policy and oversee management. The Funds therefore believe that the foundation of good corporate governance is the election of responsible, qualified, independent corporate directors who are likely to diligently represent the interests of shareholders and oversee management of the corporation in a manner that will seek to maximize shareholder value over time. In individual cases, consideration may be given to a director nominee’s history of representing shareholder interests as a director of the company issuing the proxy or other companies, or other factors to the extent deemed relevant by the Committee.
B. |
Auditors |
These proposals concern those issues submitted to shareholders related to the selection of auditors. As a general matter, the Funds believe that corporate auditors have a responsibility to represent the interests of shareholders and provide an independent view on the propriety of financial reporting decisions of corporate management. While the Funds anticipate that BlackRock will generally defer to a corporation’s choice of auditor, in individual cases, consideration may be given to an auditors’ history of representing shareholder interests as auditor of the company issuing the proxy or other companies, to the extent deemed relevant.
C. |
Compensation and Benefits |
These proposals concern those issues submitted to shareholders related to management compensation and employee benefits. As a general matter, the Funds favor disclosure of a company’s compensation and benefit policies and oppose excessive compensation, but believe that compensation matters are normally best determined by a corporation’s board of directors, rather than shareholders. Proposals to “micro-manage” a company’s compensation practices or to set arbitrary restrictions on compensation or benefits should therefore generally not be supported.
D. |
Capital Structure |
These proposals relate to various requests, principally from management, for approval of amendments that would alter the capital structure of a company, such as an increase in authorized shares. As a general matter, the Funds expect that BlackRock will support requests that it believes enhance the rights of common shareholders and oppose requests that appear to be unreasonably dilutive.
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E. |
Corporate Charter and By-Laws |
These proposals relate to various requests for approval of amendments to a corporation’s charter or by-laws. As a general matter, the Funds generally vote against anti-takeover proposals and proposals that would create additional barriers or costs to corporate transactions that are likely to deliver a premium to shareholders.
F. |
Environmental and Social Issues |
These are shareholder proposals addressing either corporate social and environmental policies or requesting specific reporting on these issues. The Funds generally do not support proposals on social issues that lack a demonstrable economic benefit to the issuer and the Fund investing in such issuer. BlackRock seeks to make proxy voting decisions in the manner most likely to protect and promote the long-term economic value of the securities held in client accounts. We intend to support economically advantageous corporate practices while leaving direct oversight of company management and strategy to boards of directors. We seek to avoid micromanagement of companies, as we believe that a company’s board of directors is best positioned to represent shareholders and oversee management on shareholders behalf. Issues of corporate social and environmental responsibility are evaluated on a case-by-case basis within this framework.
III. |
CONFLICTS MANAGEMENT |
BlackRock maintains policies and procedures that are designed to prevent any relationship between the issuer of the proxy (or any shareholder of the issuer) and a Fund, a Fund’s affiliates (if any), BlackRock or BlackRock’s affiliates, from having undue influence on BlackRock’s proxy voting activity. In certain instances, BlackRock may determine to engage an independent fiduciary to vote proxies as a further safeguard against potential conflicts of interest or as otherwise required by applicable law. The independent fiduciary may either vote such proxies or provide BlackRock with instructions as to how to vote such proxies. In the latter case, BlackRock votes the proxy in accordance with the independent fiduciary’s determination.
IV. |
REPORTS TO THE BOARD |
BlackRock will report to the Directors on proxy votes it has made on behalf of the Funds at least annually.
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